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<TITLE>Form S-1 for iShares Diversified Alternatives Trust</TITLE>
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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>As filed with the Securities and Exchange Commission on September 27, 2012 </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="right"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>Registration No.&nbsp;333-&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </B></FONT></P>
<P STYLE="font-size:4px;margin-top:0px;margin-bottom:0px">&nbsp;</P> <P STYLE="line-height:0px;margin-top:0px;margin-bottom:0px;border-bottom:0.5pt solid #000000">&nbsp;</P>
<P STYLE="line-height:3px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000">&nbsp;</P> <P STYLE="margin-top:4px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="5"><B>SECURITIES AND EXCHANGE
COMMISSION </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="3"><B>WASHINGTON, D.C. 20549 </B></FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center> <P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:4px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="5"><B>Form S-1 </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="5"><B>REGISTRATION STATEMENT </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:Times New Roman" SIZE="2"><B><I>UNDER </I></B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B><I>THE SECURITIES ACT OF 1933 </I></B></FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center> <P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="5"><B>iSHARES<FONT STYLE="font-family:Times New Roman" SIZE="4"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP>
</FONT>&nbsp;DIVERSIFIED&nbsp;ALTERNATIVES&nbsp;TRUST </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="3"><B>SPONSORED BY iSHARES<FONT
STYLE="font-family:Times New Roman" SIZE="2"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> DELAWARE TRUST SPONSOR LLC </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:Times New Roman" SIZE="2"><B>(Exact name of Registrant as specified in its charter) </B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center>
<P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD VALIGN="top" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>Delaware</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>6799</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>26-4632352</B></FONT></TD></TR>
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<TD VALIGN="top" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>(State or other Jurisdiction of</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Incorporation or Organization)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>(Primary Standard Industrial</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Times New Roman" SIZE="1"><B>Classification Code Number)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>(I.R.S. Employer</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Times New Roman" SIZE="1"><B>Identification No.)</B></FONT></P></TD></TR>
</TABLE> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>c/o BlackRock Asset Management International Inc. </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>400 Howard Street </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:Times New Roman" SIZE="2"><B>San Francisco, CA 94105 </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>Attn: Product Management Team and Intermediary
Investor and Exchange-Traded Products Department </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>(415) 670-2000 </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>(Address, including zip code, and telephone number, including area code, of Registrant&#146;s principal executive offices)
</B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center> <P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>BlackRock Asset Management International Inc. </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:Times New Roman" SIZE="2"><B>400 Howard Street </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>San Francisco, CA 94105 </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>Attn: Product Management Team and Intermediary Investor and Exchange-Traded Products Department </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>(415) 670-2000 </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:Times New Roman" SIZE="1"><B>(Name, address, including zip code, and telephone number, including area code, of agent for service) </B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center>
<P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B><I>Copies to:
</I></B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD VALIGN="top" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>David Yeres, Esq.</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:Times New Roman" SIZE="2"><B>Clifford Chance US LLP</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>31 West 52<FONT
STYLE="font-family:Times New Roman" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">nd</SUP></FONT><FONT STYLE="font-family:Times New Roman" SIZE="2"> Street</FONT></B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>New York, NY 10019</B></FONT></P></TD>
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<TD VALIGN="top" ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>Deepa Damre, Esq.</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:Times New Roman" SIZE="2"><B>BlackRock Fund Advisors</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>400 Howard Street</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>San Francisco, CA 94105</B></FONT></P></TD></TR>
</TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center> <P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>Approximate date of commencement of proposed sale to the public:</B> As soon as practicable after this Registration Statement becomes
effective. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">If any of the securities being registered on this Form are to be offered on a delayed or continuous basis pursuant
to Rule 415 under the Securities Act of 1933, check the following box.&nbsp;&nbsp;&nbsp;&nbsp;<FONT STYLE="FONT-FAMILY:WINGDINGS">&#120;</FONT> </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">If this Form is filed to register additional securities for an offering pursuant to Rule 462(b) under the Securities Act of 1933, check the following box and list the Securities Act registration statement
number of the earlier effective registration statement for the same offering.&nbsp;&nbsp;&nbsp;&nbsp;<FONT STYLE="FONT-FAMILY:WINGDINGS">&#168;</FONT> </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">If this Form is a post-effective amendment filed pursuant to Rule 462(c) under the Securities Act of 1933, check the following box and list the Securities Act registration statement number of the earlier
effective registration statement for the same offering.&nbsp;&nbsp;&nbsp;&nbsp;<FONT STYLE="FONT-FAMILY:WINGDINGS">&#168;</FONT> </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">If this Form is a post-effective amendment filed pursuant to Rule 462(d) under the Securities Act of 1933, check the following box and list the Securities Act registration statement number of the earlier
effective registration statement for the same offering.&nbsp;&nbsp;&nbsp;&nbsp;<FONT STYLE="FONT-FAMILY:WINGDINGS">&#168;</FONT> </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px;page-break-before:always"></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller
reporting company. See the definitions of &#147;large accelerated filer,&#148; &#147;accelerated filer&#148; and &#147;smaller reporting company&#148; in Rule&nbsp;12b-2 of the Exchange Act. </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Times New Roman" SIZE="2">Large&nbsp;accelerated&nbsp;filer</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Times New Roman" SIZE="2"><FONT STYLE="FONT-FAMILY:WINGDINGS">&#168;</FONT></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Times New Roman" SIZE="2">Accelerated&nbsp;filer</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Times New Roman" SIZE="2"><FONT STYLE="FONT-FAMILY:WINGDINGS">&#120;</FONT></FONT></TD></TR>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Times New Roman" SIZE="2">Non-accelerated filer</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Times New Roman" SIZE="2"><FONT STYLE="FONT-FAMILY:WINGDINGS">&#168;</FONT>&nbsp;&nbsp;(Do not check if a smaller reporting company)</FONT></TD>
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<TD VALIGN="bottom"><FONT STYLE="font-family:Times New Roman" SIZE="2">Smaller&nbsp;reporting&nbsp;company</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:Times New Roman" SIZE="2"><FONT STYLE="FONT-FAMILY:WINGDINGS">&#168;</FONT></FONT></TD></TR>
</TABLE> <P STYLE="margin-top:12px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>CALCULATION OF REGISTRATION FEE </B></FONT></P>
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<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Title of each class of securities to be registered</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Amount&nbsp;to&nbsp;be<BR>registered</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Proposed&nbsp;maximum<BR>offering price per<BR>Share</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Proposed&nbsp;maximum<BR>aggregate offering price</B></FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="BORDER-TOP:1px solid #000000; BORDER-BOTTOM:1px solid #000000">
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Amount&nbsp;of</B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT
STYLE="font-family:Times New Roman" SIZE="1"><B>registration&nbsp;Fee<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></B></FONT></P></TD>
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<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Times New Roman" SIZE="2">Shares</FONT></P></TD>
<TD VALIGN="bottom" STYLE="BORDER-LEFT:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$0&nbsp;&nbsp;&nbsp;&nbsp;
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-RIGHT:1px solid #000000; BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000" ALIGN="right"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
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<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2"></FONT><FONT STYLE="font-family:Times New Roman" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT><FONT
STYLE="font-family:Times New Roman" SIZE="2"></FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">This Registration Statement (the &#147;replacement registration statement&#148;) relates to shares of the registrant that were previously registered
pursuant to Registration Statement No. 333-153099 (the &#147;expiring registration statement&#148;) originally declared effective by the Securities and Exchange Commission on November&nbsp;12</FONT><FONT STYLE="font-family:Times New Roman" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">th</SUP></FONT><FONT STYLE="font-family:Times New Roman" SIZE="2">, 2009, and which remain unsold at the time of effectiveness of this replacement registration statement (such shares,
the &#147;unsold shares&#148;). Prior to the effectiveness of this replacement registration statement, the registrant will file a pre-effective amendment hereto setting forth the total number of unsold shares and the amount of registration fee paid
in connection with their registration pursuant to the expiring registration statement. As provided in Rule 415(a)(6) under the Securities Act, the fee so paid will continue to be applied to the unsold shares and no additional filing fee is required.
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center> <P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>The Registrant hereby amends this registration statement on such date or dates as may be necessary to delay its effective date until
the Registrant shall file a further amendment which specifically states that this registration statement shall thereafter become effective in accordance with section 8(a) of the Securities Act of 1933 or until the registration statement shall become
effective on such date as the Securities and Exchange Commission, acting pursuant to said section 8(a), may determine. </B></FONT></P> <P STYLE="font-size:8px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<P STYLE="line-height:0px;margin-top:0px;margin-bottom:0px;border-bottom:0.5pt solid #000000">&nbsp;</P> <P STYLE="line-height:3px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000">&nbsp;</P>

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<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:ARIAL" SIZE="2" COLOR="#de1a1e"><B>The information in this prospectus is not complete and may be changed. We may not sell securities
pursuant to the prospectus included in this registration statement until it is declared effective by the Securities and Exchange Commission. This prospectus is not an offer to sell these securities and it is not soliciting an offer to buy these
securities in any state where the offer or sale is not permitted. </B></FONT></P> <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2" COLOR="#de1a1e"><B>SUBJECT TO COMPLETION, DATED SEPTEMBER 27, 2012 </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="4"><B>[&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;] Shares </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="5"><B>iShares<FONT STYLE="font-family:arial" SIZE="3"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT>
Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:3%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="1">The
iShares<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP> Diversified Alternatives Trust, or the Trust, is a Delaware statutory trust that issues Shares representing fractional undivided beneficial interests in its net
assets. The Trust seeks to maximize its absolute returns by investing in long and/or short positions in foreign-currency forward contracts and exchange-traded futures contracts selected by BlackRock Fund Advisors, the Trust&#146;s Advisor, following
investment strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more assets. See &#147;Business of the Trust&#151;Investment Objective;
Strategies.&#148; The objective of the Trust is to maximize absolute returns from investments with historically low correlation to traditional asset classes while seeking to control the risks and volatility inherent in futures and forward contracts
by taking long and short positions in historically correlated assets. </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:3%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="1">The Shares are listed for trading on NYSE Arca
under the symbol &#147;ALT.&#148; BlackRock Institutional Trust Company, N.A. is the Trustee of the Trust. The Trust is a commodity pool, as defined in the Commodity Exchange Act and the applicable regulations of the Commodity Futures Trading
Commission, and is operated by its Sponsor, iShares<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP> Delaware Trust Sponsor LLC, a commodity pool operator registered under the Commodity Exchange Act. The Trust is not
an investment company registered under the Investment Company Act. </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><B>Investing in the Shares involves significant risk. See &#147;<A HREF="#rom400638_2">Risk
 Factors</A>&#148; starting on page&nbsp;15. </B></FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;
</P><DIV STYLE="position:relative;float:left; margin-right:1%; width:48%;padding-right:9px;padding-bottom:8px;overflow:hidden;padding-top:3px">

<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="27"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="21" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Effective on the date of this prospectus, the maximum annualized portfolio return volatility targeted by the Advisor will increase from 8% to 10%. This more
aggressive approach may result in higher losses. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="27"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="21" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Prices of futures and forward contracts are volatile and even a small price movement may result in large losses. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="27"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="21" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">The Trust uses leveraged investment techniques in seeking to achieve its investment objectives. Leverage causes the value of the Shares to be more volatile than
if the Trust did not use leverage. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="27"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="21" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">The return on the Shares (if any) is not related to any index or other benchmark. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="27"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="21" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">The Trust has no mandatory holdings allocation requirements. Accordingly, at any given time, the Trust may be disproportionately exposed to one or more markets,
asset classes or contract counterparties. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;
</FONT></P></DIV><DIV STYLE="position:relative;float:right; width:48%;padding-right:9px;padding-bottom:8px;overflow:hidden;padding-top:3px">

<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="27"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="21" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">The Trust is subject to fees and expenses that are payable regardless of profitability. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="27"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="21" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">There may be conflicts of interest between you and the Sponsor, the Trustee, the Trust&#146;s Advisor and their affiliates. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="27"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="21" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Your losses may be exacerbated if there is no liquid market for the Shares at the time you want to sell them. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="27"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="21" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">You may lose all or substantially all of your investment in the Shares. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="27"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="21" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Neither the Advisor, nor any of the Advisor&#146;s principals, has been responsible for or has any experience as advisor to or manager of an active commodity
fund other than the Trust. </FONT></P></TD></TR></TABLE></DIV><div style="clear:both; height:0px; font-size:0px">&nbsp;</div>
 <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P> <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:3%"><FONT STYLE="font-family:arial" SIZE="1"><B>Neither the Securities and
Exchange Commission nor any state securities commission has approved or disapproved of the securities offered in this prospectus, or determined if this prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
</B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:3%"><FONT STYLE="font-family:arial" SIZE="1"><B>THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION
PASSED ON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.</B> </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:3%"><FONT STYLE="font-family:arial" SIZE="1">The Shares are not deposits or other obligations of BlackRock
Institutional Trust Company, N.A. or any of their subsidiaries or affiliates or any other bank, are not guaranteed by BlackRock Institutional Trust Company, N.A. or any of their subsidiaries or affiliates or any other bank and are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency. An investment in the Shares is speculative and involves a high degree of risk. </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center>
<P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:3%"><FONT STYLE="font-family:arial" SIZE="1">The Trust intends to offer
Shares on a continuous basis. The Trust issues and redeems Shares only in one or more blocks of 100,000 Shares called Baskets. These transactions take place only with certain broker-dealers with whom the Trust has entered into written arrangements
regarding the issuance and redemption of Shares (we refer to these broker-dealers as Authorized Participants), in each case in exchange for a consideration per Share equal to the net asset value per Share announced by the Trust on the first Business
Day (as defined herein) after the purchase or redemption order is received by the Trust. See &#147;Business of the Trust&#151;Computation of the Trust&#146;s Net Asset Value.&#148; Only institutions that enter into an agreement with the Trust to
become Authorized Participants may purchase or redeem Baskets. </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:3%"><FONT STYLE="font-family:arial" SIZE="1">On
[&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;], 2012, the Shares closed on NYSE Arca at $[&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;]. </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:3%"><FONT STYLE="font-family:arial" SIZE="1">The Authorized Participants may offer to the public, from time to time, Shares from any Baskets they purchase from the Trust. Shares offered to the
public by the Authorized Participants may be offered at a per-Share offering price that varies depending on, among other factors, the trading price of the Shares on NYSE Arca, the net asset value per Share and the supply of and demand for the Shares
at the time of the offer. Shares initially comprising the same Basket but offered to the public at different times may have different offering prices. The Authorized Participants will not receive from the Trust, the Sponsor or any of their
affiliates, any fee or other compensation in connection with their sale of Shares to the public; however, Authorized Participants may receive commissions or fees from investors who purchase Shares through their commission- or fee-based brokerage
accounts. </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center> <P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>The date of this prospectus is [&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;], 2012. </B></FONT></P>

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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>COMMODITY FUTURES TRADING COMMISSION </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>RISK DISCLOSURE STATEMENT </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><B>YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE
THAT COMMODITY INTEREST TRADING CAN QUICKLY LEAD TO LARGE LOSSES, AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS ON
REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE POOL. </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><B>FURTHER, COMMODITY POOLS MAY BE SUBJECT TO
SUBSTANTIAL CHARGES FOR MANAGEMENT, AND ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT
CONTAINS A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGES 14 AND 45 AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGE 14. </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><B>THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE,
BEFORE YOU DECIDE TO PARTICIPATE IN THIS COMMODITY POOL, YOU SHOULD CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT, AT PAGE 15. </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><B>YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE
UNITED STATES, INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO
COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED. </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2"><B>YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY ENGAGE IN OFF-EXCHANGE FOREIGN CURRENCY TRADING. SUCH TRADING IS NOT CONDUCTED IN THE INTERBANK MARKET. THE FUNDS THAT THE POOL USES FOR OFF-EXCHANGE FOREIGN
CURRENCY TRADING WILL NOT RECEIVE THE SAME PROTECTIONS AS FUNDS USED TO MARGIN OR GUARANTEE EXCHANGE-TRADED FUTURES AND OPTION CONTRACTS. IF THE POOL DEPOSITS SUCH FUNDS WITH A COUNTERPARTY AND THAT COUNTERPARTY BECOMES INSOLVENT, THE POOL&#146;S
CLAIM FOR AMOUNTS DEPOSITED OR PROFITS EARNED ON TRANSACTIONS WITH THE COUNTERPARTY MAY NOT BE TREATED AS A COMMODITY CUSTOMER CLAIM FOR PURPOSES OF SUBCHAPTER IV OF CHAPTER 7 OF THE BANKRUPTCY CODE AND THE REGULATIONS THEREUNDER. THE POOL MAY BE A
GENERAL CREDITOR AND ITS CLAIM MAY BE PAID, ALONG WITH THE CLAIMS OF OTHER GENERAL CREDITORS, FROM ANY MONIES STILL AVAILABLE AFTER PRIORITY CLAIMS ARE PAID. EVEN POOL FUNDS THAT THE COUNTERPARTY KEEPS SEPARATE FROM ITS OWN FUNDS MAY NOT BE SAFE
FROM THE CLAIMS OF PRIORITY AND OTHER GENERAL CREDITORS. </B></FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center>
<P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">iSHARES<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP>
</FONT> DIVERSIFIED ALTERNATIVES TRUST IS NOT A MUTUAL FUND OR ANY OTHER TYPE OF INVESTMENT COMPANY WITHIN THE MEANING OF THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, AND IS NOT SUBJECT TO REGULATION THEREUNDER. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">i </FONT></P>


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<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">AUTHORIZED PARTICIPANTS MAY BE REQUIRED TO DELIVER A PROSPECTUS WHEN SELLING TO THE PUBLIC SHARES
PURCHASED FROM THE TRUST. SEE &#147;PLAN OF DISTRIBUTION.&#148; </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center>
<P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><B>THE TRUST MAY
CONSTITUTE A COLLECTIVE INVESTMENT SCHEME AS DEFINED IN THE FINANCIAL SERVICES AND MARKETS ACT 2000 (THE &#147;FSMA&#148;). THE TRUST IS NOT AUTHORIZED OR OTHERWISE RECOGNIZED IN THE UNITED KINGDOM AND THEREFORE WOULD BE CHARACTERIZED AS AN
UNREGULATED COLLECTIVE INVESTMENT SCHEME FOR THE PURPOSES OF THE FSMA. AS SUCH, THE ISSUE AND DISTRIBUTION OF THIS PROSPECTUS IN THE UNITED KINGDOM IS RESTRICTED BY LAW. IN ADDITION, THIS PROSPECTUS HAS NOT BEEN APPROVED BY A PERSON AUTHORIZED TO
CARRY ON INVESTMENT BUSINESS IN THE UNITED KINGDOM (AN &#147;AUTHORIZED PERSON&#148;) FOR THE PURPOSES OF SECTION&nbsp;21(2)(B) OF THE FSMA. ACCORDINGLY, THIS PROSPECTUS CAN ONLY BE ISSUED OR DISTRIBUTED IN THE UNITED KINGDOM: (1)&nbsp;BY AN
AUTHORIZED PERSON IN CIRCUMSTANCES PERMITTED BY SECTION 235 OF THE FSMA AND RULES MADE THEREUNDER AND THE PROVISIONS OF THE FSMA (FINANCIAL PROMOTION OF COLLECTIVE INVESTMENT SCHEMES) (EXEMPTIONS) ORDER 2001 (AS AMENDED), OR BY A PERSON WHO IS NOT
AN AUTHORIZED PERSON, IN CIRCUMSTANCES PERMITTED BY THE FSMA (FINANCIAL PROMOTION) ORDER 2005 (AS AMENDED); AND (2)&nbsp;IN CIRCUMSTANCES WHERE THE ISSUANCE OR DISTRIBUTION OF THIS PROSPECTUS WOULD NOT CONSTITUTE OR OTHERWISE RESULT IN AN OFFER OF
TRANSFERABLE SECURITIES TO THE PUBLIC IN THE UNITED KINGDOM WITHIN THE MEANING OF PART VI OF THE FSMA. ANY OTHER DISTRIBUTION OF THIS PROSPECTUS IN OR INTO THE UNITED KINGDOM IS UNAUTHORIZED. ANY PERSON ISSUING OR DISTRIBUTING THIS PROSPECTUS OR ANY
PART OF IT MAY BE ACTING IN BREACH OF APPLICABLE LAW OR REGULATIONS AND ANY PERSONS RECEIVING THIS PROSPECTUS IN OR FROM THE UNITED KINGDOM IN CIRCUMSTANCES NOT FALLING WITHIN (1)&nbsp;OR (2)&nbsp;ABOVE MAY NOT RELY ON ITS CONTENTS. NO PART OF THIS
PROSPECTUS SHOULD THEREFORE BE PUBLISHED, DISTRIBUTED OR OTHERWISE MADE AVAILABLE WITH UNRESTRICTED ACCESS IN ANY FORM IN THE UNITED KINGDOM. </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2"><B>THE TRUST HAS NOT BEEN APPROVED BY THE SWISS FINANCIAL MARKET SUPERVISORY AUTHORITY (THE &#147;FINMA&#148;) AS A FOREIGN COLLECTIVE INVESTMENT SCHEME PURSUANT TO ARTICLE 120 OF THE SWISS COLLECTIVE INVESTMENT
SCHEME ACT OF JUNE 23, 2006 (THE &#147;CISA&#148;). ACCORDINGLY, THE SHARES MAY NOT BE PUBLICLY OFFERED IN OR FROM SWITZERLAND AND NEITHER THIS PROSPECTUS NOR ANY OTHER OFFERING MATERIALS RELATING TO THE TRUST AND/OR THE SHARES MAY BE MADE AVAILABLE
THROUGH A PUBLIC OFFERING IN OR FROM SWITZERLAND. THE SHARES MAY ONLY BE OFFERED AND THIS PROSPECTUS MAY ONLY BE DISTRIBUTED IN OR FROM SWITZERLAND TO QUALIFIED INVESTORS (AS DEFINED IN THE CISA AND ITS IMPLEMENTING REGULATIONS). </B></FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center> <P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:12px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>OTHER INFORMATION </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;iShares&#148; is a registered trademark of BlackRock Fund Advisors or its affiliates. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">ii </FONT></P>


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<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="toc"></A>TABLE OF CONTENTS </B></FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="94%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Page</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_1">PROSPECTUS SUMMARY</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_2">RISK FACTORS</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_3">FORWARD-LOOKING STATEMENTS</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_4">USE OF PROCEEDS</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">38</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_5">BUSINESS OF THE TRUST</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_6">SELECTED FINANCIAL DATA</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">47</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_7">SUPPLEMENTARY FINANCIAL INFORMATION</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_8">MANAGEMENT&#146;S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">51</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_9">DESCRIPTION OF THE SHARES AND THE TRUST AGREEMENT</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">64</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_10">THE SECURITIES DEPOSITORY; BOOK-ENTRY-ONLY SYSTEM; GLOBAL SECURITY</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">70</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_11">THE SPONSOR</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">71</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_12">THE TRUSTEE</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">75</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_13">THE DELAWARE TRUSTEE</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">75</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_14">THE ADVISOR</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">75</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_15">THE FUTURES COMMISSION MERCHANT</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">78</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_16">THE FOREIGN CURRENCY PRIME BROKER </A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_17">CONFLICTS OF INTEREST</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">82</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_18">CERTAIN PERFORMANCE DATA</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">86</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_19">U.S. FEDERAL INCOME TAX CONSEQUENCES</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">89</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_20">ERISA AND RELATED CONSIDERATIONS</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_21">PLAN OF DISTRIBUTION</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_22">LEGAL MATTERS</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_23">EXPERTS</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_24">WHERE YOU CAN FIND MORE INFORMATION</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_25">INDEX TO FINANCIAL STATEMENTS</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#rom400638_26">PART 2&#151;STATEMENT OF ADDITIONAL INFORMATION</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center> <P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">You should rely only on the information contained in this prospectus. None of the Sponsor, the Trustee, the Delaware Trustee or the Trust has
authorized any other person to provide you with different information. If anyone provides you with different or inconsistent information, you should not rely on it. None of the Sponsor, the Trustee, the Delaware Trustee or the Trust is making an
offer to sell the Shares in any jurisdiction where the offer or sale is not permitted. You should assume that the information appearing in this prospectus is accurate only as of the date on the front cover of this prospectus. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Certain defined terms used in this prospectus are set forth in the &#147;Glossary&#148; in the Statement of Additional Information attached hereto.
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">iii </FONT></P>


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<h5 align="left"><a href="#toc">Table of Contents</a></h5>


<div style ="BORDER-BOTTOM:1pt solid #000000;BORDER-LEFT:1pt solid #000000;BORDER-RIGHT:1pt solid #000000;BORDER-TOP:1pt solid #000000;MARGIN-LEFT:0px;MARGIN-RIGHT:0px;WIDTH:100%"><div style="width:97%; margin-top:1.5%; margin-left:1.5%; margin-right:-1.25%">

 <P STYLE="margin-top:24px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_1"></A>PROSPECTUS SUMMARY </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>This summary highlights some of the information contained in this prospectus. This summary does not contain all of the information you should
consider before investing in the Shares. You should carefully read this entire prospectus, including &#147;Risk Factors&#148; beginning on page&nbsp;15, before making a decision to invest in the Shares. Capitalized terms not defined in this section
have the meaning set forth in the Glossary beginning on page 2-4 of Part 2 of this prospectus. </I></FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Structure of the Trust </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">The
iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust, or the Trust, is a Delaware statutory trust. The Trust intends to continuously
issue and redeem Shares in transactions with Authorized Participants. Each Share represents a unit of fractional undivided beneficial interest in the net assets of the Trust. The assets of the Trust, called the Portfolio, consist of cash and
financial instruments that are used, as needed, to secure the Trust&#146;s trading obligations in respect of foreign-currency forward contracts and exchange-traded futures contracts selected by BlackRock Fund Advisors, the Trust&#146;s Advisor,
following investment strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more assets and seek to control the risks and volatility inherent in these
investments by taking long and short positions in historically correlated assets. See &#147;&#151;Investment Objective; Strategies.&#148; The term of the Trust is perpetual, unless it is dissolved under the circumstances described under
&#147;Description of the Shares and the Trust Agreement&#151;Amendment and Dissolution.&#148; The principal offices of the Trust are located at 400&nbsp;Howard Street, San Francisco, CA 94105, and the Trust&#146;s telephone number is
(415)&nbsp;670-2000. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">The Trust is a commodity pool as defined in the Commodity Exchange Act (the &#147;CEA&#148;)
and the regulations of the Commodity Futures Trading Commission (the &#147;CFTC&#148;). The Trust is operated by its Sponsor,
iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC, a limited liability company registered under the CEA as a commodity pool operator.
The sole member and manager of the Sponsor is BlackRock Asset Management International Inc., a Delaware corporation. BlackRock Institutional Trust Company, N.A. is the Trustee of the Trust. The Advisor, BlackRock Fund Advisors, is the commodity
trading advisor of the Trust and is registered under the CEA. The Trust is not an investment company registered under the Investment Company Act and is not required to register under that&nbsp;Act. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The material terms of the agreement governing the Trust are discussed in greater detail under &#147;Description of the Shares and the Trust
Agreement.&#148; </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Breakeven Point Per Unit of Initial Investment </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The estimated amount of all fees and expenses which are anticipated to be incurred by a new investor during the first twelve months is 1.07% of the per Share price of $50.65 as of August 31, 2012 (or expressed as a
dollar amount, $0.54 of the price of $50.65 per Share). Based on certain interest rate, expense and other assumptions, the estimated twelve-month breakeven point is 0.93% of the $50.65 per Share price as of August 31, 2012 (or expressed as a dollar
amount, $0.47 of the price of $50.65 per Share). See &#147;Breakeven Analysis&#148;. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Creations and Redemptions </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust issues Shares only in one or more blocks of 100,000 Shares (each, a &#147;Basket&#148;) in exchange for cash in an amount equal to the
Basket Amount announced by the Trust on the first Business Day after the purchase order is received by the Trust. The Trust redeems Shares only in Baskets in exchange for cash in an amount equal to the Basket Amount announced by the Trust on the
first Business Day after the redemption order is received by the Trust. The Trust does not redeem individual Shares or Baskets held by </FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">1 </FONT></P>


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parties who are not Authorized Participants. See &#147;Risk Factors&#151;Risk Relating to the Trust and Investment in the Shares&#151;Creation and redemption of Baskets may be delayed when one or
more of the exchanges where the Trust may need to trade, either to establish new positions or to liquidate existing ones, are scheduled to be closed, and may be subject to postponement, suspension or rejection under certain circumstances, all of
which may reduce the liquidity of the Shares.&#148; </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>The Sponsor </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor is iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC, a Delaware limited liability company. The Sponsor&#146;s primary business function in connection with the Trust is to direct the actions
of the Trustee in the management of the Trust and to act as commodity pool operator of the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor has
been registered under the CEA as a commodity pool operator and has been a member of the National Futures Association (the &#147;NFA&#148;) since June 2009. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Sponsor arranged for the creation of the Trust, the registration of the Shares for their public offering and the listing of the Shares on NYSE Arca. The Sponsor is obligated under the Trust Agreement to pay the
following administrative, operational and marketing expenses: (1)&nbsp;the fees of the Trustee, the Advisor, the Delaware Trustee, the Trust Administrator and the Processing Agent, (2)&nbsp;NYSE Arca listing fees, (3)&nbsp;printing and mailing
costs, (4)&nbsp;audit fees, (5)&nbsp;fees for registration of the Shares with the SEC, (6)&nbsp;tax reporting costs and (7)&nbsp;legal expenses up to $100,000 annually. In recognition of its paying these expenses, the Sponsor is entitled to an
allocation that accrues daily at an annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust and is payable by the Trust monthly in arrears. That allocation to the Sponsor is referred to in this prospectus as the
&#147;Sponsor&#146;s Fee.&#148; For a description of how the net asset value of the Trust is calculated, see &#147;Business of the Trust&#151;Computation of the Trust&#146;s Net Asset Value.&#148; </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor may remove the Trustee and appoint a successor Trustee if the Trustee ceases to meet certain objective requirements, or if, having
received written notice of a material breach of its obligations under the Trust Agreement, the Trustee has not cured the breach within 30 days. The Sponsor may also replace the Trustee during the 90 days following any merger, consolidation or
conversion in which the Trustee is not the surviving entity or, in its discretion, at any time following the first anniversary of the creation of the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The principal office of the Sponsor is located at 400 Howard Street, San Francisco, CA 94105, and its telephone number is (415)&nbsp;670-2000. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>The Advisor </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor is BlackRock Fund Advisors, a California corporation. The Advisor is
the commodity trading advisor for the Trust and has discretionary authority to make all determinations with respect to the Portfolio, subject to specified limitations. The Advisor has been registered as a commodity trading advisor under the CEA
since April&nbsp;5, 1993 and is a member of the NFA. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor and the Trust may each terminate the Advisory Agreement at any time
upon 30 days&#146; prior written notice. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>The Trustee </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trustee of the Trust is BlackRock Institutional Trust Company, N.A., a national banking association affiliated with the Sponsor. <I>The Shares are not deposits or other obligations of BlackRock Institutional
Trust</I> </FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

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<I>Company, N.A. or any of its subsidiaries or affiliates or any other bank, are not guaranteed by BlackRock Institutional Trust Company, N.A. or any of its subsidiaries or affiliates or any
other bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency. An investment in the Shares is speculative and involves a high degree of risk</I>. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>The Delaware Trustee </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Wilmington Trust
Company, a Delaware corporation with trust powers, is the Delaware Trustee of the Trust. The Delaware Trustee is not entitled to exercise any of the powers, and does not have any of the duties or responsibilities, of the Trustee. The Delaware
Trustee is a trustee of the Trust for the sole and limited purpose of fulfilling the requirements of the Delaware Statutory Trust Act. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>The Trust
Administrator and Certain Agents of the Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust has delegated the processing of creation and redemption orders of Baskets to
SEI Investments Distribution Co. (the &#147;Processing Agent&#148;). The Trust has also delegated the valuation of certain assets of the Trust for purposes of the daily calculation of the net asset value of the Trust and certain other administrative
responsibilities to State Street Bank&nbsp;and Trust Company (the &#147;Trust Administrator&#148;). Neither the Processing Agent nor the Trust Administrator is affiliated with the Sponsor or the Trustee. The Trust has also retained
PricewaterhouseCoopers LLP (the &#147;Tax Administrator&#148;) to provide tax accounting and tax reporting services for the Trust. The Trust may terminate the Processing Agent, the Trust Administrator or the Tax Administrator at any time or appoint
different agents to act on its behalf. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Investment Objective; Strategies </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The investment objective of the Trust is to maximize absolute returns from a portfolio of foreign currency forward contracts and exchange-traded futures contracts that may involve commodities, currencies, interest
rates and certain eligible stock or bond indices while seeking to control the risks and volatility inherent in those investments by taking long and short positions in historically correlated assets. The Trust also expects to earn interest on the
assets used to collateralize its trading positions. The return on assets in the Portfolio, if any, is not intended to track the performance of any index or other benchmark. There is no assurance that the Trust will achieve its investment objectives.
</FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Since the inception of the Trust, the Advisor set a range between 6% and 8% as its target for the annualized portfolio return volatility
of the Trust. Seeking to improve Trust returns, on the date of this prospectus the Advisor will increase the maximum portfolio return volatility to 10% per annum. This increase in volatility may result in higher losses. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Forward Contracts </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">A forward
contract is an agreement between two parties, one of which undertakes to purchase from or sell to the other, on a specified future date, a specified quantity of a specified asset at a specified location in exchange for a specified purchase price. At
the discretion of the Advisor, the Trust may enter into foreign currency forward contracts. See &#147;Business of the Trust&#151;Investment Objective; Strategies&#151;Forward Contracts.&#148; </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Futures Contracts </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Futures
contracts are standardized forward contracts traded on an exchange. At the discretion of the Advisor, the Trust may engage in trading activities with respect to futures contracts that may involve commodities, currencies, interest rates and certain
eligible stock or bond indices, as described elsewhere in this prospectus. See &#147;Business of the Trust&#151;Investment Objective; Strategies&#151;Futures Contracts.&#148; </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><I>Interest </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts are customarily bought and sold on margins that represent a very
small percentage (ranging upward from less than 2% to 5%) of the purchase price of the asset underlying the futures contract </FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">3 </FONT></P>


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being traded. Similarly the Trust may, from time to time, be required to satisfy collateral requirements set forth by its over-the-counter counterparties with respect to the Trust&#146;s forward
contracts trading obligations. Any interest paid on the Trust&#146;s cash positions, together with any interest paid on collateral deposited as margin, net of expenses, is generally reinvested. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Strategies </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor is
the commodity trading advisor for the Trust. The Advisor invests cash proceeds from the sales of Baskets in short term United States government securities and other financial instruments that, in compliance with the rules of the futures exchanges
and other markets where the Advisor trades on behalf of the Trust, are eligible to secure the Trust&#146;s trading obligations in respect of a portfolio of foreign-currency forward contracts and exchange-traded futures contracts selected by the
Advisor following strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more assets and seek to control the risks and volatility of these investments by
taking long and short positions in historically correlated assets. These strategies may include: </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Yield and Futures Curve Arbitrage Strategies</I> which seek to take advantage of interest rate and futures contract price differentials by simultaneously
entering into long and short positions in various bond futures contracts, interest rates futures contracts, commodity futures contracts and/or currency forward contracts that the Advisor determines to be mispriced relative to one another. The
Advisor may enter into long positions in contracts whose underlying assets are deemed relatively inexpensive and may enter into short positions on contracts whose underlying assets are deemed relatively expensive. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Technical Strategies</I> which, in general, seek to take advantage of a comparison between assets&#146; historical returns and their recent performance.
Technical strategies are based on the theory that past price history may be predictive of asset value, and so technical strategies may be used to capture returns arising from price changes over time. For example, if recent performance of an asset
exceeds historical performance, then a long &#147;momentum&#148; trade opportunity to buy may arise. If the historical performance of an asset exceeds recent performance, then a short &#147;reversal&#148; trade opportunity may arise. All technical
strategies are quantitative in nature and financial modeling is used for determining long and/or short positions in various asset types. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Fundamental Relative Value Strategies</I> which seek returns by attempting to identify instances where there are discrepancies between the market and
fundamental values of an asset and trading long or short positions in that asset. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">See &#147;Business of the
Trust&#151;Investment Objective; Strategies&#151;Investment Strategies&#148; and &#147;&#151;Portfolio Construction.&#148; </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Characteristics of an Investment in the Shares </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Shares are intended to constitute a relatively cost-effective means of achieving investment exposure to non-traditional asset classes. An investment in Shares is: </FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Listed</I>. Although there can be no assurance that an actively traded market in the Shares will exist at the time you wish to sell its Shares, the Shares are
listed for trading on NYSE Arca under the symbol &#147;ALT.&#148; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Relatively cost efficient</I>. Transactions in the asset classes that the Advisor, on behalf of the Trust, invests or trades in entail certain expenses.
Nonetheless, because the expenses involved in the Portfolio are dispersed among all Shareholders, an investment in the Shares may represent a </FONT></P></TD></TR></TABLE>
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 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">4 </FONT></P>


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<TD VALIGN="top"> <P><FONT STYLE="font-family:arial" SIZE="2">
cost-efficient alternative to investment positions in the same asset classes for investors not otherwise in a position to participate directly in the markets for physical commodities, foreign
currencies, interest rates, or futures, forwards or other over-the-counter derivative contracts involving those assets. See &#147;Business of the Trust&#151;Investment Objective; Strategies.&#148; </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Shares are eligible for margin accounts. </FONT></P> <P STYLE="font-size:16px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<P STYLE="margin-top:16px;margin-bottom:0px" ALIGN="center">


<IMG SRC="g410618g61c61.jpg" ALT="LOGO">
 </P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Risk Factors </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">An investment in the Shares is speculative and involves, among others, the following risks: </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Risks Relating to Regulatory Requirements </I></B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Changes to the regulatory regime applicable to futures contracts may have an adverse effect on the ability of the Trust to pursue its strategies and, therefore,
result in a decreasing value of the Shares. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
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<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Regulatory and exchange position limits may restrict the creation of Baskets and the operation of the Trust. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Changes in the margin requirements set by the relevant futures exchanges and over-the-counter market participants may limit the Trust&#146;s ability to meet its
investment objectives. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Risks Relating to Commodities Markets </I></B></FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The price of the Shares fluctuates as a result of fluctuations in the prices of any commodities underlying the futures contracts owned by the Trust. Commodity
prices may be volatile, thereby creating the potential for losses regardless of the length of time you intend to hold your Shares. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Historical performance of specific commodities or commodity indices is no guide to their future performance or to the performance of the Shares.
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Commodity futures trading may be illiquid. In addition, suspensions or disruptions of market trading in the commodities markets and related derivatives markets
may adversely affect the value of your Shares. </FONT></P></TD></TR></TABLE>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">5 </FONT></P>


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<h5 align="left"><a href="#toc">Table of Contents</a></h5>


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<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">During a period when commodity prices are fairly stationary, &#147;backwardation&#148; (a situation where the prices of futures contracts are higher for
contracts with shorter-term expirations than for contracts with longer-term expirations) or &#147;contango&#148; (a situation where the prices of futures contracts with longer-term expirations are higher than the prices of futures contracts with
shorter-term expirations) in the prices of the commodity-linked futures contracts held by the Trust may cause the price of your Shares to decrease. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>Risks Relating to Currency Markets </I></B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">As a multinational currency, the euro may experience greater price volatility due to the influence of multiple and uncoordinated political and fiscal regimes.
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">A country&#146;s decision to abandon the euro zone could have adverse consequences for the value of the Shares. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The price of the Shares fluctuates as a result of fluctuations in the exchange rates of currencies underlying any currency-linked futures or forward contracts
owned by the Trust. Exchange rates may be volatile, thereby creating the potential for losses regardless of the length of time you intend to hold your Shares. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Substantial transactions in a currency by any official sector market participant (such as central banks, other governmental agencies and/or other multi-lateral
institutions that buy, sell or hold currencies) could adversely affect an investment in the Shares. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">A country&#146;s decision to abandon its current currency and adopt a new one could have adverse consequences for the value of any positions related to the old
currency that the Trust may hold at the time. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Risks Relating to U.S. Government and Sovereign Debt Markets
</I></B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Investing in debt obligations of the U.S. government creates exposure to credit and interest rate risk. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Investing in futures and/or forward contracts linked to sovereign debt instruments creates exposure to the direct or indirect consequences of political, social
or economic changes in the countries in which the issuers are located and the creditworthiness of the sovereign. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Investing in futures and/or forward contracts linked to non-U.S. sovereign debt instruments creates exposure to the non-U.S. interest rate fluctuations.
</FONT></P></TD></TR></TABLE> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Risks Relating to Interest Rate Derivatives Markets </I></B></FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Investing in interest rate futures contracts creates exposure to interest rate fluctuations in one country as well as relative interest rate movements between
countries. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Risks Relating to Security Index Futures Markets </I></B></FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Investing in security index futures contracts creates exposure to the performance of the underlying index. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Risks Relating to Derivative Contracts </I></B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s use of leverage and/or short positions involves certain risks, including potentially high volatility and magnified losses in the underlying
assets, and should be considered to be speculative. </FONT></P></TD></TR></TABLE>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">6 </FONT></P>


<p Style='page-break-before:always'>
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<h5 align="left"><a href="#toc">Table of Contents</a></h5>


<div style ="BORDER-BOTTOM:1pt solid #000000;BORDER-LEFT:1pt solid #000000;BORDER-RIGHT:1pt solid #000000;BORDER-TOP:1pt solid #000000;MARGIN-LEFT:0px;MARGIN-RIGHT:0px;WIDTH:100%"><div style="width:97%; margin-top:1.5%; margin-left:1.5%; margin-right:-1.25%">


<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Trust is subject to credit risks and other risks associated with U.S. exchange-traded futures contracts. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Trading on futures exchanges outside the United States is not subject to U.S. regulation. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">When entering into foreign currency forward contracts, the Trust assumes the risk that its counterparties may become unable or unwilling to pay any amounts owed
to the Trust. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Advisor, on behalf of the Trust, trades in forward contracts that are not traded on regulated exchanges and, therefore, offer different or lower levels of
protections to investors. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Failure of the Clearing FCM to segregate assets or the insolvency of the Trust&#146;s prime broker may increase losses. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Risks Relating to the Advisor and its Trading Strategies </I></B></FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The lack of experience of the Advisor and its principals in actively managing an entity like the Trust and applying quantitative investment strategies similar to
those that are used in the selection of investments for the Trust may result in substantial trading losses for the Trust and, as a result, you could lose some or all of the value of your Shares. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Advisor makes decisions regarding investments for the Trust relying on quantitative models that may be defective or not adequate to analyze market conditions
at the time the investment decisions are made; as a result, the returns expected from those investments may not materialize. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The strategies used by the Advisor to identify investment opportunities for the Trust may fail to deliver the desired returns. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Relative value strategies used by the Advisor to identify investment opportunities for the Trust are subject to certain risks. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Various actual and potential conflicts of interest involving the Advisor may be detrimental to Shareholders. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Risks Relating to the Trust and Investment in the Shares </I></B></FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Trust is subject to the risks associated with being newly organized. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The lack of an active trading market for the Shares may result in losses on your investment at the time of disposition of your Shares.
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Shares of the Trust are new securities products and their value could decrease if unanticipated operational or trading problems arise.
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">You may not rely on past performance in deciding whether to buy the Shares. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Trust is subject to the costs and risks associated with being actively managed. These costs and risks may cause your investment in the Shares to result in
losses that you might have avoided if you had invested in products not exposed to those costs and risks. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The price you receive upon the sale of your Shares may be less than their NAV. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The NAV may not always correspond to the market price of the Shares and, as a result, Baskets may be created or redeemed at a value that differs from the market
price of the Shares. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">None of the Sponsor, the Advisor or the Trustee can assure you that it will continue in its respective role. If any of them was no longer to act in those roles,
the Trust and the value of the Shares may suffer. </FONT></P></TD></TR></TABLE>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">7 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


<div style ="BORDER-BOTTOM:1pt solid #000000;BORDER-LEFT:1pt solid #000000;BORDER-RIGHT:1pt solid #000000;BORDER-TOP:1pt solid #000000;MARGIN-LEFT:0px;MARGIN-RIGHT:0px;WIDTH:100%"><div style="width:97%; margin-top:1.5%; margin-left:1.5%; margin-right:-1.25%">


<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Trust may incur additional transactional costs because the Portfolio is actively managed, and actively managed portfolios may have higher turnover rates.
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Fees and expenses payable by the Trust are charged regardless of profitability and may result in a depletion of its assets. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">It is not expected that the Trust will make any periodic distributions or dividend payments to Shareholders. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Trust could be liquidated at a time when the disposition of its interests will result in losses to investors in the Shares. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor has broad discretion to liquidate the Trust at any time. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Shares may not provide anticipated benefits of diversification from other asset classes. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The liquidity of the Shares may be affected by the withdrawal from participation of Authorized Participants or by the suspension of issuance, transfers or
redemptions of Shares by the Trust. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Creation and redemption of Baskets may be delayed when one or more of the exchanges where the Trust may need to trade, either to establish new positions or to
liquidate existing ones, are scheduled to be closed, and may be subject to postponement, suspension or rejection under certain circumstances, all of which may reduce the liquidity of the Shares. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Competition from other commodities- and currencies-related investments could limit the market for, and reduce the liquidity of, the Shares.
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">As a Shareholder, you will not have the rights normally associated with ownership of common shares. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">As a Shareholder, you will not have the protections normally associated with the ownership of shares in an investment company registered under the Investment
Company Act. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Competing claims over ownership of relevant intellectual property rights could adversely affect the Trust or an investment in the Shares.
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The value of the Shares will be adversely affected if the Trust is required to indemnify the Sponsor or the Advisor or if the Sponsor is required to indemnify
the Trustee. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">NYSE Arca may halt trading in the Shares, which would adversely impact your ability to sell your Shares. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Risks Relating to Taxes </I></B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s classification as a publicly traded partnership not taxable as a corporation is not free from doubt, and if the Trust were to fail to qualify as
a partnership for U.S. federal income tax purposes, the Trust&#146;s income and items of deduction would not pass through to the Shareholders, the Trust would be required to pay tax at corporate rates on any portion of the Trust&#146;s net income
that does not constitute tax-exempt income, and distributions by the Trust to the Trust&#146;s Shareholders would be taxable as dividends to the extent of the Trust&#146;s earnings and profits. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Shareholders&#146; tax liability could exceed cash distributions on the Shares. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The IRS could adjust or reallocate items of income, gain, deduction, loss and credit with respect to the Shares if the IRS does not accept the assumptions or
conventions utilized by the Trust. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Shareholders could become subject to U.S. withholding tax beginning in 2014. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Conflicts of Interest </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">There may be conflicts of interest among the Shareholders and the
Sponsor, the Trustee and the Advisor (or their affiliates). These conflicts may arise because of the affiliation between each of the </FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">8 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


<div style ="BORDER-BOTTOM:1pt solid #000000;BORDER-LEFT:1pt solid #000000;BORDER-RIGHT:1pt solid #000000;BORDER-TOP:1pt solid #000000;MARGIN-LEFT:0px;MARGIN-RIGHT:0px;WIDTH:100%"><div style="width:97%; margin-top:1.5%; margin-left:1.5%; margin-right:-1.25%">

 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
Sponsor, the Advisor and the Trustee. Because of this affiliation, the Sponsor will have an incentive not to remove the Advisor or the Trustee. Conflicts may also result from the Sponsor&#146;s
authority to determine whether to make distributions to Shareholders. In addition, conflicts may arise in connection with trading activities for the proprietary accounts or customer accounts of the Sponsor, the Advisor or any of their affiliates or
other accounts under management in regard to position limits, timing of the taking of positions or other similar conflicts. Conflicts may also arise in connection with research reports published by the Sponsor or its affiliates with respect to
markets in which the Portfolio may participate. For more information regarding these potential conflicts of interest, see &#147;Conflicts of Interest&#148; beginning on page&nbsp;82. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Certain U.S. Tax Consequences </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust has received an opinion of Clifford Chance US LLP to
the effect that, although the matter is not free from doubt due to the lack of clear guidance and direct authority, the Trust will not be treated as an association or a publicly traded partnership taxable as a corporation for U.S. federal income tax
purposes. Accordingly, the Trust will not be a taxable entity for U.S. federal income tax purposes and will not incur U.S. federal income tax liability. Instead, you will be taxed as a beneficial owner of an interest in a partnership, which means
that you generally will be required to take into account your allocable share of the Trust&#146;s items of income, gain, loss, deduction, expense and credit in computing your U.S. federal income tax liability. </FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">9 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


<div style ="BORDER-BOTTOM:1pt solid #000000;BORDER-LEFT:1pt solid #000000;BORDER-RIGHT:1pt solid #000000;BORDER-TOP:1pt solid #000000;MARGIN-LEFT:0px;MARGIN-RIGHT:0px;WIDTH:100%"><div style="width:97%; margin-top:1.5%; margin-left:1.5%; margin-right:-1.25%">

 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>The Offering </B></FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Offering </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">The Shares represent units of fractional undivided beneficial interests in the net assets of the Trust. </FONT></TD></TR></TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Use of Proceeds </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">Proceeds received by the Trust from the issuance and sale of Baskets are invested by the Advisor in short-term United States government securities and other financial instruments that, in compliance with
the rules of the futures exchanges and other markets where the Advisor trades on behalf of the Trust, are eligible to secure the Trust&#146;s trading obligations in respect of a portfolio of foreign currency forward contracts and exchange-traded
futures contracts that may involve commodities, currencies, interest rates and certain eligible stock or bond indices, selected by the Advisor. See &#147;&#151;Portfolio&#148; below. </FONT></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">NYSE Arca Symbol </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">ALT </FONT></TD></TR></TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">CUSIP </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">464294107 </FONT></TD></TR></TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Creation and Redemption </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">The Trust intends to issue and redeem Baskets on a continuous basis. Baskets are issued and redeemed only in exchange for a consideration in cash equal to the Basket Amount announced by the Trust on the
first Business Day after the purchase or redemption order is received by the Trust. Baskets may be created and redeemed only by Authorized Participants, who pay the Trustee a transaction fee of $800 per creation or redemption. See &#147;&#151;Net
Asset Value&#148; below and &#147;Description of the Shares and the Trust Agreement&#151;Creation of Baskets&#148; and &#147;&#151;Redemption of Baskets.&#148; </FONT></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Authorized Participants </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">Baskets may be created and redeemed only by Authorized Participants. Each Authorized Participant must (1)&nbsp;be a registered broker-dealer and, if required in connection with its activities, a
registered futures commission merchant, (2)&nbsp;be a DTC Participant, and (3)&nbsp;have entered into an Authorized Participant Agreement with the Trust and the Sponsor. </FONT></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Suspension of Issuance, Transfers and Redemptions </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">The Trust may suspend the issuance of Baskets, registration of transfers of Shares and redemption of Baskets generally, or may refuse a particular purchase order, transfer or redemption order at any time,
if the Trustee or the Sponsor determines that it is advisable to do so for any reason. See &#147;Description of the Shares and the Trust Agreement&#151;Requirements for Trustee Actions.&#148; </FONT></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Portfolio </FONT></P></TD>
<TD> <P><FONT STYLE="font-family:arial" SIZE="2">The Advisor selects for the Portfolio foreign currency forward contracts and exchange-traded futures contracts that may involve commodities, currencies, interest rates and certain eligible stock or
bond indices with a view towards maximizing absolute returns </FONT></P></TD></TR></TABLE>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">10 </FONT></P>


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<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:0%"><FONT STYLE="font-family:arial" SIZE="2">
while seeking to control the volatility inherent in these types of investments. While the Advisor may select investments for the Portfolio following a variety of strategies that utilize
quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more assets, there are no mandatory holdings allocation requirements. Accordingly, at any given time, the Trust may be
disproportionately exposed to one or more asset classes or contract counterparties, including over-the-counter counterparties and clearing organizations. See &#147;Business of the Trust&#151;Investment Objective; Strategies.&#148;
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">The return on assets in the Portfolio, if any, is not intended to track the performance of any index or other benchmark. </FONT></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">While the Advisor has the authority to trade on behalf of the Trust at any time in its discretion, it is generally expected that such discretionary trading will not occur more than once a week. The Trust,
however, may need to trade more frequently in order to invest proceeds from the issuance of Baskets of Shares or raise funds to honor redemption requests. The Trust will post the composition of the Portfolio daily on its website at
<I>www.ishares.com.</I> </FONT></TD></TR></TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Margin Assets </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">The Trust deposits, from time to time, with the Clearing FCM or other licensed financial or commodities market participant any required margin in the form of cash or other eligible assets (depending on
the nature of the position being secured, customary practices in the relevant market and any applicable regulatory or counterparty requirements). Any interest paid on this collateral is part of the return on the Portfolio. </FONT></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Net Asset Value </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">On each Business Day, as soon as practicable after the close of regular trading of the Shares on NYSE Arca (normally 4:00&nbsp;P.M., New York City time), the Trustee must determine the net asset value of
the Trust, the net asset value per Share (the &#147;NAV&#148;) and the Basket Amount as of that date. </FONT></TD></TR></TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD> <P><FONT STYLE="font-family:arial" SIZE="2">On each day on which the Trustee must determine the net asset value of the Trust, the NAV and the Basket Amount, the Trust Administrator values all futures and forward trading positions and other
non-cash assets in the Portfolio and communicates that valuation to the Trustee for use by the Trustee in the determination of the Trust&#146;s net asset value. The Trustee subtracts the Trust&#146;s accrued fees (other than fees computed by
reference to the value of the Trust or its assets), expenses and other liabilities on that day from the value of the Trust&#146;s assets as of the close of trading on that day. The result is the Trust&#146;s &#147;Adjusted Net Asset Value.&#148;
Fees computed by reference to the value of the Trust or its assets (including the Sponsor&#146;s Fee) are calculated on the Adjusted Net Asset Value. The Trustee subtracts </FONT></P></TD></TR></TABLE>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">11 </FONT></P>


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<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:1px; margin-left:0%"><FONT STYLE="font-family:arial" SIZE="2">
the fees so calculated from the Adjusted Net Asset Value of the Trust to determine the Trust&#146;s net asset value. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">The Trustee determines the NAV by dividing the net asset value of the Trust on a given day by the number of Shares outstanding at the time the calculation is made. The Trustee
then determines the Basket Amount corresponding to that date by multiplying the NAV by the number of Shares in a Basket (<I>i.e.,</I> 100,000). </FONT></TD></TR></TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">The NAV for each Business Day is expected to be distributed through major market data vendors and published online at <I>www.ishares.com</I>, or any successor thereto. It is expected that the Trust will
update the NAV as soon as practicable after each subsequent NAV is calculated. See &#147;Business of the Trust&#151;Computation of the Trust&#146;s Net Asset Value.&#148; </FONT></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">You should note that while the NAV is updated on each Business Day, the NAV is calculated by reference to assets that trade on futures exchanges or other markets, including in non-U.S. jurisdictions.
Accordingly, the NAV may not always reflect the same-day valuation of assets that trade on markets in non-U.S. jurisdictions if one or more of those jurisdictions are not open for business on any given Business Day. </FONT></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Voting Rights </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">Except in limited circumstances, owners of Shares have no voting rights. See &#147;Description of the Shares and the Trust Agreement&#151;Voting Rights.&#148; </FONT></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Distributions </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">The Trust is not expected to make any distributions or pay any dividends to its Shareholders except (1) in connection with redemptions of Baskets, (2) as determined by the Sponsor in its absolute
discretion, and (3) in connection with the liquidation of the Trust. </FONT></TD></TR></TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Limitation of Liabilities </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">You cannot lose more than your investment in the Shares. Under Delaware law, Shareholders&#146; liability is limited to the same extent as the liability of stockholders of a for profit Delaware business
corporation. </FONT></TD></TR></TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Dissolution Events </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">The Trustee will dissolve the Trust if: </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">the Trustee is notified that the Shares are delisted from NYSE Arca and are not approved for listing on another national securities exchange within five Business
Days of their delisting; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">registered holders of at least 75% of the outstanding Shares notify the Trustee that they elect to dissolve the Trust; </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">sixty days have elapsed since the Trustee notified the Sponsor of the Trustee&#146;s election to resign, and a successor trustee has not been appointed and
accepted its appointment; </FONT></P></TD></TR></TABLE>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">12 </FONT></P>


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<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">the SEC (or its staff) or a court of competent jurisdiction determines that the Trust is an investment company under the Investment Company Act, and the Trustee
has actual knowledge of that determination; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">the Sponsor notifies the Trustee in writing that it has determined, in its discretion, that the dissolution of the Trust is advisable. The Sponsor may, for
example (but is not obligated to), decide to liquidate the Trust if, among other reasons, (1)&nbsp;legal, regulatory or market changes result, in the opinion of the Sponsor, in a decrease of investment opportunities available to the Trust in
compliance with its investment objective and strategies, (2)&nbsp;it becomes impossible or impractical to compute the net asset value of the Trust or to assess the accuracy of such valuations; or (3)&nbsp;the value of the Portfolio is below a level
such that continued operation of the Trust is not cost-efficient; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">the Trust is treated as an association taxable as a corporation for U.S. federal income tax purposes, and the Trustee receives notice from the Sponsor that the
Sponsor has determined that the dissolution of the Trust is advisable; or </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">DTC is unable or unwilling to continue to perform its functions, and a comparable replacement is unavailable. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">After dissolution of the Trust, the Trustee will deliver cash to the Shareholders upon surrender and cancellation of the Shares and, 90 days after dissolution, may sell any remaining Trust property and
hold any remaining cash, uninvested and in a non-interest bearing account, for the pro rata benefit of the Shareholders who have not surrendered their Shares for cancellation. See &#147;Description of the Shares and the Trust
Agreement&#151;Amendment and Dissolution.&#148; </FONT></TD></TR></TABLE> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR VALIGN="TOP">
<TD WIDTH="38%"> <P STYLE="margin-top:12px;margin-bottom:1px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Clearance and Settlement </FONT></P></TD>
<TD><FONT STYLE="font-family:arial" SIZE="2">The Shares are issued only in book-entry form. Transactions in Shares clear through the facilities of DTC. Investors may hold their Shares through DTC, if they are DTC Participants, or indirectly through
entities that are DTC Participants. </FONT></TD></TR></TABLE>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">13 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Breakeven Analysis </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The following table indicates the approximate dollar returns and percentages required for the value of an initial $50.65 investment in a Share to
equal the amount originally invested twelve months after issuance. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>The table, as presented, is only an approximation. The
capitalization of the Trust does not directly affect the level of the charges as a percentage of its net asset values, other than the Sponsor&#146;s Fee and brokerage commissions. </I></FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="86%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"><B>Expense<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT></B><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)<B></B></SUP><B><FONT STYLE="font-family:arial" SIZE="2"></FONT></B></FONT></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>&nbsp;&nbsp;%</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Transaction
Fee</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.02</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.04</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sponsor&#146;s
Fee</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.48</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.95</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Syndication and Filing Expenses</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.00</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Trust Operating
Expenses</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.00</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Commodity Trading Advisor Fee</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.00</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Brokerage Commissions and Fees</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.04</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.08</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest
Income</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.07</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.14</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">12-Month Break
Even</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(6)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.47</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.93</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">The foregoing breakeven analysis assumes that the Shares have a constant month-end net asset value. Calculations are based on $50.65 as the net asset value per
Share, which was the net asset value as of the close of business on August&nbsp;31, 2012. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Per share amounts assume the creation or redemption of one Basket (since the $800 fee is per transaction, creation or redemption in more than one-Basket
increments will result in a lower per-Share transaction fee). </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">From the Sponsor&#146;s Fee, the Sponsor is responsible for the ordinary and recurring expenses of the Trust, including the SEC registration fees, Trust
operating expenses and the commodity trading advisor fee. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Brokerage commissions and fees are an estimate based on historical commission and fee rates from August 2011 to August 2012. Annual brokerage commissions and
fees are estimated to be $49,000, based on net assets of $61,000,000. The actual amount of brokerage commissions and fees to be incurred will vary based upon the trading frequency of the Trust. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(5)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Interest income is currently estimated to be earned at an annual rate of 0.14%, which is based on the six-month U.S. Treasury rate as of August&nbsp;31, 2012.
</FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(6)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">You may pay customary brokerage commissions in connection with purchases of Shares. Because brokerage commission rates will vary from investor to investor, we
have not included brokerage commissions in the breakeven table. Investors should review the terms of their brokerage accounts for details on applicable charges. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:18px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Summary Financial Condition </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">As of the close of business on August&nbsp;31, 2012, the net asset value of the Trust was $60,775,802, and the NAV was $50.65. </FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P></div></div>

 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">14 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_2"></A>RISK FACTORS </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Investing in the Shares is speculative and involves a high degree of risk. You could lose all or a substantial portion of your investment in the
Shares. Before making an investment decision, you should carefully consider the risks described below, as well as the other information included in this prospectus. </I></FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Risks Relating to Regulatory Requirements </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Changes to the regulatory regime applicable to
futures contracts may have an adverse effect on the ability of the Trust to pursue its strategies and, therefore, result in a decreasing value of the Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The U.S. futures markets are subject to comprehensive regulation, not only by the CFTC but also by self-regulatory organizations, including the NFA and the exchanges on which the futures contracts are traded. As
with any regulated activity, changes in the regulations may have unexpected results. For example, changes in the amount or quality of the collateral that traders in futures contracts are required to provide to secure their open positions, or in the
limits on the number or size of positions that a trader may have open at a given time, may adversely affect the ability of the Trust to enter into certain transactions that could otherwise present lucrative opportunities. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">A number of bills have been introduced to the U.S. Congress in response to high energy and commodity prices. These bills generally target perceived
excessive speculation in commodities and commodity indices, including by institutional &#147;index funds,&#148; on regulated futures markets and in the over-the-counter derivatives markets. These bills include a broad range of measures intended to
limit speculation, including possible increases in the margin levels required for regulated futures contracts; imposing, or tightening existing speculative position limits applicable to regulated futures and over-the-counter derivatives positions;
providing the CFTC authority to establish certain speculative position limits; imposing aggregate speculative position limits across regulated U.S. futures, over-the-counter positions and certain futures contracts traded on non-U.S. exchanges;
eliminating or narrowing existing exemptions from speculative position limits; restricting the access of certain classes of investors to futures markets and over-the-counter derivatives markets; and imposing additional reporting requirements on
market participants, such as the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">While it is impossible to predict which measures will be adopted or precisely how they will
affect the value of your shares, any such measures could increase the costs of the Trust, result in significant direct limitations on the maximum permitted size of the Trust&#146;s futures positions and therefore on the size of the Trust or the
number or type of strategies available to the Trust; and could also affect liquidity in the market for the Shares and the correlation between the price of the Shares and the net asset value of the Trust. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Regulatory and exchange position limits may restrict the creation of Baskets and the operation of the Trust. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Prior to the adoption of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the &#147;Dodd-Frank Act&#148;), which was signed into law
on July 21, 2010, position limits with respect to most U.S. futures contracts have been set by U.S. commodities exchanges and boards of trade. The Dodd-Frank Act required the CFTC to establish federal position limits on futures and options contracts
in physical commodities (including energy) and on economically equivalent over-the-counter derivatives. As mandated by the Dodd-Frank Act, the CFTC has finalized regulations that impose federal position limits with respect to 28 physical delivery
commodity futures and options contracts traded across various exchanges as well as to swaps that are economically equivalent to such contracts and directed the U.S. commodities exchanges and boards of trade to adopt corresponding position limits in
futures, options and swaps not to exceed the limits adopted by the CFTC. The final rule significantly limits the availability of the bona fide hedging exemption to hedging of physical commodity positions or transactions and does not extend to
financial hedging or risk management. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">15 </FONT></P>


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<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition to the federal position limits established by the CFTC, many U.S. and foreign futures
exchanges impose &#147;speculative position limits&#148; or &#147;accountability levels&#148; on the maximum net long or short futures positions that any person may hold or control in contracts traded on such exchanges. Under the exchange rules and
CFTC regulations, all accounts owned or managed by commodity trading advisors, such as the Advisor, their principals and their affiliates would be combined for position limit purposes. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Many U.S. futures exchanges and boards of trade also limit the amount of fluctuation permitted in futures contract prices during a single trading
day by regulations referred to as &#147;daily price fluctuation limits&#148; or &#147;daily limits.&#148; Once the daily limit has been reached in a particular futures contract, no trades may be made that day at a price beyond that limit or trading
may be suspended for specified periods during the trading day. Futures contract prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially
subjecting the Trust to substantial losses. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In order to comply with the position limits established by the CFTC and the relevant
exchanges, the Advisor may in the future be required to reduce the size of outstanding positions, not enter into new positions that would otherwise be taken for the Trust or not trade certain markets on behalf of the Trust. Modification of trades
made by the Trust, if required, could adversely affect the Trust&#146;s operations and profitability and significantly limit the Trust&#146;s ability to reinvest income in additional contracts, create additional Baskets, or add to existing positions
in the desired amount. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, a violation of position limits by the Advisor could lead to regulatory action resulting in
mandatory liquidation of certain open positions held on behalf of the Advisor&#146;s accounts in order to ensure compliance with the position limits. There can be no assurance that the Advisor will liquidate positions held on behalf of all the
Advisor&#146;s accounts, including any proprietary accounts, in a proportionate manner or at prices favorable to the Trust. In the event the Advisor chooses to liquidate a disproportionate number of positions held on behalf of any of the Trust at
unfavorable prices, the Trust may incur substantial losses and the value of the Shares may be adversely affected. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Further, the CFTC has
proposed a new rule which would require each registered futures commission merchant, such as the Clearing FCM, to establish risk-based limits on position and order size. If the rule is adopted as proposed, the Trust&#146;s Clearing FCM may be
required to reduce its internal limits on the size of the positions it will execute or clear for the Trust, and the Trust may seek to use additional clearing FCMs, which may increase the costs of clearing for the Trust and adversely affect the value
of the Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust may apply to the CFTC or to the relevant exchange for relief from certain position limits. If the Trust
applies and is unable to obtain such relief, the Trust&#146;s ability to issue new Baskets, or the Trust&#146;s ability to reinvest income in additional futures contracts, may be limited to the extent these activities would cause the Trust to exceed
applicable position limits. Limiting the size of the Trust may affect the correlation between the price of the Shares, as traded on the applicable U.S. futures exchange, and the net asset value of the Trust. Accordingly, the inability to create
additional Baskets or add to existing positions in the desired amount could result in Shares trading at a premium or discount to NAV. See &#147;Risks Relating to the Trust and Investment in the Shares&#151;The NAV may not always correspond to the
market price and, as a result, Baskets may be created or redeemed at a value that differs from the market price of the Shares.&#148; </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Changes in the margin requirements set by the relevant futures exchanges and over-the-counter market participants may limit the Trust&#146;s
ability to meet its investment objectives. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust is required to deposit margin securing its exposure to one or more
positions in the Portfolio. Futures contracts are customarily bought and sold on margins that represent a very small percentage (ranging upward from less than 2% to 5%) of the purchase price of the contract being traded. The exchanges or futures
commission merchants, however, may raise the margin requirements at any time at </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">16 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
their own discretion, particularly during the periods of perceived market volatility, and the Trust may be required to deposit additional funds in order to satisfy the additional margin
requirements with respect to its open futures contract positions. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Commercial banks participating in trading over-the-counter derivative
contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many over-the-counter market participants in foreign
exchange trading have begun to require that their counterparties post margin. In addition, the Dodd-Frank Act subjects the Trust&#146;s foreign exchange derivatives trading to a retail foreign exchange regime promulgated by a relevant regulator of
the Trust&#146;s counterparty. Upon effectiveness of the new retail foreign exchange regulations applicable to the Trust, the Trust would be required to post margin in the amount required under the regulations (between 2% and 5% depending on a
currency pair). </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If any of the relevant futures exchanges or over-the-counter market participants imposes substantially higher margin
requirements or if margin requirements under the new retail foreign exchange regulations are substantially higher than those presently imposed by the Trust&#146;s counterparties, the Trust may be unable to either realize expected returns or to fully
implement its trading strategies as a result of substantially greater margin obligations. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Risk Relating to Commodities Markets </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The price of the Shares fluctuates as a result of fluctuations in the prices of any commodities underlying the futures contracts owned by the
Trust. Commodity prices may be volatile, thereby creating the potential for losses regardless of the length of time you intend to hold your Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The price of the Shares depends on the value of the investments in the Portfolio. To the extent that the Portfolio includes long or short positions in futures contracts the value of which is linked to the price of
an underlying commodity, the Trust, and therefore the Shares, are exposed to fluctuations in the price of one or more underlying commodities. The prices of certain physical commodities have been extremely volatile at times during the past several
years. Depending on the level and type of fluctuation of these commodities, and whether the Portfolio includes long or short positions with respect to those assets, the value of commodity futures contracts that may be held by the Trust, and
consequently the value of the Shares, may be adversely affected. Commodities prices are affected by, among other factors, the cost of producing, transporting and storing commodities, changes in consumer or commercial demand for commodities, the
hedging and trading strategies of producers and consumers of commodities, speculative trading in commodities by commodity pools and other market participants, disruptions in commodity supply, weather, political and other global events, global
macroeconomic factors, and government regulation of commodities or commodity futures markets. These factors cannot be controlled by the Trust, the Sponsor or the Advisor. Accordingly, the price of the Shares could change substantially and in a rapid
and unpredictable manner. This exposes you to a potential loss if you need to sell your Shares when the value of the commodity futures contracts held by the Trust is lower than it was when you made your investment. These fluctuations can affect your
investment regardless of the length of time you intend to hold your Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The following events would generally result in a decline in
the price of any underlying commodities represented in the Portfolio: </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>A significant increase in hedging activity by producers of the underlying commodities.</I> Should producers of the underlying commodities represented in the
Portfolio increase their hedging of their future production through forward sales or other short positions, this increased selling pressure could depress the price of one or more of the underlying commodities, which could adversely affect the price
of the Shares. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">17 </FONT></P>


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<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>A significant change in the attitude of speculators and investors toward the underlying commodities. </I>Should the speculative or investment community take a
negative view towards one or more of the underlying commodities, it could cause a decline in the value of commodity-linked derivative contracts held by the Trust, which could reduce the price of the Shares. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Conversely, several factors may trigger a temporary increase in the price of the underlying commodities. The price of a commodity underlying a
commodity-linked futures contract held by the Trust may be affected by several other factors, including: </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Large purchases or sales of physical commodities by the official sector.</I> Governments and large institutions have large commodities holdings or may
establish major commodities positions. For example, a significant portion of the aggregate world gold holdings is owned by governments, central banks and related institutions. Similarly, nations with centralized or nationalized oil production and
organizations such as OPEC control large physical quantities of crude oil. If one or more of these or similar institutions decides to buy or sell any commodity in amounts large enough to cause a change in world prices, the value of any trading
positions held by the Trust and the price of the Shares could be adversely affected. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Other political factors</I>. In addition to the organized political and institutional trading-related activities described above, peaceful political activity
such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection or war may greatly influence commodities prices. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Significant increases or decreases in the available supply of a physical commodity due to natural or technological factors</I>. Natural factors would include
depletion of known cost-effective sources for a commodity or the impact of severe weather on the ability to produce or distribute the commodity. Technological factors, such as increases in availability created by new or improved production,
extraction, refining and processing equipment and methods or decreases caused by failure or unavailability of major production, refining and processing equipment (for example, shutting down or constructing oil refineries), also materially influence
the supply of commodities. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Significant increases or decreases in the demand for a physical commodity due to natural or technological factors.</I> Natural factors would include such
events as unusual climate conditions impacting the demand for energy commodities. Technological factors may include such developments as substitutes for energy or other commodities. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Prospective investors in the Shares should also keep in mind that the change in the price of the Shares that follows a change in the price of a
commodity underlying futures contracts owned by the Trust will not always be in the same direction as the change in the price of that underlying commodity. Depending upon the nature of the Trust&#146;s position with respect to the underlying
commodity, it may be the case that a decrease in the price of the underlying commodity has a positive impact on the price of the Shares, or that an increase in the price of the underlying commodity has a negative impact on the price of the Shares.
The Trust&#146;s use of leverage has the potential to magnify the impact of fluctuations in the price of underlying commodities on the value of the Trust&#146;s assets. See &#147;Risks Relating to Derivative Contracts&#151;The Trust&#146;s use of
leverage and/or short positions involves certain risks, including potentially high volatility and magnified losses in the underlying assets, and should be considered to be speculative.&#148; </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Historical performance of specific commodities or commodity indices is no guide to their future performance or to the performance of the
Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">At any given time, the Trust may be exposed to changes in the prices of one or more commodities. Even at a time when the
prices of some or most commodities are increasing, it is possible for the price of the Shares to decrease as a result of lack of exposure to such commodities, mistaken anticipation by the Advisor of the direction in which the price of the commodity
would move or many other factors. Therefore, there are no external indicators of how the Shares will perform. Because the Trust does not track or seek </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">18 </FONT></P>


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to replicate any commodity index or other similar benchmark, the past performance of any commodity index is not necessarily indicative of the future performance of the Shares. You may lose some
or all of your investment in the Shares even during times when commodities indices are showing positive returns. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Commodity
futures trading may be illiquid. In addition, suspensions or disruptions of market trading in the commodities markets and related derivatives markets may adversely affect the value of your Shares. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The commodity, commodity futures and commodity derivatives markets are subject to temporary distortions or other disruptions due to various factors,
including the lack of liquidity, congestion, disorderly markets, limitations on deliverable supplies, the participation of speculators, government regulation and intervention, technical and operational or system failures, nuclear accident,
terrorism, riots and acts of God. In addition, forward contracts may entail breakage costs if terminated prior to their final maturity and futures positions cannot always be liquidated at the desired prices. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Further, U.S. futures exchanges and some foreign exchanges have regulations that limit position, size and/or the amount of fluctuation in futures
contract prices that may occur during a single business day. These limits are generally referred to as &#147;daily price fluctuation limits,&#148; and the maximum or minimum price of a contract on any given day as a result of these limits is
referred to as a &#147;limit price.&#148; Once the limit price has been reached in a particular contract, no trades may be made at a different price. It is not certain how long these price limits may remain in effect. Limit prices may have the
effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices, and possibly having a negative effect on the investment strategies of the Trust and/or the value of commodity-linked
futures contracts held by the Trust. These circumstances could thereby adversely affect the price of your Shares. In addition, these circumstances could limit trading in commodity-linked futures contracts, which could affect the investment
strategies of the Trust and/or the calculation of the NAV and the trading price of the Shares. Accordingly, these limits may result in an NAV that differs, and may differ significantly, from the NAV that would prevail in the absence of these limits.
If Baskets are created or redeemed at a time when these price limits are in effect, the creation or redemption price will reflect the price limits as well. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Furthermore, exchanges may take steps, such as requiring liquidation of open positions, in the case of disorderly markets, market congestion and other market disruptions. These actions could require the Trust to
limit or forego a desired investment strategy. This could adversely affect the NAV and the Trust&#146;s performance. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition,
during periods of reduced market liquidity or in the absence of readily available market quotations for a particular commodity-linked futures contract in the Portfolio, the ability of the Trust Administrator to assign an accurate daily value to
these investments may be diminished and the Trust Administrator may be required to value these investments at prices other than market prices. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>During a period when commodity prices are fairly stationary, &#147;backwardation&#148; or &#147;contango&#148; in the prices of the commodity-linked futures contracts held by the Trust may cause the price of
your Shares to decrease. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">As the futures contracts that are held by the Trust near expiration, the Trust may replace them with
contracts that have a later expiration. For example, a contract purchased and held in March may specify a June expiration. As that contract nears expiration, the Trust may replace it by selling the June contract and purchasing the contract expiring
in September. This process is referred to as &#147;rolling.&#148; Historically, the prices of some futures contracts (generally those relating to physical commodities that are typically consumed immediately rather than stored) have frequently been
higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as &#147;backwardation.&#148; In these circumstances, absent other factors, the sale of the June contract would take place at a
price that is higher than the price at which the Trust would have purchased the September contract, thereby allowing the Trust to purchase a greater quantity of the September contract. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">19 </FONT></P>


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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Some of the commodities underlying the commodity-linked futures contracts held by the Trust may
historically exhibit &#147;contango&#148; markets rather than backwardation. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term
storage of a physical commodity prior to delivery or other factors. In addition, the forward price of a commodity may fluctuate between backwardation and contango. In the case of a contango market, the purchase price of the underlying asset of the
futures contract being traded by a trader upon the sale of futures contracts about to expire will be higher than the amount realized in the sale. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The presence or absence of backwardation, or the existence or non-existence of contango in the commodity markets could result in losses, which could adversely affect the investment strategies of the Trust and/or
the value of the commodity-linked futures contracts held by the Trust and, accordingly, decrease the price of your Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Furthermore,
when the Trust rolls futures contracts close to their expiration into futures contracts expiring at a later date, it is possible that the Trust may incur significant costs in connection with the roll, whether due to actions of market participants or
otherwise. This adverse effect may be increased due to the actions of the market participants who are aware of the composition of the Trust&#146;s Portfolio, which is published daily on the Trust&#146;s website. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Risks Relating to Currency Markets </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>As
a multinational currency, the euro may experience greater price volatility due to the influence of multiple and uncoordinated political and fiscal regimes. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The euro is a multinational currency and its price may be affected by political, social, economic or financial events occurring in any of the seventeen euro zone countries. While the euro is the currency of a union
of these countries, the union is economic and not political. The lack of a single fiscal policy and a central economic authority coordinating the response to events that may adversely affect the price of the euro creates uncertainties that do not
exist in the case of a single-state currency. If the value of the euro is threatened by events or circumstances arising in localized areas of the euro zone and the euro zone members are not able to coordinate a successful response to such events,
the value of the euro may decline and you may sustain a loss on your investment in the Shares. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>A country&#146;s decision to
abandon the euro zone could have adverse consequences for the value of the Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In the wake of the financial difficulties
experienced by Greece, Ireland and Portugal there has been speculation about a possible breakup of the euro zone. If one or more nations decide to leave the euro zone, it is impossible to predict the effect of such a decision on the value of the
euro and any of the other foreign currencies in which the Portfolio holds positions at any time. Similarly, the departure of one of the stronger economies (Germany, for example) could have devastating consequences for the value of the euro and
adversely affect foreign currency positions in the Portfolio. Under these circumstances, the value of the Shares would decrease and you could sustain losses on your investment. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The price of the Shares fluctuates as a result of fluctuations in the exchange rates of currencies underlying any currency-linked futures or
forward contracts owned by the Trust. Exchange rates may be volatile, thereby creating the potential for losses regardless of the length of time you intend to hold your Shares. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The price of the Shares depends on the value of the investments in the Portfolio. To the extent that the Portfolio includes forward or other
derivative contracts linked to or affected by the price of a foreign currency, the Trust, and therefore the Shares, are exposed to fluctuations in the price of that foreign currency. The prices of various foreign currencies have been extremely
volatile at times during the past </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">20 </FONT></P>


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several years. Some foreign currency prices have recently experienced sharp fluctuations and there is no certainty that these prices will remain at their current levels. If they move in
directions that the Advisor does not anticipate, the investment strategies of the Trust and/or the value of the Shares may be adversely affected. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The value of the foreign currencies and, in turn, the currency-linked instruments held by the Trust, may be affected by several factors, including, but not limited to: </FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">debt level and trade deficit of the United States and/or the relevant non-U.S. countries; </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">inflation or deflation rates of the United States and the relevant non-U.S. countries and investors&#146; expectations concerning inflation or deflation rates
generally; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">interest rates of the United States and the relevant non-U.S. countries and investors&#146; expectations concerning interest rates generally;
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">investment and trading activities of mutual funds, hedge funds and currency funds; </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">global or regional political, economic or financial events and situations; and </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">sovereign action to set or restrict currency conversion. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">These factors cannot be controlled by the Trust, the Sponsor or the Advisor. Accordingly, the price of the Shares could change substantially and in a rapid and unpredictable manner. This exposes you to a potential
loss if you need to sell your Shares when the value of the currency-linked instruments held by the Trust is lower than it was when you made your investment. These fluctuations can affect your investment regardless of the length of time you intend to
hold your Shares. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Substantial transactions in a currency by any official sector market participant could adversely affect an
investment in the Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The official sector consists of central banks, other governmental agencies and/or other multi-lateral
institutions that buy, sell or hold foreign currencies as part of their reserve assets. The official sector holds a significant amount of foreign currencies that can be traded in the open market. In the event that future economic, political or
social conditions or pressures require members of the official sector to sell their currency simultaneously or in an uncoordinated manner, the demand for the currency might not be sufficient to accommodate the sudden increase in the supply of the
currency to the market. Consequently, the price of the currency could decline, which would adversely affect an investment in the Shares. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Conversely, unusual purchases of a currency by members of the official sector may have the effect of increasing the price of that currency which
could adversely affect the value of Trust investments linked to that currency and, consequently, the performance of the Shares. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>A
country&#146;s decision to abandon its current currency and adopt a new one could have adverse consequences for the value of any positions related to the old currency that the Trust may hold at the time. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">A country&#146;s decision to abandon its currency at a time when the Trust has investments in futures and/or forward contracts, the value of which
depends on the value of such currency, could have adverse effects for the value of the Trust&#146;s contracts and, therefore, for the Trust&#146;s investment strategy and/or the price of the Shares. For example, as members of the European Union, the
United Kingdom and Sweden have the option to adopt the euro as their currency in lieu of the British Pound&nbsp;Sterling and the Swedish Krona, respectively. Similarly, although Switzerland is not a member of the European Union, it may in the future
decide to join it. If Switzerland joins the European Union, it will have the option to adopt the euro as its currency in lieu of the Swiss Franc. If the United Kingdom, Sweden or Switzerland adopts the euro as its currency by official act, the value
of its currency could depreciate, depending on, among other things, the </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">21 </FONT></P>


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relative value of its currency and the euro, the conversion ratio of its currency per euro and the timing of the adoption of the euro. If the British Pound&nbsp;Sterling, the Swedish Krona or the
Swiss Franc declines in value at a time when the Trust has investments linked to that currency, the value of the currencies-linked derivative instruments held by the Trust and, in turn, the price of the Shares may be adversely affected. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Risks Relating to U.S. Government and Sovereign Debt Markets </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>Investing in debt obligations of the U.S. government creates exposure to credit and interest rate risk. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust may invest in U.S. government debt instruments, which are U.S. Treasury bills, notes and bonds of varying maturities that are backed by the full faith and credit of the United States government. The U.S.
government debt instruments in which the Trust invests may be subject to credit risk and interest rate risk. Credit risk refers to the possibility that the issuer of a security will be unable to make interest payments and/or repay the principal on
its debt. Interest rate risk refers to the fluctuations in the value of a fixed-income security resulting from fluctuations in the general level of interest rates. While the credit risk associated with U.S. government securities was, in the past,
generally considered to be minimal, the possibility of a default by the U.S. government on its debt obligations has lately been the subject of speculation as the U.S. congress has labored to raise the statutory limit on public indebtedness and to
address the budget deficit. Reflecting these concerns, both Moody&#146;s and Fitch have placed a &#147;negative outlook&#148; on their triple-A ratings of U.S. government securities, while Standard &amp; Poor&#146;s has downgraded the long-term
sovereign credit rating on the United States of America to &#147;AA&#043;&#148; but maintained the &#147;A-1&#043;&#148; short-term rating. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">In addition, the interest rate risk associated with U.S. government securities can be substantial, and such risks may vary unpredictably over time. U.S. government securities generally offer lower yields than other
fixed-income securities, making them more susceptible to changes in interest rates. Thus, a rise in the general level of interest rates may cause the value of the Portfolio&#146;s U.S. government securities or U.S. government securities-linked
derivative contracts to fall substantially. In addition, recent historically high deficit spending by the U.S. government has necessitated additional issuances of U.S. government securities which may result in a significant decline in yields. A
continuing rise in the level of the U.S. government deficit may lead to a further increase in the U.S. government borrowings and could be associated with an increase in the interest rates paid on U.S. government securities. Any such increase would
adversely affect the value of U.S. government securities held by the Trust and, therefore, the value of the Shares. In addition, the Trust may become exposed to a greater credit risk with respect to U.S. government securities, which may cause a
considerable decline in the value of the Portfolio. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Investing in futures and/or forward contracts linked to sovereign debt
instruments creates exposure to the direct or indirect consequences of political, social or economic changes in the countries in which the issuers are located and the creditworthiness of the sovereign. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust may trade in futures and forward contracts involving debt instruments issued or guaranteed by non-U.S. governments and their political
subdivisions (such instruments, &#147;sovereign debt&#148; instruments). An investment in sovereign debt instruments involves special risks and creates exposure to the direct and indirect consequences of political, social or economic changes in the
countries in which the issuing governments are located. The ability and willingness of the non-U.S. issuers of the sovereign debt or the non-U.S. governmental authorities that control repayment of their external debt to pay principal and interest on
that debt when due may vary unpredictably and may depend on general economic and political conditions within the relevant country. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The
non-U.S. issuer of the sovereign debt or the non-U.S. governmental authorities that control the repayment of the debt may be unable or unwilling to repay principal or interest when due, and the Trust may have limited recourse in the event of a
default. During periods of economic uncertainty, the market prices of non-U.S. sovereign debt instruments may be more volatile than prices of debt obligations of the </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">22 </FONT></P>


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U.S. government or other obligations. In the past, certain non-U.S. issuers of sovereign debt have encountered difficulties in servicing their debt obligations, withheld payments of principal and
interest and declared moratoria on the payment of principal and interest on their sovereign debt. In some cases, remedies must be pursued in the courts of the defaulting party itself, and the ability of the holder of sovereign debt instruments to
obtain recourse may be subject to the political climate in the relevant country and other unpredictable factors. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">While the Trust is not
directly exposed to these risks because it does not invest directly in sovereign debt instruments, the value and/or liquidity of the positions taken by the Trust that involve sovereign debt instruments may be adversely affected by the occurrence of
any of the events discussed above. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Investing in futures and/or forward contracts linked to non-U.S. sovereign debt instruments
creates exposure to non-U.S. interest rate fluctuations. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Interest rate movements directly affect the price of the sovereign
bond-related positions held by the Trust and indirectly the value of the Portfolio. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Trust&#146;s profitability. The
Trust&#146;s primary interest rate exposure is expected to be to interest rate fluctuations in the United States and other major industrialized, or Group of Seven countries (Canada, France, Germany, Italy, Japan, United Kingdom and United States,
collectively, &#147;G-7&#148;). However, the Trust also may take positions in futures contracts on the government debt of other nations. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Risks
Relating to Interest Rate Derivatives Markets </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Investing in interest rate futures contracts creates exposure to interest rate
fluctuations in one country as well as relative interest rate movements between countries. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Interest rate movements directly
affect the price of the interest rate futures positions held by the Trust and indirectly the value of its security index futures and currency forward positions. Interest rate movements in one country as well as relative interest rate movements
between countries materially impact the Trust&#146;s profitability. Because interest rates move up and down, interest rate futures contracts held by the Trust may trade at a premium some of the time and at a discount at other times. The Trust&#146;s
primary interest rate exposure is to interest rate fluctuations in the United States and other G-7 countries. However, the Trust may also take futures positions on the interest rates and currencies of other nations. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Risks Relating to Security Index Futures Markets </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>Investing in security index futures contracts creates exposure to the performance of the underlying index. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust may trade in certain stock or bond index futures that are designed to track the value of broader market indices (such as the Dow Jones Industrial Average, the NASDAQ 100 Index or the Barclays Aggregate
Bond Index). The value of the stock and bond index futures contracts and the underlying broader market index may vary due to disruptions in the markets for the relevant index assets, the imposition of speculative position limits (as discussed in
&#147;Risk Factors&#151;Risks Relating to Regulatory Requirements&#151;Regulatory and exchange position limits may restrict the creation of Baskets and the operation of the Trust.&#148;), or due to other extraordinary circumstances. Further, some or
a significant part of the securities (stocks or bonds) in the underlying index, may in turn be subject to specific risks that may affect the performance of the index and, consequently, the value of the Shares. In particular, to the extent that some
or a significant part of the securities (stocks or bonds) in the index are subject to risks associated with emerging markets (either because their issuers are from, or are located or have extensive operations in emerging market countries), the
performance of the index may be subject to the uncertainties that characterize an investment in an emerging market economy (such as political risks, lack of transparency, and different regulatory and legal systems). These risks may have an adverse
effect on the index and the price of the Shares. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">23 </FONT></P>


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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, stock index futures products are typically traded on electronic trading platforms and
are subject to risks related to system access, varying response time, security and system or component failure. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Risks Relating to Derivative
Contracts </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The Trust&#146;s use of leverage and/or short positions involves certain risks, including potentially high
volatility and magnified losses in the underlying assets, and should be considered to be speculative. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust uses leveraged
investment techniques in seeking to achieve its investment objectives. Leverage may cause the value of the Shares to be more volatile than if the Trust did not use leverage. The more the Trust invests in leveraged instruments, the more this leverage
will magnify any losses on those investments. In addition, derivatives contracts have a high degree of price variability and are subject to occasional rapid and substantial changes, which will be magnified by the leveraged positions of the Trust.
Certain types of leveraging transactions, such as short sales, could theoretically be subject to unlimited losses in cases where the Trust, for any reason, is unable to close out the transaction. Consequently, you could lose all or substantially all
of your investment in the Trust. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The Trust is subject to credit risks and other risks associated with U.S. exchange-traded
futures contracts. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust may trade in U.S. exchange-traded futures contracts as a means to achieve its investment
objectives. Futures exchanges in the United States are subject to regulation under the CEA by the CFTC, the governmental agency currently having responsibility for regulation of futures exchanges and trading on those exchanges. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The risks associated with the Trust&#146;s use of U.S. exchange-traded futures contracts include: </FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Due to market conditions there may not always be a liquid secondary market for a futures contract. As a result, the Trust may be unable to close out its futures
contracts at a desired price and at a time which is advantageous. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">Trading restrictions or limitations may be imposed by an exchange, and government regulations may restrict trading in futures contracts.
</FONT></P></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Further, the counterparty to a U.S. exchange-traded futures contract is generally a clearing organization backed by a
group of financial institutions. Each futures exchange in the United States has an associated &#147;clearing house.&#148; Once trades between members of an exchange have been confirmed, the clearing house becomes substituted for each buyer and each
seller of contracts traded on the exchange and, in effect, becomes the other party to each trader&#146;s open position in the market. Thereafter, each party to a trade looks only to the clearing house for performance. However, the obligations of the
clearing house with respect to any open positions do not run to customers. There can be no assurance that the clearing house, or its members, will satisfy its obligations to the Trust. In addition, in the event of a bankruptcy or insolvency of any
exchange or a clearing house, the Trust could experience a loss of the funds deposited through its U.S. futures commission merchant as margin with the exchange or clearing house, a loss of any profits on its open positions on the exchange, and the
loss of unrealized profits on its closed positions on the exchange. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, U.S. futures exchanges have rules that limit position,
size and/or the amount of fluctuation in futures contract prices that may occur during a single business day. These limits are generally referred to as &#147;daily price fluctuation limits,&#148; and the maximum or minimum price of a contract on any
given day as a result of these limits is referred to as a &#147;limit price.&#148; Once the limit price has been reached in a particular contract, no trades may be made at a different price. It is not certain how long any such price limits may
remain in effect. Limit prices may have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices, possibly having a negative effect on the
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">24 </FONT></P>


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investment strategies of the Trust and/or the value of the futures contracts held by the Trust. These circumstances could thereby adversely affect the price of your Shares. In addition, these
circumstances could also limit trading in futures contracts, which could affect the investment strategy of the Trust and/or the calculation of the NAV and the trading price of the Shares. Accordingly, these limits may result in an NAV that differs,
and may differ significantly, from the NAV that would prevail in the absence of these limits. If Baskets are created or redeemed at a time when these price limits are in effect, the creation or redemption price will reflect the price limits.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Furthermore, exchanges may take steps, such as requiring liquidation of open positions, in the case of disorderly markets, market
congestion or other market disruptions. These actions could require the Trust to limit or forego a desired investment strategy. This could adversely affect the NAV and the Trust&#146;s performance. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, during periods of reduced market liquidity or in the absence of readily available market quotations for particular futures contracts
in the Portfolio, the ability of the Trust Administrator to assign an accurate daily value to these investments may be diminished and the Trust Administrator may be required to value these investments at prices other than market prices. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Trading on futures exchanges outside the United States is not subject to U.S. regulation. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust may conduct trading on futures exchanges located outside of the United States. In that event, trading on those exchanges is not regulated
by any United States governmental agency and may involve certain risks not applicable to trading on United States exchanges, including different or diminished investor protections. In trading contracts denominated in currencies other than U.S.
dollars, Shares are subject to the risk of adverse exchange-rate movements between the dollar and the functional currencies of those contracts. You could incur substantial losses from trading on non-U.S. exchanges to which you would not otherwise
have been subject had the Trust&#146;s trading been limited to U.S. markets. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>When entering into foreign currency forward
contracts, the Trust assumes the risk that its counterparties may become unable or unwilling to pay any amounts owed to the Trust. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Certain foreign currencies markets in which the Trust effects its transactions are over-the-counter or &#147;interdealer&#148; markets. Unlike
exchange-traded futures contracts, the counterparty to an over-the-counter forward contract is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. Participants in
over-the-counter markets are typically not subject to the same credit evaluation and regulatory oversight as are members of &#147;exchange-based&#148; markets. To the extent that the Trust trades in over-the-counter transactions, the Trust may take
a credit risk with regard to parties with which it trades and also may bear the risk of settlement default. These risks may differ materially from those involved in exchange-traded futures transactions which generally are characterized by clearing
organization guaranties, daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Transactions entered into directly between two counterparties generally do not benefit from these
protections, which in turn may subject the Trust to the risk that a counterparty will not settle a transaction in accordance with agreed terms and conditions because of a dispute over the terms of the contract or because of a credit or liquidity
problem. This counterparty risk is increased for contracts with longer maturities when events may intervene to prevent settlement. The ability of the Trust to transact business with any one or any number of counterparties, the lack of any
independent evaluation of the counterparties or their financial capabilities, and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Trust. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Further, if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Trust may experience
significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Trust may obtain only limited recovery or may obtain no recovery in such circumstances. In addition, the Trust may enter into agreements with a
limited number of counterparties which </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">25 </FONT></P>


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may increase the Trust&#146;s exposure to counterparty credit risk. As evidenced by the upheaval of the credit markets leading to and following the 2008 bankruptcy of Lehman Brothers,
counterparty credit exposure may surge unexpectedly or as a result of events which may or may not relate to the credit standing of the counterparties to the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Over-the-counter derivatives contracts have terms that make them less marketable than futures contracts. They are less marketable because they are not traded on an exchange, do not have uniform terms and
conditions, and are entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The Advisor, on behalf of the Trust, trades in forward contracts that are not traded on regulated exchanges and, therefore, offer different
or lower levels of protections to investors. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">As a means to achieve its investment objectives, the Trust may from time to time
enter into forward contracts. These investment vehicles are typically traded on a principal-to-principal basis through dealer markets that are dominated by major money center and investment banks and other institutions and are subject to lesser
degrees of regulation or, in some cases, no substantive regulation. With respect to these contracts, the Trust and investors in the Shares do not receive the protections of the regulatory and statutory scheme of the CEA. The forward markets rely
upon the integrity of market participants in lieu of the additional regulation imposed by the exchanges or the CFTC on participants in the futures markets. The lack of regulation in these markets could expose investors to significant losses under
certain circumstances including in the event of trading abuses or financial failure by participants. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, the Trust may trade
in forward contracts traded on electronic trading facilities rather than in the over-the-counter market. Many electronic trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading
of contracts on these facilities and inclusion of these contracts in the Portfolio may be subject to risks not presented by most exchange-traded futures contracts, including risks related to the liquidity and price histories of the relevant
contracts. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Failure of the Clearing FCM to segregate assets or the insolvency of the Trust&#146;s prime broker may increase
losses. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The CEA requires a futures commission merchant, such as the Clearing FCM, to segregate all funds received from customers
with respect to any orders for the purchase or sale of U.S. domestic futures contracts from its proprietary assets. Similarly, the CEA requires each futures commission merchant to hold in a separate secure account all funds received from customers
with respect to any orders for the purchase or sale of foreign futures contracts and segregate any such funds from the funds received with respect to domestic futures contracts. However, all funds and other property received by the Clearing FCM from
its customers are held by the Clearing FCM on a commingled basis in an omnibus account and may be freely accessed by the Clearing FCM, which may also invest any such funds in certain instruments permitted under the applicable regulation. There is a
risk that assets deposited by the Trust with the Clearing FCM as margin for the purchase of domestic or foreign futures contracts may, in certain circumstances, be used to satisfy losses of other clients of the Clearing FCM. In addition, the assets
of the Trust might not be fully protected in the event of the Clearing FCM&#146;s bankruptcy, as the Trust would be limited to recovering only a pro rata share of all available funds segregated on behalf of the Clearing FCM&#146;s combined domestic
customer accounts. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Similarly, the CEA requires a clearing organization approved by the CFTC as a derivatives clearing organization to
segregate all funds and other property received from a clearing member&#146;s clients in connection with domestic futures and options contracts from any funds held at the clearing organization to support the clearing member&#146;s proprietary
trading. Nevertheless, all customer funds held at a clearing </FONT></P>
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organization in connection with any futures or options contracts are held in a commingled omnibus account and are not identified to the name of the clearing member&#146;s individual customers.
With respect to futures and options contracts, a clearing organization may use assets of a non-defaulting customer held in an omnibus account at the clearing organization to satisfy payment obligations of a defaulting customer of the clearing member
to the clearing organization. As a result, in the event of a default or the Clearing FCM&#146;s other clients or the Clearing FCM&#146;s failure to extend own funds in connection with any such default, the Trust would not be able to recover the full
amount of assets deposited by the Clearing FCM on behalf of the Trust with the clearing organization. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, the Trust will
depend on the services of one or more prime brokers to carry out certain foreign currency forward transactions. At any time, a substantial portion, or all, of the Trust&#146;s cash and securities may be held as collateral by the prime broker against
margin obligations or deposited with the prime broker for safekeeping. Unlike futures commission merchants, prime brokers are not required to segregate all funds received from customers from prime broker&#146;s proprietary assets. In addition, the
prime brokerage agreements permit the prime broker to pledge or otherwise hypothecate the Trust&#146;s investment securities subject to certain limitations. As such, in the event of the insolvency of a prime broker, the Trust might not be able to
recover equivalent assets in full as the Trust may rank among the prime broker&#146;s unsecured creditors in relation to assets which the prime broker owns, borrows, lends or otherwise uses. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Risks Relating to the Advisor and its Trading Strategies </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The lack of experience of the
Advisor and its principals in actively managing an entity like the Trust and applying quantitative investment strategies similar to those that are used in the selection of investments for the Trust may result in substantial trading losses for the
Trust and, as a result, you could lose some or all of the value of your Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">Although the Advisor has
been registered under the CEA as a commodity trading advisor since April 5, 1993, before the inception of the Trust, it had never been responsible for an actively managed commodity pool other than the Trust. To date, the Advisor&#146;s only
experience as a commodity trading advisor to a registered commodity pool other than the Trust has been as advisor to the
iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> S&amp;P GSCI<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#153;</SUP></FONT> Commodity-Indexed Investment Pool LLC, a company that seeks to track the performance of the iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> S&amp;P GSCI<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#153;</SUP></FONT> Total Return Index by
investing in one specified futures contract the performance of which is intended to correspond to changes in such index. When directing investments for the iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> S&amp;P GSCI<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#153;</SUP></FONT> Commodity-Indexed
Investment Pool LLC, the Advisor does not exercise the type of discretion, or apply the types of strategies that are necessary for the success of the investments in the Trust&#146;s Portfolio; to the contrary, its responsibilities are limited to
directing the acquisition of a single futures contract on the same terms that are available to any other investor purchasing the same futures contract at the same time. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">In contrast, with respect to the Trust, the Advisor does not have the same limited role; as explained elsewhere in this prospectus, the Advisor is responsible for the application of quantitative methodologies in
connection with the selection of investments for the Trust and for all determinations regarding which Trust positions are held to maturity and which positions are liquidated early (either in response to market conditions or in order to meet the
liquidity needs of the Trust). </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, Reza Estilaei and Russ Koesterich, the individuals that are primarily responsible for
Portfolio management decisions with respect to the Trust, have never managed an investment vehicle other than the Trust or applied strategies similar to those used by the Trust. Accordingly, they may not be relied upon to compensate for the
Advisor&#146;s institutional lack of experience with investment vehicles like the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">To the extent that the Advisor&#146;s, and the
Advisor&#146;s principals&#146;, lack of prior experience in the application of the methodologies used by the Trust and the making of investment decisions similar to those required to generate Trust profits, produce losses to the Trust, the value of
your Shares will be adversely affected and you will sustain a loss in your investment in the Shares. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">27 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The Advisor makes decisions regarding investments for the Trust relying on quantitative models
that may be defective or not adequate to analyze market conditions at the time the investment decisions are made; as a result, the returns expected from those investments may not materialize. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor identifies and evaluates potential investment opportunities for the Trust using proprietary analytical and business models that have
been built and are updated on the basis of historical data collected or derived from several sources that track the performance of different variables across markets deemed relevant to its investment decisions by the Advisor. In the process of
building these models, the Advisor has relied and will rely on assumptions that the Advisor deems reasonable under the circumstances. Although the Advisor is expected to take reasonable care to ensure the reliability of the sources used, the
accuracy of the information derived from such sources and the reasonableness of its assumptions, the possibility for error remains. In addition, even in circumstances in which the sources are reliable, the information is accurate and the assumptions
are reasonable, it is possible for a model to fail to perform as expected in the face of new market conditions, changing economic or regulatory environments or other unanticipated circumstances not built into the model. Investors in the Shares
should be aware that, if the models used by the Advisor in its investment decisions prove to be defective or become inadequate in light of the circumstances prevailing at the time they are used in connection with investment decisions for the Trust,
the returns anticipated by the Advisor may fail to materialize, substantial losses may occur and as a result the price of the Shares could be adversely affected. Consequently, you could lose all or substantially all of your investment in the Trust.
</FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The strategies used by the Advisor to identify investment opportunities for the Trust may fail to deliver the desired returns.
</I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor utilizes specialized investment strategies, follows allocation methodologies, applies investment models and
assumptions, and enters into other strategies intended, among other things, to affect the Trust&#146;s performance while targeting risk levels. There can be no assurance that the Advisor will succeed in achieving any goal related to these practices.
The Advisor may be unable or may choose in its judgment not to seek to achieve these goals. Consequently, you could lose all or substantially all of your investment in the Trust. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Relative value strategies used by the Advisor to identify investment opportunities for the Trust are subject to certain risks.
</I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor utilizes, among others, relative value trading strategies which are composed of positions in contracts relating to
two or more assets the prices of which are expected to either converge or diverge and, in theory, mitigate the absolute price risk associated with taking an outright, unhedged position in respect of a single asset, and may be based upon historical
price relationships and intended to neutralize the adverse (and positive) price effects of macro-economic events and trends. However, relative value strategies are subject to certain risks. The success of the Advisor&#146;s trading activities
depends, among other things, on the Advisor&#146;s ability to identify unjustified or temporary discrepancies between the fundamental value and the market price of an asset or between the market prices of two or more assets whose prices are expected
to move in relation to each other and to exploit those discrepancies to derive a profit to the extent that the Advisor is able to anticipate in which direction the relative values or prices will move to eliminate the identified discrepancy. For
example, a relative value strategy may fail to profit fully or at all or may suffer a loss or a greater loss due to a failure of the component contract prices to converge or diverge as anticipated. This may occur with respect to prices relating to
all or only certain contract maturities and may result from an unanticipated backwardation or contango of contract prices or other reversal of historic or expected relationships. See &#147;&#151;Risk Factors Relating to Commodity Markets&#151;During
a period when commodity prices are fairly stationary, &#147;backwardation&#148; or &#147;contango&#148; in the prices of the commodity-linked futures contracts held by the Trust may cause the price of your Shares to decrease.&#148; </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">28 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Identification and exploitation of the investment opportunities to be pursued by the Advisor involve a
high degree of uncertainty. If what the Advisor perceives as an unjustified or temporary price or value discrepancy posing an investment opportunity is nothing more than a price differential due to reasons not likely to disappear within the time
horizon of an investment made by the Trust, if the Advisor fails to anticipate the direction in which the relative prices or values will move to eliminate a discrepancy, or if the Advisor has incorrectly evaluated the extent of the expected spread
relationships, so that, for example, the value of the Trust&#146;s long positions appreciates at a slower rate than the value of the Trust&#146;s short positions in related assets, then the expected returns for the Trust will not materialize, and
the Trust may sustain a loss that will adversely affect the price of the Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The discrepancies that the Advisor seeks to identify
and turn into profit opportunities for the Trust may arise due to a variety of circumstances. Some may be due to uneven flows of information to the relevant markets, with the market for one asset reflecting the impact of specified items of
information before or after the same information has an impact on the market for a related asset. Others may be the result of regulatory or legal restrictions applicable to one type of asset, but not to a functionally equivalent asset (which occurs,
for example, when regulated financial institutions are prohibited from investing in a particular type of asset, but are free to take, via derivative arrangements, positions that leave them exposed to the performance of the same asset). A reduction
in the volatility and market inefficiencies that create the opportunities in which the Advisor may seek to invest, as well as other market factors, will reduce the scope for the Advisor&#146;s investment strategies, limit the Trust&#146;s
opportunities for profit and adversely affect the price of the Shares. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Various actual and potential conflicts of interest
involving the Advisor may be detrimental to Shareholders. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust is subject to actual and potential conflicts of interest
involving the Sponsor, the Trustee and the Advisor. The relationships existing among the Advisor, the Trustee and the Sponsor are described under &#147;Conflicts of Interest&#148;. Because of these relationships, the Sponsor may have a disincentive
to replace the Trustee or the Advisor, regardless of their performance. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">A conflict of interest may also arise where the Advisor finds
that futures positions established for the benefit of the Trust, when aggregated with the Advisor&#146;s positions in other accounts of the Advisor (or the proprietary or other positions of its principals or affiliates), approach or exceed the
position limits set by the CFTC or the relevant futures exchange in a particular asset. All futures contracts managed by the Advisor and its affiliates in respect of a particular futures contract may be combined for position limit purposes. It is
possible that the Advisor will approach or reach position limits and, if so, will have a conflict of interest among the various accounts it manages as to which accounts are allocated the limited contracts available. The Trust may be forced to forego
certain opportunities as a result of those limitations. In addition, if in the opinion of the CFTC or other regulating body, exchange or board of trade the Advisor (or its principals or affiliates) exceed position limits, the Advisor may be forced
to liquidate certain positions in order to comply with the aggregate applicable position limit requirements. In liquidating positions held on behalf of its accounts, however, the Advisor may choose not to liquidate positions held on behalf of the
Trust in proportion to other accounts under its management. The result to the Trust would be a reduction in the potential for profit and/or potentially substantial losses should the exit of positions be at unfavorable prices by virtue of position
limits. See &#147;Conflicts of Interest.&#148; </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, the Sponsor and the Advisor may, from time to time, have conflicting
demands in respect of their obligations to the Trust and, in the future, to other commodity pools and accounts. The Advisor may be effecting trades for its own accounts and for others (including other commodity pools in competition with the Trust)
on a discretionary basis. It is possible that positions taken by the Advisor for other accounts may be taken ahead of or opposite positions taken on behalf of the Trust. In addition, the Advisor and certain of its affiliates may currently or in the
future offer products or pursue investment strategies that </FONT></P>
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may utilize or include some or all of the strategies and/or exposures targeted by the Trust, or which may compete or conflict with the Trust&#146;s activities. Further, a conflict of interest may
also arise where the Advisor receives an incentive-based fee in lieu of, or in addition to, an asset-based fee for its advisory services in respect of certain accounts, other than the Trust, and may choose to devote greater resources and allocate
more investment opportunities to those accounts. In the event the Sponsor or the Advisor trades for its own account, neither of them would make those trading records available for inspection. The result to the Trust would be, among others, a
reduction in the potential for profit should the entry of positions be at unfavorable prices by virtue of entry of other trades in front of the Trust&#146;s trades. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Sponsor has not established any formal procedure to resolve conflicts of interest. Consequently, investors are dependent on the good faith of the respective parties subject to such conflicts to resolve them
equitably. Although the Sponsor attempts to monitor these conflicts, it is extremely difficult, if not impossible, for the Sponsor to ensure that these conflicts do not, in fact, result in adverse consequences to the Shareholders. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Risks Relating to the Trust and Investment in the Shares </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>The Trust is subject to the risks associated with being newly organized. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust is
newly organized. The success of the Trust will depend on a number of conditions that are beyond its control. These conditions include the level of acceptance by the investor community of an investment vehicle such as the Trust, which has not been
offered to retail investors before, the Trust&#146;s ability to raise sufficient funds to be able to efficiently engage in derivatives trading and the Advisor&#146;s ability to identify profitable trading opportunities for the Trust. There is a
substantial risk that the investment objectives of the Trust will not be met. Neither the Sponsor nor the Advisor has been responsible for an actively managed, publicly offered commodity fund other than the Trust. If the experience of the Sponsor
and the Advisor and their principals is not adequate or suitable to manage investment vehicles such as the Trust, the operations of the Trust may be adversely affected. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>The lack of an active trading market for the Shares may result in losses on your investment at the time of disposition of your Shares. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Although the Shares are listed for trading on NYSE Arca, there can be no guarantee that an active trading market for the Shares will develop or be
maintained. If you need to sell your Shares at a time when no active market for them exists, the price you receive for your Shares, assuming that you are able to sell them, will likely be lower than that you would receive if an active market did
exist. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The Shares of the Trust are new securities products and their value could decrease if unanticipated operational or trading
problems arise. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The mechanisms and procedures governing the creation, redemption and offering of the Shares have been developed
specifically for these securities products. Consequently, there may be unanticipated problems or issues with respect to the mechanics of the operations of the Trust and the trading of the Shares that could have a material adverse effect on an
investment in the Shares. In addition, because the Trust is actively managed, to the extent that unanticipated operational or trading problems or issues arise, the Sponsor&#146;s or the Advisor&#146;s past experience and qualifications may not be
suitable for solving these problems or issues. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>You may not rely on past performance in deciding whether to buy the Shares.
</I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust commenced trading on November 16, 2009; consequently, there is no meaningful performance history you can use to
evaluate your investment in the Trust. Although past performance is not necessarily indicative of future results, if the Trust had a meaningful performance history, that history might provide you with more information on which to evaluate an
investment in the Trust. In addition, given the Advisor&#146;s decision to increase the maximum targeted annualized volatility of the Trust&#146;s portfolio from 8% to 10% as of the date of this prospectus, the limited performance history developed
by the Trust since its inception may be even less relevant to a decision to invest in the Shares. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">30 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The Trust is subject to the costs and risks associated with being actively managed. These costs
and risks may cause your investment in the Shares to result in losses that you might have avoided if you had invested in products not exposed to those costs and risks. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">There is limited market history for actively-managed exchange-traded funds, and it is not known how well the Trust will perform in the marketplace. Until a few years ago, most exchange-traded funds, including
exchange- traded commodity funds, have attempted to replicate or track an index. There is no index that the Trust attempts to replicate or track. Instead, the Advisor has discretion to select the Trust&#146;s investments, and the ability of the
Trust to meet its investment objectives is directly related to the Advisor&#146;s portfolio allocation of the Trust&#146;s assets. The Advisor&#146;s judgments, based on its investment strategy, about the attractiveness and potential appreciation of
the particular investments in which the Trust invests may prove to be incorrect and the value of your Shares may be adversely affected. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The price you receive upon the sale of your Shares may be less than their NAV. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Shares may trade at, above or below their NAV. The NAV fluctuates with changes in the market value of the Trust&#146;s assets. The trading prices of
Shares are expected to fluctuate in accordance with changes in the NAV, intraday changes in the value of the investment portfolio held by the Trust and market supply and demand. The amount of the discount or premium in the trading price of the
Shares relative to their NAV may be influenced by non-concurrent trading hours between NYSE Arca, on which the Shares trade, and markets for the instruments, or the assets underlying the instruments, held by the Trust. While the Shares trade on NYSE
Arca until 4:00&nbsp;P.M., New York City time, liquidity in the markets for the derivative instruments, or the assets underlying the instruments, held by the Trust and trading on certain other exchanges or trading facilities during different time
frames may be reduced after the close of the principal markets for those instruments or underlying assets. Consequently, liquidity in the instruments held by the Trust may be reduced at the close of trading at the applicable underlying market. As a
result, trading spreads, and the resulting premium or discount on Shares, may widen during the time when NYSE Arca is open and certain other applicable markets are closed. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>The NAV may not always correspond to the market price of the Shares and, as a result, Baskets may be created or redeemed at a value that differs from the market price of the Shares. </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The NAV of the Shares of the Trust changes as fluctuations occur in the market value of its Portfolio. You should be aware that the public trading
price of a number of Shares of the Trust otherwise amounting to a Basket may be different from the NAV of an actual Basket (<I>i.e.</I>, 100,000 individual Shares may trade at a premium over, or a discount to, net asset value of a Basket) and
similarly the public trading price per Share of the Trust may be different from the NAV per Share of the Trust. Consequently, an Authorized Participant may be able to create or redeem a Basket at a discount or a premium to the public trading price
per Share of the Trust. This price difference may be due, in large part, to the fact that supply and demand forces at work in the secondary trading market for Shares of the Trust are closely related, but not identical, to the same forces influencing
the price of an underlying commodity at any point in time. You also should note that the size of the Trust in terms of total assets and positions held may change substantially over time and from time to time as Baskets are created and redeemed.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Authorized Participants or their clients or customers may have an opportunity to realize a profit if they can purchase a Basket at a
discount to the public trading price of the Shares or can redeem a Basket at a premium over the public trading price of the Shares of the Trust. To the extent that Authorized Participants and their clients and customers may be able to exploit such
arbitrage opportunities, the public trading price of the Shares should track the NAV over time. Market participants that are not Authorized Participants may not be able to exploit any such arbitrage opportunity to the same degree, if at all.
</FONT></P> <P><FONT SIZE="1">&nbsp;</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">31 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>None of the Sponsor, the Advisor or the Trustee can assure you that it will continue in its
respective role. If any of them was no longer to act in those roles, the Trust and the value of the Shares may suffer. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">None of
the Sponsor, the Advisor or the Trustee can assure you that it will be willing or able to continue to service the Trust for any length of time. If any of them discontinues its activities on behalf of the Trust, the Trust may be adversely affected.
For example, following the resignation of the Sponsor, the Advisor or the Trustee, the Trust may not be able to secure the services of a substitute sponsor, advisor or trustee on terms as favorable (including in respect of compensation) as those in
effect with the departing party, or on any terms at all. If the Trust is unable to secure the services of a new sponsor, advisor or trustee, it may be forced to terminate its activities at a time that is disadvantageous for its Shareholders. If the
Sponsor&#146;s or the Advisor&#146;s registrations under the CEA or memberships in the NFA were revoked or suspended, they would no longer be able to provide services to the Trust. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The Trust may incur additional transactional costs because the Portfolio is actively managed, and actively managed portfolios may have higher
turnover rates. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust may engage in investment activity without regard to the effect on portfolio turnover. Portfolio
turnover refers to the rate at which the instruments held by the Trust are replaced. The higher the rate, the higher the transactional and brokerage costs associated with the turnover, which may adversely affect the Trust&#146;s net asset value and,
in turn, the value of your Shares. Historically, the Trust&#146;s annual turnover rate has ranged between 486% (for the calendar year ended December&nbsp;31, 2011) and 583% (for the calendar year ended December&nbsp;31, 2010). In connection with the
increase in maximum targeted annualized volatility of the Trust effective as of the date of this prospectus, the Trust&#146;s expected annual turnover rate&#146;s range has been increased to 300% to 800%, although it may vary and be considerably
higher under certain market conditions or due to other factors including the term of a relevant futures contract. Transaction costs incurred by the Trust include commissions, futures exchange, futures regulatory and futures clearing fees,
transaction fees of the prime broker and other fees or costs associated with trading. These costs have been estimated in the break-even table that appears on page 14. Actively managed portfolios (like the Trust) may have higher transaction costs or
fees than products that are passive, or products that do not transact based on events and factors that influence market prices. For example, an active manager may trade more often during periods of high market volatility in an attempt to take
advantage of price movements. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Several variables, and expectations or announcements related to such variables, may lead to increased
trading by the trust, which in turn increases transaction costs. These variables potentially include changes in interest rates, changes in supply and demand for the futures or currencies traded by the Trust, and macro economic factors, such as
economic performance, inflation and growth. More frequent reallocation of investments across the Trust&#146;s strategies also may increase both Portfolio turnover and transaction costs for the Trust. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Fees and expenses payable by the Trust are charged regardless of profitability and may result in a depletion of its assets.
</I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust is subject to the fees and expenses described in this prospectus, which are payable irrespective of profitability.
These fees and expenses include an allocation to the Sponsor (known as the &#147;Sponsor&#146;s Fee&#148;) that accrues daily at an annualized rate equal to 0.95% of the adjusted net asset value of the Trust and is payable by the Trust monthly in
arrears. Additional charges may apply to the Trust. The Trust is expected to earn interest income. If interest income falls below the amount required to cover the Trust&#146;s fees and expenses, the Trust needs to have positive performance in order
to break even net of fees and expenses. Consequently, depending upon the interest rate environments, the expenses of the Trust could, over time, result in losses to your investment therein. You may never achieve any gains, significant or otherwise,
on your investment in the Shares. See &#147;Business of the Trust&#151;Trust Expenses.&#148; </FONT></P>
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 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>It is not expected that the Trust will make any periodic distributions or dividend payments to
its Shareholders. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Other than in connection with the redemption of Baskets or with the liquidation of the Trust, or as determined
by the Sponsor in its absolute discretion, it is not expected that the Trust will make any distributions or pay any dividends to its Shareholders. Consequently, any gain from an investment in the Shares would result from an increase in the price of
the Shares realized upon the sale of Shares by the Shareholder. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The Trust could be liquidated at a time when the disposition of
its interests will result in losses to investors in the Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Under certain circumstances, the Trustee or the Shareholders
could dissolve the Trust. For a description of how a dissolution would occur, see &#147;Description of the Shares and the Trust Agreement&#151;Amendment and Dissolution.&#148; Upon dissolution, the Trust would liquidate its holdings and use the
proceeds to pay all expenses of liquidation and any outstanding liabilities. Any remaining cash will be distributed among investors surrendering Shares. Any assets of the Trust remaining in the possession of the Trustee after 90 days may be sold by
the Trustee and the proceeds held uninvested and in a non-interest bearing account until claimed by any remaining Shareholders. Sales of derivative investment instruments in connection with the liquidation of the Trust at a time of low prices will
likely result in losses, or adversely affect your gains, on your investment in the Shares. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The Sponsor has broad discretion to
liquidate the Trust at any time. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust Agreement provides the Sponsor with broad discretion to liquidate the Trust at any
time the Sponsor determines that liquidation is advisable. It cannot be predicted when or under what circumstances, if any, the Sponsor would exercise its discretion to liquidate the Trust. A liquidation could cause you to suffer a loss on your
investment in the Shares. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The Shares may not provide anticipated benefits of diversification from other asset classes.
</I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Generally, the performance of physical commodity or currency markets has not been correlated with the performance of financial
asset classes, such as stocks and bonds. Non-correlation means that there is no statistically significant relationship, positive or negative, between the past performance of derivative contracts on physical commodities or currencies on the one hand,
and stocks or bonds on the other hand. Because of this lack of correlation, the Shares cannot be expected to be profitable during unfavorable periods for the stock or bond market, or vice-versa. The commodity and currency markets are fundamentally
different from the securities markets in that for every gain in commodity or currency derivatives trading, there is an equal and offsetting loss. If the performance of the Shares reflects positive or negative correlation to one or more financial
asset classes, however, investing in Shares for purposes of diversification of the investment risk from such other financial asset classes may be unsuccessful. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>The liquidity of the Shares may be affected by the withdrawal from participation of Authorized Participants or by the suspension of issuance, transfers or redemptions of Shares by the Trust.
</I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If one or more Authorized Participants withdraw from participation, creating or redeeming Baskets may become more difficult,
which may reduce the liquidity of the Shares. If creating or redeeming Baskets becomes more difficult, the correlation between the price of the Shares and the NAV may be affected, which may adversely affect the trading market for the Shares. Having
fewer participants in the market for the Shares could also adversely affect the ability to arbitrage any price difference between the derivative instruments held by the Trust and the Shares, which may affect the trading market and liquidity of the
Shares. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">33 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, the Trust may, at any time, suspend the delivery of Shares, the registration of transfers
of the Shares, or the surrender of the Shares for the purpose of withdrawing Trust property generally, or refuse a particular deposit, transfer or withdrawal if it determines that it is advisable for any reason. If any of these events were to occur,
the liquidity of the Shares may be adversely affected. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Creation and redemption of Baskets may be delayed when one or more of the
exchanges where the Trust may need to trade, either to establish new positions or to liquidate existing ones, are scheduled to be closed, and may be subject to postponement, suspension or rejection under certain circumstances, all of which may
reduce the liquidity of the Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Generally, upon the receipt of a request for the creation of one or more Baskets, the Trust
has to establish one or more new positions for its Portfolio. Similarly, upon the receipt of a request for the redemption of one or more Baskets, the Trust usually has to liquidate one or more of its existing positions to raise the funds required to
pay the amounts due to the redeeming Authorized Participant in respect of that redemption. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Because creation and redemption orders can
be placed at any time before 4:00 p.m. (New York time), it is possible that, by the time a creation or redemption order is received by the Trust, one or more of the futures exchanges on which the Trust would need to trade to establish new or to
liquidate one or more existing positions may be closed or about to close and that the Trust may need to wait until the following trading day. For this reason, if a creation or redemption order is communicated to the Trust on a Business Day that
precedes two consecutive days when there is no scheduled trading session in one or more of the futures exchanges that the Trust may need to trade on to establish new or liquidate existing positions, that creation or redemption order is not
considered &#147;received&#148; by the Trust (and, therefore, the time to deliver the Shares or to pay the redemption price to the Authorized Participant placing the order does not begin to run) until the first Eligible Business Day thereafter. This
may result in the Trust settling creation or redemption orders later than an Authorized Participant might have expected, and this delay may reduce the liquidity of the Shares. The Portfolio is expected to hold numerous futures contracts from time to
time, potentially including those that trade on the following exchanges: Chicago Board of Trade, Chicago Mercantile Exchange, Commodity Exchange, Inc., Eurex, Hong Kong Futures Exchange, ICE Futures US Softs, Intercontinental Exchange, Kansas City
Board of Trade, Korea Exchange, London Metal Exchange, Meff Renta Variable (Madrid), Montreal Exchange, New York Mercantile Exchange, NYSE LIFFE&#151;Amsterdam, NYSE LIFFE&#151;London, NYSE LIFFE&#151;Paris, NASDAQ OMX Nordic Exchange, Optivas
Market Sweden, Singapore Exchange, South Africa Futures Exchange, Sydney Futures Exchange, Tokyo Financial Exchange, and Tokyo Stock Exchange. These exchanges&#146; holiday schedules should therefore limit the ability to create and redeem Shares.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust may suspend the creation or redemption of Baskets for as long as it considers necessary for any reason. In addition, the
Trust has the absolute right to reject any creation or redemption order, including (1)&nbsp;orders not in proper form, (2) orders received during any period in which circumstances make transactions in, or delivery of, Shares or any of the futures or
forward contracts in the Trust&#146;s portfolio impossible or impractical, and (3) if the acceptance of the creation or redemption order would, in the opinion of counsel to the Trust, result in a violation of law. See &#147;Description of the Shares
and the Trust Agreement&#151;Creation of Baskets&#148; and &#147;&#151;Redemption of Baskets.&#148; </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Any such postponement, suspension
or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely affect the value of the redemption proceeds if the NAV declines during the period of the delay or may make the creation of Baskets
more expensive if the NAV increases during the delay. Under each Authorized Participant Agreement, the Trust has disclaimed any liability that may result from any suspension, postponement or rejection. </FONT></P>
<P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
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 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Competition from other commodities- and currencies-related investments could limit the market
for, and reduce the liquidity of, the Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Demand for the Shares may be affected by the attractiveness of an investment in
the Shares relative to other investment vehicles, including other commodity or currency pools, hedge funds, traditional debt and equity securities issued by companies in the commodities or currencies industry, other securities backed by or linked to
commodities or currencies and direct investments in commodities or currencies or commodity or currency derivative contracts. Market, financial and other conditions or factors may make it more attractive to invest or trade in other investment
vehicles or to invest in such commodities or currencies directly, which could limit the market for, and reduce the liquidity of, the Shares. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>As a Shareholder, you will not have the rights normally associated with ownership of common shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Shareholders are not entitled to the same rights as owners of shares issued by a corporation. By acquiring Shares, you are not acquiring the right to elect directors, to receive dividends, to vote on certain
matters regarding the Trust or to take other actions normally associated with the ownership of common shares. You will have only the limited rights described under &#147;Description of the Shares and the Trust Agreement.&#148; </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>As a Shareholder, you will not have the protections normally associated with the ownership of shares in an investment company registered
under the Investment Company Act. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">The Trust is not registered as an investment company for purposes of
United States federal securities laws, and is not subject to regulation by the SEC as an investment company. Consequently, Shareholders do not have the regulatory protections provided to investors in investment companies registered under the
Investment Company Act. For example, the provisions of the Investment Company Act that limit leverage and transactions with affiliates, prohibit the suspension of redemptions (except under limited circumstances) and limit sales loads do not apply to
the Trust. While iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC, as the Sponsor, is registered under the CEA as a commodity pool
operator, and BlackRock Fund Advisors, as the Advisor, is registered under the CEA as a commodity trading advisor, the nature and degree of the regulation to which they are subject differ from the regulatory scheme imposed under the Investment
Company Act. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Competing claims over ownership of relevant intellectual property rights could adversely affect the Trust or an
investment in the Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">While the Sponsor and the Advisor believe that they have all the intellectual property rights needed
to operate the Trust and make investments for the Portfolio in the manner described in this prospectus, third parties may allege or assert ownership of intellectual property rights that may be related to the design, structure and operation of the
Trust or to the computer models, processes or methodologies used by the Advisor for the selection of assets for the Portfolio. To the extent any claims of such ownership are brought or any proceedings are instituted to assert such claims, the
negotiation, litigation or settlement of such claims, the issuance of any restraining orders or injunctions, or the ultimate disposition of such claims in a court of law, may adversely affect the Trust and the value of the Shares. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The value of the Shares will be adversely affected if the Trust is required to indemnify the Sponsor or the Advisor or if the Sponsor is
required to indemnify the Trustee. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Under the Trust Agreement, the Sponsor has the right to be indemnified by the Trust for any
liability or expense the Sponsor incurs without negligence, bad faith or willful misconduct on its part and the Trustee, in turn, has the right to be indemnified by the Sponsor for any losses it incurs that are not the result of the Trustee&#146;s
negligence, bad faith or material breach of the Trust Agreement. Similarly, under the Advisory Agreement the Advisor is entitled to indemnification from the Trust in certain events. That means that the assets of the Trust may have to be sold in
order to cover losses or liability suffered by the Sponsor or the Advisor for which the Trust is responsible, which would reduce the net asset value of the Trust and the value of the Shares. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">35 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>NYSE Arca may halt trading in the Shares, which would adversely impact your ability to sell your
Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Shares are listed for trading on NYSE Arca under the symbol ALT. Trading in the Shares may be halted due to market
conditions or, in light of NYSE Arca rules and procedures, for reasons that, in the view of NYSE Arca, make trading in the Shares inadvisable, or in the event certain information about the value of the Shares and the NAV is not made available as
required by NYSE Arca. In addition, trading generally on NYSE Arca is subject to trading halts caused by extraordinary market volatility pursuant to &#147;circuit breaker&#148; rules that require trading to be halted for a specified period based on
a specified market decline. There can be no assurance that the requirements necessary to maintain the listing of the Shares will continue to be met or will remain unchanged. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Risks Relating to Taxes </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Please refer to &#147;U.S. Federal Income Tax Consequences&#148; for
information on the potential U.S. federal income tax consequences of the purchase, ownership and disposition of the Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The
Trust&#146;s classification as a publicly traded partnership not taxable as a corporation is not free from doubt, and if the Trust were to fail to qualify as a partnership for U.S. federal income tax purposes, the Trust&#146;s income and items of
deduction would not pass through to the Shareholders, the Trust would be required to pay tax at corporate rates on any portion of the Trust&#146;s net income that does not constitute tax-exempt income, and distributions by the Trust to the
Trust&#146;s Shareholders would be taxable dividends to the extent of the Trust&#146;s earnings and profits. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">It is expected that
the Trust will operate and be classified as a partnership for U.S. federal income tax purposes. So long as the Trust qualifies as a partnership, it will be able to pass through its income, including the Trust&#146;s federally tax-exempt income, and
deductions to the Shareholders. The Trust&#146;s qualification as a partnership for U.S. federal income tax purposes involves the application of numerous technical provisions under which there is a lack of direct authority. In general, if a
partnership is &#147;publicly traded&#148; (as defined in the Internal Revenue Code, the &#147;Code&#148;) it will be treated as a corporation for U.S. federal income tax purposes. It is expected that the Trust will be treated as a publicly traded
partnership. A publicly traded partnership will, however, be taxed as a partnership, and not as a corporation for U.S. federal income tax purposes, so long as 90% or more of its gross income for each taxable year constitutes &#147;qualifying
income&#148; within the meaning of Section&nbsp;7704(d) of the Code and the partnership is not required to register under the Investment Company Act. This exception is referred to as the &#147;qualifying income exception.&#148; Qualifying income
generally includes interest (other than certain contingent interest), gains from futures and/or forward contracts derived from investing in foreign currencies and income from certain commodities transactions. In addition, qualifying income generally
also includes income from a notional principal contract (such as a credit default swap) if the income from the reference obligation would be qualifying income. In determining whether interest is treated as qualifying income for purposes of these
rules, interest income derived from a &#147;financial business&#148; and income and gains derived by a &#147;dealer&#148; in securities are not treated as qualifying income. The Trust takes the position that for purposes of determining whether the
Trust is engaged in a financial business, portfolio investing activities that the Trust engages in do not and will not cause the Trust to be engaged in a financial business or to be considered a &#147;dealer&#148; in securities. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If less than 90% of the Trust&#146;s gross income constitutes qualifying income, for any reason, other than a failure that is determined to be
inadvertent and that is cured within a reasonable time after discovery, or if the Trust is required to register under the Investment Company Act, the Trust&#146;s items of income and deduction would not pass through to the Trust&#146;s Shareholders
and the Trust&#146;s Shareholders would be treated for U.S. federal income tax purposes as stockholders in a corporation. The Trust would be required to pay income tax at corporate rates on any portion of its net income that did not constitute
tax-exempt income. Distributions by the Trust to its Shareholders would constitute dividend income taxable to such </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">36 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
holders to the extent of the Trust&#146;s earnings and profits and the payment of these distributions would not be deductible by the Trust. These consequences would have a material adverse effect
on the Trust its Shareholders and the value of the Shares. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Shareholders&#146; tax liability could exceed cash distributions on
the Shares. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">You will be required to pay U.S. federal income taxes on your allocable share of the Trust&#146;s income, without
regard to the receipt of cash distributions on the Shares. There is no obligation to make distributions on the Shares and no such distribution is anticipated. Accordingly, you may not receive cash distributions sufficient to cover your allocable
share of such taxable income or even the tax liability resulting from that income. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>The IRS could adjust or reallocate items of
income, gain, deduction, loss and credit with respect to the Shares if the IRS does not accept the assumptions or conventions utilized by the Trust. </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The U.S. tax rules that apply to partnerships are complex and their application is not always clear. Moreover, the rules generally were not written for, and in some respects are difficult to apply to, publicly
traded interests in partnerships. The Trust applies certain assumptions and conventions intended to comply with the intent of the rules and to report income, gain, deduction, loss and credit to investors in a manner that reflects the investors&#146;
economic gains and losses, but these assumptions and conventions may not comply with all aspects of the applicable Treasury regulations. It is possible therefore that the IRS will successfully assert that these assumptions or conventions do not
satisfy the technical requirements of the Code or the Treasury regulations and will require that items of income, gain, deduction, loss and credit be adjusted or reallocated in a manner that could be adverse to you. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Shareholders could become subject to FATCA withholding tax </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Starting in 2014, U.S. withholding tax may be imposed on allocations of income to and distributions received by you with respect to your Shares and starting in 2015, U.S. withholding tax may be imposed on
disposition proceeds allocated or distributed by the Trust to you and disposition proceeds received by you upon a sale of your Shares. Prospective Shareholders should consult their own tax advisors about this new regime, which is commonly referred
to as FATCA. See &#147;<I>U.S. Federal Income Tax Consequences&#151;Foreign Account Tax Compliance&#148;.</I> </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">37 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_3"></A>FORWARD-LOOKING STATEMENTS </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">This prospectus includes statements that relate to future events or future performance. In some cases, you can identify these forward-looking
statements by words such as &#147;may,&#148; &#147;should,&#148; &#147;expect,&#148; &#147;plan,&#148; &#147;anticipate,&#148; &#147;believe,&#148; &#147;estimate,&#148; &#147;predict,&#148; &#147;potential&#148; or the negative of these terms or
other comparable phrases. All statements, other than statements of historical fact, included in this prospectus that address activities, events or developments that may occur in the future, including matters such as changes in market conditions (for
the Trust&#146;s assets and the Shares), the Trust&#146;s operations, the Sponsor&#146;s plans and references to the Trust&#146;s future success and other similar matters, are forward-looking statements. These statements are only predictions. Actual
events or results may differ materially. These statements are based upon assumptions and analyses made by the Sponsor on the basis of its perception of historical trends, current conditions and expected future developments, as well as other factors
it believes are appropriate in the circumstances. Whether actual results and developments will conform to the Sponsor&#146;s expectations and predictions, however, is subject to a number of risks and uncertainties, including the special
considerations discussed in this prospectus, including under &#147;Risk Factors,&#148; general economic, market and business conditions, changes in laws or regulations, including those concerning taxes, made by governmental authorities or regulatory
bodies and other world economic and political developments. Consequently, the forward-looking statements made in this prospectus are qualified by these cautionary statements, and there can be no assurance that the actual results or developments the
Sponsor anticipates will be realized or, even if substantially realized, will result in the expected consequences to, or have the expected effects on, the Trust&#146;s operations or the value of the Shares. None of the Trust, the Sponsor, the
Trustee or the Delaware Trustee is under a duty to update any forward-looking statements to conform the statements to actual results or to a change in the expectations or predictions of these persons. </FONT></P>
<P STYLE="margin-top:24px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_4"></A>USE OF PROCEEDS </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Advisor, on behalf of the Trust, invests the proceeds received by the Trust from the issuance and sale of Baskets in short-term United States government securities and other financial instruments that, in
compliance with the rules of the futures exchanges and other markets where the Trust trades, are eligible to secure the Trust&#146;s trading obligations. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">38 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_5"></A>BUSINESS OF THE TRUST </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The activities of the Trust are limited to (1)&nbsp;issuing Baskets in exchange for cash, (2)&nbsp;paying out of Trust assets any Trust expenses
and liabilities not assumed by the Sponsor, (3)&nbsp;delivering proceeds consisting of cash in exchange for Baskets surrendered for redemption, (4)&nbsp;depositing any required margin in the form of cash or other eligible assets with domestic
futures commission merchants, futures foreign brokers or other financial intermediaries or dealers, and (5)&nbsp;investing its cash, at the direction of the Advisor, in a portfolio of foreign currency forward contracts and exchange-traded futures
contracts that may involve commodities, currencies, interest rates and certain eligible stock or bond indices. The Trust is a passive investor in the cash or Short-Term Securities posted as margin to collateralize the Portfolio&#146;s trading
positions. The Trust does not engage in any activities designed to obtain a profit from, or to ameliorate losses caused by, changes in the value of Short-Term Securities posted as margin. The Trust&#146;s Sponsor has been registered under the CEA
and has been a member of the NFA since June 22, 2009. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Investment Objective; Strategies </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The investment objective of the Trust is to maximize absolute returns from its investments in certain futures and/or forward contracts that the
Advisor selects following strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more commodities, currencies, interest rates or certain eligible stock or
bond indices, and seek to control the risks and volatility inherent in these investments by taking long and short positions in historically correlated assets. The Trust also expects to earn interest on some or all of the assets used to collateralize
its trading positions. The return on assets in the Trust, if any, is not intended to track the performance of any index or other benchmark. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><I>Forward Contracts </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">A forward contract is an agreement between two parties, one of whom
undertakes to purchase from or sell to the other, on a specified future date, a specified quantity of a specified asset at a specified location in exchange for a specified purchase price. Unlike futures contracts, forward contracts are usually the
subject of negotiation between the parties involved. As a result, forward contracts may have a variety of maturities and involve different amounts of the specified asset. Because of this custom-tailored nature of forward contracts, there is usually
not a readily available means of offsetting or closing out a forward contract by taking an offsetting position. To offset its exposure to a forward contract, a party may establish an opposite position and will settle and realize the profit or loss
of both positions simultaneously on the same delivery date. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Forward contracts are generally not subject to regulatory requirements and
do not clear or settle through established market facilities. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Forward markets of shorter durations in certain foreign currencies have
traditionally been highly liquid. The principals who deal in forward markets, however, are not required to continue to make markets in the currency or commodity forwards they trade, and these markets may experience periods of illiquidity, sometimes
of significant duration. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">At the discretion of the Advisor, the Trust may enter into foreign currency forward contracts which primarily
involve currencies in the twenty-five most liquid or actively-traded currencies as measured by turnover in the most recent Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity coordinated by the Bank for International
Settlements. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Futures Contracts </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Futures contracts are standardized forward contracts traded on an exchange. As such, futures contracts and the parties to a futures contract are subject to the regulations of the exchange where the
</FONT></P>
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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
contracts trade. Each exchange may impose certain margin requirements, setting forth the minimum amount of funds that must be deposited by a futures trader with a futures commission merchant in
order to initiate futures trading or to maintain an open position in futures contracts. Clearing and settlement takes place through the facilities designated by the exchange and parties generally collateralize their obligations. As the exchange
generally sets the terms of a futures contract, there is no negotiation other than with respect to the price and the number of contracts traded between two traders. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The obligations of a party to a physically settled futures contract may be discharged by taking or making physical delivery of the underlying commodity or by making an offsetting sale or purchase of an identical
futures contract on the same or a linked exchange before the designated date of delivery. The difference between the price at which the futures contract is purchased or sold and the price paid for the offsetting contract, less brokerage commissions,
represents the profit or loss to the trader. Some futures contracts settle in cash, rather than by delivery of the underlying commodity. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor, on behalf of the Trust, may enter into futures contracts in U.S. domestic markets or on exchanges located outside the United States.
Foreign markets may offer advantages such as trading opportunities or arbitrage possibilities not available in the United States. Foreign markets, however, may have greater risk potential than domestic markets. See &#147;Risk Factors&#151;Risks
Relating to Derivative Contracts&#151;Trading on futures exchanges outside the United States is not subject to U.S. regulation.&#148; </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts selected for the Trust by the Advisor may involve assets varying from foreign currencies to physical commodities, financial
assets (such as interest rates) and equity or debt securities indexes other than &#147;narrow-based security indexes&#148; (as such term is defined for purposes of the Investment Company Act). </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Investment Strategies </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In
allocating the assets of the Trust, the Advisor intends to pursue its investment objective by utilizing investment strategies relating to relative value. Relative value strategies seek to profit from the mispricing of financial instruments,
capturing spreads between assets and asset categories that deviate from the fair value or historical norms. The Advisor considers the following three general strategies as sources of return: </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Yield and Futures Curve Arbitrage Strategies </I>which seek to take advantage of interest rate and futures contract price differentials by
simultaneously entering into long and short positions in various bond futures contracts, interest rates futures contracts, commodity futures contracts and/or currency forward contracts that the Advisor determines to be mispriced relative to one
another. The Advisor may enter into long positions in contracts whose underlying assets are deemed relatively inexpensive and may enter into short positions on contracts whose underlying assets are deemed relatively expensive. Some futures curve
arbitrage strategies that may be utilized by the Advisor are based on macroeconomic considerations. The strategies are primarily quantitative in nature, and financial modeling is an integral component of each Yield and Futures Curve Arbitrage
Strategy. Examples of yield and futures curve arbitrage strategies include: </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Sovereign Bond and Interest Rate Yield Arbitrage</I> compares the differences between long term and short term interest rates for a given country within a
pre-determined set of countries. The Advisor compares the recent average performance of the short term interest rates of a selected number of countries. Based on these performance comparisons, the Advisor either takes long positions in short term
interest rate futures contracts whose underlying interest rates are higher, and short positions in short term interest rate futures contracts whose underlying interest rates are relatively lower, or takes long positions in bond futures contracts
whose underlying interest rates are higher, and short positions in bond futures contracts whose underlying interest rates are relatively lower. Decisions are influenced by what the Advisor considers to be indicators for future returns including
relative yield and yield curve characteristics. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">40 </FONT></P>


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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The <I>Currency Yield Arbitrage Strategy</I> engages in long and short investing in currency forward markets and seeks to take advantage of the differences
between short term interest rates across a number of selected countries. The Advisor takes on long positions in currency forward contracts for those countries with relatively higher short term interest rates and enters into short positions in
currency forward contracts for those countries with relatively lower short term interest rates. Decisions are influenced by relative currency yield and each currency&#146;s own yield curve structure. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The <I>Commodity Curve Arbitrage Strategy</I> engages in long and short investing in commodity futures markets and seeks to exploit the differences between the
futures prices of a contract with a greater time until expiration and the futures prices of a contract with a lesser time until expiration for a specific commodity futures contract within a pre-determined set of commodities. The Advisor seeks to
enter into long positions in certain commodity futures contracts and short positions in other commodity contracts in order to capitalize on potential mispricing. Decisions are influenced by commodity futures curve characteristics, such as steepness,
roll yield and seasonality. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Technical Strategies</I> which, in general, seek to take advantage of a comparison
between assets&#146; historical returns and their recent performance. Technical strategies are based on the theory that past price history may be predictive of asset value, and so technical strategies may be used to capture returns arising from
price changes over time. For example, if recent performance of an asset exceeds historical performance, then a long &#147;momentum&#148; trade opportunity to buy may arise. If the historical performance of an asset exceeds recent performance, then a
short &#147;reversal&#148; trade opportunity may arise. All technical strategies are quantitative in nature and financial modeling is used for determining long and/or short positions in various asset types. Examples of such technical strategies
include: </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The <I>Interest Rates Momentum and Reversal Strategy</I> which seeks to take advantage of historical patterns of changes in global interest rate markets. The
strategy compares the recent average performance of the short term interest rates of a selected number of countries. Based on these performance comparisons, allows the Advisor to take long positions in short term interest rate futures contracts
whose underlying interest rates are relatively higher and enter into short positions in short term interest rate futures contracts whose underlying interest rates are relatively lower. </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Equity Index Momentum and Reversal Strategy </I>which seeks to take advantage of historical patterns of returns in international equity index future markets.
The strategy seeks to exploit the recent performance of the equity index markets across a number of selected countries. The strategy takes on long positions in equity index futures contracts with relatively higher performance and enters into short
positions in equity index futures contracts with relatively poor performance. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Commodity Momentum and Reversal Strategy</I> which seeks to exploit the recent price performance of, and patterns of returns for, commodities. The Advisor
takes on long positions in commodity futures contracts with relatively higher average performance and enters into short positions in commodity futures contracts with relatively poor average performance. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Fundamental Relative Value Strategies</I> which seek returns by attempting to identify instances where there are discrepancies between the
market and fundamental values of an asset. Comparing current price to fundamental value may provide a measure of mispricing, or opportunity, which can be compared across markets to provide a metric of relative misevaluation. The Trust&#146;s
relative value strategies tend to buy in markets that appear inexpensive on a relative basis, and sell in markets that appear expensive, trading long or short positions in the relevant assets. Examples of fundamental relative value strategies
include: </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Equity Index Relative Value</I> which seeks to exploit unusual cross market deviations from fundamental value in international equity index futures markets.
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Currency Relative Value</I> which seeks to exploit unusual cross market deviations from fundamental value in currency forwards markets.
</FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">41 </FONT></P>


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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Fixed Income Relative Value</I> which seeks to exploit unusual cross market deviations from fundamental value in international sovereign bond and interest
rate futures markets. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
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<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Commodity Relative Value</I> which seeks to exploit unusual cross market deviations from fundamental value in commodity futures markets.
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Asset Class Relative Value</I> which seeks to exploit unusual cross asset class deviations from fundamental value in international bond, stock, commodity and
currency markets via simultaneous trading in sovereign bond futures, international equity futures, commodity futures and currency forwards markets. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Advisor implements its strategies by taking long or short positions in futures and/or forward contracts. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The relative value and other strategies referenced in this prospectus are subjective classifications made by the Advisor in its sole discretion. Such classifications may differ substantially from classifications
into similarly named strategies made by other industry participants. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Portfolio Construction </I></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor utilizes a portfolio construction process in which each potential strategy and underlying asset is ranked in terms of expected return,
volatility and trading cost. This portfolio construction process is quantitative and relies on the use of computer models developed by affiliates of the Advisor for the computation of expected return, volatility and trading cost and the
determination of optimal positions and consequent leverage in accordance with the risk and return targets of the Portfolio. These risk and return targets take into account certain financial measurements known as annualized portfolio return
volatility and Sharpe ratio. Annualized portfolio return volatility is a quantitative measure used to assess a portfolio&#146;s deviation above or below its average returns over a one year period. Historically, in building the Portfolio the Advisor
has targeted an allocation of annualized portfolio return volatility of 6-8%, which has been allocated equally across the yield and futures curve arbitrage strategies, the technical strategies, and the fundamental relative value strategies described
above. Effective on the date of this prospectus, the Advisor will increase the maximum targeted portfolio return volatility to 10% per annum, which, depending on market conditions, may or may not be allocated equally among strategies. By raising the
volatility ceiling and by maintaining flexibility of allocation among strategies, the Advisor seeks to be able to take advantage of market fluctuations in a more efficient manner, to be able to take full advantage of the target risk and, ultimately,
an improved performance for the Trust. There is no assurance that the objectives of the Advisor will be reached. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Although the Advisor
expects a long-term Sharpe ratio of 0.50 to 0.75 for the Portfolio, the realized Sharpe ratio for the period from October 6, 2009 (the date of commencement of operations) to March 31, 2012 has been (0.19). A Sharpe ratio is a quantitative measure of
the excess return per unit of risk in an investment asset or a trading strategy. The Advisor measures excess returns as the realized portfolio return minus a one-month Treasury bill benchmark return for the same period being measured. The Advisor
measures risk as the annualized portfolio return volatility described above. For example, a 0.50 Sharpe ratio indicates that for each one percent of excess return, an investor may expect 2% of annualized portfolio return volatility (0.50 &#061;
1%/2%). Also, a 0.75 Sharpe ratio indicates that for each one percent of excess return, an investor may expect approximately 1.33% of annualized portfolio return volatility (0.75 &#061; 1%/1.33%). Some or all of the Advisor&#146;s expectations or
targets may not be realized by the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor believes that it has obtained all necessary licenses for the use of the computer
models referred to above. See &#147;Risk Factors&#151;Risks Relating to the Trust and Investment in the Shares&#151;Competing claims over ownership of relevant intellectual property rights could adversely affect the Trust or an investment in the
Shares.&#148; </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor has broad discretion to allocate the funds of the Trust among the subcategories of investments described
above and except for the allocation targets described above there are no </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">42 </FONT></P>


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pre-determined quotas limiting the overall exposure of the Trust to one or more strategies, assets or asset categories. As a result, at any given moment, the Trust may be disproportionately
exposed to one or more asset classes or contract counterparties, including over-the-counter counterparties and clearing organizations. However, it is expected that the Trust will not enter into an otherwise eligible transaction if, after giving
effect to such transaction, the Trust&#146;s maximum probable net credit exposure to a single counterparty (other than a regulated commodities exchange, the Clearing FCM or any clearing facility thereof) would exceed 10% of the most recently
determined net asset value of the Trust. For these purposes, &#147;net credit exposure&#148; with respect to a counterparty means any excess of (a) all amounts payable by the counterparty to the Trust, over (b) all amounts payable by the Trust to
the counterparty. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The principals of the Advisor determine the asset allocation for the Portfolio which seeks to achieve a target excess
return at a targeted risk level. The Advisor expects to allocate Trust investments periodically among yield and futures curve arbitrage strategies, technical strategies and fundamental relative value strategies such as those listed above using a
&#147;mean variance optimization.&#148; Mean variance optimization is a method used to determine portfolio allocations by considering risk and return metrics. The goal of mean variance optimization is to diversify risk based on quantitative analysis
of historical relationships without reducing expected return. There is no guaranty that the Advisor will be able to achieve this goal for the Trust. See &#147;Risk Factors&#151;Risks Relating to the Advisor and its Trading Strategies.&#148;
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">While the Advisor has the authority, subject to the targets described above, to trade on behalf of the Trust at any time in its
discretion, it is generally expected that such discretionary trading will not occur more than once a week. The Trust, however, may need to trade more frequently in order to invest the proceeds from the issuance of Baskets of Shares or raise funds to
honor redemption requests. The Trust posts the composition of the Portfolio daily on its website. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Use of Leverage </I></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor employs variable leverage as a means of controlling the risk in the Portfolio. The Advisor uses a quantitative model of the expected
risk in the Portfolio to determine the size of the exposures in the combined strategy portfolio and, based on the sizes of the exposures, determines the amount of leverage. While the management of leverage and risk is conducted using the
quantitative risk model, limits on total leverage may also be introduced by the Advisor during periods of low volatility, when leverage might otherwise become too pronounced. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><I>Characteristics of an Investment in the Shares </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Shares are intended to constitute a
relatively cost-effective means of achieving investment exposure to the performance of the asset classes held by the Trust. Although the Shares are not an exact equivalent of an investment in the underlying futures and forward contracts in the
Portfolio, the Shares are intended to provide investors with an alternative way of participating in the commodities and foreign currencies futures and/or forwards markets. An investment in Shares is: </FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Listed</I>. Although there can be no assurance that an actively traded market in the Shares will exist at the time you wish to sell Shares, the Shares are
listed for trading on NYSE Arca under the symbol ALT. </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2"><I>Relatively cost efficient</I>. Transactions in the asset classes that the Advisor, on behalf of the Trust, invests or trades in entail certain expenses.
Nonetheless, because the expenses involved in the investment in the Portfolio are dispersed among all Shareholders, an investment in Shares may represent a cost-efficient alternative to investment positions in the same asset classes for investors
not otherwise in a position to participate directly in the markets for physical commodities, foreign currencies, interest rates, or futures, forwards or other over-the-counter derivative contracts involving such assets. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Shares are eligible for margin accounts. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">43 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Secondary Market Trading </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">While it is anticipated that the price of the Shares will fluctuate in a manner that reflects changes in the Trust&#146;s net asset value over time, at any given time the Shares may trade at, above or below their
NAV. The NAV will fluctuate with changes in the market value of the Portfolio. The trading price of the Shares will fluctuate in accordance with changes in their NAV, intraday changes in the value of the Portfolio, market supply and demand and other
factors. The amount of the discount or premium in the trading price relative to the NAV may be influenced by non-concurrent trading hours between NYSE Arca, on which the Shares trade, and the principal markets on which the futures and forward
contracts in the Portfolio trade. For example, while the Shares trade on NYSE Arca until 4:00&nbsp;P.M., New York City time, liquidity in the markets for the derivative instruments or the assets underlying the instruments held by the Trust may be
reduced after the close of the principal markets for these instruments or underlying assets. As a result, trading spreads, and the resulting premium or discount on the Shares, may widen during this &#147;gap&#148; in market trading hours.
</FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Computation of the Trust&#146;s Net Asset Value </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">On each Business Day, as soon as practicable after the close of regular trading of the Shares on NYSE Arca (normally 4:00&nbsp;P.M., New York City time), the Trustee determines the net asset value of the Trust, the
NAV and the Basket Amount as of that date. The NAV is the net asset value of the Trust divided by the number of outstanding Shares. The Basket Amount is the NAV multiplied by the number of Shares comprising a Basket. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Net asset value of the Trust means the total assets of the Trust including all cash and cash equivalents or other debt securities less total
liabilities of the Trust, each determined on the basis of United States generally accepted accounting principles, consistently applied under the accrual method of accounting. In particular, net asset value of the Trust includes any unrealized profit
or loss on open forward contracts and futures contracts, and any other credit or debit accruing to the Trust but unpaid or not received by the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">On each day on which the Trustee must determine the net asset value of the Trust and the NAV, the Trust Administrator must value all futures and forward trading positions and other Short-Term Securities and
non-cash assets in the Portfolio and communicate such valuation to the Trustee for use by the Trustee in the determination of the Trust&#146;s net asset value. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The current market value of all open futures contracts, whether traded on a United States exchange or a non-United States exchange, is determined by the Trust Administrator based upon the settlement price for that
particular futures contract traded on the applicable exchange on the date with respect to which net asset value is being determined; provided, that if a futures contract could not be liquidated on such day, due to the operation of daily limits (if
applicable) or other rules, procedures or actions of the exchange upon which that position is traded or otherwise, the settlement price on the most recent day on which the position could have been liquidated may be the basis for determining the
market value of the position for that day. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The current market value of all open forward contracts is based upon the prices determined
by the Trust Administrator utilizing data from an internationally recognized valuation service for those types of assets. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trustee
may in its discretion (and, under extraordinary circumstances, will) value any asset of the Trust pursuant to other principles that it deems fair and equitable so long as those principles are consistent with industry standards. In this context,
&#147;extraordinary circumstances&#148; includes, for example, periods during which a valuation price for a forward contract or a settlement price of a futures contract is not </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">44 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
available due to events such as systems failure, natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance or
due to a trading or other restriction imposed by a relevant futures exchange. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">On each Business Day, the Trustee subtracts the
Trust&#146;s accrued fees (other than fees computed by reference to the value of the Trust or its assets), expenses and other liabilities on that day from the value of the Trust&#146;s assets as of the close of trading on that day. The difference is
the Trust&#146;s &#147;Adjusted Net Asset Value.&#148; Fees computed by reference to the value of the Trust or its assets are calculated based on the Adjusted Net Asset Value. The Trustee subtracts the fees of the Trust calculated on an Adjusted Net
Asset Value basis to determine the Trust&#146;s net asset value. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust Administrator may be replaced if, in the judgment of the
Trustee, it ceases to provide regular or accurate valuations. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The NAV for each Business Day is distributed through major market data
vendors and published online at <I>www.ishares.com</I>, or any successor thereto. The Trust updates the NAV as soon as practicable after each subsequent NAV is calculated. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">You should note that while the NAV is updated on each Business Day, the NAV is calculated by reference to assets that trade on futures exchanges or other markets, including in foreign jurisdictions. Accordingly,
the NAV may not always reflect the same-day valuation of assets that trade on markets in non-U.S. jurisdictions if one or more of those jurisdictions are not open for business on any given Business Day. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Trust Expenses </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor is obligated
under the Trust Agreement to pay the following administrative, operational and marketing expenses: (1)&nbsp;the fees of the Trustee, the Advisor, the Delaware Trustee, the Trust Administrator and the Processing Agent, (2)&nbsp;NYSE Arca listing
fees, (3)&nbsp;printing and mailing costs, (4)&nbsp;audit fees, (5)&nbsp;fees for registration of the Shares with the SEC, (6)&nbsp;tax reporting costs and (7)&nbsp;legal expenses up to $100,000 annually. In recognition of its paying these expenses,
the Sponsor is entitled to receive as the Sponsor&#146;s Fee an allocation that accrues daily at an annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust and is payable by the Trust monthly in arrears. For a description of how
the net asset value of the Trust is calculated, see &#147;&#151;Computation of the Trust&#146;s Net Asset Value&#148; above. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The
Sponsor and the Trustee may amend or terminate the Sponsor&#146;s obligation to pay certain expenses of the Trust in compliance with the requirements described under &#147;Description of the Shares and the Trust Agreement&#151;Amendment and
Dissolution.&#148; </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust is responsible for paying any applicable brokerage commissions and similar transaction fees out of its
assets. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The following expenses are also paid out of the assets of the Trust: </FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor&#146;s Fee; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">any expenses of the Trust that are not assumed by the Sponsor; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>

<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">any taxes and other governmental charges that may fall on the Trust or its property; </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">any expenses of any extraordinary services performed by the Trustee or the Sponsor on behalf of the Trust or expenses of any action taken by the Trustee or the
Sponsor to protect the Trust or the rights and interests of holders of the Shares; and </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">any indemnification of the Sponsor or the Advisor. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">45 </FONT></P>


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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trustee is also entitled to charge the Trust for all expenses and disbursements incurred by the
Trustee, with the consent of the Sponsor, in connection with actions it deems necessary or desirable to protect the Trust or the rights and interests of holders of the Shares, including fees and disbursements of its legal counsel; <I>provided</I>
that the Trustee is not entitled to charge the Trust for (1)&nbsp;expenses and disbursements by it prior to the commencement of the trading of Shares on NYSE Arca and (2)&nbsp;fees of agents for performing services that the Trustee is required to
perform under the Trust Agreement. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trustee, at the direction of the Sponsor, may liquidate the Trust&#146;s property from time to
time as necessary to permit payment of the fees and expenses that the Trust is required to pay. The Trustee is not responsible for any depreciation or loss incurred by reason of the liquidation of Trust property made in compliance with the Trust
Agreement. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Tax Administrator </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust has retained PricewaterhouseCoopers LLP as Tax Administrator to provide tax accounting and tax reporting services. The Trust may terminate
the Tax Administrator at any time. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">46 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_6"></A>SELECTED FINANCIAL DATA </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The following tables set forth selected financial data for the Trust. The selected financial data as of and for the six months ended June&nbsp;30,
2012 have been derived from the unaudited financial statements included elsewhere in this prospectus, which, in the opinion of management, include all material adjustments, consisting only of normal recurring adjustments, considered necessary for a
fair statement of the results for the periods presented. The selected financial data as of December&nbsp;31, 2011 and 2010 and for the years ended December&nbsp;31, 2011, 2010 and the period from October&nbsp;6, 2009 (commencement of operations)
through December&nbsp;31, 2009 have been derived from the audited financial statements included elsewhere in this prospectus. The selected financial data as of December&nbsp;31, 2009 has been derived from audited financial statements filed with the
Registrant&#146;s Annual Report on Form 10-K for the year ended December&nbsp;31, 2009 and not included in this prospectus. The selected financial data presented herein should be read in conjunction with &#147;Management&#146;s Discussion and
Analysis of Financial Condition and Results of Operations&#148; and the financial statements, including the notes thereto, and other historical financial information included elsewhere in this prospectus. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>Financial Highlights </I></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>(Dollar amounts in $000&#146;s,
except for per Share amounts) </I></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="46%"></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>June&nbsp;30,</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>2012</B></FONT><br><FONT
STYLE="font-family:arial" SIZE="1"><B>(Unaudited)</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="10" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2009*</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total assets (at period end)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">65,635</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">90,764</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">114,773</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">**&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,018</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">**&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total gain (loss) on sales of short-term investments and forward currency and futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">646</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(5,969</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,746</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(4,242</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Weighted-average Shares outstanding</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,423,626</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,388,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,346,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">232,184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss) per Share</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.78</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.88</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.74</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net cash flows</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(751</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">377</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,143</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">167</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">*</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="1">For the period from October&nbsp;6, 2009 (commencement of operations) through December&nbsp;31, 2009. </FONT></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">**</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="1">Prior years amounts have been reclassified to conform with current financial statement presentation. </FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">47 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_7"></A>SUPPLEMENTARY FINANCIAL INFORMATION </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>Quarterly Income Statements* </I></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>(Dollar amounts in
$000&#146;s, except for per Share amounts) </I></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="76%"></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Three Months Ended<BR>(Unaudited)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>June&nbsp;30,</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>March&nbsp;31,<BR>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Investment Income</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total investment income</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Expenses</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sponsor&#146;s fees</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">181</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Brokerage commissions and fees</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total expenses</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">166</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(147</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(187</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Realized and Unrealized Gain (Loss)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(343</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(470</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">487</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currency translations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">137</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,105</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(380</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(159</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized and unrealized gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(64</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">132</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:9.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(210</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(56</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net loss per Share</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.04</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Weighted-average Shares outstanding</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,296,703</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,550,549</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">48 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="41%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Three Months Ended (Unaudited)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Year
Ended</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31,<BR>2011</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>March&nbsp;31,<BR>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>June&nbsp;30,</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>September&nbsp;30,<BR>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31,<BR>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Investment Income</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total investment income</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">125</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Expenses</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sponsor&#146;s fees</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">273</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">308</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,146</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Brokerage commissions and fees</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">87</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total expenses</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">291</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">334</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,233</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(246</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(274</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(312</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(277</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,108</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Realized and Unrealized Gain (Loss)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,302</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,283</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,253</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,235</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,852</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,418</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(4,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,769</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,748</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currency translations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(47</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(147</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(51</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,364</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,144</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4,067</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,152</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(483</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">807</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,305</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,891</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized and unrealized gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,142</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(6,841</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">229</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,134</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:9.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,091</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,868</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(7,154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(47</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(4,242</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss) per Share</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2.77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.02</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.78</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Weighted-average Shares outstanding</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,287,778</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,434,066</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,578,348</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,247,826</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,388,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">49 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="44%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="14" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Three Months Ended (Unaudited)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Year
Ended</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31,<BR>2010</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>March&nbsp;31,<BR>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>June&nbsp;30,</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>September&nbsp;30,<BR>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31,<BR>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Investment Income</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">47</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total investment income</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">47</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Expenses</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sponsor&#146;s fees</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">59</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">127</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">253</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">635</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Brokerage commissions and fees</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total expenses</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">64</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">137</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">208</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">267</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">676</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(114</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(174</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(220</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Realized and Unrealized Gain<BR>(Loss)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">177</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">659</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">700</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(479</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">892</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(52</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,685</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currency<BR>translations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">198</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(613</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">719</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(445</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(176</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">304</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(292</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">791</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,720</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,918</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized and unrealized gain</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,501</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,754</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:9.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(47</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,327</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(118</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,190</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss) per Share</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.09</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.03</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.06</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.88</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Weighted-average Shares<BR>outstanding</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">521,111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,097,802</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,644,565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,093,478</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,346,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">*</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="1">Certain totals may not sum due to rounding. </FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">50 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_8"></A>MANAGEMENT&#146;S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>The following discussion and analysis should be read in conjunction with the financial statements of the
Trust and related notes included elsewhere in this prospectus. This discussion may contain statements that relate to future events or future performance. See &#147;Forward-Looking Statements&#148; elsewhere in this prospectus. </I></FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Overall Performance </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>The Six Months Ended June 30, 2012
</I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">For the six-month period ended June&nbsp;30, 2012 (the &#147;reporting period&#148;), the Trust&#146;s total return, net of
expenses, was (0.43)%. This performance was the result of a negative return on the Trust&#146;s equity and long-term fixed income investments, partially offset by the gains in foreign currency investments. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>Market Environment/Background </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">During the
reporting period, the Trust&#146;s investments resulted in exposure to the following geographical areas: Europe, North America, Australia, and Asia. In general, three important factors helped to shape the performance of the global markets: 1) recent
developments in Greece and Spain further intensified the European debt crises, 2) weak macro-economic data releases from the U.S. and its subsequent effect on the labor market, 3) the so called &#147;fiscal cliff&#148; (the combination of large
spending cuts and tax increases) which is scheduled to become effective in 2013 added major concern to the sustainability of growth in the U.S. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The following table presents certain macro-economic indicators for each of the areas referred to above at the dates and for the periods indicated: </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="76%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>10-Year Yield</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Nominal&nbsp;GDP</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>Year&nbsp;Over&nbsp;Year
Change</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Unemployment&nbsp;Rate</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Exchange Rate<SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></B><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)<B></B></SUP><B></B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom">&nbsp;<FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31,<BR>2011 </B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>June&nbsp;30,<BR>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Quarter&nbsp;Ended<BR>December&nbsp;31,<BR>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Quarter&nbsp;Ended</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>March&nbsp;31,</B></FONT><br><FONT
STYLE="font-family:arial" SIZE="1"><B>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Month&nbsp;Ended<BR>December&nbsp;31,<BR>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Month&nbsp;Ended</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>June&nbsp;30,</B></FONT><br><FONT
STYLE="font-family:arial" SIZE="1"><B>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>December 31,<BR>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>June 30,</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Germany</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.58</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2.6</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3.0</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5.6</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5.4</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&euro;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.7716</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&euro;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.7895</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sweden</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.60</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.2</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3.2</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7.1</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8.8</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Kr</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6.8872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Kr</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6.9224</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">U.S.A.</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.88</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.65</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.0</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.5</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8.5</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8.2</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">N/A</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Australia</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3.68</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3.05</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5.3</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.6</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5.2</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5.2</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">AUD</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;0.9796</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">AUD</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;0.9768</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Japan</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.99</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2.4</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">
</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.4</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.5</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.3</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&yen;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">76.913</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&yen;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">79.795</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Not seasonally adjusted </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Seasonally adjusted </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>Currency units per $1 </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="1"><B>Source:</B> Bloomberg </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>Portfolio Update </I></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust continued to maintain zero exposure to the short-term bond strategy for the reporting period. This decision was the result of a mismatch
between market expectations on short-term interest rates and what the strategy suggested based on momentum. This action will continue until market conditions significantly improve. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The established recovery trajectory of the U.S economy in the first quarter of 2012 and the European Central Bank long-term refinancing operations
actions significantly reduced the tail risk across the global markets. For this reason, the Trust&#146;s short term volatility which began to fall back at the end of last year </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">51 </FONT></P>


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continued its trend for the reporting period. To maintain the Trust&#146;s volatility within the target range of 6% to 8% in effect at the time, the Trust&#146;s target risk was resized in
February&#146;s rebalance to reflect the sentiment improvement in the markets. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>Trust&#146;s Strategies&#146; Performance </I></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s investments in currency markets generated a net return of 0.80% during the reporting period (see figure 1). The Trust&#146;s
performance was driven by short positions in euro, Swiss franc and Canadian dollar. Long positions in pound sterling and Australian dollar contributed negatively to the performance of this asset class. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s investments in futures on the equity markets generated a net return of (0.70)% for the reporting period (see figure 1). The
Trust&#146;s performance in the equity markets was driven by long positions in the Australian, German, French, and United Kingdom equity markets. Short equity positions in Canada, Sweden, Taiwan and Hong Kong contributed positively to the
performance of this asset class. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s investments in futures on long-term bonds (bonds with maturities of more than one
year) generated a net return of (0.53)% for the reporting period (see figure 1). The Trust&#146;s performance in this asset class was primarily driven by the short positions in the Australian and Canadian bond markets. Long positions in the bond
markets of the U.S. and United Kingdom contributed positively to the performance and offset some of the losses. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust exploited
three strategies (relative value, momentum, and yield curve arbitrage or carry) across three different asset classes during the reporting period. Of these three strategies, the relative value strategy delivered a positive performance of 2.44%. On
the other hand, the yield curve arbitrage and momentum strategies returned (1.75)% and (1.12)%, respectively. See figure 2 for the performance of each strategy during the reporting period. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s annualized portfolio return volatility was 4.2% for this reporting period, based on the daily performance of the Trust. This low
number was the result of negative correlations across the strategies, which helped to manage the overall Trust&#146;s risk effectively. The Trust experienced an increase in its annualized volatility relative to the first quarter of 2012. This
increase was primarily driven by the more volatile markets which were influenced heavily by the large uncertainty over the European debt crisis and its effect on the global recovery. At the end of the reporting period, the Trust continued to
maintain an expected annualized portfolio return volatility of 6% to 8%. As explained elsewhere in this prospectus, this range is being revised by the Advisor to 6% to 10% as of the date of this prospectus. (See &#147;Business of the
Trust&#151;Investment Objectives; Strategies&#151;Portfolio Construction&#148; above.) The proprietary risk model uses about 20 years of historical return data to calculate the expected annualized portfolio return volatility. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The realized Sharpe ratio of the portfolio for the period from inception through the end of the reporting period was (0.27). This ratio is
primarily the result of poor performance of the Trust and relatively high </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">52 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
volatility in the third quarter of 2011 as well as underperformance of the Trust in the reporting period. The Trust continues to target a long-term Sharpe ratio between 0.50 and 0.75. </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P> <P STYLE="margin-top:12px;margin-bottom:0px" ALIGN="center">


<IMG SRC="g410618g51e62.jpg" ALT="LOGO">
 </P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Figure 1: Asset class total return during the six months ended June&nbsp;30, 2012 </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P> <P STYLE="margin-top:12px;margin-bottom:0px" ALIGN="center">


<IMG SRC="g410618g17e50.jpg" ALT="LOGO">
 </P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Figure 2: Strategy total return during the six months ended June&nbsp;30, 2012 </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>The Year Ended December 31, 2011 </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust
returned (3.17)% for the year ended December 31, 2011. The negative performance was largely driven by the currency, equity and short-term fixed income market investments. The long-term fixed income market investments had a positive contribution to
the performance. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">53 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Market Environment/Background </I></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The global markets experienced significant events (discussed below) and were highly volatile for the year ended December 31, 2011. These events led
to a risk adverse market and a global sell-off in the second half of the year. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The year began with optimism in U.S., Asian, and
European Union (EU) markets. This optimism carried through April, with most major countries/indices outperforming expectations despite some disruptions in March as a result of the immense natural disaster in Japan. However, this global bull market
came to a halt in May and continued to have difficulty finding its footing for the remainder of the year. The markets faced five main issues for the year ended December 31, 2011: 1) mounting pressure on sovereign debt in the EU region, 2) political
impasse over the debt ceiling and loss of trust in the direction of U.S. policy to address economic recovery, 3) extremely low U.S. investor sentiment, which reached its lowest level in thirty years (based on the survey conducted by the University
of Michigan), 4) Japan&#146;s natural disaster and its effect on global supply chains, and 5) spread of political instability in the Middle East and North Africa and its subsequent effect on the price of energy. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Although optimism about the health of the U.S. economy grew at the beginning of the year, the reports on U.S. macro-economic data were mixed
throughout the year. Unemployment numbers remained persistently high as hiring was slowed down in the private sector and the government. However, in the last quarter, the hiring pace picked up and the unemployment rate dropped to 8.5% which was the
lowest since 2009. The U.S. debt/credit rating was downgraded one notch by Standard and Poor&#146;s in August 2011 over the debt ceiling issue, which exacerbated the underperformance of the U.S. equity market during the third quarter of 2011. The
equity market, as measured by the S&amp;P 500 index, had a flat performance for the year ended December 31, 2011. The U.S. dollar index volatility was not as high and the U.S. dollar depreciated steadily through June 2011. However, as the markets
digested the high uncertainty ahead, the U.S. dollar began to appreciate and the index ended up returning about 1.8% for the year ended December 31, 2011. The index&#146;s annual volatility was about 9%. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">EU markets were highly volatile during the year ended December 31, 2011 as the sovereign debt crises in Greece, Ireland, and Portugal continued to
cast a cloud over the euro zone and global recovery. Both Greece&#146;s and Ireland&#146;s credit ratings were downgraded during the year. Portugal was given about $100 billion. The EU markets experienced some optimism based on the compromise
between the European Central Bank (ECB), International Monetary Fund (IMF), and EU officials, which granted Greece a bailout of approximately $155 billion. But optimism from these stabilization measures was short lived as Italy&#146;s growing debt
crisis caused increasing anxiety; the Italian government holds approximately $2 trillion in debt. This concern hinted that the core EU may also suffer from debt issues and the situation could spiral out of control in the near future. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">European officials scrambled in the second half of the year to calm the markets and prevent the first sovereign default in the euro area. Fearing
that the debt crisis could cripple the region&#146;s banking system, markets responded to every twist in the multiple negotiations and summits attempting to resolve this crisis. After the fifth European official summit was not able to deliver a
comprehensive plan, Standard &amp; Poor&#146;s announced that 15 euro zone nations might face rating downgrades. This included Germany and France, which could subsequently affect the European Financial Stability Facility (EFSF) rating. The German
and French equity markets were particularly volatile (each more than 28%) during the year ended December 31, 2011. Both DAX and CAC 40 delivered poor performance, approximately (14.7)% and (17.0)%, respectively. The euro was also quite volatile
(more than 11%) and depreciated approximately 3.2% against U.S. dollar by the end of the year. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In the early part of the year ended
December 31, 2011, the Nordic countries&#146; macro economic data were strong and countries such as Sweden raised forecasts for growth in the next few years. Additionally, the </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">54 </FONT></P>


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Swedish central bank raised its benchmark repurchase rate in April and July, and the Swedish krona advanced against major currencies. Norway also benefitted from a sharp rise in oil prices and
its currency appreciated substantially. However, in the second half of the year, the region&#146;s currencies experienced high volatility and depreciation. The concern over the sovereign debt crisis in the EU region continued to put downward
pressure on these currencies as the EU&#146;s faltering economies did not support strong global growth projections in the near future and these economies rely heavily on exports. The Swedish krona and Norwegian krone depreciated 2.5% and 2.8%,
respectively, against U.S. dollar for the year ended December 31, 2011. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Japan began the year with optimism. The Bank of Japan raised
its economic assessment as faster overseas growth bolstered exports and production. However, the massive earthquake and tsunami in March devastated the country, and the aftermath derailed hopes of economic growth and prosperity in the short-term.
Japan began to struggle with industrial production, and supply chains were disrupted significantly. For the year, the Nikkei 225 index dropped more than 17% and the Japanese yen appreciated 5.5% relative to the U.S. dollar. High risk aversion drove
the yen&#146;s appreciation. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Political and social unrest in several Middle Eastern and Northern African nations during 2011 raised
concerns over the spread of instability throughout the rest of the Middle East potentially causing serious disruptions in oil supply and pushing the price of oil upward. The price of oil broke the $115 per barrel mark in late April due in part to
such concerns. However, concern over the euro zone debt crises and the fragile recovery of the U.S. economy pushed the price of oil downward over the remainder of the year, and prices ended up below $100 per barrel by December 31, 2011. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Portfolio Update </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust
closed out of all its Japanese positions in the equity, bond, and currency markets in mid-March, following the earthquake and tsunami in that country. Based on the available information, the Investment Committee of the Advisor did not find the
uncertainty surrounding this exogenous shock to be consistent with the Trust&#146;s systematic process in the short-term. By mid-August, all the information indicated that the country had made significant progress and that the risk of an energy or
nuclear shock was back to a normal level. Given that the Japanese market has comparatively recognized this &#147;normal&#148; state, Japan was re-introduced to the Trust&#146;s investment universe in the subsequent fund rebalance in September.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">An equity yield curve arbitrage strategy, which was approved by the Investment Committee in May, was added to the current suite of
strategies as of June 1, 2011. The existing equity relative value strategy was also enhanced to account for differences in accounting practices across different countries. These additions/changes helped the Trust to enhance its equity performance
for the year ended December 31, 2011. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">As a result of heightened uncertainty in the global markets, the fund&#146;s short-term
volatility began to rise steadily in July and increased sharply in the month of August. To manage the risk of the portfolio effectively and maintain risk within target range of 6% to 8% in effect at the time, the fund&#146;s target risk was resized
in September&#146;s rebalance. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The short-term bond strategy began to suffer from negative performance in the second half of the year.
This negative performance was the result of a mismatch between market expectations on short-term interest rates and the strategy suggested based on momentum. For this reason, the strategy has been temporarily removed from the Trust&#146;s current
suite of strategies until market conditions significantly improve. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Trust&#146;s Strategies&#146; Performance </I></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s investments in equity markets delivered negative performance (0.91%) during the year ended December 31, 2011 (see figure 3). In
general, equity markets were highly volatile, which was </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">55 </FONT></P>


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primarily driven by all of the factors mentioned above. The under-performance in the Trust&#146;s equity market investments were driven by the long positions in the German, French, and Japanese
equity markets. The short positions in the Canadian, United Kingdom, and Hong Kong equity markets contributed positively to the performance of this asset class. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust&#146;s investments in futures on short-term bonds (bonds with maturities of less than one year) suffered a negative performance of (0.82)% for the year ended December 31, 2011 (see figure 3). The
short-term interest rate market sentiment insights were generally positive for the first half of the year. However, the euro zone sovereign debt crises made the short-term interest rate market more volatile for the second half of the year. The
Trust&#146;s large short position in Euribor, combined with its long position in Eurosterling were the major detractors. The Trust&#146;s long position in Eurodollar delivered positive performance and offset some of the loss in the other two assets.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s investments in futures on long-term bonds (bonds with maturities of more than one year) delivered a positive
performance of 0.32% for the year ended December 31, 2011 (see figure 3). The Trust&#146;s large long positions in U.S. Treasuries and United Kingdom gilt delivered a large positive contribution to performance for the year ended December 31, 2011.
On the other hand, short positions in Australian and Canadian bonds detracted from performance and offset some of the Trust&#146;s gains for the year. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust&#146;s investments in currency markets suffered the largest negative performance, (1.76)%, during the year ended December 31, 2011 (see figure 3). Short positions in the Swiss franc and euro combined with
long position in the Norwegian krone detracted from the Trust&#146;s performance in the year ended December 31, 2011. The Trust&#146;s long positions in the Swedish krona and Australian dollar contributed positively to performance for the year.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust exploited three strategies (namely, relative value, momentum, and yield curve arbitrage or carry) across three different
asset classes during the year ended December 31, 2011. Of these three strategies, the yield curve arbitrage and relative value strategies delivered positive performances of 0.38% and 1.96%, respectively. On the other hand, the momentum strategies
returned (5.51)%. The underperformance in momentum strategy was the result of highly volatile equity, fixed income, and currency markets, which did not support sizeable trends that momentum techniques could benefit from. See figure 4 for the
performance of each strategy during the year ended December 31, 2011. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s annualized portfolio return volatility was 6.92%
for the year ended December 31, 2011, based on the daily performance of the Trust. The Trust experienced an increase in volatility relative to last year&#146;s reported number. This was primarily driven by Japan&#146;s natural disaster, the euro
zone sovereign debt crisis, and the concern over the U.S.&#146;s anemic recovery, and their effects on their local and global markets. Realized volatility was well within the stated target range for risk, and at the end of the reporting period the
Trust continued to maintain an expected annualized portfolio return volatility of 6% to 8%. As explained elsewhere in this prospectus, this range is being revised by the Advisor to 6% to 10% as of the date of this prospectus. (See &#147;Business of
the Trust&#151;Investment Objectives; Strategies&#151;Portfolio Construction&#148; above.) The Trust&#146;s proprietary risk model uses more than 19 years of historical return data to calculate the expected annualized portfolio return volatility.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The realized Sharpe ratio of the Trust&#146;s portfolio was (0.20) for the period from inception through the year ended December 31,
2011. The relatively large drop in the return of the portfolio combined with the increase in the portfolio&#146;s volatility, which was observed primarily in the third quarter, led to this negative risk-adjusted return. The upward shift in the
Trust&#146;s volatility was the result of increased uncertainty and </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">56 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
larger-than-usual volatilities in global markets. The Trust continues to target a long-term Sharpe ratio between 0.50 and 0.75. </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P> <P STYLE="margin-top:12px;margin-bottom:0px" ALIGN="center">


<IMG SRC="g410618g23y03.jpg" ALT="LOGO">
 </P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Figure 3: Asset class total return during the year ended December 31, 2011 </FONT></P>
<P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P> <P STYLE="margin-top:18px;margin-bottom:0px" ALIGN="center">


<IMG SRC="g410618g04o57.jpg" ALT="LOGO">
 </P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Figure 4: Strategy total return during the year ended December 31, 2011 </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><I>The Year Ended December 31, 2010 </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust returned 1.84%, net of fees and transaction costs,
for the year ended December 31, 2010. Positive performance was largely driven by the currency and the long-term fixed income market investments. However, the equity and short-term fixed income market investments detracted from the overall
performance. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">57 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Market Environment/Background </I></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The markets were relatively volatile for the year ended December 31, 2010. Uncertainty about the global recovery, its sustainability, and fear of a
double dip recession were some of the important elements that shaped markets across the world. These concerns were fueled by mixed global economic data, persistent high unemployment in the U.S., European Union sovereign credit risk distress, and the
fear of the contagion effect. These issues left the markets with a weak sentiment for the first half of the year and made investors cautious about taking risks. The ramification of these kinds of concerns also forced some typical hedge fund currency
strategies to unwind their positions between May and July 2010. However, some optimism took hold in the second half of the year as more encouraging economic news was released. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Equity and currency markets struggled in the first half of the year as mounting pressure on sovereign debt was back in the limelight. Greece&#146;s fiscal situation was the main concern and other European
countries, such as Spain, Portugal, and Ireland, took center stage later. These concerns jolted the currency market and the euro fell below U.S. $1.20, a four-year low. However, the results of the European Union area stress tests for financial
institutions, released mid-year, had some calming effects on the markets and the added transparency helped reduce the potential contagion effect. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Despite the concerns over the jobless recovery in the U.S., the steady gross domestic product (GDP) growth, positive earnings from blue chip companies, a second quantitative easing policy in the U.S. put forward by
the Federal Reserve, and the extension of the Bush-era tax cuts provided a strong rally in the U.S. equity markets in the second half of the year. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><I>Trust&#146;s Strategies&#146; Performance </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s investments in futures on long-term
bonds (bonds with maturities of more than one year) delivered a 2.51% return for the year ended December 31, 2010 (see figure 5). Uncertainty in the global market recovery and relatively volatile markets attracted investors to safer assets and
encouraged a flight to quality. On average, large long positions in U.S. Treasury bonds and United Kingdom gilts combined with the overall average large short position in the Australian bond markets added a positive contribution to the Trust&#146;s
performance. However, the overall short positions in the Canadian and Japanese government bonds detracted from performance. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The
Trust&#146;s investments in futures on short-term bonds (bonds with maturities of less than one year) underperformed and delivered (0.90)% for 2010 (see figure 5). The short-term end of the yield curve was volatile and did not allow for the markets
to establish a sizeable trend that momentum strategies could take advantage of. Performance from the overall large long euro-sterling asset was the largest positive contributor, while the short position in Euribor underperformed and pushed the
strategy&#146;s performance into the negative territory. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s investments in equity markets delivered a negative
performance of (0.49)% during the year ended December 31, 2010 (see figure 5). In general, equity markets had a poor performance in early 2010 and tumbled for the first half of the year. Uncertainty about the global recovery and European Union
sovereign debt default risk were frequently brought into the spotlight. The underperformance in the Trust&#146;s equity market investments was driven by the short positions in Hong Kong and Canadian equity markets. Meanwhile, on average, the long
positions in the German and Japanese equity markets contributed positively to the performance of this asset class during the year ended December 31, 2010. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust&#146;s investments in currency markets performed well during the year ended December 31, 2010 and delivered a 1.51% return (see figure 5). The main contributors to the performance were the overall large
long positions in the Australian dollar, Swedish krona, and Norwegian krone. Meanwhile, the large short positions in the euro and Swiss franc contributed negatively to the performance of the currency portfolio in 2010. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">58 </FONT></P>


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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust exploited three strategies (namely, relative value, momentum, and yield curve arbitrage or
carry) across three different asset classes during the year ended December 31, 2010. Of these three strategies, the carry and relative value strategies delivered positive returns of 5.29% and 0.86%, respectively. The momentum strategy, on the other
hand, had a negative contribution of (3.31)%. The underperformance in the momentum strategy was the result of highly volatile and range bound markets, which do not allow for the establishment of sizeable trends that market neutral long/short
momentum techniques could benefit from. See figure 6 for the performance of each strategy during the year ended December 31, 2010. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The
Trust realized portfolio return volatility of 4.7% for the year ended December 31, 2010, based on the daily performance of the Trust. This low return volatility, relative to the Trust&#146;s stated target, is partly due to higher than usual
correlations among assets within each asset class and low or negative correlations among the three strategies employed by the Trust. At the end of 2010 the Trust continued to maintain an expected annualized portfolio return volatility of 6% to 8%.
As explained elsewhere in this prospectus, this range is being revised by the Advisor to 6% to 10% as of the date of this prospectus. (See &#147;Business of the Trust&#151;Investment Objectives; Strategies&#151;Portfolio Construction&#148; above.)
The proprietary risk model uses more than 19 years of historical return data to calculate the expected annualized portfolio return volatility. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The realized Sharpe ratio of the Trust portfolio was 0.35 for the period from inception through December 31, 2010. This lower Sharpe ratio, compared to the stated target of 0.50, is partly due to lower realized
volatility of the portfolio. As mentioned above, the relatively higher volatility in different markets could lead to higher than usual correlations among assets within each asset class which, in turn, would lower the Trust&#146;s realized
volatility. However, the Trust continues to target a long-term Sharpe ratio between 0.50 and 0.75. </FONT></P> <P STYLE="font-size:24px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<P STYLE="margin-top:24px;margin-bottom:0px; margin-left:2%; text-indent:-2%">


<IMG SRC="g410618g81y96.jpg" ALT="LOGO">
 </P> <P STYLE="margin-top:8px;margin-bottom:0px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Figure 5: Asset class total return during the year ended December 31, 2010 </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">59 </FONT></P>


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<IMG SRC="g410618g07o13.jpg" ALT="LOGO">
 </P> <P STYLE="margin-top:8px;margin-bottom:0px; margin-left:2%; text-indent:-2%"><FONT STYLE="font-family:arial" SIZE="2">Figure 6: Strategy total return during the year ended December 31, 2010 </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Results of Operations </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust invested in
three broad asset classes: currency, equity, and fixed income through investments in forward and futures contracts and Short-Term Securities posted as margin to collateralize the Trust&#146;s portfolio of futures and/or forward contracts. The fixed
income asset class includes bond futures with duration greater than one year and short-term interest rate futures less than or equal to one year. See below for a discussion on the performance of the Trust for the six months ended June&nbsp;30, 2012,
year ended December&nbsp;31, 2011, 2010 and the period from October&nbsp;6, 2009 (Commencement of Operations) through December&nbsp;31, 2009. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>The
Six Months Ended June&nbsp;30, 2012 </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s net asset value decreased from $87,893,859 at December 31, 2011 to $58,340,835
at June&nbsp;30, 2012. The decrease in the Trust&#146;s net asset value resulted primarily from a decrease in outstanding Shares, which fell from 1,800,000 at December 31, 2011 to 1,200,000 at June&nbsp;30, 2012, due to zero Shares being created and
600,000&nbsp;Shares (6 Baskets) being redeemed during the period. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Net loss for the period was $266,322, resulting from a net investment
loss of $334,156 and a net realized and unrealized gain of $67,834. For the six months ended June&nbsp;30, 2012, the Trust had a net loss of $280 on short-term investments, a net realized and unrealized gain of $429,053 from forward currency
contracts, a net realized and unrealized loss of $379,089 from equity index futures, a net realized and unrealized loss of $178,415 from fixed income futures, and a net unrealized gain of $161,947 from foreign currency translations. Net realized and
unrealized loss for the period from futures contracts noted above do not reconcile to the Statement of Operations due to brokerage commissions and fees. Other than the Sponsor&#146;s fees of $331,440 and brokerage commissions and fees of $34,618,
the Trust had no other expenses during the period. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The decrease of $239,571 in total expenses from $605,629 for the six months ended
June&nbsp;30, 2011 to $366,058 for the six months ended June&nbsp;30, 2012, was primarily due to a decrease in the Sponsor&#146;s fee. The Sponsor&#146;s fee decreased due to a decrease in the Trust&#146;s net assets. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">60 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>The Year Ended December&nbsp;31, 2011 </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust&#146;s net asset value decreased from $110,938,681 at December&nbsp;31, 2010 to $87,893,859 at December&nbsp;31, 2011. The decrease in the Trust&#146;s net asset value resulted primarily from a decrease
in outstanding Shares, which fell from 2,200,000 at December&nbsp;31, 2010 to 1,800,000 at December&nbsp;31, 2011, due to 800,000 Shares (8 Baskets) being created and 1,200,000 Shares (12 Baskets) being redeemed during the year. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Net loss for the year was $4,241,958, resulting from a net investment loss of $1,108,231 and a net realized and unrealized loss of $3,133,727. For
the year ended December&nbsp;31, 2011, the Trust had a net gain of $13,430 from short-term investments, a net loss of $2,082,535 from forward currency contracts, a net loss of $246,392 from equity index futures, a net loss of $697,831 from fixed
income futures, and a net loss of $207,584 from foreign currency translations. Net realized and unrealized gain and loss for the year from futures contracts noted above do not reconcile to the Statement of Operations due to brokerage commissions and
fees. Other than the Sponsor&#146;s fees of $1,146,228 and brokerage commissions and fees of $87,185, the Trust had no other expenses during the year. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>The Year Ended December&nbsp;31, 2010 </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The
Trust&#146;s net asset value increased from $14,855,197 at December&nbsp;31, 2009 to $110,938,681 at December&nbsp;31, 2010. The increase in the Trust&#146;s net asset value resulted primarily from an increase in outstanding Shares, which rose from
300,000 at December&nbsp;31, 2009 to 2,200,000 at December&nbsp;31, 2010, due to 1,900,000 Shares (19 Baskets) being created and zero Shares being redeemed during the year. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Net gain for the year was $1,189,545, resulting from a net investment loss of $564,823 and a net realized and unrealized gain of $1,754,368. For the year ended December&nbsp;31, 2010, the Trust had a net gain of
$199 from short-term investments, a net gain of $524,090 from forward currency contracts, a net gain of $527,954 from equity index futures, a net gain of $558,549 from fixed income futures, and a net gain of $102,402 from foreign currency
translations. Net realized and unrealized gain and loss for the year from futures contracts noted above do not reconcile to the Statement of Operations due to brokerage commissions and fees. Other than the Sponsor&#146;s fees of $634,698 and
brokerage commissions and fees of $41,147, the Trust had no other expenses during the year. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>The Period from October&nbsp;6, 2009 (Commencement of
Operations) through December&nbsp;31, 2009 </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s net asset value increased from $9,998,145 at October&nbsp;6, 2009
(commencement of operations) to $14,855,197 at December&nbsp;31, 2009. The increase in the Trust&#146;s net asset value resulted primarily from an increase in outstanding Shares, which rose from 200,000 at October&nbsp;6, 2009 to 300,000 at
December&nbsp;31, 2009, due to 100,000 Shares (1 Basket) being created and zero Shares being redeemed during the period. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Net loss for
the period was $172,003, resulting from a net investment loss of $25,508 and a net realized and unrealized loss of $146,495. For the period from October&nbsp;6, 2009 (commencement of operations) through December&nbsp;31, 2009, the Trust had a net
gain of $52,368 from forward currency contracts, a net loss of $16,999 from equity index futures, a net loss of $177,755 from fixed income futures, and a net loss of $6,245 from foreign currency translations. Net realized and unrealized gain and
loss for the period from futures contracts noted above do not reconcile to the Statement of Operations due to brokerage commissions and fees. Other than the Sponsor&#146;s fees of $26,019 and brokerage commissions and fees of $1,933, the Trust had
no other expenses during the period. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">61 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Liquidity and Capital Resources </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">A significant portion of the assets of the Trust are held in cash, U.S. Treasury bills and other Short-Term Securities which are used, as needed, to secure the Trust&#146;s trading obligations in respect of a
portfolio of futures and/or forward contracts as described elsewhere in this report. The percentage that cash, U.S. Treasury bills and Short-Term Securities given as collateral bears to the total assets of the Trust varies from day to day, depending
on the changes in the market values of the contracts held in the Portfolio. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s liquidity needs arise in connection with
payment of (1)&nbsp;mark-to-market and termination costs of futures and forward contracts with respect to which the Trust is &#147;out of the money,&#148; (2)&nbsp;redemption of Baskets, (3)&nbsp;the Sponsor&#146;s Fee, (4)&nbsp;trading fees and
commissions, and (5)&nbsp;any expenses not assumed by the Sponsor. The Sponsor is not aware of any trends, demands, conditions or events that are reasonably likely to result in material changes to the Trust&#146;s liquidity needs. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust is expected to generate liquidity from (1)&nbsp;mark-to-market and termination payments received with respect to futures and forward
contracts with respect to which the Trust is &#147;in the money,&#148; (2)&nbsp;the sale of Baskets, (3)&nbsp;any interest on its cash and other instruments (including, when and to the extent they become available to the Trust, securities held as
collateral for the Trust&#146;s trading obligations), and (4)&nbsp;the disposition of its assets. Pursuant to the trust agreement, the Trust is prohibited from incurring any indebtedness for borrowed money. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s futures contracts may from time to time be subject to periods of illiquidity due to market conditions, regulatory limits or other
reasons. Futures exchanges limit the fluctuations during a single day of prices of the contracts traded on such exchanges by regulations known as &#147;daily limits.&#148; Once the price of a futures contract has increased or decreased by an amount
equal to the daily limit, positions in that contract can not be taken or liquidated unless the parties are willing to affect the trade at a price equal to or within the daily limit. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s Portfolio or one or more of its futures or forward contract positions may prove to be illiquid. Such illiquidity could cause or
exacerbate losses to the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Because the Portfolio may include a variety of trading positions, the Trust&#146;s capital is at risk
due to changes in the value of such positions or other assets (market risk) or the inability of counterparties to perform (credit risk). </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Market Risk </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Portfolio
consists of positions in certain futures and/or forward contracts and cash and financial instruments which may be used, as needed, to secure the Trust&#146;s trading obligations with respect to those trading positions. Depending upon the level of
diversification of the Portfolio at any given time, fluctuations in the value of one or more trading positions of the Trust may have a significant impact on the value of the Shares. The value of any futures and/or forward contracts in the Portfolio
at any time is expected to reflect the market value of the underlying asset, although this correlation may not be exact. The market risk associated with the trading positions in the Portfolio may, potentially, be the entire Portfolio. The
Trust&#146;s exposure to market risk is also influenced by a number of factors, including the liquidity of the assets in the Portfolio, market conditions in U.S. and non-U.S. markets, market volatility and activities of other market participants.
</FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><I>Credit Risk </I></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In
respect of each trading position in the Portfolio, the Trust is exposed to the credit risk of a default by the counterparties to over-the-counter trades and, with respect to exchange-traded contracts, of a
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">62 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
default by relevant brokers or the clearing institutions or exchanges through which such trades settle. In the case of such a default, the Trust could be unable to recover amounts due to it on
its trading positions and assets posted as margin. The Portfolio is also exposed to the credit risk of the obligors of any Short- Term Securities posted as margin. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Off-Balance Sheet Arrangements and Contractual Obligations </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust does not use and is not
expected to use special purpose entities to facilitate off-balance sheet financing arrangements. The Trust does not have and is not expected to have loan guarantee arrangements or other off-balance sheet arrangements of any kind other than
agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services that are in the interest of the Trust. While the Trust&#146;s exposure
under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Trust&#146;s financial position. The Trust is contractually obligated to maintain margin with its
clearing futures commission merchant and its prime broker. Under extreme circumstances, such contractual obligations could demand substantially all of the assets of the Trust. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Critical Accounting Policies </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The financial statements of the Trust and accompanying notes are
prepared in accordance with U.S. GAAP. The preparation of these financial statements relies on estimates and assumptions that impact the Trust&#146;s financial positions and results of operations. These estimates and assumptions affect the
Trust&#146;s application of accounting policies. Please refer to Note 2 to the financial statements of the Trust found elsewhere in this prospectus for a further discussion of the Trust&#146;s accounting policies. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">63 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_9"></A>DESCRIPTION OF THE SHARES AND THE TRUST AGREEMENT </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust is a statutory trust organized under the laws of the State of Delaware. The Trust intends to issue and redeem Shares on a continuous
basis. The required consideration for the Trust&#146;s issuance of Shares is cash. The Trust Agreement among the Sponsor, the Trustee and the Delaware Trustee governs the Trust and sets out the rights of the registered holders of the Shares and the
rights and obligations of the Sponsor, the Trustee and the Delaware Trustee. Delaware law governs the Trust Agreement, the Trust and the Shares. The following summary of material provisions of the Trust Agreement is qualified by reference to the
entire Trust Agreement, which is filed as an exhibit to the registration statement of which this prospectus is a part. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Each Share
represents a unit of fractional undivided beneficial interest in the net assets of the Trust. Substantially all of the assets of the Trust consist of the Portfolio held by the Trustee on behalf of the Trust. The Trust may hold a limited amount of
cash necessary to cover any expenses not assumed by the Sponsor or for other reasons, such as if a claim were to arise against an Authorized Participant, or any other third party, which would be settled in cash. Any cash held by the Settlement Agent
on behalf of the Trust would be held in a non-interest-bearing account. The Trust is not an investment company registered under the Investment Company Act and is not required to register under that Act. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust has delegated the processing of orders for the creation and redemption of Baskets to the Processing Agent. Certain books and records of
the Trust showing the names and addresses of all participants in the commodity pool are maintained at the offices of the Processing Agent at One Freedom Valley Drive, Oaks, PA 19456. The Processing Agent is not an affiliate of the Sponsor or the
Trustee. The Trust may terminate the Processing Agent at any time. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Creation of Baskets </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust intends to offer Baskets on a continuous basis to Authorized Participants. To order the issuance of a new Basket, an Authorized
Participant must submit a purchase order to the Processing Agent prior to 4:00 p.m. (New York time) on a day that is an Eligible Business Day. Purchase orders received after 4:00 p.m. (New York time) on an Eligible Business Day, or on a day that is
not an Eligible Business Day will be treated as received on the next following Eligible Business Day. A purchase order received on an Eligible Business Day that immediately precedes a day on which there is no scheduled exchange trading session for
one or more of the futures contracts purchased or sold, or that may be purchased or sold, by the Trust on such day is referred to as a &#147;Special Purchase Order.&#148; </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">After submitting a purchase order on an Eligible Business Day, the purchasing Authorized Participant must deposit with the Settlement Agent, by 6:00 p.m. (New York time) on the same day, an amount equal to 105%
(110% in the case of a Special Purchase Order) of the Basket Amount announced by the Trust on the immediately preceding Business Day (the &#147;Deposit Amount&#148;). If the Settlement Agent does not receive the deposit, the purchase order is
automatically cancelled. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">To receive the Shares comprising a new Basket, the purchasing Authorized Participant must pay to the Trust
Administrator the sum of (i) the Basket Amount announced by the Trust on the first Business Day immediately following the day when the purchase order was received by the Processing Agent, as purchase price of such new Shares, plus (ii) a transaction
fee of $800 per purchase order, plus (iii)&nbsp;in the case of a Special Purchase Order, any extraordinary losses, costs or expenses incurred in connection with the execution of trades related to such Special Purchase Order (such sum, the
&#147;Purchase Order Execution Price&#148;). </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If the Deposit Amount received from the purchasing Authorized Participant is equal to, or
greater than, the Purchase Order Execution Price, the Trust issues the new Basket on the second Business Day (the third Business Day, in the case of a Special Purchase Order) following the day when the purchase order was </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">64 </FONT></P>


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received by the Processing Agent and returns to the purchasing Authorized Participant the excess (if any) of the Deposit Amount over the Purchase Order Execution Price (without any interest
thereon). In all other cases, the Trust only issues the new Shares when the purchasing Authorized Participant has deposited with the Settlement Agent immediately available funds in an amount equal to the difference between (i) the Purchase Order
Execution Price and (ii) the Deposit Amount. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Only Authorized Participants are able to transfer the required consideration and receive
Baskets in exchange. Authorized Participants may act for their own accounts or as agents for broker-dealers, custodians and other securities market participants that wish to create or redeem Baskets. An Authorized Participant has no obligation to
create or redeem Baskets for itself or on behalf of other persons. An order for one or more Baskets may be placed by an Authorized Participant on behalf of multiple clients. The Sponsor and the Trustee maintain a current list of Authorized
Participants. As of the date of this prospectus, Barclays Capital Inc., Citigroup Global Markets, Inc., Credit Suisse Securities (USA) LLC, Knight Clearing Services LLC and UBS Securities LLC are the only Authorized Participants. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust has the absolute right to reject any creation order, including, without limitation, (1)&nbsp;creation orders that the Trust determines
are not in proper form, (2)&nbsp;creation orders that the Trust determines would have adverse tax or other consequences to the Trust or the Shareholders, (3)&nbsp;creation orders the acceptance of which would, in the opinion of counsel to the Trust
or the Sponsor, result in a violation of law, (4) creation orders in respect of which the Settlement Agent has not received the corresponding Deposit Amount by 5 p.m. on the date the creation order was received, or (5) during any period in which
circumstances make transactions in, or settlement or delivery of, Shares or components of the Portfolio impossible or impractical. Neither the Trustee nor the Sponsor nor any of their agents will be liable to any person for the Trust&#146;s
rejection of a creation order. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Redemption of Baskets </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust intends to redeem Baskets on a continuous basis from Authorized Participants. To redeem a Basket, an Authorized Participant must submit its redemption order to the Processing Agent prior to 4:00&nbsp;p.m.
(New York time) on a day that is an Eligible Business Day. Redemption orders received after 4:00&nbsp;p.m. (New York time) on an Eligible Business Day, or on a day that is not an Eligible Business Day will be treated as received on the next
following Eligible Business Day. A redemption order received on an Eligible Business Day that immediately precedes a day on which there is no scheduled exchange trading session for one or more of the futures contracts purchased or sold, or that may
be purchased or sold, by the Trust on such day is referred to as a &#147;Special Redemption Order&#148;. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">After submitting a redemption
order on an Eligible Business Day, the redeeming Authorized Participant must, not later than 6:00 p.m. (New York time) on the same day, either </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">(i) confirm in writing to the Settlement Agent that the Shares comprising the Baskets to be redeemed have been transferred by the redeeming Authorized Participant from its account at DTC to the Settlement
Agent&#146;s account at DTC, or </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">(ii) deposit with the Settlement Agent an amount per Basket to be redeemed equal to 105% (110% in the
case of a Special Redemption Order) of the Basket Amount announced by the Trust on the immediately preceding Business Day (the &#147;Deposit Amount&#148;). </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">If such confirmation or deposit is not received, the redemption order is automatically cancelled. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The amount of cash that a redeeming Authorized Participant is entitled to receive from the Trust Administrator in exchange for a Basket surrendered
to the Trust Administrator for redemption is an amount equal to (i) the Basket Amount announced by the Trust on the first Business Day immediately following the </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">65 </FONT></P>


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day when the redemption order was&nbsp;received by the Processing Agent, minus (ii) a transaction fee of $800 per redemption order, minus (iii)&nbsp;in the case of a Special Redemption Order, any
extraordinary losses, costs or expenses incurred in connection with the&nbsp;execution of trades related to such Special Redemption Order (such amount, the &#147;Redemption Order Execution Price&#148;). </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Once the redeeming Authorized Participant has transferred to the Settlement Agent&#146;s account at DTC the total number of Shares comprising the
Baskets to be redeemed, the Trust Administrator will credit the redeeming Authorized Participant&#146;s account at DTC with an amount equal to the sum of (i) the Redemption Order Execution Price and (ii) the Deposit Amount (if any) deposited by the
redeeming Authorized Participant; the payment to the redeeming Authorized Participant will take place not earlier than on the second Business Day (the third Business Day, in the case of a Special Redemption Order), and (in the discretion of the
Trust) not later than the fourth Business Day, following the date when the redemption order was received by the Processing Agent. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The
Trust has the absolute right to reject any redemption order, including, without limitation, (1)&nbsp;redemption orders that the Trust has determined are not in proper form, (2)&nbsp;redemption orders the acceptance of which would, in the opinion of
counsel to the Trust or the Sponsor, result in a violation of law, or (3) during any period in which circumstances make transactions in, or settlement or delivery of, Shares or components of the Portfolio impossible or impractical. Neither the
Trustee nor the Sponsor nor any of their agents will be liable to any person for the Trust&#146;s rejection of a redemption order. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Certificates
Evidencing the Shares </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Shares are evidenced by certificates executed and delivered by the Trustee on behalf of the Trust. DTC has
accepted the Shares for settlement through its book-entry settlement system. So long as the Shares are eligible for DTC settlement, there will be only one certificate evidencing Shares, registered in the name of a nominee of DTC. Investors are able
to own Shares only in the form of book-entry security entitlements with DTC or direct or indirect participants in DTC. No investor is entitled to receive a separate certificate evidencing Shares. Because Shares can be held only in the form of book
entries through DTC and its participants, investors must rely on DTC, a DTC participant and any other financial intermediary through which they hold Shares to receive the benefits and exercise the rights described in this section. Investors should
consult with their broker or financial institution to find out about the procedures and requirements for securities held in DTC book-entry form. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Limitation of Liabilities </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">You cannot lose
more than your investment in the Shares. Under Delaware law, Shareholders&#146; liability is limited to the same extent as the liability of stockholders of a for profit Delaware business corporation. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Cash and Other Distributions </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If the Sponsor
determines, in its absolute discretion, that there is more cash being held in the Trust than is reasonably expected to be invested or needed to pay the Trust&#146;s expenses in the near future, the Sponsor at its absolute discretion can direct the
Trustee to distribute the extra cash to the Shareholders. The Trust has no obligation and is not expected to make periodic distributions to Shareholders. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">If the Trust receives any property in respect of Trust property other than cash, the Trustee, at the direction of the Sponsor, may distribute that property to the Shareholders by any means lawful, equitable or
feasible. If the Trustee cannot distribute the property proportionately among the Shareholders, the Trustee, at the direction of the Sponsor, may adopt any other method that it deems to be lawful, equitable and feasible, including public or private
sale. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">66 </FONT></P>


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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Registered holders of Shares will receive these distributions in proportion to the number of Shares
owned. Before making a distribution, the Trustee will deduct any applicable withholding taxes and any fees and expenses of the Trust that have not been paid. It will distribute only whole United States dollars and cents and will round fractional
cents down to the nearest whole cent. Neither the Sponsor nor the Trustee will be responsible if the Sponsor determines that it is unlawful or impractical to make a distribution available to registered holders. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Share Splits </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If requested by the Sponsor,
the Trustee will declare a split or a reverse split in the number of Shares outstanding. The Trustee will not be required to distribute any fraction of a Share in connection with a split or reverse split of the Shares. The Trustee may sell the
aggregated fractions of Shares that would otherwise be distributed in a split or reverse split of the Shares or the amount of Trust property that would be represented by those Shares and distribute the net proceeds of those Shares or that Trust
property to the Shareholders entitled to&nbsp;them. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Voting Rights </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Shares do not have any voting rights. However, registered holders of at least 25% of the Shares have the right to require the Trustee to cure any material breach by it of the Trust Agreement, and registered holders
of at least 75% of the Shares have the right to require the Trustee to terminate the Trust as described under &#147;&#151;Amendment and Dissolution.&#148; </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Taxes and Other Charges in Connection with Creations and Redemptions </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Under the terms of the
Trust Agreement, Authorized Participants creating or redeeming Baskets are obligated to pay any taxes, governmental charges or stock transfer or similar fees in connection with such creation or redemption. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Payment of Taxes </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trustee may deduct the
amount of any taxes owed from any distributions to the Shareholders. It may also sell Trust assets, by public or private sale, to pay any taxes owed. Registered holders of Shares remain liable if the proceeds of the sale are not enough to pay the
taxes. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Valuation of the Trust Assets </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">See &#147;Business of the Trust&#151;Computation of the Trust&#146;s Net Asset Value.&#148; </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Limitations on
Obligations and Liability </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust Agreement expressly limits the obligations of the Sponsor and the Trustee. It also limits the
liability of the Sponsor and the Trustee. The Sponsor and the Trustee: </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">are obligated to take only the actions specifically set forth in the Trust Agreement without negligence or bad faith; </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">are not liable if either of them is prevented or delayed by law or circumstances beyond their control from performing their obligations under the Trust
Agreement; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">are not liable if they exercise or fail to exercise discretion permitted under the Trust Agreement; </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">have no obligation to prosecute a lawsuit or other proceeding related to the Shares or the Trust property on behalf of any holders of Shares or on behalf of any
other person; and </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">67 </FONT></P>


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<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">may rely upon any advice or information from other persons they believe in good faith to be competent to provide such advice or information.
</FONT></P></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, the Sponsor is entitled to be indemnified by the Trust for any liability or expense it incurs without
negligence, bad faith or willful misconduct on its part. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Amendment and Dissolution </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor and the Trustee may agree to amend the Trust Agreement without the consent of the Shareholders. If an amendment imposes or increases
fees or charges (except for taxes and other governmental charges) or prejudices a substantial existing right of the Shareholders, it will not become effective until 30 days after the Trustee notifies the registered holders of the amendment. At the
time an amendment becomes effective, by continuing to hold Shares, investors are deemed to agree to the amendment and to be bound by the Trust Agreement as amended. However, no amendment to the Trust Agreement may be made if, as a result of such
amendment, it would cause the Trust to be taxable as an association taxable as a corporation for U.S. federal income tax purposes. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The
Trustee will dissolve the Trust if: </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">the Trustee is notified that the Shares are delisted from NYSE Arca and are not approved for listing on another national securities exchange within five Business
Days of their delisting; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">registered holders of at least 75% of the outstanding Shares notify the Trustee that they elect to dissolve the Trust; </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">sixty days have elapsed since the Trustee notified the Sponsor of the Trustee&#146;s election to resign, and a successor trustee has not been appointed and
accepted its appointment; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">the SEC (or its staff) or a court of competent jurisdiction determines that the Trust is an investment company under the Investment Company Act, and the Trustee
has actual knowledge of that determination; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">the Sponsor notifies the Trustee in writing that it has determined, in its discretion, that the dissolution of the Trust is advisable. Such circumstances might
occur, by way of illustration and not of limitation, if (1)&nbsp;legal, regulatory or market changes result in a decrease of investment opportunities available to the Trust in compliance with its investment objective and strategies; (2)&nbsp;it
becomes impossible to compute the net asset value of the Portfolio or to assess accuracy of such valuations; or (3)&nbsp;the value of the Portfolio is below a level such that continued operation of the Trust is not cost effective;
</FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">the Trust is treated as an association taxable as a corporation for U.S. federal income tax purposes, and the Trustee receives notice from the Sponsor that the
Sponsor has determined that the dissolution of the Trust is advisable; or </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">DTC is unable or unwilling to continue to perform its functions, and a comparable replacement is unavailable. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trustee will notify DTC at least 30 days before the date for dissolution of the Trust. After dissolution, the Trustee and its agents will do
the following under the Trust Agreement but nothing else: (1)&nbsp;collect distributions pertaining to Trust property, (2)&nbsp;pay the Trust&#146;s expenses and sell assets as necessary to meet those expenses and (3)&nbsp;deliver Trust property
upon surrender and cancellation of Shares. Ninety days or more after dissolution, the Trustee may sell any remaining Trust property in a public or private sale. After that, the Trustee will hold the money it received on the sale and any other cash
it is holding under the Trust Agreement for the <I>pro rata</I> benefit of the registered holders that have not surrendered their Shares. The Trustee will not invest the money and will have no liability for interest. The
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">68 </FONT></P>


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Trustee&#146;s only obligations will be to account for the money and other cash, after deduction of applicable fees, trust expenses and taxes and governmental charges. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Requirements for Trustee Actions </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Before the
Trustee registers a transfer of Shares, makes a distribution on Shares, or permits the withdrawal of Trust property, the Trustee may require: </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">payment of stock transfer or other taxes or other governmental charges and transfer or registration fees charged by third parties for the transfer of any Shares
or Trust property; </FONT></P></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">satisfactory proof of the identity and genuineness of any signature or other information it deems necessary; and </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">compliance with regulations it may establish, from time to time, consistent with the Trust Agreement, including the presentation of transfer documents.
</FONT></P></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust may suspend the delivery of Shares, registrations of transfer of Shares and surrenders of Shares for the
purpose of withdrawing Trust property generally, or may refuse particular deposit, transfer or withdrawal requests at any time when the books of the Trustee are closed or at any time if the Trustee or the Sponsor determines that it is necessary or
advisable to do so for any reason. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Delegation by the Trustee to the Trust Administrator or Agent </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trustee may delegate all or some of its duties under the Trust Agreement to an agent, including the Trust Administrator, without the consent of
the Sponsor, any Authorized Participant or any Shareholders. The Trustee may terminate any Trust Administrator or agent at any time and is not required to appoint a new Trust Administrator or agent. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Custody of Certain Trust Assets </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The
creation and redemption of Baskets is effected through cash transactions, which involve contemporaneous transfers. To the extent the Trust has property that requires a custodian, the Trustee will appoint an agent qualified to maintain the property
of the Trust. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Replacement of the Trustee </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trustee may resign at any time and its resignation will take effect upon the appointment of a successor Trustee and its acceptance of such appointment. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor may remove the Trustee in its discretion at any time after the first anniversary of the date of the Trust Agreement. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If at any time the Trustee ceases to be a Qualified Bank or is in material breach of its obligations under the Trust Agreement and the Trustee
fails to cure such breach within thirty (30) days after receipt of written notice from the Sponsor, or registered holders of at least 25% of the outstanding Shares, specifying such default and requiring the Trustee to cure such default, the Sponsor
may remove the Trustee and the removal will take effect upon the appointment of a successor Trustee and its acceptance of such appointment. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">If the Trustee resigns or is removed, the Sponsor will use its reasonable efforts to appoint a successor Trustee, which must be a Qualified Bank. Every successor Trustee shall be required to execute and deliver to
its predecessor and to the Sponsor an instrument in writing accepting its appointment. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">69 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_10"></A>THE SECURITIES DEPOSITORY; BOOK-ENTRY-ONLY SYSTEM; GLOBAL SECURITY
</B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">DTC acts as securities depository for the Shares. DTC is a limited-purpose trust company organized under the laws of the State of
New York, a member of the Federal Reserve System, a &#147;clearing corporation&#148; within the meaning of the New York Uniform Commercial Code, and a &#147;clearing agency&#148; registered pursuant to the provisions of Section&nbsp;17A of the
Exchange Act. DTC was created to hold securities of its participants and to facilitate the clearance and settlement of transactions in those securities among DTC Participants through electronic book-entry changes. This eliminates the need for
physical movement of securities certificates. DTC Participants include securities brokers and dealers, banks, trust companies, clearing corporations, and certain other organizations, some of whom (and/or their representatives) own DTC. Access to the
DTC system is also available to others such as banks, brokers, dealers and trust companies that clear through or maintain a custodial relationship with a DTC Participant, either directly or indirectly. DTC agrees with and represents to its
participants that it will administer its book-entry system in accordance with its rules and by-laws and requirements of law. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Individual
certificates are not issued for the Shares. Instead, a global certificate has been signed by the Trustee on behalf of the Trust, registered in the name of Cede&nbsp;&amp; Co., as nominee for DTC, and deposited with the Trustee on behalf of DTC. The
global certificate represents all of the Shares outstanding at any time. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Upon the settlement date of any creation, transfer or
redemption of Shares, DTC credits or debits, on its book-entry registration and transfer system, the number of Shares so created, transferred or redeemed to the accounts of the appropriate DTC Participants. The Trustee and the DTC Participants
designate the accounts to be credited and charged in the case of creation or redemption of Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Beneficial ownership of the Shares
is limited to DTC Participants, Indirect Participants and persons holding interests through DTC Participants and Indirect Participants. Owners of beneficial interests in the Shares are shown on, and the transfers of ownership are effected only
through, records maintained by DTC, with respect to DTC Participants, the records of DTC Participants, with respect to Indirect Participants, and the records of Indirect Participants with respect to beneficial owners that are not DTC Participants or
Indirect Participants. Beneficial owners are expected to receive from or through a DTC Participant a written confirmation relating to their purchase of the Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Investors may transfer Shares through DTC by instructing the DTC Participant or Indirect Participant through which they hold their Shares to transfer the Shares. Transfers will be made in accordance with standard
securities industry practice. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">DTC may decide to discontinue providing its service for the Shares by giving notice to the Trustee and
the Sponsor. Under these circumstances, the Trustee and the Sponsor will either find a replacement for DTC to perform its functions at a comparable cost or, if a replacement is unavailable, the Trust will be dissolved. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The rights of the Shareholders generally must be exercised by DTC Participants acting on their behalf in accordance with the rules and procedures
of DTC. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust Agreement provides that, as long as the Shares are represented by a global certificate registered in the name of DTC
or its nominee, the Trustee will be entitled to treat DTC as the holder of the Shares. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">70 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_11"></A>THE SPONSOR </B></FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>The Sponsor </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor is
iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC, a Delaware limited liability company. The Sponsor&#146;s primary business function
with respect to the Trust is to direct the actions of the Trustee in the management of the Trust and to act as commodity pool operator of the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Sponsor was formed as a Delaware limited liability company on June&nbsp;16, 2009. The sole member and manager of the Sponsor is BlackRock Asset Management International Inc. (formerly known as Barclays Global
Investors International, Inc.), a Delaware corporation. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">BlackRock Asset Management International Inc., the sole
member and manager of the Sponsor, was organized as a Delaware corporation on March&nbsp;22, 1990. Since January 2004, BlackRock Asset Management International Inc. has held an equity interest in a securities lending platform. Since January 2005,
BlackRock Asset Management International Inc. has served as sponsor of the iShares Gold Trust (the &#147;Gold Trust&#148;), a trust that publicly offers shares registered with the SEC. Since April 2006, BlackRock Asset Management International Inc.
has served as sponsor of the iShares</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Silver Trust (the &#147;Silver
Trust&#148;), a trust that publicly offers shares registered with the SEC. Neither the Gold Trust nor the Silver Trust is a commodity pool regulated by the CFTC or the NFA. Since July 2006, BlackRock Asset Management International Inc. has served as
sponsor and commodity pool operator of the iShares</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> S&amp;P GSCI</FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#153;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Commodity-Indexed Trust and manager and commodity pool operator of the iShares<FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> S&amp;P
GSCI<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#153;</SUP></FONT> Commodity-Indexed Investing Pool. Since October 2007, BlackRock Asset Management International Inc. has served as
sponsor of the iShares</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Mexico Trust, a trust that issues Mexican
exchange-traded equity funds. Since December 2008, BlackRock Asset Management International Inc. has served as sponsor of the following Brazilian exchange-traded equity funds: iShares</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Ibovespa Fundo de Indice, iShares</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> BM&amp;FBovespa Small Cap Fundo de Indice, and iShares</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> BM&amp;FBovespa MidLarge Cap Fundo de Indice. BlackRock Asset Management International Inc. has been registered under the CEA
as a commodity pool operator since October 13, 2005, and is a member of the NFA. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor has been registered under the CEA as a
commodity pool operator and has been a member of the NFA since June 22, 2009. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor&#146;s principal office is located at 400
Howard Street, San&nbsp;Francisco, CA 94105. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Certain performance data regarding the sole member and manager of the Sponsor may be found
on pages&nbsp;86-88. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor arranged for the creation of the Trust, the registration of the Shares for their public offering and
the listing of the Shares on NYSE Arca. The Sponsor is obligated under the Trust Agreement to pay the following administrative, operational and marketing expenses: (1)&nbsp;the fees of the Trustee, the Advisor, the Delaware Trustee, the Trust
Administrator and the Processing Agent, (2)&nbsp;NYSE Arca listing fees, (3)&nbsp;printing and mailing costs, (4)&nbsp;audit fees, (5)&nbsp;fees for registration of the Shares with the SEC, (6)&nbsp;tax reporting costs and (7)&nbsp;legal expenses up
to $100,000 annually. In recognition of its paying these expenses, the Sponsor is entitled to receive as the Sponsor&#146;s Fee an allocation that accrues daily at an annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust and is
payable by the Trust monthly in arrears. For a description of how the net asset value of the Trust is calculated, see &#147;Business of the Trust&#151;Computation of the Trust&#146;s Net Asset Value.&#148; </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor may remove the Trustee and appoint a successor Trustee if the Trustee ceases to meet certain objective requirements, or if, having
received written notice of a material breach of its obligations under the Trust Agreement, the Trustee has not cured the breach within 30 days. The Sponsor may also </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">71 </FONT></P>


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replace the Trustee during the 90 days following any merger, consolidation or conversion in which the Trustee is not the surviving entity or, in its discretion, at any time following the first
anniversary of the creation of the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Except as described below, neither the Sponsor nor any of its principals are expected to hold
any beneficial interest in the Trust (other than the Sponsor&#146;s nominal investment in Shares in connection with its role as Tax Matters Partner of the Trust). The Sponsor and its principals are permitted to trade commodity interests for their
own accounts only in accordance with the Sponsor&#146;s code of ethics. The Sponsor does not intend to permit Shareholders to review its records with respect to any such trading or any written policies related to such trading. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Principals and Key Personnel of the Sponsor </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Patrick Dunne is the President, Chief Executive Officer and Director and Jack Gee is the Chief Financial Officer of the Sponsor. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor is managed by a Board of Directors composed of Philip Jensen, Peter F. Landini, Kimun Lee, Patrick Dunne and Manish Mehta. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Mr. Dunne</I> became a principal of iShares Delaware Trust Sponsor LLC in September 2011 and has served as its President and Chief Executive
Officer since September 2011. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">Mr. Dunne has served as Global Chief Operating Officer of the iShares<FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> business from October 2010 to October 2011. Prior to that, Mr. Dunne served as Global Head of Securities Lending and Cash
Management business from December 2005 to April 2008. Prior to that, Mr. Dunne served as Head of Securities Lending, North America from August 2003 to December 2005; Chief Operating Officer of BGIS Europe business from January 2002 to August 2003;
Head of Strategy, BGIS North America from August 2000 to December 2001; Head of Fixed Income Trading from February 1995 to August 1999; Senior Fixed Income Trader from February 1994 to March 1995; and Fixed Income Portfolio Manager from February
1992 to February 1994. Mr. Dunne became a registered associated person of BlackRock Fund Advisors, a commodity trading advisor registered with the CFTC, in May 1995. Mr. Dunne joined BlackRock Institutional Trust Company, N.A., a national banking
association and a commodity trading advisor registered with the CFTC, in October 1991 as an Equity Portfolio Manager in the Portfolio Management Group and became a registered associated person of BlackRock Institutional Trust Company, N.A. in March
1998. Mr. Dunne served as a principal of Barclays Global Investors Ltd., a commodity trading advisor formerly registered with the CFTC, from May 2003 to December 2005 and as a registered associated person of Barclays Global Investors Ltd. from
September 2003 to December 2005. Prior to joining BlackRock Institutional Trust Company, N.A., Mr. Dunne served as a Marketing Research Associate at Merrill Lynch &amp; Co. from May 1991 to October 1991. Mr. Dunne earned a Bachelor of Arts degree in
economics from the University of California at Berkeley in 1991 and a Master of Science degree in management from the Stanford Graduate School of Business in 2000. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2"><I>Jack Gee</I> became a principal of iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC in September 2011 and serves as Chief Financial Officer. Mr. Gee became a principal of BlackRock Asset Management International Inc., a
commodity pool operator registered with the CFTC, in December 2011 and serves as Chief Financial Officer, Chief Operating Officer and Director. Mr. Gee joined BlackRock Institutional Trust Company, N.A., a national banking association and a
commodity trading advisor registered with the CFTC, as a Principal in September 2004 and served as Director of US Fund Administration of BlackRock Institutional Trust Company N.A. from September 2004 to January 2010. Since January 2010, Mr. Gee has
served as Managing Director of BlackRock Institutional Trust Company, N.A. Prior to joining BlackRock Institutional Trust Company, N.A., Mr.&nbsp;Gee served as Chief Financial Officer of Parnassus Investments, an investment adviser registered with
the SEC, from March 2004 to September 2004; Chief Financial Officer of Cazenave </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">72 </FONT></P>


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Partners, an investment adviser registered with the SEC, from October 2003 to March 2004; Controller of Paul Capital Partners, an investment firm focusing on the secondary private equity and
healthcare market, from October 2002 to October 2003; Chief Financial Officer of Fremont Investment Advisors, Inc., an investment adviser formerly registered with the SEC, from October 1997 to September 2002. Mr. Gee earned a Bachelor of Science
degree in accounting from the California State University in 1982. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Manish Mehta </I>became a principal of the Sponsor in March 2012
and serves as Director. Mr. Mehta joined BlackRock Institutional Trust Company, N.A., a national banking association and a commodity trading advisor registered with the CFTC, as a Managing Director in November 2011. Prior to that, Mr. Mehta served
as Managing Partner of CHJ Capital Management, a financial services firm, from March 2011 to November 2011. From March 2005 to January 2011 Mr. Mehta served as Head of Strategy and Corporate Development at BlackRock Institutional Trust Company, N.A.
Prior to joining BlackRock Institutional Trust Company, N.A. in March 2005, Mr. Mehta served as consultant and principal at Boston Consulting Group, a global management consulting firm, from September 2000 to March 2005. Mr. Mehta earned a Bachelor
of Science degree in Electrical Engineering and Computer Sciences from the University of California, Berkeley in 1993 and an MBA from the Wharton School at the University of Pennsylvania in 2000. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Philip Jensen</I> became a principal of the Sponsor in September 2009, and is Chairman of the Sponsor&#146;s audit committee. Since June 2001,
Mr.&nbsp;Jensen has served as Partner and Chief Financial Officer of Paul Capital Partners, an investment firm focusing on the secondary private equity and healthcare market. Mr.&nbsp;Jensen received his Bachelor of Science from San Francisco State
University and is a certified public accountant. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Peter F. Landini</I> became a principal of the Sponsor in September 2009 and is a
member of the Sponsor&#146;s audit committee. In January 2003, Mr.&nbsp;Landini joined RBP Investment Advisors, Inc., a financial planning consultancy firm, for which he presently serves as Partner and Wealth Manager. Mr.&nbsp;Landini received his
Bachelor of Science degree in Accounting from Santa Clara University and an MBA in Finance from Golden Gate University. Mr.&nbsp;Landini is a certified financial planner and is a member of the Financial Planning Association. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Kimun Lee</I> became a principal of the Sponsor in September 2009, and is a member of the Sponsor&#146;s audit committee. Mr.&nbsp;Lee is a
California-registered investment adviser and has conducted his consulting business under the name Resources Consolidated since January 1980. Since September 2010, Mr. Lee has served as a member of the Board of directors of Firsthand Technology Value
Fund, Inc., a mutual fund company. Until January 2005 Mr.&nbsp;Lee also served as a member of the board of directors of Fremont Mutual Funds, Inc., a mutual fund company. Mr.&nbsp;Lee received his Bachelor of Arts from the University of the Pacific
and an MBA from University of Nevada, Reno. He also completed the executive education program on corporate governance at Stanford Graduate School of Business. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2"><I>Reza Estilaei, Ph.D</I>., became a principal of the Sponsor in June 2012. Dr. Estilaei joined BlackRock Institutional Trust Company, N.A., a national banking association and a commodity trading advisor
registered with the CFTC, in May 2006 and serves as Portfolio Manager and Researcher. Prior to BlackRock Institutional Trust Company, N.A., Dr. Estilaei served as a Principal and Researcher at Mellon Capital Management, a commodity trading advisor
registered with the CFTC, from May 2004 to April 2006. Prior to that, Dr. Estilaei attended the University of California, Berkeley from March 2002 to March 2004. Dr. Estilaei earned a Bachelor of Science degree in physics from the University of
California, Riverside in 1990, a Ph.D. in physics from the University of British Columbia in 1998 and a Masters in financial engineering from the University of California, Berkeley in 2004. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Russ Koesterich</I> became a principal of the Sponsor in June 2012. Mr. Koesterich joined BlackRock Institutional Trust Company, N.A., a
national banking association and a commodity trading advisor registered with the CFTC, in March 2005. Since October 2010, Mr. Koesterich has served as Global Head </FONT></P>
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of Strategy of the iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> business. Mr. Koesterich served as a
Senior Portfolio manager from March 2005 to March 2007, Head of U.S. Strategy for Active Equity from April 2007 to December 2008 and Head of Global Strategy for Active Equity from January 2009 to September 2010. Prior to BlackRock Institutional
Trust Company, N.A., Mr. Koesterich served as Head of North American Strategy of State Street Bank and Trust, a national banking association, from June 2002 to March 2005. Mr. Koesterich earned a Bachelor of Arts degree in history from Brandeis
University in 1987, a Juris Doctor degree from Boston College in 1990 and an MBA from Columbia University in 1995. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">BlackRock Asset Management International Inc. became a principal of the Sponsor in June 2009 and Daniel Waltcher became a
principal of the Sponsor in February 2012. Greg Savage became a principal and associated person of the Sponsor in July 2012. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">74 </FONT></P>


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<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trustee of the Trust is BlackRock Institutional Trust Company, N.A. (formerly known as Barclays Global Investors, N.A.), a national banking
association. The Trustee&#146;s principal office is located at 400 Howard Street, San Francisco, CA 94105. The Trustee has authority to delegate certain of its responsibilities under the Trust Agreement to a Trust Administrator or agent. The Trustee
maintains certain books and records of the Trust relating to communications with Shareholders and the Advisor at the offices of the Trustee. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">State Street Bank&nbsp;and Trust Company, a banking corporation organized under the laws of Massachusetts, serves as the Trust Administrator. State Street Bank&nbsp;and Trust Company&#146;s principal office is
located at One Lincoln Street, Boston, MA 02111. State Street Bank&nbsp;and Trust Company is subject to supervision by the Massachusetts Commissioner of Banks and the Board of Governors of the Federal Reserve System. Information regarding creation
and redemption of Shares, Basket composition, the net asset value of the Trust, transaction fees and the names of the parties that have executed an Authorized Participant Agreement may be obtained from State Street Bank&nbsp;and Trust Company by
calling the following number: 1-800-474-2737. A copy of the Trust Agreement is available for inspection at the Trust Administrator&#146;s office identified above. Books and records of the Trust are maintained at this office of State Street Bank and
Trust Company (other than records maintained by the Trustee or the Processing Agent as described herein). </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trustee has delegated the
valuation of certain assets of the Trust for purposes of the daily calculation of the net asset value of the Trust to the Trust Administrator. The Trustee may terminate the Trust Administrator at any time or appoint different agents to act on its
behalf. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trustee&#146;s fees are paid by the Sponsor. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trustee and any of its affiliates may from time to time purchase or sell Shares for their own account, as agent for their customers and for accounts over which they exercise investment discretion. </FONT></P>
<P STYLE="margin-top:24px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_13"></A>THE DELAWARE TRUSTEE </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Wilmington Trust Company serves as the Delaware Trustee of the Trust. The Delaware Trustee is not entitled to exercise any of the powers, or have any of the duties or responsibilities, of the Trustee. The Delaware
Trustee is a trustee of the Trust for the sole and limited purpose of fulfilling the requirements of the Delaware Statutory Trust Act. </FONT></P>
<P STYLE="margin-top:24px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_14"></A>THE ADVISOR </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Advisor is BlackRock Fund Advisors (formerly known as Barclays Global Fund Advisors), a California corporation. The Advisor serves as the commodity trading advisor for the Portfolio. The Advisor has been
registered as a commodity trading advisor under the CEA since April&nbsp;5, 1993 and is a member of the NFA. The Trust has entered into a commodity trading advisor agreement with the Advisor, which provides the Advisor with discretionary authority
to make all determinations with respect to the Portfolio&#146;s assets, subject to specified limitations which seek to ensure that: (i)&nbsp;the Trust does not become an investment company subject to the registration requirements of the Investment
Company Act, and (ii) the Trust meets the requirements of the Code and regulations thereunder to be treated as a partnership for federal income tax purposes<B></B><B></B>. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Except as described below, neither the Advisor nor any of its principals are expected to hold any beneficial interest in the Trust. The Advisor and its principals are permitted to trade commodity interests
</FONT></P>
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for their own accounts only in accordance with the Advisor&#146;s code of ethics. The Advisor does not intend to permit Shareholders to review its records with respect to any such trading or any
written policies related to such trading. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Certain performance data regarding the Advisor may be found on pages&nbsp;86-88. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Principals and Key Personnel of the Advisor </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Laurence Fink is the Chief Executive Officer, Michael Latham is the Co-Chief Operating Officer and Ann Marie Petach is the Chief Financial Officer
of the Advisor. Reza Estilaei and Russ Koesterich are principals of the Advisor and are principally responsible for the trading decisions of the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Advisor is managed by a Board of Directors, which is composed of Laurence Fink, Robert Kapito and Daniel Waltcher. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2"><I>Laurence Fink </I>became a principal of BlackRock Fund Advisors, an investment adviser registered with the SEC and commodity trading advisor registered with the CFTC, in December 2009. Mr. Fink has served as
Director, Chairman and Chief Executive Officer of BlackRock Fund Advisors since December 2009. Mr. Fink has served as Chairman, Chief Executive Officer and Director of BlackRock Inc., a global asset management firm, since January 1998; Chief
Executive Officer of BlackRock Advisors, LLC, an investment management company, since September 1994; Chairman, Chief Executive Officer and Director of BlackRock Financial Management, Inc., an investment management company, since April 1988 and as
principal since May 1997; Chief Executive Officer of BlackRock Capital Management, Inc., an investment management company, since November 1999; Chief Executive Officer of Blackrock Institutional Management Corporation, an investment management
company, since February 1998; Chief Executive Officer of BlackRock Investment Management, LLC, an investment management company, since September 2006 and a principal since August 2008; Chairman, Chief Executive Officer and Director of State Street
Research &amp; Management Company, an investment management company, since February 2005; a principal of EnSo Capital Management LLC, an investment management company, since May 2002 and a principal of EnSo Capital Management II LLC from July 2002
to November 2009. Mr. Fink received his MBA from the University of California Los Angeles in 1976 and his Bachelor of Science in Political Science from California State University Northridge in 1974. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2"><I>Michael Latham</I> became a principal and associated person of BlackRock Fund Advisors, an investment adviser registered
with the SEC and commodity trading advisor registered with the CFTC in March 2010. Mr. Latham became a principal of BlackRock Asset Management International Inc., a commodity pool operator registered with the CFTC in February 2006 and an associated
person of BAMII in January 2010. Mr.&nbsp;Latham has served as Chief Executive Officer and President of BAMII since December 2009 and Director of BAMII since October 2005. Mr. Latham served as Chief Financial Officer of BAMII from October 2005 to
December 2009. Mr.&nbsp;Latham served as Director of iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC, a commodity pool operator from
June 2009 to September 2011 and served as its Chief Executive Officer and President from December 2009 to September 2011. Mr. Latham was a principal of iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC from June 2009 to September 2011 and an associated person of iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC from January 2010 to September 2011.&nbsp;Mr. Latham has served as Co-Chief Operating Officer of BFA since March 2010. Mr. Latham has
served as the global head of the iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> business since July 2010. Mr.&nbsp;Latham served as the head of the iShares<FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> business for the United States and Canada from January 2006 to July 2010. Prior to that, Mr.&nbsp;Latham served as the Chief
Operating Officer of the U.S. Individual Investor and the Exchange Traded Fund business of BTC, a national banking association and commodity trading advisor registered with the CFTC, from January 2000 to January 2006. Mr.&nbsp;Latham served as
deputy head of operations and subsequently head of operations for BlackRock Advisors (UK) Limited, a U.K. asset manager from August 1997 to January 2000. From August 1994 to August 1997, Mr. Latham was a manager in the Portfolio Accounting Group at
BTC. Prior to joining BTC, Mr.&nbsp;Latham was an </FONT></P>
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auditor at Ernst&nbsp;&amp; Young from September 1989 to August 1994. Mr.&nbsp;Latham received his Bachelor of Science in Business Administration from the San Francisco State University and is a
certified public accountant. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Ann Marie Petach </I>became a principal of BlackRock Institutional Trust Company, N.A., a national
banking association and a commodity trading advisor registered with the CFTC, and BlackRock Fund Advisors, an investment adviser registered with the SEC and commodity trading advisor registered with the CFTC, in December 2009. Ms. Petach has served
as Director of BlackRock Institutional Trust Company, N.A. since December 2009, and Chief Financial Officer of BlackRock Fund Advisors since December 2009. Ms. Petach has served as Managing Director of BlackRock Inc., a global asset management firm,
since June 2007 and as its Chief Financial Officer since June 2008; Managing Director of BlackRock Advisors, LLC, an investment management company, since June 2007 and as its Chief Financial Officer since June 2008; Managing Director of BlackRock
Capital Management, Inc., an investment management company, since June 2007 and as its Chief Financial Officer since June 2008; Managing Director of BlackRock Financial Management Inc., an investment management company, since June 2007, its Chief
Financial Officer since June 2008 and as principal since September 2008; Managing Director of Blackrock Institutional Management Corporation, an investment management company and a commodity trading advisor registered with the CFTC, since June 2007
and as its Chief Financial Officer since June 2008; Managing Director of BlackRock Investment Management, LLC, an investment management company, since June 2007, Chief Financial Officer since June 2008 and as principal since September 2008; Managing
Director of State Street Research &amp; Management Company, an investment management company, since June 2007 and as Chief Financial Officer since June 2008; Assistant Treasurer of Ford Motor Company, a multinational automotive manufacturer, from
January 1998 to November 2004 and Vice President and Treasurer from November 2004 to June 2007. Ms. Petach received a Bachelor of Arts in Business and Spanish from Muhlenberg College in 1982 and an MBA from Carnegie Mellon University in 1984.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Robert Kapito </I>became a principal of BlackRock Fund Advisors, an investment adviser registered with the SEC and commodity trading
advisor registered with the CFTC, in December 2009 and has served as Director and President since December 2009. Mr. Kapito has served as Director and Vice Chairman of BlackRock Inc., a global asset management firm, from January 1998 to September
2007 and as its President since September 2007; Director and Vice Chairman of BlackRock Advisors, LLC, an investment management company, from February 1998 to September 2007 and as its President since September 2007; Director and Vice Chairman of
BlackRock Capital Management, Inc., an investment management company, from November 1999 to September 2007 and as its President since September 2007; Director and Vice Chairman of BlackRock Financial Management, Inc., an investment management
company, from April 1988 to September 2007, and as President since September 2007, principal since May 1997 and associated person since October 1997; Director and Vice Chairman of Blackrock Institutional Management Corporation, an investment
management company, from February 1998 to September 2007, and as President since September 2007; Director and Vice Chairman of BlackRock Investment Management LLC, an investment management company, from September 2006 to September 2007, as President
since September 2007 and as a principal since November 2008; Director and Vice Chairman of State Street Research &amp; Management Company, an investment management company, from February 2005 to September 2007, and as President since September 2007.
Mr. Kapito received his Bachelor of Science in Economics from the Wharton School of the University of Pennsylvania in 1979 and his MBA from the Harvard Graduate School of Business in 1983. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Daniel Waltcher</I> joined BlackRock Fund Advisors, an investment adviser registered with the SEC and commodity trading advisor registered with
the CFTC, in December 2009. Mr.&nbsp;Waltcher has served as Director of BlackRock Fund Advisors since December 2009, principal of BlackRock Fund Advisors since January 2010 and Secretary of BlackRock Fund Advisors since February 2012.
Mr.&nbsp;Waltcher has served as Deputy General Counsel and Managing Director of BlackRock Inc., a global asset management firm, since January 2005. From October 1998 to December 2001, Mr.&nbsp;Waltcher served as Director and Senior Counsel
</FONT></P>
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at BlackRock, Inc. and from January 2002 to December 2004, he served as Managing Director and Senior Counsel at that entity. Mr.&nbsp;Waltcher became a principal and serves as Managing Director
of BlackRock Asset Management International Inc., a commodity pool operator registered with the CFTC, BlackRock Financial Management Inc, an investment management company and a commodity trading adviser registered with the CFTC, BlackRock
Institutional Trust Company, N.A., a national banking association and a commodity trading advisor registered with the CFTC and BlackRock Investment Management LLC, an investment management company since February 2012. Mr.&nbsp;Waltcher became a
principal and serves as Secretary and Managing Director of iShares Delaware Trust Sponsor LLC, a commodity pool operator, since February 2012. Previously, Mr.&nbsp;Waltcher was Senior Counsel of Chancellor Capital Management, Inc., a money
management firm, from July 1995 to September 1998 and an associate at Simpson Thacher&nbsp;&amp; Bartlett, a law firm, from October 1989 to June 1995. Mr.&nbsp;Waltcher received his Bachelor of Arts from Cornell University in 1984 and his JD from
Cornell Law School in 1989. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I></I><I>BlackRock Delaware Holdings, Inc.</I>, a Delaware Corporation and an indirect subsidiary of
BlackRock, Inc., became a principal of the Advisor in July 2012. BlackRock Delaware Holdings, Inc. owns 100% of the equity of the Advisor. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Prior to July 2012, the Advisor was owned by BlackRock Institutional Trust Company, N.A., a national banking association and an indirect subsidiary of BlackRock, Inc. and was a principal of the Advisor from
December 2009 to July 2012. On January&nbsp;20, 2012, BlackRock Institutional Trust Company, N.A. (&#147;BTC&#148;), without admitting or denying wrongdoing entered into an Offer of Settlement with the CFTC under which BTC agreed to the imposition
of a $250,000 penalty and the entry of an Order to resolve allegations by the CFTC that two trades by BTC violated Section&nbsp;4c(a)(1) of the Commodity Exchange Act and CFTC Regulation 1.38(a).&nbsp;BTC also agreed to cease and desist from any
further violations of these statutes.&nbsp;The CFTC did not allege that any clients of BTC, BlackRock or any related affiliate were harmed in any way in the execution of these two trades. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Greg Savage, a Senior Portfolio Manager and Team Leader, became a principal and an associated person of the Advisor in March 2009. Michael Latham,
Co-Chief Operating Officer of the Advisor, became a principal and associated person of the Advisor in March 2010. Ryan Braniff, Head of a Business Unit, became a principal of the Advisor in October 2008. Reza Estilaei, Head of a Business Function,
became a principal of the Advisor in July 2012. Russ Koesterich, Head of a Business Unit, became a principal of the Advisor in July 2012. </FONT></P>
<P STYLE="margin-top:24px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_15"></A>THE FUTURES COMMISSION MERCHANT </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust has entered into a futures customer account agreement with a futures commission merchant (the &#147;Clearing FCM&#148;) that provides for the execution and clearing of transactions in futures, payment of
commissions, custody of assets and other standard provisions. Barclays Capital Inc. (&#147;BCI&#148;) is the Clearing FCM of the Trust. The Trust may employ other futures commission merchants or foreign brokers for the execution of futures
transactions. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">BCI is a registered securities broker-dealer and futures commission merchant. BCI is involved in a number of judicial and
arbitration matters arising in connection with the conduct of its business. BCI&#146;s management believes, based on currently available information, that the results of such proceedings will not have a significant adverse effect on BCI&#146;s
financial condition. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">On September 15, 2009 motions were filed in the United States Bankruptcy Court for the Southern District of New
York (the Court) by Lehman Brothers Holdings Inc. (LBHI), the SIPA Trustee for Lehman Brothers Inc. (the SIPA Trustee) and the Official Committee of Unsecured Creditors of Lehman Brothers Holdings Inc. (the Committee). All three motions challenge
certain aspects of the transaction pursuant to which BCI and other companies in the Barclays Group acquired most of the assets of Lehman Brothers Inc. (LBI) in September 2008 and the court order approving such sale. The claimants seek an order:
voiding the transfer of certain assets to BCI; requiring BCI to return to the LBI estate alleged excess value BCI received; </FONT></P>
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and declaring that BCI is not entitled to certain assets that it claims pursuant to the sale documents and order approving the sale. On November 16, 2009, LBHI, the SIPA Trustee and the Committee
filed separate complaints in the Bankruptcy Court asserting claims against BCI based on the same underlying allegations as the pending motions and seeking relief similar to that which is requested in the motions. On January 29, 2010 BCI filed its
response to the motions. BCI considers that the motions and claims against it are without merit and is vigorously defending its position. On January 29, 2010, BCI also filed a motion seeking delivery of certain assets that LBHI and LBI have failed
to deliver as required by the sale documents and the court order approving the sale. Claimants completed the presentation of their fact evidence on June 25, 2010. It is not possible to estimate any possible loss to BCI in relation to these matters
or any effect that these matters might have upon operating results in any particular financial period. According to the annual report on Form 20-F filed by Barclays with the Securities and Exchange Commission on March&nbsp;30, 2012, on February 22,
2011, the Court issued its Opinion in relation to these matters, rejecting the Rule 60 Claims and deciding some of the Contract Claims in the SIPA Trustee&#146;s favor and some in favor of BCI. On July&nbsp;15, 2011, the Court entered final Orders
implementing its Opinion. BCI and the SIPA Trustee have each filed a notice of appeal from the Court&#146;s adverse rulings on the Contract Claims. LBHI and the Committee have withdrawn their notices of appeal from the Court&#146;s ruling on the
Rule 60 Claims, rendering the Court&#146;s Order on the Rule 60 Claims final. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If the final Orders relating to the Contract Claims were
to be unaffected by future proceedings, Barclays estimates that after taking into account the effective provision of US$1.2bn (&pound;0.8bn), its loss would be approximately US$4.3bn (&pound;2.8bn). Any such loss, however, is not considered probable
and Barclays is satisfied with the current level of provision. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, LBHI had been pursuing a claim for approximately US$500m
relating to bonuses that BCI was allegedly obligated to pay to former Lehman employees. On September&nbsp;14, 2011, the Court issued a decision dismissing that claim and entered a final Order to that effect on September&nbsp;21, 2011. LBHI has
stated that it will not appeal that decision, rendering the Order dismissing that claim final. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Also, according to the Barclays Form
20-F filing on March&nbsp;30, 2012, the United States Federal Housing Finance Agency (FHFA), acting for two US government sponsored enterprises, Fannie Mae and Freddie Mac (collectively, the GSEs), filed lawsuits against 17 financial institutions in
connection with the GSEs&#146; purchases of residential mortgage-backed securities (RMBS). The lawsuits allege, among other things, that the RMBS offering materials contained materially false and misleading statements and/or omissions. Barclays Bank
PLC and/or certain of its affiliates or former employees are named in two of these lawsuits, relating to sales between 2005 and 2007 of RMBS, in which BCI was lead or co-lead underwriter. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Both complaints demand, among other things: rescission and recovery of the consideration paid for the RMBS; and recovery for the GSEs&#146; alleged
monetary losses arising out of their ownership of the RMBS. The complaints are similar to other civil actions filed against Barclays Bank PLC and/or certain of its affiliates by other plaintiffs, including the Federal Home Loan Bank of Seattle,
Federal Home Loan Bank of Boston, Federal Home Loan Bank of Chicago, Cambridge Place Investment Management, Inc., HSH Nordbank AG (and affiliates) and Stichting Pensioenfonds ABP, relating to their purchases of RMBS. Barclays considers that the
claims against it are without merit and intends to defend them vigorously. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The original amount of RMBS related to the claims against
Barclays in these cases totaled approximately US$6.8bn, of which approximately US$2.0bn was outstanding as at December&nbsp;31, 2011. Cumulative losses reported on these RMBS as at December&nbsp;31, 2011 were approximately US$0.1bn. If Barclays were
to lose these cases it could incur a loss of up to the outstanding amount of the RMBS at the time of judgment (taking into account further principal payments after December&nbsp;31, 2011) plus any cumulative losses on the RMBS at such time and any
interest, fees and costs, less the market value of the RMBS at such time. Barclays has estimated the total market value of the RMBS as at December&nbsp;31, 2011 to be approximately US$1.1bn. Barclays may be entitled to indemnification for a portion
of any losses. </FONT></P>
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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Also, according to the Barclays Bank PLC Form 20-F filing on March&nbsp;30, 2012, Barclays Bank PLC,
Barclays PLC and various current and former members of Barclays PLC&#146;s Board of Directors have been named as defendants in five proposed securities class actions (which have been consolidated) pending in the United States District Court for the
Southern District of New York (the Court). The consolidated amended complaint, dated February&nbsp;12, 2010, alleges that the registration statements relating to American Depositary Shares representing Preferred Stock, Series 2, 3, 4 and 5 (the ADS)
offered by Barclays Bank PLC at various times between 2006 and 2008 contained misstatements and omissions concerning (amongst other things) Barclays portfolio of mortgage-related (including US subprime-related) securities, Barclays exposure to
mortgage and credit market risk and Barclays financial condition. The consolidated amended complaint asserts claims under Sections 11, 12(a)(2) and 15 of the Securities Act of 1933. On January&nbsp;5, 2011, the Court issued an order and, on
January&nbsp;7, 2011, judgment was entered, granting the defendants&#146; motion to dismiss the complaint in its entirety and closing the case. On February&nbsp;4, 2011, the plaintiffs filed a motion asking the Court to reconsider in part its
dismissal order. On May&nbsp;31, 2011, the Court denied in full the plaintiffs&#146; motion for reconsideration. The plaintiffs have appealed both decisions (the grant of the defendants&#146; motion to dismiss and the denial of the plaintiffs&#146;
motion for reconsideration) to the United States Court of Appeals for the Second Circuit. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Barclays considers that these ADS-related
claims against it are without merit and is defending them vigorously. It is not practicable to estimate Barclays possible loss in relation to these claims or any effect that they might have upon operating results in any particular financial period.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Also, according to the Barclays Bank PLC Form 20-F filing on March&nbsp;30, 2012, on January&nbsp;13, 2009, Barclays commenced an
action in the Ontario Superior Court seeking an order that its early terminations earlier that day of two credit default swaps under an ISDA Master Agreement with the Devonshire Trust (Devonshire), an asset-backed commercial paper conduit trust,
were valid. On the same day, Devonshire purported to terminate the swaps on the ground that Barclays had failed to provide liquidity support to Devonshire&#146;s commercial paper when required to do so. On&nbsp;September 7, 2011, the court ruled
that Barclays early terminations were invalid, Devonshire&#146;s early terminations were valid and, consequently, Devonshire was entitled to receive back from Barclays cash collateral of approximately C$533m together with accrued interest thereon.
Barclays is appealing the court&#146;s decision. If the court&#146;s decision were to be unaffected by future proceedings, Barclays estimates that its loss would be approximately C$500m, less any impairment provisions taken by Barclays for this
matter. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, the CFTC, the Securities and Exchange Commission, the U.S. Department of Justice Fraud Section (DOJ-FS) and
Antitrust Division, and the Financial Services Authority (FSA) are among various authorities conducting investigations into submissions made by Barclays Bank PLC (BCI&#146;s ultimate parent) and other panel members to the bodies that set various
interbank offered rates, such as the London Interbank Offered Rate (LIBOR) and the Euro Interbank Offered Rate (EURIBOR). On June&nbsp;27, 2012, Barclays PLC, Barclays Bank PLC and BCI announced that they had reached a settlement with the CFTC. A
penalty of $200 million was paid by the Barclays entities in connection with the CFTC settlement. On June&nbsp;27, 2012, Barclays Bank PLC also announced that it had reached a settlement with the FSA by entry into a Settlement Agreement and with
DOJ-FS by entry into a Non-Prosecution Agreement with the U.S. Department of Justice. Barclays has agreed to pay total penalties of &pound;290&nbsp;million (sterling equivalent) in connection with these three resolutions with the CFTC, DOJ-FS and
the FSA. In addition, Barclays Bank PLC announced that it has been granted conditional leniency from the Antitrust Division of the Department of Justice in connection with potential US antitrust law violations with respect to financial instruments
that reference EURIBOR. On July&nbsp;6, 2012, the U.K. Serious Fraud Office announced that it had decided formally to accept the LIBOR matter for investigation. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">A number of civil cases containing allegations relating to LIBOR and other interbank rates have been filed against Barclays and other banks, including: Kalaway v. Barclays, PLC et al., S.D.N.Y., No.&nbsp;12-cv-5280
and Gusinsky v. Barclays, PLC et al., S.D.N.Y., No.&nbsp;12-cv-5329. A class action was commenced on July&nbsp;6, </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">80 </FONT></P>


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2012 in the United States District Court for the Southern District of New York (SDNY) against BCI, Barclays Bank PLC and other EURIBOR panel banks by plaintiffs that purchased or sold
EURIBOR-related financial instruments between January&nbsp;1, 2005 through December&nbsp;31, 2009. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">BCI, Barclays PLC and Barclays Bank
PLC also have been named as defendants along with a current and a former member of Barclays PLC&#146;s Board of Directors in a proposed securities class action pending in the SDNY in connection with Barclays Bank PLC&#146;s role as a contributor
panel bank to LIBOR. The complaint alleges that Barclays PLC&#146;s Annual Reports on Form 20-F for the years 2006 to 2011 contained misstatements and omissions concerning (among other things) its compliance with its operational risk management
processes and certain laws and regulations. The complaint is brought on behalf of a proposed class consisting of all persons or entities (other than defendants) who purchased Barclays PLC-sponsored American Depositary Receipts on an American
securities exchange between July&nbsp;10, 2007 and June&nbsp;27, 2012. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">There have been no other administrative, civil or criminal
actions, whether pending or concluded, against BCI within the last 5 years that would be considered to be material as defined in Section 4.24(l)(2) of the Regulations under the CEA. Neither BCI nor any affiliate, officer, director or employee
thereof has passed on the merits of this prospectus or offering, or gives any guarantee as to the performance or any other aspect of the Fund. </FONT></P> <P STYLE="margin-top:24px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_16"></A>THE FOREIGN CURRENCY PRIME BROKER </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust has entered into an
agreement with The Royal Bank of Scotland plc for the provision of prime brokerage services to the Trust.&nbsp;This agreement is not exclusive and, accordingly, the Trust may from time to time use prime brokerage services from other sources. See
&#147;<I>Risk</I><I> </I><I>Factors&#151;Risks Related to Derivatives Contracts&#151;When entering into foreign currency forward contracts, the Trust assumes the risk that its counterparties may become unable or</I><I> </I><I>unwilling</I><I>
</I><I>to pay any amounts owed to the Trust</I>&#148; and &#147;&#151;<I>Failure of the Clearing FCM to segregate assets or the insolvency of the Trust&#146;s primer broker may increase losses.</I>&#148; </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">81 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_17"></A>CONFLICTS OF INTEREST </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>General </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I>Prospective investors should be
aware that the Sponsor intends to assert that Shareholders have, by purchasing Shares, consented to the following conflicts of interest in the event of any proceeding alleging that such conflicts violated any duty owed by the Sponsor to the
Shareholders. </I></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor, the Advisor and the Trustee want you to know that there are certain entities with which the Sponsor, the
Advisor or the Trustee may have relationships that may give rise to conflicts of interest, or the appearance of conflicts of interest. These entities include the following: affiliates of the Advisor, the Sponsor and the Trustee (including BlackRock,
Inc., and<B> </B>The PNC Financial Services Group, Inc<B>. </B>and each of their affiliates, directors, partners, trustees, managing members, officers and employees (collectively, the &#147;Affiliates&#148;)). </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The activities of the Sponsor, the Advisor, the Trustee and the Affiliates in the management of, or their interest in, their own accounts and other
accounts they manage, may present conflicts of interest that could disadvantage the Trust and its shareholders. The Sponsor, the Advisor, the Trustee or the Affiliates provide investment management services to other funds and discretionary managed
accounts that may follow an investment program similar to that of the Trust. The Sponsor, the Advisor, the Trustee and the Affiliates are involved worldwide with a broad spectrum of financial services and asset management activities and may engage
in the ordinary course of business in activities in which their interests or the interests of their clients may conflict with those of the Trust. The Sponsor, the Advisor, the Trustees or one or more Affiliates act or may act as an investor,
investment banker, research provider, investment manager, financier, underwriter, advisor, market maker, trader, prime broker, lender, agent and principal, and have other direct and indirect interests, in assets in which the Trust directly and
indirectly invest. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Thus, it is likely that the Trust will have multiple business relationships with and will invest in, engage in
transactions with, make voting decisions with respect to, or obtain services from entities for which the Sponsor, the Advisor, the Trustee or an Affiliate performs or seeks to perform investment banking or other services. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor, the Advisor, the Trustee and one or more Affiliates may engage in proprietary trading and advise accounts and funds that have
investment objectives similar to those of the Trust and/or that engage in and compete for transactions in the same types of assets as the Trust. The trading activities of the Sponsor, the Advisor, the Trustee and the Affiliates are carried out
without reference to positions held directly or indirectly by the Trust and may result in the Sponsor, the Advisor, the Trustee or an Affiliate having positions that are adverse to those of the Trust. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">No Affiliate is under any obligation to share any investment opportunity, idea or strategy with the Trust. As a result, an Affiliate may compete
with the Trust for appropriate investment opportunities. As a result of this and several other factors, the results of the Trust&#146;s investment activities may differ from those of an Affiliate and of other accounts managed by an Affiliate and it
is possible that the Trust could sustain losses during periods in which one or more Affiliate and other accounts achieve profits on their trading for proprietary or other accounts. The opposite result is also possible. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust may, from time to time, enter into transactions in which other clients of the Sponsor, the Advisor, the Trustee or an Affiliate have an
adverse interest. Furthermore, transactions undertaken by Affiliate-advised clients may adversely impact the Trust. Transactions by one or more Affiliate-advised clients or the Sponsor, the Advisor, the Trustee or the Affiliate may have the effect
of diluting or otherwise disadvantaging the values, prices or investment strategies of the Trust. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">82 </FONT></P>


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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s activities may be limited because of regulatory restrictions applicable to one or
more Affiliates and/or their internal policies designed to comply with such restrictions. An Affiliate may have business relationships with and purchase or distribute or sell services or products from or to distributors, consultants or others who
recommend the Trust or who engage in transactions with or for the Trust, and may receive compensation for such services. The Trust may also make brokerage and other payments to Affiliates in connection with the Trust&#146;s portfolio investment
transactions. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The activities of the Sponsor, the Advisor, the Trustee or the Affiliates may give rise to other conflicts of interest
that could disadvantage the Trust and its shareholders. The Sponsor, the Advisor and the Trustee have adopted policies and procedures designed to address these potential conflicts of interest. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>The Sponsor </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor is an affiliate of
the Trustee and the Advisor therefore, the Sponsor may have a conflict of interest with respect to its oversight of the Trustee or the Advisor. In particular, the Sponsor, which has authority to remove the Trustee and the Advisor in its discretion,
will have an incentive not to exercise this authority, even when it is in the best interests of the Shareholders to do so, because of the relationship between the entities. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">In addition, the Sponsor has a conflict of interest in allocating its own limited resources among different clients and potential future business ventures, to each of which it owes different duties. The
professional staff of the Sponsor also services other affiliates of the Sponsor and their respective clients. Although the Sponsor and its professional staff cannot and will not devote all of its or their respective time or resources to the
management of the business and affairs of the Trust, the Sponsor intends to devote, and to cause its professional staff to devote, sufficient time and resources properly to manage the business and affairs of the Trust consistent with its or their
respective duties to the Trust and others. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">As described elsewhere in this prospectus, the Sponsor is entitled to receive from the Trust
as the Sponsor&#146;s Fee an allocation that accrues daily at an annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust and is payable monthly in arrears. See &#147;Business of the Trust&#151;Computation of the Trust&#146;s Net
Asset Value.&#148; This allocation may be higher than the amount the Trust would negotiate with an unaffiliated third party on an arm&#146;s-length basis. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>The Advisor </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Advisor may, from time to time, have conflicting demands in respect of its
obligations to the Trust. The Advisor and its affiliates may engage in trading activities relating to derivative instruments that are not for the account of, or on behalf of, the Trust or the Shareholders. These activities may present a conflict
between the Shareholders&#146; interest in the Shares and the interest of the Advisor and its affiliates in their proprietary accounts, in facilitating transactions, including derivatives transactions, for their customers&#146; accounts and in
accounts under their management. These trading activities, if they influence the value of the Portfolio, could be adverse to the interests of the Shareholders. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">A conflict of interest may also arise where the Advisor finds that futures positions established for the benefit of the Trust, when aggregated with the Advisor&#146;s positions in other accounts of the Advisor (or
the proprietary or other positions of its principals or affiliates) approach or exceed the position limits set by the CFTC or the relevant futures exchange in a particular asset. All futures contracts managed by the Advisor and its affiliates in
respect of a particular futures contract are combined for position limit purposes. It is possible that the Advisor may approach or reach such position limits and, if so, will have a conflict of interest among the various accounts it manages as to
which accounts are allocated the limited contracts available. In addition, if the position limits are exceeded by the Advisor (or its principals or affiliates) in the opinion of the CFTC or other regulatory body, exchange, or board of trade, the
Advisor may be forced to </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">83 </FONT></P>


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liquidate certain positions in order to comply with the applicable position limit requirements. In liquidating positions held on behalf of its accounts, however, the Advisor may choose not to
liquidate positions held on behalf of the Trust in proportion to other accounts under its management. The result to the Trust would be a reduction in the potential for profit and/or potentially substantial losses should the exit of positions be at
unfavorable prices by virtue of position limits. Although the Advisor may be able to achieve the same performance results with over-the-counter substitutes for futures contracts, the over-the-counter market may be subject to differing prices, lesser
liquidity and greater counterparty credit risks than the regulated commodities exchanges. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Certain affiliates of the Advisor, including
BlackRock Institutional Trust Company, N.A., may currently or in the future offer products or pursue investment strategies that may utilize or include some or all of the strategies and/or exposures targeted by the Trust, or which may compete or
conflict with the Trust&#146;s activities. Further, a conflict of interest may also arise where the Advisor receives an incentive-based fee in lieu of, or in addition to, an asset-based fee for its advisory services in respect of certain accounts,
other than the Trust, under its management. Unlike the asset-based fee arrangement established between the Advisor and the Trust, an account with an incentive-based fee arrangement would pay the Advisor a portion of that account&#146;s gains or
provide additional compensation if the Advisor meets or exceeds specified performance targets. It is possible that the Advisor may devote greater resources and allocate more investment opportunities to the accounts that have incentive-based fee
arrangements, relative to other accounts under the Advisor&#146;s management, including the Trust, in order to earn higher compensation. Although the Advisor intends to allocate resources and opportunities equitably among accounts under its
management regardless of the existing fee arrangements, the Advisor may choose not to do so. The result would be a reduction in the potential opportunities for profit and adverse effect on the price of the Shares. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Moreover, the Sponsor, the Advisor and/or their affiliates have published and in the future expect to publish research reports with respect to
commodities markets. This research may express opinions or provide recommendations that are inconsistent with purchasing or holding Shares or with positions taken in the Portfolio. The research should not be viewed as a recommendation or endorsement
of the Shares in any way, and investors must make their own independent investigation of the merits of this investment. Any of these activities by the Sponsor, the Advisor and their affiliates may affect the value of the Portfolio and the price of
the Shares. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>The Clearing FCM </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Clearing FCM receives a brokerage commission for futures interests transactions effected for the Trust. Customers of the Clearing FCM who
maintain commodity trading accounts may pay commissions at negotiated rates which are greater or less than the rate paid by the Trust. The Sponsor has a disincentive to replace the Clearing FCM as the Trust&#146;s futures commission merchant because
of the existing relationship between the two entities. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor and the Clearing FCM may, from time-to-time, have conflicting
demands in respect of their obligations to the Trust, and, in the future, to other commodity pools and accounts. It is possible that future pools that the Sponsor may become involved with may generate larger brokerage commissions, resulting in
increased payments to the Clearing FCM. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, the Clearing FCM may act from time-to-time as a futures commission merchant for
other accounts with which it is affiliated or in which it or one of its affiliates has a financial interest. The compensation received by the Clearing FCM from such accounts may be more or less than the compensation received for brokerage services
provided to the Trust. In addition, various accounts traded through the Clearing FCM (and over which their personnel may have discretionary trading authority) may take positions in the futures markets opposite to those of the Trust or may compete
with the Trust for the same positions. The Clearing FCM may have a conflict of interest in its execution of trades for the Trust and </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">84 </FONT></P>


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for other customers. The Sponsor will, however, not retain any futures commission merchant for the Trust which the Sponsor has reason to believe would knowingly or deliberately favor any other
customer over the Trust with respect to the execution of commodity trades. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Clearing FCM benefits from executing orders for other
customers, whereas the Trust may be harmed to the extent that the Clearing FCM has fewer resources to allocate to the Trust&#146;s accounts due to the existence of such other customers. Certain officers or employees of the Clearing FCM may be
members of United States commodities exchanges and/or serve on the governing bodies and standing committees of such exchanges, their clearing houses and/or various other industry organizations. In such capacities, these officers or employees may
have a fiduciary duty to the exchanges, their clearing houses and/or such various other industry organizations which could compel such employees to act in the best interests of these entities, perhaps to the detriment of the Trust. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>The Trustee </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trustee is authorized to
appoint an unaffiliated Trust Administrator or agent to carry out all or some of its duties under the Trust Agreement, but it is able to terminate or replace the Trust Administrator or agent at any time, and is not required to delegate any of its
duties to an unaffiliated third party. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>No Distributions </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Sponsor has discretionary authority over all distributions made by the Trust. If the Sponsor determines that there is more cash being held in the Trust than is reasonably expected to be invested or needed to
pay the Trust&#146;s expenses in the near future, the Sponsor at its absolute discretion can direct the Trustee to distribute the extra cash to the Shareholders. The Trust has no obligation to make, and does not expect to make periodic distributions
to Shareholders. The Sponsor receives greater Sponsor&#146;s Fees as the value of the Portfolio&#146;s net assets increase. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Resolution of Certain
Conflicts </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust Agreement provides that in the case of a conflict of interest among the Trustee, the Sponsor and their
affiliates, on the one hand, and the holders of Shares, on the other, the Trustee and Sponsor will resolve such conflict considering the relevant interests of each party (including their own interests) and related benefits and burdens, any customary
or accepted industry practices, and any applicable generally accepted accounting practices or principles. The Trust Agreement provides that in the absence of bad faith by the Sponsor or Trustee, such a resolution will not constitute a breach of the
Trust Agreement or any duty or obligation of the Sponsor or Trustee. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">85 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_18"></A>CERTAIN PERFORMANCE DATA </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The following information is
presented in accordance with CFTC regulations. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">All summary performance information is given as of August 31, 2012. Performance
information is set forth in accordance with CFTC regulations, since November 16, 2009. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><B>T</B><B>he returns set forth below
refle</B><B>ct a maximum targeted annual portf</B><B>olio return volatility of 8%. </B><B>As explained elsewhere in this prospectus, this range is being revised by the Advisor to 6% to 10% as of the date of this prospectus. </B>(See &#147;Business
of the Trust&#151;Investment Objectives; Strategies&#151;Portfolio Construction&#148; above.) </FONT></P> <P STYLE="font-size:14px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="61%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="38%"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:64pt"><FONT STYLE="font-family:arial" SIZE="2"><B>Name of Pool:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom">
<P STYLE="border-bottom:1px solid #000000;width:179pt"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT>&nbsp;
Diversified&nbsp;Alternatives&nbsp;Trust</B></FONT></P></TD></TR>


<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Type of Pool:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Public, Exchange-Listed Commodity Pool</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Date of Inception of Trading:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">November 16, 2009</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Aggregate Gross Capital Subscriptions</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> as of August&nbsp;31, 2012:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$150,504,552</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net Asset Value as of August&nbsp;31, 2012:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$60,775,802</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net Asset Value per Share as of August&nbsp;31, 2012</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$50.65</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Worst Monthly
Drawdown</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">3.03%</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">(August 2011)</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Worst Peak-to-Valley Drawdown</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">7.43%</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">(April 2011 - June 2012)</FONT></TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#147;Aggregate Gross Capital Subscriptions&#148; is the aggregate of all amounts ever contributed to the pool, including those of investors who subsequently
redeemed their investments. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#147;Net Asset Value per Share&#148; is the net asset value of the pool divided by the total number of Shares outstanding as of August&nbsp;31, 2012.
</FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#147;Worst Monthly Drawdown&#148; is the largest single month loss sustained since inception of trading. &#147;Drawdown&#148; as used in this section of the
Prospectus means losses experienced by the pool over the specified period and is calculated on a rate of return basis, i.e., dividing net performance by beginning equity. Drawdown is measured on the basis of monthly returns only, and does not
reflect intra-month figures. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#147;Worst Peak-to-Valley Drawdown&#148; is the greatest cumulative percentage decline in month-end Net Asset Value per Share due to losses sustained by the
pool during any period in which the initial month-end Net Asset Value per Share is not equaled or exceeded by a subsequent month-end Net Asset Value per Share. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:12px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Rate of Return: </B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="26%"></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:23pt"><FONT STYLE="font-family:arial" SIZE="1"><B>Month</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2009</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">January</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">n/a</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">February</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.47</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">n/a</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">March</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.18</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.36</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">n/a</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">April</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.06</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3.08</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.01</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">n/a</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">May</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.74</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.39</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">n/a</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">June</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.00</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">n/a</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">July</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.02</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">n/a</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">August</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3.03</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.60</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">n/a</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">September</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.59</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">n/a</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">October</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.95</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">n/a</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">November</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">December</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.69</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3.73</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3.17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.82</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;<BR>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(through<BR>August&nbsp;2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;<BR>)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;<BR>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(January &#150;<BR>December&nbsp;2011</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;<BR>)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;<BR>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(January &#150;<BR>December&nbsp;2010</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;<BR>)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;<BR>&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(November &#150;<BR>December&nbsp;2009</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;<BR>)&nbsp;</FONT></TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">86 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Other Commodity Pools and Accounts </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The following information is presented in accordance with CFTC regulations. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">The
following information, given as of August&nbsp;31, 2012, pertains to the iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> S&amp;P GSCI<FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#153;</SUP></FONT> Commodity-Indexed Trust (&#147;GSCI Trust&#148;) operated by BlackRock Asset Management International Inc., the sole member
of the Trust&#146;s commodity pool operator. The summary below also substantially reflects the performance of the iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT>
S&amp;P GSCI<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#153;</SUP></FONT> Commodity-Indexed Investing Pool LLC (&#147;GSCI Investing Pool&#148;). The GSCI Trust owns substantially
all of the interests in the GSCI Investing Pool which is advised by BlackRock Fund Advisor, the Trust&#146;s Advisor. When examining the information that follows, prospective investors in the Shares should keep in mind that the performance of the
GSCI Trust is not an indication of the returns, if any, that the Advisor may be able to generate for the Trust. While the GSCI Trust merely tracks an index and, therefore, makes its investments in the same futures contract replicating that index,
the Trust is actively managed and invests in a variety of futures contracts and foreign-currency forward contracts not included in the index tracked by the GSCI Trust without seeking to replicate the performance of an index or other benchmark.
Accordingly, the success or failure of the Advisor in replicating the performance of the index tracked by the GSCI Trust has little, if any, relevance to the consideration of how likely the Advisor may be to generate positive results for the Trust.
See &#147;Risk Factors&#151;Risks Relating to the Advisor and its Trading Strategies&#151;The lack of experience of the Advisor and its principals in actively managing an entity like the Trust and applying quantitative investment strategies similar
to those that are used in the selection of investments for the Trust may result in substantial trading losses for the Trust and, as a result, you could lose some or all of the value of your Shares.&#148; </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="60%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="37%"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:64pt"><FONT STYLE="font-family:arial" SIZE="2"><B>Name of Pool:</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom">
<P STYLE="border-bottom:1px solid #000000;width:119pt"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT>&nbsp;
S&amp;P&nbsp;GSCI<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&#153;</SUP></FONT><BR>Commodity-Indexed&nbsp;Trust</B></FONT></P></TD></TR>


<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Type of Pool:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Public,&nbsp;Exchange-Listed&nbsp;Commodity&nbsp;Pool</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Date of Inception of Trading:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">July 10, 2006</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Aggregate Gross Capital Subscriptions</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> as of August&nbsp;31, 2012:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$2,712,409,643</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net Asset Value as of August&nbsp;31, 2012:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$1,341,871,412</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net Asset Value per share as of August&nbsp;31, 2012:</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$34.58</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Worst Monthly
Drawdown:</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">27.77%<BR>(October 2008)</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Worst Peak-to-Valley Drawdown:</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">67.43%<BR>(June 2008 &#150; February 2009)</FONT></TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(1)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#147;Aggregate Gross Capital Subscriptions&#148; is the aggregate of all amounts ever contributed to the pool, including those of investors who subsequently
redeemed their investments. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(2)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#147;Net Asset Value per share&#148; is the net asset value of the pool divided by the total number of shares outstanding as of August&nbsp;31, 2012.
</FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(3)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#147;Worst Monthly Drawdown&#148; is the largest single month loss sustained since inception of trading. &#147;Drawdown&#148; as used in this section of the
Prospectus means losses experienced by the relevant pool over the specified period and is calculated on a rate of return basis, i.e., dividing net performance by beginning equity. Drawdown is measured on the basis of monthly returns only, and does
not reflect intra-month figures. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(4)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#147;Worst Peak-to-Valley Drawdown&#148; is the greatest cumulative percentage decline in month-end Net Asset Value per share due to losses sustained by the
pool during any period in which the initial month-end Net Asset Value per share is not equaled or exceeded by a subsequent month-end Net Asset Value per share. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">87 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:24px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS </B></FONT></P>
<P STYLE="margin-top:14px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Rate of Return: </B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="23%"></TD>
<TD VALIGN="bottom" WIDTH="5%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:23pt"><FONT STYLE="font-family:arial" SIZE="1"><B>Month</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2009</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2008</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2007</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">January</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2.15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2.58</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(7.74</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(6.76</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2.14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">February</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6.07</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5.51</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(6.51</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10.29</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.26</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">March</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2.23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3.10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.56</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.76</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2.93</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">April</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.54</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3.99</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.98</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.00</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8.25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.31</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">May</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(13.13</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(7.60</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(13.15</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT><BR></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">19.52</FONT><BR></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT><BR></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9.23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2.41</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">June</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.09</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(5.70</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.75</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8.42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3.49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">July</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6.35</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3.85</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5.44</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.03</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(12.07</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5.21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">August</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6.37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2.69</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(6.11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.74</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(7.40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3.78</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">September</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(11.85</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8.74</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(11.99</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9.56</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">October</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10.21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2.43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6.20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(27.77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9.65</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">November</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.94</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.67</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(16.40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3.22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">December</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.64</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9.74</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.86</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(13.65</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.95</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Year</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4.66</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3.25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7.83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15.12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(47.47</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">31.45</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;<BR>&nbsp;<BR>&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(through<BR>August<BR>2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;<BR>&nbsp;&nbsp;<BR>)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;<BR>&nbsp;<BR>&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(January&nbsp;&#150;<BR>December<BR>2011</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;<BR>&nbsp;&nbsp;<BR>)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;<BR>&nbsp;<BR>&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(January&nbsp;&#150;<BR>December<BR>2010</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;<BR>&nbsp;&nbsp;<BR>)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;<BR>&nbsp;<BR>&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(January&nbsp;&#150;<BR>December<BR>2009</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;<BR>&nbsp;&nbsp;<BR>)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;<BR>&nbsp;<BR>&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(January&nbsp;&#150;<BR>December<BR>2008</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;<BR>&nbsp;&nbsp;<BR>)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;<BR>&nbsp;<BR>&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(January&nbsp;&#150;<BR>December<BR>2007</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;<BR>&nbsp;&nbsp;<BR>)&nbsp;</FONT></TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">88 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_19"></A>U.S. FEDERAL INCOME TAX CONSEQUENCES </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The following is a summary of U.S. federal income tax consequences material to the purchase, ownership and disposition of the Shares. Unless
otherwise specifically indicated herein, this summary addresses the tax consequences only to a beneficial owner of Shares that is (i)&nbsp;an individual citizen or resident of the United States, (ii)&nbsp;a corporation organized in or under the laws
of the United States or any state thereof or the District of Columbia or (iii)&nbsp;otherwise subject to U.S. federal income taxation on a net income basis in respect of the Shares (a &#147;U.S. Holder&#148;). This summary does not purport to be a
comprehensive description of all of the tax considerations that may be relevant to a decision to purchase the Shares by any particular investor. This summary also does not address the tax consequences to (1)&nbsp;persons that may be subject to
special treatment under U.S. federal income tax law, such as banks, insurance companies, thrift institutions, regulated investment companies, real estate investment trusts, traders in securities that elect to mark to market and dealers in securities
or currencies, (2)&nbsp;persons that will hold Shares as part of a position in a &#147;straddle&#148; or as part of a &#147;hedging,&#148; &#147;conversion&#148; or other integrated investment transaction for federal income tax purposes,
(3)&nbsp;persons whose functional currency is not the U.S. dollar, or (4)&nbsp;persons that do not hold Shares as capital assets. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">This
summary is based on the Code, Treasury regulations, IRS rulings and judicial decisions in effect as of the date of this prospectus, all of which are subject to change at any time (possibly with retroactive effect) or different interpretations. As
the law is technical and complex, the discussion below necessarily represents only a general summary. Moreover, the effect of any applicable state, local or foreign tax laws is not discussed. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">There can be no assurance that the IRS will not challenge one or more of the tax consequences described herein. The Sponsor has not obtained, nor
does it intend to obtain, a ruling from the IRS with respect to the U.S. federal tax consequences of acquiring, owning or disposing of the Shares. Prospective investors in the Shares should consult their tax advisors in determining the tax
consequences of an investment in the Shares, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Classification of the Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Clifford Chance US LLP has acted as counsel to the Trust in
connection with this offering. The Trust has received the opinion of Clifford Chance US LLP to the effect that, although the matter is not free from doubt due to the lack of clear guidance and direct authority, the Trust will not be classified for
U.S. federal income tax purposes as an association or a publicly traded partnership taxable as a corporation. You should be aware that opinions of counsel are not binding on the IRS, and no assurance can be given that the IRS will not challenge the
conclusions set forth in such opinion. It must be emphasized that the opinion of Clifford Chance US LLP is based on various assumptions relating to the Trust&#146;s organization, operation, assets and activities, and that all factual representations
and statements set forth in all relevant documents, records and instruments are true and correct, all actions described in this prospectus are completed in a timely fashion and that the Trust will at all times operate in accordance with the method
of operation described in the Trust&#146;s Trust Agreement and this prospectus, and is conditioned upon factual representations and covenants made by the Trust, and the Sponsor regarding the Trust&#146;s organization, operation, assets, activities,
and conduct of the Trust&#146;s operations, and assumes that such representations and covenants are accurate and complete. Such representations include, as discussed further below, representations to the effect that the Trust will meet the
&#147;qualifying income exception&#148; described below and will not be engaged in a financial business, although there is no clear guidance on what constitutes a financial business under the tax laws. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">While it is expected that the Trust will operate so that the Trust will qualify to be treated for U.S. federal income tax purposes as a
partnership, and not as an association or a publicly traded partnership </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">89 </FONT></P>


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taxable as a corporation, given the highly complex nature of the rules governing partnerships, the ongoing importance of factual determinations, the lack of direct guidance with respect to the
application of tax laws to the activities the Trust is undertaking and the possibility of future changes in its circumstances, it is possible that the Trust will not so qualify for any particular year. Clifford Chance US LLP has no obligation to
advise the Trust or the Trust&#146;s Shareholders of any subsequent change in the matters stated, represented or assumed, or of any subsequent change in the applicable law. The Trust&#146;s taxation as a partnership will depend on the Trust&#146;s
ability to meet, on a continuing basis, through actual operating results, the &#147;qualifying income exception&#148; (as described below), the compliance with which will not be reviewed by Clifford Chance US LLP. Accordingly, no assurance can be
given that the actual results of the Trust&#146;s operations for any taxable year will satisfy the qualifying income exception. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Under
Section&nbsp;7704 of the Code, unless certain exceptions apply, a publicly traded partnership is generally treated and taxed as a corporation, and not as a partnership, for U.S. federal income tax purposes. A partnership is a publicly traded
partnership if (i)&nbsp;interests in the partnership are traded on an established securities market or (ii)&nbsp;interests in the partnership are readily tradable on a secondary market or the substantial equivalent thereof. It is expected that
initially or in the future the Trust will be treated as a publicly traded partnership. If 90% or more of the income of a publicly traded partnership during each taxable year consists of &#147;qualifying income&#148; and the partnership is not
required to register under the Investment Company Act, it will be treated as a partnership, and not as an association or publicly traded partnership taxable as a corporation, for U.S. federal income tax purposes (the &#147;qualifying income
exception&#148;). Qualifying income generally includes interest (other than certain contingent interest), gains from futures or forward contracts derived from investing in foreign currencies and income from certain commodities transactions. In
addition, qualifying income generally also includes income from a notional principal contract (such as a credit default swap) if the income from the reference obligation would be qualifying income. In determining whether interest is treated as
qualifying income for purposes of these rules, interest income derived from a &#147;financial business&#148; and income and gains derived by a &#147;dealer&#148; in securities are not treated as qualifying income. The Trust is expected to take the
position that for purposes of determining whether it will be engaged in a financial business, portfolio investing activities that it will engage in will not cause the Trust to be engaged in a financial business or to be considered a
&#147;dealer&#148; in securities. While it is expected that the Trust will satisfy the qualifying income exception, and qualify to be taxed as a partnership, there can be no assurance that the IRS would not successfully challenge the Trust&#146;s
compliance with the qualifying income requirements and assert that the Trust is a publicly traded partnership taxable as a corporation for U.S. federal income tax purposes. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">If, for any reason the Trust becomes taxable as a corporation for U.S. federal income tax purposes, the Trust&#146;s items of income and deduction would not pass through to the Trust&#146;s Shareholders and the
Trust&#146;s Shareholders would be treated for U.S. federal income tax purposes as stockholders in a corporation. The Trust would be required to pay income tax at corporate rates on its net income. Distributions by the Trust to the Shareholders
would constitute dividend income taxable to such Shareholders, to the extent of the Trust&#146;s earnings and profits, and the payment of these distributions would not be deductible by the Trust. These consequences would have a material adverse
effect on the Trust, the Trust&#146;s Shareholders and the value of the Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If at the end of any taxable year the Trust fails to
meet the qualifying income exception, the Trust may still qualify as a partnership if the Trust is entitled to relief under the Code for an inadvertent termination of partnership status. This relief will be available if (i)&nbsp;the failure is cured
within a reasonable time after discovery, (ii)&nbsp;the failure is determined by the IRS to be inadvertent, and (iii)&nbsp;the Trust agrees to make such adjustments or to pay such amounts as are determined by the IRS. It is not possible to state
whether the Trust would be entitled to this relief in any or all circumstances. It also is not clear under the Code whether this relief is available for the Trust&#146;s first taxable year as a publicly traded partnership. If this relief provision
is not applicable to a particular set of circumstances involving the Trust, it will not qualify as a partnership for U.S. federal income tax purposes. Even if this relief provision applies and the Trust retains its
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">90 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
partnership qualification, the Trust or its Shareholders (during the failure period) will be required to pay such amounts as determined by the IRS. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The remainder of this discussion assumes that the Trust will qualify to be taxed as a partnership for U.S. federal income tax purposes. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Distributions on the Shares </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Distributions
on the Shares generally will not be taxable to you, except to the extent that the cash you receive exceeds your adjusted tax basis in the Shares. Cash distributions in excess of your adjusted tax basis in the Shares generally will be treated as gain
from the sale or exchange of the Shares, taxable in accordance with the rules described under &#147;&#151;Sale, Exchange or Other Taxable Disposition of Shares.&#148; </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Upon a liquidating distribution of cash by the Trust (a distribution to you that terminates your interest in the Trust), you generally will recognize gain or loss from the sale or exchange of the Shares, taxable in
accordance with the rules described under &#147;&#151;Sale, Exchange or Other Taxable Disposition of Shares.&#148; </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Sale, Exchange or Other Taxable
Disposition of Shares </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Upon the sale, exchange or other taxable disposition of Shares, you generally will recognize capital gain or
loss equal to the difference between the amount realized upon the sale, exchange or other disposition and your adjusted tax basis in the Shares. Your adjusted tax basis in your Shares generally will be equal to the amount you paid for your Shares
(1)&nbsp;increased by any income or gain of the Trust that is allocated to you, and by the amount of any contributions you make to the capital of the Trust as part of the creation of a Basket, and (2)&nbsp;decreased, but not below zero, by any loss
or expense of the Trust that is allocated to you, and by the amount of any cash and the tax basis of any property distributed (or deemed distributed) to you. For a description of the allocation of income, gain, loss and expense to you, see
&#147;&#151;Partnership Allocations and Adjustments.&#148; </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Creation and Redemption of Baskets </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Holders of Shares other than Authorized Participants (or holders for which an Authorized Participant is acting) generally are not expected to
recognize gain or loss as a result of an Authorized Participant&#146;s creation or redemption of a Basket. If the Trust disposes of an asset in connection with the redemption of a Basket, however, the disposition may give rise to gain or loss that
will be allocated in part to you. An Authorized Participant&#146;s creation or redemption of a Basket also may affect the portion of the Trust&#146;s tax basis in the asset that is allocated to you. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Limitations on Deductibility of Certain Losses and Expenses </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The deductibility for U.S. federal income tax purposes of a U.S. Holder&#146;s share of losses and expenses of the Trust is subject to certain limitations, including, but not limited to, rules providing that:
(1)&nbsp;you may not deduct the Trust&#146;s losses that are allocated to you in excess of your adjusted tax basis in your Shares; (2)&nbsp;individuals and personal holding companies may not deduct the losses allocable to a particular
&#147;activity&#148; in excess of the amount that they are considered to have &#147;at risk&#148; with respect to the activity; (3)&nbsp;the ability of individuals to take certain itemized deductions may be limited by the &#147;alternative minimum
tax;&#148; and (4)&nbsp;a noncorporate U.S. Holder may deduct its share of expenses of the Trust only to the extent that such share, together with such noncorporate U.S. Holder&#146;s other miscellaneous itemized deductions, exceeds 2 percent of
such noncorporate U.S. Holder&#146;s adjusted gross income. The Trust will report the Sponsor&#146;s Fee as an expense of the kind subject to the limitation on miscellaneous itemized deductions. To the extent that a loss or expense that you cannot
deduct currently is allocated to you, you may be required to report taxable income in excess of your economic income or cash distributions to you on the Shares. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">91 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
You are urged to consult your own tax advisor with regard to these and other limitations on your ability to deduct losses or expenses with respect to the Trust. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Under Section&nbsp;709(b) of the Code, amounts paid or incurred to organize a partnership may, at the election of the partnership, be treated as
deferred expenses, which are allowed as a deduction ratably over a period of 180 months. The Trust has not yet determined whether they will make such an election. A non corporate U.S. Shareholder&#146;s allocable share of such organizational
expenses would constitute miscellaneous itemized deductions. Expenditures in connection with the issuance and marketing of Shares (so called &#147;syndication fees&#148;) are not eligible for the 180 month amortization provision and are not
deductible. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Partnership Allocations and Adjustments </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">For U.S. federal income tax purposes, your share of the Trust&#146;s income, gain, loss, deduction and other items will be determined by the Trust Agreement, unless an allocation under this agreement does not have
&#147;substantial economic effect,&#148; in which case the allocations will be determined in accordance with the &#147;partners&#146; interests in the partnership.&#148; Subject to the discussion below under &#147;&#151;Monthly Allocation and
Revaluation Conventions&#148; and &#147;&#151;Section 754 Election,&#148; the allocations pursuant to the Trust Agreement should be considered to have substantial economic effect. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If the allocations provided by the Trust Agreement were successfully challenged by the IRS, the amount of income or loss allocated to you for U.S.
federal income tax purposes under the agreement could be increased or decreased, the timing of income or loss could be accelerated or deferred, or the character of the income or loss could be altered. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">As described in more detail below, the U.S. tax rules that apply to partnerships are complex and their application is not always clear. Moreover,
the rules generally were not written for, and in some respects are difficult to apply to, publicly traded interests in partnerships. The Trust will apply certain assumptions and conventions intended to comply with the intent of the rules and to
report income, gain, deduction, loss and credit to investors in a manner that reflects the investors&#146; economic gains and losses, but these assumptions and conventions may not comply with all aspects of the applicable Treasury regulations. It is
possible therefore that the IRS will successfully assert that these assumptions or conventions do not satisfy the technical requirements of the Code or the Treasury regulations and will require that items of income, gain, deduction, loss and credit
be adjusted or reallocated in a manner that could be adverse to you. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2"><B>Monthly Allocation and Revaluation Conventions<FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> </FONT></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">In general, the Trust&#146;s taxable income and losses will be determined monthly and will be apportioned among the holders of Shares in proportion to the number of Shares treated as owned by each of them as of the
close of the last trading day of the preceding month. By investing in the Shares, a U.S. Holder agrees that, in the absence of an administrative determination or judicial ruling to the contrary, it will report income and loss under the monthly
allocation and revaluation conventions described below. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Under the monthly allocation convention, the person that was treated for U.S.
federal income tax purposes as holding a Share as of the close of the last trading day of the preceding month will be treated as continuing to hold that Share until immediately before the close of the last trading day of the following month. As a
result, a holder that is transferring its Shares or whose Shares are redeemed prior to the close of the last trading day of a month may be allocated income, gain, loss and deduction realized after the date of transfer. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">92 </FONT></P>


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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Code generally requires that items of partnership income and deductions be allocated between
transferors and transferees of partnership interests on a daily basis. It is possible that transfers of Shares could be considered to occur for these purposes when the transfer is completed without regard to the Trust&#146;s monthly convention for
allocating income and deductions. In that event, the Trust&#146;s allocation method might be viewed as violating that requirement. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In
addition, for any month in which a creation or redemption of Shares takes place, the Trust generally will credit or debit, respectively, the &#147;book&#148; capital accounts of the holders of existing Shares with any unrealized gain or loss in the
Portfolio. This will result in the allocation of items of the Trust&#146;s income, gain, loss, deduction and credit to existing holders of Shares to account for the difference between the tax basis and fair market value of property owned by the
Trust at the time new Shares are issued or old Shares are redeemed (&#147;reverse section 704(c) allocations&#148;). The intended effect of these allocations is to allocate any built-in gain or loss in the Portfolio at the time of a creation or
redemption of Shares to the investors that economically have earned such gain or loss. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">As with the other allocations described above,
the Trust generally will use a monthly convention for purposes of the reverse section 704(c) allocations. More specifically, the Trust will credit or debit, respectively, the &#147;book&#148; capital accounts of holders of existing Shares with any
unrealized gain or loss in the Trust&#146;s assets based on the lowest fair market value of the assets and shares, respectively, during the month in which the creation or redemption transaction takes place, rather than the fair market value at the
time of such creation or redemption (the &#147;monthly revaluation convention&#148;). As a result, it is possible that, for U.S. federal income tax purposes, (1)&nbsp;a purchaser of newly issued Shares will be allocated some or all of the unrealized
gain in the Trust&#146;s assets at the time it acquires the Shares or (2)&nbsp;an existing holder of Shares will not be allocated its entire share in the unrealized loss in the Trust&#146;s assets at the time of such acquisition. Furthermore, the
applicable Treasury regulations generally require that the &#147;book&#148; capital accounts will be adjusted based on the fair market value of partnership property on the date of adjustment and do not explicitly allow the adoption of a monthly
revaluation convention. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Code and applicable Treasury regulations generally require that items of partnership income and deductions
be allocated between transferors and transferees of partnership interests on a daily basis, and that adjustments to &#147;book&#148; capital accounts be made based on the fair market value of partnership property on the date of adjustment. The Code
and regulations do not contemplate monthly allocation or revaluation conventions. If the IRS does not accept the Trust&#146;s monthly allocation or monthly revaluation convention, the IRS may contend that taxable income or losses of the Trust must
be reallocated among the holders of Shares. If such a contention were sustained, the holders&#146; respective tax liabilities would be adjusted to the possible detriment of certain holders. The Trustee and the Sponsor are authorized to revise the
Trust&#146;s allocation and revaluation methods in order to comply with applicable law or to allocate items of partnership income and deductions in a manner that reflects more accurately the holders&#146; interest in the Trust. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Section&nbsp;754 Election </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust intends
to make the election permitted by Section&nbsp;754 of the Code. Such an election is irrevocable without the consent of the IRS. This election generally will require each purchaser of Shares to adjust its proportionate share of the tax basis in the
Portfolio (&#147;inside basis&#148;) to fair market value, as reflected in the purchase price for the purchaser&#146;s Shares, as if the purchaser had acquired a direct interest in the Portfolio and will require the Trust to make a corresponding
adjustment to its share of the tax basis in the Portfolio that will be segregated and allocated to the purchaser of the Shares. These adjustments are attributed solely to a purchaser of Shares and are not added to the tax basis of the Portfolio
assets associated with other holders of Shares. Generally the Section&nbsp;754 election is intended to eliminate the disparity between a purchaser&#146;s outside basis in its Shares and the Trust&#146;s corresponding inside basis in the Portfolio
such that the amount of gain or loss that will be allocated to the purchaser on </FONT></P>
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the disposition by the Trust of Portfolio assets will correspond to the purchaser&#146;s share in the appreciation or depreciation in the value of such assets since the purchaser acquired its
Shares. Depending on the relationship between a holder&#146;s purchase price for Shares and its interest in the unadjusted share of the Trust&#146;s inside basis at the time of the purchase, the Section&nbsp;754 election may be either advantageous
or disadvantageous to the holder as compared to the amount of gain or loss a holder would be allocated absent the Section&nbsp;754 election. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The calculations under Section&nbsp;754 are complex, and there is little legal authority concerning the mechanics of the calculations, particularly in the context of publicly traded interests in partnerships. To
help reduce the complexity of those calculations and the resulting administrative costs to the Trust, the Trust will apply certain assumptions and conventions in determining and allocating the basis adjustments. It is possible that the IRS will
successfully assert that the assumptions and conventions utilized by the Trust do not satisfy the technical requirements of the Code or the Treasury regulations and will require different basis adjustments to be made. If such different adjustments
were required, some holders could be adversely affected. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In order to make the basis adjustments permitted by Section&nbsp;754, the
Trust will be required to obtain information regarding each holder&#146;s secondary market transactions in Shares, as well as creations and redemptions of Shares. The Trust will seek such information from the record holders of Shares, and, by
purchasing Shares, each beneficial owner of Shares will be deemed to have consented to the provision of such information by the record owner of such beneficial owner&#146;s Shares. Notwithstanding the foregoing, however, there can be no guarantee
that the Trust will be able to obtain such information from record owners or other sources, or that the basis adjustments that the Trust makes based on the information they are able to obtain will be effective in eliminating disparity between a
holder&#146;s outside basis in its Shares and its interest in the inside basis in the Trust assets. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Constructive Termination </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust will experience a constructive termination for tax purposes if there is a sale or exchange of 50 percent or more of the total Shares
within a 12-month period. A constructive termination results in the closing of the Trust&#146;s taxable year for all holders of Shares. In the case of a holder of Shares reporting on a taxable year other than a fiscal year ending December&nbsp;31,
the closing of the Trust&#146;s taxable year may result in more than 12 months of its taxable income or loss being includable in its taxable income for the year of termination. The Trust would be required to make new tax elections after a
termination, including a new election under Section&nbsp;754. A termination could also result in penalties if the Trust were unable to determine that the termination had occurred. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Borrowing of Shares </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">If your Shares are borrowed (or rehypothecated) by your broker and sold to
a third party, for example as part of a loan to a &#147;short seller&#148; to cover a short sale of Shares, you may be considered as having disposed of those Shares. If so, you would no longer be a beneficial owner of a pro rata portion of the
Shares during the period of the loan and may recognize gain or loss from the disposition. In addition, during the period of the loan, (1)&nbsp;the Trust&#146;s income, gain, loss, deduction or other items with respect to those Shares would not be
reported by you, and (2)&nbsp;any cash distributions received by you with respect to those Shares could be fully taxable, likely as ordinary income. Accordingly, if you desire to avoid the risk of income recognition from a loan of your Shares, you
should modify any applicable brokerage account agreements to prohibit your broker from borrowing your Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">These rules should not
affect the amount or timing of items of income, gain, deduction or loss reported by a taxpayer that is a dealer in securities that marks the Shares to market for U.S. federal income tax purposes, or a trader in securities that has elected to use the
mark-to-market method of tax accounting with respect to the Shares. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">94 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Information Reporting with Respect to Shares </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust will file a partnership return rather than a trust return. Generally, the amount and allocation of your share of the Trust&#146;s items of
income, gain, loss, deduction, expense and credit for U.S. federal income tax purposes, and the time when you receive your tax reporting information, should generally be the same as if the Trust were to file a trust return. However, the manner in
which tax reporting information is provided to investors will be affected. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Because the Trust will file a partnership return, tax
information will be reported to investors on an IRS Schedule K-1 for each calendar year as soon as practicable after the end of each such year. Each K-1 provided to a holder of Shares will set forth the holder&#146;s share of the Trust&#146;s items
of income, gain, deduction, loss and credit for such year in a manner sufficient for a U.S. Holder to complete its tax return with respect to its investment in the Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Each holder, by its acquisition of Shares, will be deemed to agree to allow brokers and nominees to provide to the Trust its name and address and such other information and forms as may be reasonably requested by
the Trust for purposes of complying with their tax reporting and withholding obligations (and to waive any confidentiality rights with respect to such information and forms for such purpose) and to provide such information or forms upon request.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">As described above under &#147;Partnership Allocations and Adjustments&#151;Monthly Allocation and Revaluation Conventions,&#148; the
partnership tax rules generally require that items of partnership income and deductions be allocated between transferors and transferees of partnership interests on a daily basis, and that certain adjustments be made based on daily valuations. These
regulations do not contemplate monthly allocation conventions of the kind that will be used by the Trust. If the IRS does not accept the monthly reporting convention, the IRS may contend that taxable income or losses of the Trust must be reallocated
among investors. If such a contention were sustained, investors&#146; respective tax liabilities would be adjusted to the possible detriment of certain investors. The Trustee and the Sponsor are authorized to revise the Trust&#146;s allocation
method to comply with applicable law. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Tax Audits </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Under the Code, adjustments in tax liability with respect to the Trust&#146;s items generally will be made at the Trust level in a partnership proceeding rather than in separate proceedings with each Shareholder.
The Sponsor will represent the Trust as the Trust&#146;s &#147;Tax Matters Partner&#148; during any audit and in any dispute with the IRS. Each Shareholder will be informed of the commencement of an audit of the Trust. In general, the Tax Matters
Partner may enter into a settlement agreement with the IRS on behalf of, and that is binding upon, the Shareholders. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Adjustments
resulting from an IRS audit may require each Shareholder to adjust a prior year&#146;s liability, and possibly may result in an audit of his return. Any audit of a Shareholder&#146;s return could result in adjustments not related to the Trust&#146;s
returns as well as those related to the Trust&#146;s returns. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Tax Matters Partner will make some elections on the Trust&#146;s
behalf and on behalf of the Trust&#146;s Shareholders. In addition, the Tax Matters Partner can extend the statute of limitations for assessment of tax deficiencies against Shareholders for items in the Trust&#146;s returns. The Tax Matters Partner
may bind a Shareholder with less than a 1% profits interest in the Trust to a settlement with the IRS unless that Shareholder elects, by filing a statement with the IRS, not to give that authority to the Tax Matters Partner. The Tax Matters Partner
may seek judicial review, by which all the Shareholders are bound, of a final partnership administrative adjustment and, if the Tax Matters Partner fails to seek judicial review, judicial review may be sought by any Shareholder having at least a 1%
interest in profits or by any group of Shareholders having in the aggregate at least a 5% interest in profits. However, only one action for judicial review will go forward, and each Shareholder with an interest in the outcome may participate.
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">95 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Treatment of Trust Income </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The character and timing of income that the Trust earns from the positions in its investment strategy will depend on the particular U.S. federal income tax treatment of each such position. The U.S. federal income
tax treatment of certain positions is not always clear, and the IRS and Congress sometimes take steps which change the manner in which certain positions are taxed. For example, except as discussed below with respect to 1256 contracts, positions in
currencies typically produce ordinary income and gains for U.S. federal income tax purposes. The IRS issued guidance indicating that a position that certain taxpayers were previously accounting for as prepaid forward contracts for U.S. federal
income tax purposes should, instead, be accounted for under the U.S. federal income tax rules for non-dollar denominated debt instruments. The IRS has also released a Notice seeking comments from practitioners about the application of U.S. federal
income tax rules to certain derivative positions, including derivative positions in commodities. The Notice asks for comments about, among other questions, when an investor in these positions should have income, the character of income and gain or
loss from these positions and whether the U.S. federal &#147;constructive ownership&#148; rules should apply to these positions. It is not possible to predict what changes, if any, will be adopted or when any such changes would take effect. However,
any such changes could affect the amount, timing and character of income, gain and loss in respect of the Trust&#146;s investments, possibly with retroactive effect. As the Trust passes its items of income, gain and loss to Shareholders, any change
in the manner in which the Trust accounts for these items could have an adverse impact on the Shareholders of the Trust. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Interest
Income from U.S. Treasury Bills </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Shareholders will take into account their share of ordinary income realized by the Trust from
accruals of interest on Treasury Bills (&#147;T-Bills&#148;) held by the Trust. The Trust may hold T-Bills with &#147;original issue discount,&#148; in which case Shareholders would be required to include accrued amounts in taxable income on a
current basis even though receipt of those amounts may occur in a subsequent year. The Trust may also acquire T-Bills with &#147;market discount.&#148; Upon disposition of such obligations, gain would generally be required to be treated as interest
income to the extent of the market discount and Shareholders would be required to include as ordinary income their share of such market discount that accrued during the period the obligations were held by the Trust. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Section&nbsp;1256 Futures and Forward Contracts </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Many of the commodity futures contracts, foreign currency futures contracts and foreign currency forward contracts held by the Trust are expected to be &#147;Section 1256 Contracts&#148; (as such term is defined in
Section&nbsp;1256(b) of the Code). The Code generally applies a &#147;mark-to-market&#148; system of taxing unrealized gains and losses on such contracts and otherwise provides for special rules of taxation. A Section&nbsp;1256 Contract includes
certain regulated futures contracts and foreign currency contracts. Under these rules, Section&nbsp;1256 Contracts held by the Trust at the end of each taxable year of the Trust are treated for U.S. federal income tax purposes as if they were sold
by the Trust for their fair market value on the last business day of such taxable year. The net gain or loss, if any, resulting from such deemed sales (known as &#147;marking to market&#148;), together with any gain or loss resulting from actual
sales of Section&nbsp;1256 Contracts, must be taken into account by the Trust in computing its taxable income for such year. If a Section&nbsp;1256 Contract held by the Trust at the end of a taxable year is sold in the following year, the amount of
any gain or loss realized on such sale will be adjusted to reflect the gain or loss previously taken into account under the &#147;mark-to-market&#148; rules. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">With certain exceptions, capital gains and losses from such Section&nbsp;1256 Contracts generally are characterized as short-term capital gains or losses to the extent of 40% thereof and as long-term capital gains
or losses to the extent of 60% thereof. Under certain circumstances, long-term capital gains recognized by individuals may qualify for reduced rates of tax. However, certain currency contracts that
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">96 </FONT></P>


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would be treated as Section&nbsp;1256 Contracts nevertheless give rise to ordinary income or loss. If an individual taxpayer incurs a net capital loss for a year, the portion thereof, if any,
which consists of a net loss on Section&nbsp;1256 Contracts may, at the election of the taxpayer, be carried back three years. Losses so carried back may be deducted only against net capital gain to the extent that such gain includes gains on
Section&nbsp;1256 Contracts. Generally, a Section&nbsp;1256 Contract does not include any &#147;securities futures contract&#148; or any option on such a contract. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>Section&nbsp;988 Transactions </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Certain of the Trust&#146;s trading activities will be
&#147;Section 988 transactions.&#148; Section&nbsp;988 transactions include entering into or acquiring any forward contract, futures contract or similar instrument if the amount paid or received is denominated in terms of a nonfunctional currency or
is determined by reference to the value of one or more nonfunctional currencies. In general, foreign currency gain or loss on Section&nbsp;988 transactions is characterized as ordinary income or loss except that gain or loss on regulated futures
contracts which are Section&nbsp;1256 contracts is generally characterized as capital gain or loss (as described above). </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Certain
Securities Futures Contracts </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Generally, a securities futures contract is a contract of sale for future delivery of a single
security or a narrow-based security index, such as an index linked security futures contract. Generally, any gain or loss from the sale or exchange of a securities futures contract is treated as gain or loss from the sale or exchange of property
that has the same character as the property to which the contract relates has (or would have) in the hands of the taxpayer. If the underlying security would be a capital asset in the taxpayer&#146;s hands, then gain or loss from the sale or exchange
of the securities futures contract would be capital gain or loss. Capital gain or loss from the sale or exchange of a securities futures contract to sell property (i.e., the short side of a securities futures contract) generally will be short-term
capital gain or loss. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Mixed Straddle Election </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Code allows a taxpayer to elect to offset gains and losses from positions, which are part of a &#147;mixed straddle.&#148; A &#147;mixed straddle&#148; is any straddle in which one or more but not all positions
are Section&nbsp;1256 Contracts. Pursuant to Temporary Regulations, the Trust may be eligible to elect to establish one or more mixed straddle accounts for certain of its mixed straddle trading positions. The mixed straddle account rules require a
daily &#147;marking to market&#148; of all open positions in the account and a daily netting of gains and losses from positions in the account. At the end of a taxable year, the annual net gains or losses from the mixed straddle account are
recognized for tax purposes. The application of the Temporary Regulations&#146; mixed straddle account rules is not entirely clear. Therefore, there is no assurance that a mixed straddle account election by the Trust will be accepted by the IRS.
</FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Effect of Straddle Rules on Shareholder&#146;s Securities Positions </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The IRS may treat certain positions in securities held (directly or indirectly) by a Shareholder and its indirect interest in similar securities
held by the Trust as &#147;straddles&#148; for U.S. federal income tax purposes. Shareholders should consult their tax advisers regarding the application of the &#147;straddle&#148; rules to their investment in the Trust. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Other Investments </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In
addition to Section&nbsp;1256 Contracts, it is possible that the Trust will enter into forward contracts, futures contracts, swap transactions or other types of investments the timing and character of which will differ than that of Section&nbsp;1256
Contracts. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">97 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Reportable Transactions </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">There are circumstances under which certain transactions must be disclosed to the IRS in a disclosure statement attached to a taxpayer&#146;s U.S. federal income tax return. (A copy of such statement must also be
sent to the IRS Office of Tax Shelter Analysis.) In addition, the Code imposes a requirement on certain &#147;material advisers&#148; to maintain a list of persons participating in such transactions, which list must be furnished to the IRS upon
written request. These provisions can apply to transactions not conventionally considered to involve abusive tax planning. Consequently, it is possible that such disclosure could be required by the Trust or the Shareholders (1)&nbsp;if a Shareholder
incurs a loss (in each case, in excess of a threshold computed without regard to offsetting gains or other income or limitations) from the disposition (including by way of withdrawal) of Shares, or (2)&nbsp;possibly in other circumstances.
Furthermore, the Trust&#146;s material advisers could be required to maintain a list of persons investing in the Trust pursuant to the Code. While the tax shelter disclosure rules generally do not apply to a loss recognized on the disposition of an
asset in which the taxpayer has a qualifying basis (generally a basis equal to the amount of cash paid by the taxpayer for such asset), such rules will apply to a taxpayer recognizing a loss with respect to interests in a pass through entity (such
as the Shares) even if its basis in such interests is equal to the amount of cash it paid. In addition, under recently enacted legislation, significant penalties may be imposed in connection with a failure to comply with these reporting
requirements. U.S. Shareholders are urged to consult their tax advisers regarding the tax shelter disclosure rules and their possible application to them. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Tax Exempt Organizations </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">An organization that is otherwise exempt from U.S. federal income tax
generally is nonetheless subject to taxation with respect to its &#147;unrelated business taxable income,&#148; or UBTI. Except as noted below with respect to certain categories of exempt income, UBTI generally includes income or gain derived
(either directly or through a partnership) from a trade or business, the conduct of which is substantially unrelated to the exercise or performance of the organization&#146;s exempt purpose or function. UBTI generally does not include passive
investment income, such as dividends, interest and capital gains, whether realized by the organization directly or indirectly through a partnership (such as the Trust) in which it is a partner. However, if a tax-exempt entity&#146;s acquisition of a
partnership interest is debt financed, or the partnership incurs &#147;acquisition indebtedness,&#148; all or a portion of the income or gain attributable to the &#147;debt financed property&#148; would also be included in UBTI regardless of whether
such income would otherwise be excluded as dividends, interest or capital gains. The income of the Trust will be passive investment income generally excluded from UBTI and the Trust will not incur &#147;acquisition indebtedness.&#148; Thus, if you
are a tax-exempt entity and your acquisition of the Shares is not debt-financed, income with respect to the Shares will not be UBTI. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Taxation of
Non-U.S. Holders of Shares </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">As used herein, the term &#147;non-U.S. Holder&#148; means a beneficial owner of Shares that is not a
U.S. Holder. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust will conduct its activities in such a manner that a non-U.S. Holder of the Trust&#146;s Shares who is not
otherwise carrying on a trade or business in the United States will not be considered to be engaged in a trade or business in the United States as a result of an investment in the Shares. Non-U.S. persons treated as engaged in a U.S. trade or
business are generally subject to U.S. federal income tax at the graduated rates applicable to U.S. persons on their net income which is considered to be effectively connected with such U.S. trade or business. Non-U.S. persons that are corporations
may also be subject to a 30% branch profits tax. The 30% rate applicable to branch profits may be reduced or eliminated under the provisions of an applicable income tax treaty between the United States and the country in which the non-U.S. person
resides or is organized. There can be no assurance that the IRS will not assert successfully that some portion of the Trust&#146;s income is properly treated as effectively connected income with respect to the Trust&#146;s Shareholders. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">98 </FONT></P>


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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Subject to the discussion under &#147;Foreign Account Tax Compliance,&#148; in addition, if you are a
non-U.S. Holder, interest income allocable to you generally will be considered short-term interest not subject to U.S. withholding or income tax, or &#147;portfolio interest&#148; not subject to U.S. federal income or withholding tax provided that
you meet certain requirements and you certify on IRS Form W-8BEN (or successor form), under penalties of perjury, that you are not a U.S. person and provide your name and address and otherwise satisfy applicable documentation requirements.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Subject to the discussion under &#147;Foreign Account Tax Compliance&#148; and the discussion below, you generally will not be subject
to U.S. federal income tax on gains on the sale of the Shares or on your share of the Trust&#146;s gains. However, in the case of an individual non-U.S. Holder, such holder will be subject to U.S. federal income tax on gains on the sale of Shares or
such holder&#146;s share of the Trust&#146;s gains if such non-U.S. Holder is present in the United States for 183 days or more during a taxable year and certain other conditions are met. Each holder, by its acquisition of Shares, will be deemed to
agree to allow brokers and nominees to provide to the Trust its name and address and such other information and forms as may be reasonably requested by the Trust for purposes of complying with their tax reporting and withholding obligations (and to
waive any confidentiality rights with respect to such information and forms for such purpose) and to provide such information or forms upon request. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Foreign Account Tax Compliance </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Foreign
Account Tax Compliance provisions of the recently enacted U.S. Hiring Incentives to Restore Employment Act (&#147;FATCA&#148;) generally impose a new reporting regime and potentially a 30% withholding tax with respect to certain U.S. source income
(including interest and dividends) and gross proceeds from the sale or other disposal of property that can produce U.S. source interest or dividends (&#147;Withholdable Payments&#148;). As a general matter, the new rules are designed to require U.S.
persons&#146; direct and indirect ownership of non-U.S. accounts and non-U.S. entities to be reported to the IRS. The 30% withholding tax regime applies if there is a failure to provide required information regarding U.S. ownership. These new
withholding rules will apply to U.S. source income payments made after December 31, 2013, and to the disposition proceeds described above after December 31, 2014. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust will be required to report to the IRS and to impose a 30% withholding of tax on the share of Withholdable Payments to (i) Shareholders that are non-U.S. financial entities that do not enter into an
agreement (a &#147;FFI Agreement&#148;) with the IRS to provide information, representations and waivers of non-U.S. law as may be required to comply with the provisions of the new rules, including, information regarding its direct and indirect U.S.
Shareholders; (ii) Shareholders who fail to establish their non-U.S. status as required under the FFI Agreement; (iii) and other Shareholders that do not provide certifications or information regarding their U.S. ownership. The IRS has issued
proposed regulations regarding FATCA but not yet provided comprehensive guidance regarding FATCA or a form of FFI Agreement. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Although
the application of FATCA to a sale or other disposal of an interest in a partnership is unclear, it is possible that the gross proceeds of the sale or other disposal of your Shares will be subject to FATCA under the rules described above if such
proceeds are treated as an indirect disposal of your interest in assets that can produce U.S. source interest or dividends. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In certain
circumstances, the Trust may liquidate a non-compliant Shareholder&#146;s Shares or form and operate an investment vehicle organized in the United States that is treated as a &#147;domestic partnership&#148; under the Code and transfer such
Shareholder&#146;s Shares to such investment vehicle. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">You should consult your own tax adviser regarding the requirements under FATCA
with respect to your own situation. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">99 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Backup Withholding </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust will be required in certain circumstances to backup withhold on certain payments paid to non-corporate holders of Shares who do not furnish to the Trust their correct taxpayer identification number (in
the case of individuals, their social security number) and certain certifications, or who are otherwise subject to backup withholding. Backup withholding is not an additional tax. Any amounts withheld from payments made to you may be refunded or
credited against your U.S. federal income tax liability, if any, provided that the required information is timely furnished to the IRS. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Certain
State, Local and Foreign Income Tax Matters </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition to the federal income tax consequences described above, prospective
investors should consider potential state and local tax consequences of an investment in the Trust. State and local laws often differ from federal income tax laws with respect to the treatment of specific items of income, gain, loss, deduction and
credit. A Shareholder&#146;s distributive share of the taxable income or loss of the Trust generally will be required to be included in determining its reportable income for state and local tax purposes in the jurisdiction in which it is a resident.
One or more states may impose reporting requirements on the Trust and/or the Shareholders. Investors should consult with their own advisors as to the applicability of such rules in jurisdictions which may require or impose a filing requirement.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust&#146;s Sponsor is based in the State of Delaware and is wholly-owned by BlackRock California Holdings LLC, which is located
in the State of California. If the Trust is engaged in a trade or business in Delaware, California or elsewhere, each Shareholder may be required to file an income tax return each year in such jurisdictions and would be taxed based on its income
that is attributable to such jurisdictions. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Each Shareholder may be required to file returns and pay state and local tax on its share
of Trust income in the jurisdiction in which it is a resident and/or other jurisdictions in which income is earned by the Trust. The Trust may be required to withhold and remit payment of taxes to one or more state or local jurisdictions on behalf
of the Shareholders. Any amount withheld generally will be treated as a distribution to each particular Shareholder. However, an individual Shareholder may be entitled to a deduction or credit against tax owed to his or her state of residence for
income taxes paid to other state and local jurisdictions where the Shareholder is not a resident. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In general, where a tax (including,
without limitation, a state or local tax) is levied on the Trust, the amount of which is levied in whole or in part based on the status or identity of a Shareholder, such tax will be allocated as an expense attributable to that Shareholder and the
amount will be withheld from any distribution to such Shareholder. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">State and local taxes may be significant. Prospective Shareholders
are urged to consult their tax advisors with respect to the state and local tax consequences of acquiring, holding and disposing of the Trust&#146;s Shares. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Foreign Taxes </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">It is possible that certain interest received by the Trust from sources within
foreign countries will be subject to withholding taxes imposed by such countries. In addition, the Trust may also be subject to capital gains taxes in some of the foreign countries where it purchases and sells foreign debt obligations. Tax treaties
between certain countries and the United States may reduce or eliminate such taxes. It is impossible to predict in advance the rate of foreign tax the Trust will pay since the amount of the Trust&#146;s assets to be invested in various countries is
not known. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">100 </FONT></P>


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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Shareholders will be informed by the Trust as to their proportionate share of any foreign taxes paid
by the Trust, which they will be required to include in their income. Shareholders generally will be entitled to claim either a credit (subject to the limitations discussed below) or, if they itemize their deductions, a deduction (subject to the
limitations generally applicable to deductions) for their share of such foreign taxes in computing their federal income taxes. A Shareholder that is tax-exempt will not ordinarily benefit from such credit or deduction. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Generally, a credit for foreign taxes is subject to the limitation that it may not exceed the Shareholder&#146;s federal tax (before the credit)
attributable to its total foreign source taxable income. A Shareholder&#146;s share of the Trust&#146;s interest from non-U.S. debt securities generally will qualify as foreign source income. Generally, the source of gain and loss realized upon the
sale of personal property, such as securities, will be based on the residence of the seller. In the case of a partnership, the determining factor is the residence of the partner. Thus, absent a tax treaty to the contrary, the gains and losses from
the sale of securities allocable to a Shareholder that is a U.S. resident generally will be treated as derived from U.S. sources (even though the securities are sold in foreign countries). Certain currency fluctuation gains, including fluctuation
gains from foreign currency denominated debt securities, receivables and payables, will also be treated as ordinary income derived from U.S. sources. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Prospective investors should note that the limitation on the foreign tax credit is applied separately to foreign source passive income, such as interest. In addition, for foreign tax credit limitation purposes, the
amount of a Shareholder&#146;s foreign source income is reduced by various deductions that are allocated and/or apportioned to such foreign source income. One such deduction is interest expense, a portion of which will generally reduce the foreign
source income of any Shareholder who owns (directly or indirectly) foreign assets. For these purposes, foreign assets owned by the Trust will be treated as owned by the investors in the Trust and indebtedness incurred by the Trust will be treated as
incurred by investors in the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Because of these limitations, Shareholders may be unable to claim a credit for the full amount of
their proportionate share of the foreign taxes paid by the Trust. The foregoing is only a general description of the foreign tax credit under current law. Moreover, since the availability of a credit or deduction depends on the particular
circumstances of each Shareholder, investors are advised to consult their own tax advisers. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>New Legislation or Administrative or Judicial Action
</B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The rules dealing with U.S. federal income taxation are constantly under review by persons involved in the legislative process, the
IRS and the U.S. Treasury Department, frequently resulting in unfavorable precedent or authority on issues for which there was previously no clear precedent or authority as well as revised interpretations of established concepts, statutory changes,
revisions to regulations and other modifications and interpretations. No assurance can be given as to whether, or in what form, any proposals affecting the Trust or the Trust&#146;s Shares will be enacted. The IRS pays close attention to the proper
application of tax laws to partnerships. The present U.S. federal income tax treatment of an investment in the Trust&#146;s Shares may be modified by administrative, legislative or judicial interpretation at any time, and any such action may affect
investments and commitments previously made. For example, changes to the U.S. federal income tax laws and interpretations thereof could make it more difficult or impossible to meet the qualifying income exception for the Trust to be treated as a
partnership that is not taxable as a corporation for U.S. federal income tax purposes. The Trust and its Shareholders could be adversely affected by any such change in, or any new, tax law, regulation or interpretation. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">101 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_20"></A>ERISA AND RELATED CONSIDERATIONS </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">ERISA and/or Section&nbsp;4975 of the Code impose certain requirements on employee benefit plans and certain other plans and arrangements,
including individual retirement accounts and annuities, Keogh plans, and certain collective investment funds or insurance company general or separate accounts in which such plan or arrangements are invested, that are subject to ERISA and/or the Code
(collectively, &#147;Plans&#148;), and on persons who are fiduciaries with respect to the investment of assets treated as &#147;plan assets&#148; of a Plan. Government plans and some church plans are not subject to the fiduciary responsibility
provisions of ERISA or the provisions of Section&nbsp;4975 of the Code, but may be subject to substantially similar rules under state or other federal law. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">In contemplating an investment of a portion of Plan assets in Shares, the Plan fiduciary responsible for making such investment should carefully consider, taking into account the facts and circumstances of the
Plan, the &#147;Risk Factors&#148; discussed above and whether such investment is consistent with its fiduciary responsibilities, including, but not limited to: (a)&nbsp;whether the fiduciary has the authority to make the investment under the
appropriate governing plan instrument; (b)&nbsp;whether the investment would constitute a direct or indirect non-exempt prohibited transaction with a party in interest; (c)&nbsp;the Plan&#146;s funding objectives; and (d)&nbsp;whether under the
general fiduciary standards of investment prudence and diversification the investment is appropriate for the Plan, taking into account the overall investment policy of the Plan, the composition of the Plan&#146;s investment portfolio and the
Plan&#146;s need for sufficient liquidity to pay benefits when due. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">It is anticipated that the Shares will constitute
&#147;publicly-held offered securities&#148; as defined in Department of Labor Regulations &#167; 2510.3-101(b)(2). Accordingly, Shares purchased by a Plan, and not the Plan&#146;s interest in the underlying assets held in the Trust, should be
treated as assets of the Plan, for purposes of applying the &#147;fiduciary responsibility&#148; and &#147;prohibited transaction&#148; rules of ERISA and the Code. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Because of the possibility that a prohibited transaction could occur as a result of the transfer of assets between a Plan and an Authorized Participant, no such transfer shall occur unless such transfer will not
constitute or result in a non-exempt prohibited transaction under ERISA or the Code. As a result, each Plan and its fiduciary will be deemed to have represented, in connection with a transfer of assets between the Plan and an Authorized Participant,
that such transfer will not constitute or result in a non-exempt prohibited transaction under Section&nbsp;406 of ERISA or Section&nbsp;4975 of the Code. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">102 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_21"></A>PLAN OF DISTRIBUTION </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust intends, on a continuous basis, to issue Baskets to Authorized Participants in exchange for a consideration per Share equal to the net
asset value per Share announced by the Trust on the first Business Day immediately following the day when the purchase order is received by the Trust. Because new Shares can be created and issued on an ongoing basis, at any point during the life of
the Trust a &#147;distribution,&#148; as such term is used in the Securities Act, will be occurring. Authorized Participants, other broker-dealers and other persons are cautioned that some of their activities may result in their being deemed
participants in a distribution in a manner that would render them statutory underwriters and subject them to the prospectus-delivery and liability provisions of the Securities Act. For example, an Authorized Participant, other broker-dealer firm or
its client will be deemed a statutory underwriter if it purchases a Basket from the Trust, breaks the Basket down into the constituent Shares and sells the Shares to its customers; or if it chooses to couple the creation of a supply of new Shares
with an active selling effort involving solicitation of secondary market demand for the Shares. A determination of whether a particular market participant is an underwriter must take into account all the facts and circumstances pertaining to the
activities of the broker-dealer or its client in the particular case, and the examples mentioned above should not be considered a complete description of all the activities that would lead to designation as an underwriter and subject them to the
prospectus-delivery and liability provisions of the Securities Act. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">By executing an Authorized Participant Agreement, an Authorized
Participant becomes part of the group of parties eligible to purchase Baskets from, and put Baskets for redemption to, the Trust. An Authorized Participant is under no obligation to create or redeem Baskets, and an Authorized Participant is under no
obligation to offer to the public Shares of any Baskets it creates. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Authorized Participants that offer Shares from the Baskets they
create to the public do so at a per-Share offering price that varies depending upon, among other factors, the trading price of the Shares on NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares initially
comprising the same Basket but offered by Authorized Participants to the public at different times may have different offering prices. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust does not pay a selling commission or any other compensation to any Authorized Participant in connection with the creation of Baskets.
Investors that purchase Shares through a commission/fee-based brokerage account may, however, pay commissions/fees charged by the brokerage account. It is recommended that investors review the terms of their brokerage accounts for details on
applicable charges. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Shares are listed for trading on NYSE Arca under the symbol &#147;ALT.&#148; </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Dealers that are not &#147;underwriters&#148; (including Authorized Participants that are not acting as underwriters) but are participating in a
distribution (as contrasted to ordinary secondary trading transactions), and thus dealing with Shares that are part of an &#147;unsold allotment&#148; within the meaning of Section&nbsp;4(3)(C) of the Securities Act, would be unable to take
advantage of the prospectus-delivery exemption provided by Section&nbsp;4(3) of the Securities Act. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor intends that sales be
made through broker-dealers who are members of the FINRA. Investors intending to create or redeem Baskets through Authorized Participants in transactions not involving a broker-dealer registered in such investor&#146;s state of domicile or residence
should consult their legal advisor regarding applicable broker-dealer or securities regulatory requirements under the state securities laws prior to such creation or redemption. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">103 </FONT></P>


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 <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In connection with any offering of the Shares outside the United States, the Authorized Participants
are expected to comply with the following: </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>European Economic Area </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">In relation to each Member State of the European Economic Area that has implemented the Prospectus Directive, each of which is referred to in this prospectus as a Relevant Member State, with effect from and
including the date on which the Prospectus Directive is implemented in that Relevant Member State, which is referred to in this prospectus as the Relevant Implementation Date, Authorized Participants will not make an offer of the Shares to the
public in that Relevant Member State prior to the publication of a prospectus in relation to the Shares that has been approved by the competent authority in that Relevant Member State or, where appropriate, approved in another Relevant Member State
and notified to the competent authority in that Relevant Member State, all in accordance with the Prospectus Directive, except that Authorized Participants may, with effect from and including the Relevant Implementation Date, make an offer of Shares
to the public in that Relevant Member State at any time: </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">a) to any legal entity which is a qualified investor as defined
in the Prospectus Directive; </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">b) to fewer than 100 or, if the Relevant Member State has implemented the relevant
provision of the 2010 PD Amending Directive (as defined below), 150 natural or legal persons (other than qualified investors as defined in the Prospectus Directive), as permitted under the Prospectus Directive; or </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">c) in any other circumstances falling within Article 3(2) of the Prospectus Directive, provided that no such offer of Shares shall
result in a requirement for the publication by the Trust or any manager of a prospectus pursuant to Article 3 of the Prospectus Directive or supplement a prospectus pursuant to Article 16 of the Prospectus Directive. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">For the purposes of this provision, an &#147;offer of Shares to the public&#148; in any Relevant Member State means the communication in any form
and by any means of sufficient information on the terms of the offer and the Shares to be offered so as to enable an investor to decide to purchase or subscribe for Shares, as the same may be varied in that Member State by any measure implementing
the Prospectus Directive in that Member State. The expression &#147;Prospectus Directive&#148; means Directive 2003/71/EC (and amendments thereto, including the 2010 PD Amending Directive, to the extent implemented in each member state) and includes
any relevant implementing measure in each Relevant Member State. The &#147;2010 PD Amending Directive&#148; means Directive 2010/73/EU. References to &#147;<FONT STYLE="font-family:Times New Roman" SIZE="2">&#128;</FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT>&#148; are to euros. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The European Economic Area selling restriction stated above is in
addition to any other selling restrictions set out below. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>United Kingdom </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Authorized Participants will only communicate or cause to be communicated an invitation or inducement to engage in investment activity (within the
meaning of Section&nbsp;21 of the FSMA) in connection with the issue or sale of the Shares in circumstances in which Section&nbsp;21(1) of the FSMA does not apply to the Trust. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, Authorized Participants will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to the
Shares in, from or otherwise involving the United Kingdom. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">As the Trust may be a collective investment scheme as defined in the FSMA
and the Trust has not been authorized, or otherwise recognized or approved, by the Financial Services Authority which, as an unregulated scheme, accordingly cannot be promoted in the United Kingdom to the general public, Authorized Participants will
promote the Trust in the United Kingdom only in accordance with applicable law and regulation (1)&nbsp;if such promotion is carried out through an Authorized Person, (i)&nbsp;to persons who are
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">104 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
investment professionals having professional experience in participating in unregulated schemes (only as defined in Article&nbsp;14(5) of the FSMA (Promotion of Collective Investment Schemes)
(Exemptions) Order 2001 (as amended) (the &#147;CIS Order&#148;)) or (ii)&nbsp;to persons who are within any of the categories of persons described in Article&nbsp;22 of the CIS Order; (2)&nbsp;if such promotion is not carried out through an
Authorized Person, in circumstances permitted by the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (as amended); or (3)&nbsp;to persons to whom this prospectus may otherwise lawfully be communicated (such persons together
are referred to as &#147;relevant persons&#148;). </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">This prospectus must not be acted upon or relied on by persons who are not relevant
persons. Any investment or investment activity to which this communication relates is available only to relevant persons and will be engaged in only with relevant persons. Persons of any other description in the United Kingdom may not receive and
should not act or rely on this document or any other marketing materials relating to the Trust or the Shares. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Potential investors in
the United Kingdom are advised that all or most of the protections afforded by the United Kingdom regulatory system will not apply to an investment in the Shares and that compensation will not be available under the United Kingdom&#146;s Financial
Services Compensation Scheme. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Canada </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The offering of the Shares will be made on a private placement basis in Canada (in the provinces of British Columbia, Ontario and Qu&eacute;bec) (1)&nbsp;through the Authorized Participants or their affiliates or
other persons who are permitted under applicable securities laws or have available exemptions to offer and sell the Shares in Canada; and (2)&nbsp;solely to purchasers who are entitled under applicable provincial securities laws to purchase the
Shares without the benefit of a prospectus qualified under the securities laws. This prospectus is not, and under no circumstances is to be construed as, an advertisement or a public offering of the Shares in Canada. No securities commission or
similar authority in Canada has reviewed or in any way passed upon this document or the merits of the Shares, and any representation to the contrary is an offence. No person has been authorized to give any information or to make any representation
other than those contained or incorporated by reference into this prospectus and any decision to purchase the Shares in Canada should be based solely on information contained or incorporated by reference in this prospectus. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Resale Restrictions </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Shares have not been nor will they be qualified for sale to the public under applicable Canadian securities laws and, accordingly, any offer and
sale of the Shares in Canada will be made on a basis which is exempt from the prospectus requirements of Canadian securities laws. Any resale of the Shares must be made in accordance with, or pursuant to an exemption from, or in a transaction not
subject to, the prospectus requirements of those laws. In addition, in order to comply with the dealer registration requirements of Canadian securities laws, any resale of the Shares must be made either by a person not required to register as a
dealer under applicable Canadian securities laws, or through an appropriately registered dealer or in accordance with an exemption from the dealer registration requirements. These Canadian resale restrictions may in some circumstances apply to
resales made outside of Canada. Canadian investors are advised to seek Canadian legal advice prior to any resale of the Shares. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Representations and Agreement by Canadian Purchasers </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Each purchaser of the Shares in Canada will be deemed to have represented to the Trust and any dealer participating in the sale of the Shares that the purchaser: (a)&nbsp;is resident in one of the provinces of
British Columbia, Ontario or Qu&eacute;bec and is entitled under applicable securities laws to purchase the Shares without the benefit of a prospectus qualified under those laws; (b)&nbsp;is basing its investment decision solely
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">105 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
on this prospectus and not on any other information concerning the Trust or the offering of the Shares; (c)&nbsp;has reviewed and acknowledges the terms referred to above under the heading
&#147;Resale Restrictions&#148;; (d)&nbsp;is an &#147;accredited investor&#148; as defined in National Instrument 45-<I>106 Prospectus and Registration Exemptions</I> (&#147;NI 45-106&#148;) and, if relying on subsection (m)&nbsp;of the definition
of that term, is not a person created or being used solely to purchase or hold securities as an accredited investor; (e)&nbsp;is a &#147;permitted client&#148; as defined in National Instrument 31-<I>103 Registration Requirements, Exemptions and
Ongoing Registrant Obligations</I>, or as otherwise interpreted and applied by the Canadian Securities Administrators; and (f)&nbsp;is either purchasing the Shares as principal for its own account, or is deemed to be purchasing the Shares as
principal by applicable law. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2"><I></I>Each purchaser of the Shares in Canada hereby agrees that it is the purchaser&#146;s express wish
that all documents evidencing or relating in any way to the sale of the Shares be drafted in the English language only. <I>Chaque acheteur au Canada des valeurs mobili&egrave;res reconna&icirc;t que c&#146;est sa volont&eacute; expresse que tous les
documents faisant foi ou se rapportant de quelque mani&egrave;re &agrave; la vente des valeurs mobili&egrave;res soient r&eacute;dig&eacute;s uniquement en anglais. </I></FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT
STYLE="font-family:arial" SIZE="2"><B><I>Indirect Collection of Personal Information </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">By purchasing the Shares, each purchaser in
Canada acknowledges that its name and other specified information, including the number of Shares it has purchased, may be disclosed to Canadian securities regulatory authorities and become available to the public in accordance with the requirements
of applicable laws. The purchaser consents to the disclosure of that information. By purchasing the Shares, any Ontario purchaser acknowledges that personal information such as the purchaser&#146;s name will be delivered to the Ontario Securities
Commission (the &#147;OSC&#148;) and that such personal information is being collected indirectly by the OSC under the authority granted to it in securities legislation for the purposes of the administration and enforcement of the securities
legislation of Ontario. By purchasing the Shares, any Ontario purchaser shall be deemed to have authorized such indirect collection of personal information by the OSC. Questions about such indirect collection of personal information should be
directed to the OSC&#146;s Administrative Support Clerk, Suite 1903, Box 55, 20 Queen Street West, Toronto, Ontario M5H 3S8 or to the following telephone number: (416)&nbsp;593-3684. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Rights of Action (Ontario Purchasers) </I></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Ontario Rule 45-501 provides that when an offering memorandum, such as this prospectus, is delivered to an investor to whom securities are distributed in reliance upon the &#147;accredited investor&#148; prospectus
exemption in Section&nbsp;2.3 of NI 45-106, the right of action referred to in Section&nbsp;130.1 of the <I>Securities Act</I> (Ontario) (&#147;Section 130.1&#148;) is applicable unless the prospective purchaser is: </FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(a)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">a Canadian financial institution, meaning either: </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="13%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(i)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">an association governed by the <I>Cooperative Credit Associations Act</I> (Canada) or a central cooperative credit society for which an order has been made under section 473(1)
of that Act; </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="13%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(ii)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">a bank, loan corporation, trust company, trust corporation, insurance company, treasury branch, credit union, caisse populaire, financial services cooperative, or league that, in
each case, is authorized by an enactment of Canada or a jurisdiction of Canada to carry on business in Canada or a jurisdiction in Canada; </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(b)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">a Schedule III bank, meaning an authorized foreign bank named in Schedule III of the <I>Bank Act</I> (Canada), </FONT></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(c)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">The Business Development Bank of Canada incorporated under the <I>Business Development Bank of Canada Act</I> (Canada), or </FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">106 </FONT></P>


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<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(d)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">a subsidiary of any person referred to in paragraphs (a), (b)&nbsp;or (c), if the person owns all of the voting securities of the subsidiary, except the voting securities
required by law to be owned by the directors of the subsidiary. </FONT></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Section&nbsp;130.1 provides purchasers who purchase
securities offered by an offering memorandum with a statutory right of action against the issuer of securities and any selling securityholder for rescission or damages in the event that the offering memorandum or any amendment to it contains a
&#147;misrepresentation&#148;, without regard to whether the purchaser relied on the &#147;misrepresentation&#148;. &#147;Misrepresentation&#148; means an untrue statement of a material fact or an omission to state a material fact that is required
to be stated or that is necessary to make any statement not misleading in light of the circumstances in which it was made. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In the event
that this prospectus, together with any amendment, is delivered to a prospective purchaser of the Shares in connection with a trade made in reliance on Section&nbsp;2.3 of NI 45-106, and this prospectus contains a misrepresentation which was a
misrepresentation at the time of purchase of the Shares, the purchaser will have a statutory right of action against the Trust for damages or, while still the owner of the Shares, for rescission, in which case, if the purchaser elects to exercise
the right of rescission, the purchaser will have no right of action for damages, provided that: </FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(a)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">no action shall be commenced more than, in the case of an action for rescission, 180 days after the date of the transaction that gave rise to the cause of action; or in the case
of any other action, the earlier of (i)&nbsp;180 days after the plaintiff first had knowledge of the facts giving rise to the cause of action, or (ii)&nbsp;three years after the date of the transaction that gave rise to the cause of action;
</FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(b)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">the defendant will not be liable if it proves that the purchaser purchased the Shares with knowledge of the misrepresentation; </FONT></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(c)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">the defendant will not be liable for all or any portion of the damages that it proves do not represent the depreciation in value of the Shares as a result of the
misrepresentation relied upon; </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(d)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">in no case will the amount recoverable exceed the price at which the Shares were offered to the purchaser; and </FONT></TD></TR></TABLE>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="8%"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">(e)</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">the statutory right of action for rescission or damages is in addition to and does not derogate from any other rights or remedies the purchaser may have at law.
</FONT></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">This summary is subject to the express provisions of the <I>Securities Act</I> (Ontario) and the regulations and rules
made under it, and you should refer to the complete text of those provisions. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:2%"><FONT STYLE="font-family:arial" SIZE="2"><B><I>Enforcement of Legal Rights </I></B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust, the Sponsor, the Advisor, the Trustee and the Affiliates are likely to be located outside of Canada and, as a result, it may not be
possible for purchasers to effect service of process within Canada upon the Trust or those persons. All or a substantial portion of the assets of the Trust and those persons is likely to be located outside of Canada and, as a result, it may not be
possible to satisfy a judgment against the Trust or those persons in Canada or to enforce a judgment obtained in Canadian courts against the Trust or those persons outside of Canada. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Each purchaser acknowledges that it has been notified that: (i)&nbsp;the Authorized Participants may not be registered as securities dealers in any
province or territory of Canada; (ii)&nbsp;all or substantially all of the assets of the Authorized Participants may be situated outside of Canada; and (iii)&nbsp;there may be difficulty enforcing legal rights against the Authorized Participants for
these reasons. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">107 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Japan </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">A securities registration statement has not been filed under Article 4, Paragraph 3 of the Financial Instruments and Exchange Law of Japan (Law No. 25 of 1948, as amended) in relation to the solicitations for offer
of the Shares since such solicitations constitute a private placement to qualified institutional investors under Article 2, Paragraph 3, Item 2 <I>i</I> of the Financial Instruments and Exchange Law of Japan. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Acquirers of the Shares shall not transfer or resell them except where a transferee is a qualified institutional investor under Article 10 of the
Cabinet Office Ordinance concerning Definitions provided in Article 2 of the Financial Instruments and Exchange Law of Japan (the Ministry of Finance Ordinance No.&nbsp;14, as amended). </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The offering and sale of the Shares in Japan can only be effected through a licensed Type 1 Financial Instruments Dealing Firm (Type 1 FIDF)
(<I>Daiisshu kinyu shouhin torihiki gyosha</I>). The prospectus cannot be distributed in Japan other than to a licensed Type 1 FIDF. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Switzerland
</B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust has not been approved by the Swiss Financial Market Supervisory Authority FINMA as a foreign collective investment scheme
pursuant to Article 120 of the Swiss Collective Investment Scheme Act of June 23, 2006 (the &#147;CISA&#148;). Accordingly, the Shares may not be publicly offered in or from Switzerland and neither this prospectus nor any other offering materials
relating to the Trust and/or the Shares may be made available through a public offering in or from Switzerland. The Shares may only be offered and this prospectus may only be distributed in or from Switzerland to qualified investors (as defined in
the CISA and its implementing regulations) and/or to a limited circle of investors, without any public offering. This prospectus does not constitute a prospectus according to articles 652a or 1156 of the Swiss Federal Code of Obligations and has
been prepared without regard to the disclosure standards for issuance prospectuses under these provisions. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Singapore </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The offer or invitation which is the subject of this prospectus is not allowed to be made to the retail public in Singapore. This prospectus is not
a &#147;prospectus&#148; as defined in the Securities and Futures Act, Chapter 289 of Singapore (&#147;SFA&#148;). Accordingly, statutory liability under the SFA in relation to the content of prospectuses would not apply. You should consider
carefully whether the investment is suitable for you. This prospectus has not been registered as a prospectus with the Monetary Authority of Singapore. Accordingly, this prospectus and any other document or material in connection with the offer or
sale, or invitation for subscription or purchase, of Shares may not be circulated or distributed, nor may Shares be offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to persons in
Singapore other than (i)&nbsp;to an institutional investor (as defined in Section 4A of the SFA) under Section&nbsp;304 of the SFA, (ii)&nbsp;to a relevant person (as defined in Section 305(5) of the SFA), or any person pursuant to
Section&nbsp;305(2), and in accordance with the conditions specified in Section&nbsp;305 of the SFA or (iii)&nbsp;otherwise pursuant to, and in accordance with the conditions of any other applicable provision of the SFA. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Where Shares are subscribed or purchased under Section 304 of the SFA, such Shares may not be subsequently sold to any person other than another
institutional investor pursuant to Section 304 of the SFA. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Where Shares are subscribed or purchased under
Section&nbsp;305 by a relevant person that is: </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">(a) a corporation (which is not an accredited investor (as defined in
Section&nbsp;4A of the SFA)) the sole business of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited investor; or </FONT></P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">108 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">(b) a trust (where the trustee is not an accredited investor (as defined in Section 4A
of the SFA)) whose sole purpose is to hold investments and each beneficiary of the trust is an individual who is an accredited investor, </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%"><FONT STYLE="font-family:arial" SIZE="2">securities of that corporation or the beneficiaries&#146; rights and interest (howsoever described) in that trust shall not be transferred within 6
months after that corporation or that trust has acquired the Shares pursuant to an offer made under Section&nbsp;305 except: </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">(1) to an institutional investor (as defined under Section 4A of the SFA) or to a relevant person (as defined in Section&nbsp;305(5) of the SFA), or which arises from an offer referred to in Section 275(IA) of the
SFA (in the case of that corporation) or Section 305A(3)(i)(B) of the SFA (in the case of that trust); </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">(2) where no
consideration is or will be given for the transfer; or </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">(3) where the transfer is by operation of law. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Germany </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Shares have not been notified
to, registered with or approved by the German Federal Financial Supervisory Authority (<I>Bundesanstalt f&uuml;r Finanzdienstleistungsaufsicht</I> <I>&#150; </I>BaFin) for public offer or public distribution under German law. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Accordingly, the Shares may not be offered or distributed to or within Germany by way of a public offer or distribution within the meaning of
applicable German laws, public advertisement or in any similar manner. This prospectus and any other document relating to the Shares, as well as information contained therein, may not be supplied to the public in Germany or used in connection with
any offer for subscription of the Shares to the public in Germany or any other means of public marketing. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">This prospectus and any other
document relating to the offer of the Shares are strictly confidential and may not be distributed to any person or entity other than the recipient hereof to whom this prospectus is personally addressed. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The receipt of this prospectus by any person, as well as information contained therein or supplied herewith or subsequently communicated to any
person in connection with any offer for subscription is not to be taken as constituting the giving of investment advice to such person: Each such person should make its own independent assessment of the merits or otherwise of acquiring the Shares
and should take its own professional advice. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Spain </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trust has not been registered with the Spanish Securities Market Commission (<I>Comisi&oacute;n Nacional del Mercado de Valores</I> or &#147;CNMV&#148;). Therefore, the Shares may not be sold, offered, or
distributed in Spain in circumstances which could constitute marketing of collective investment schemes as defined in the Spanish Law on Investment Collective Schemes (<I>Ley 35/2003, de 4 de Noviembre, de Instituciones de Inversi&oacute;n
Colectiva</I>) and the regulations approved thereunder. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Neither this Prospectus nor any other offering materials in relation to the
Trust have been registered with the CNMV and therefore they are not intended for the marketing of the Shares in Spain. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">This Prospectus
and any other materials relating to the Shares are strictly confidential and may not be distributed to any person or entity other than its recipients. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">109 </FONT></P>


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 <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>The Netherlands </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Shares described herein may not, directly or indirectly, be offered or acquired in The Netherlands, and this prospectus may not be circulated in The Netherlands as part of initial distribution or at any time
thereafter, except to qualified investors within the meaning of Section&nbsp;1:1 of the Financial Markets Supervision Act (<I>Wet op het financieel toezicht</I>), as amended from time to time. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Italy </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">This prospectus is solely intended
for the individuals to whom it is delivered and may not be considered or used as an offering of Shares in the Trust within the meaning of, and for the purposes of, section 42 and section 93-bis and seq. of Legislative Decree No 58 of 24 February
1998, as subsequently amended. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, any person who is in possession of this prospectus understands that the Trust has not been
and will not be authorized by the Bank of Italy to offer the Shares to Italian residents pursuant to section 42 of Legislative Decree No 58 of 24 February 1998. Accordingly, the Shares may not be offered, sold or delivered and neither this
prospectus nor any other offering material relating to the Shares may be distributed or made available to Italian residents. This prospectus cannot be construed as a solicitation by any person to investors in Italy to subscribe for the Shares.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Individual sales of the Shares to any person in Italy may only be made according to Italian securities, tax and other applicable laws
and regulations. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Hong Kong </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">This
prospectus and its contents have not been reviewed by any regulatory authority in Hong Kong. Accordingly, no person may issue any invitation, advertisement or other document relating to the Shares whether in Hong Kong or elsewhere, which is directed
at, or the contents of which are likely to be accessed or read by, the public in Hong Kong (except if permitted to do so under the securities laws of Hong Kong) other than with respect to the Shares which are or are intended to be disposed of only
to persons outside Hong Kong or only to professional investors within the meaning of the Securities and Futures Ordinance and the Securities and Futures (Professional Investor) Rules made thereunder. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">You are advised to exercise caution in relation to the offer contained in this document. If you are on any doubt regarding the contents of this
document, you should obtain independent professional advice. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>France </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">This Prospectus has not been approved by the French regulator, the <I>Autorit&eacute; des march&eacute;s financiers</I>. Accordingly, the Shares may not be offered for subscription or sale and will not be offered
for subscription or sale in France. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Neither this Prospectus nor any other offering material relating to the offer of the Shares may be
distributed or caused to be distributed in France or used in connection with any offer for subscription or sale of the Shares in France. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="4"><B>*&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;* </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Any Authorized Participant may make a market in the Shares. However, no Authorized Participant is obligated to do so, and any of them may stop
doing so at any time without notice. No assurance can be given as to the liquidity of the trading market for the Shares. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">110 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_22"></A>LEGAL MATTERS </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The validity of the Shares has been passed upon for the Sponsor by Richards, Layton&nbsp;&amp; Finger, P.A., Wilmington, Delaware. Clifford Chance
US LLP, as special United States tax counsel to the Sponsor, has provided an opinion regarding certain federal income tax matters relating to the Trust and the Shares. </FONT></P> <P STYLE="margin-top:24px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_23"></A>EXPERTS </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The financial statements as of December 31, 2011 and
December 31, 2010 and for the years ended December 31, 2011, 2010 and for the period from October 6, 2009 (commencement of operations) through December 31, 2009 included in this Prospectus<B> </B>have been so included in reliance on the report of
PricewaterhouseCoopers LLP, an independent registered public accounting firm, given on the authority of said firm as experts in auditing and accounting. </FONT></P> <P STYLE="margin-top:24px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_24"></A>WHERE YOU CAN FIND MORE INFORMATION </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor has filed on
behalf of the Trust a registration statement on Form S-1 with the SEC under the Securities Act. This prospectus does not contain all of the information contained in the registration statement, including the exhibits to the registration statement,
parts of which have been omitted in accordance with the rules and regulations of the SEC. For further information about the Trust and the Shares, please refer to the registration statement, which you may inspect without charge at the public
reference facilities of the SEC at the below address or online at <I>www.sec.gov</I>, or obtain at prescribed rates from the public reference facilities of the SEC at the below address. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The current prospectus for the Trust, which may be updated from time to time pursuant to SEC and CFTC rules, is available online at
<I>www.ishares.com</I> as well as at the SEC website referred to above. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The Trust is subject to the informational requirements of the
Exchange Act, and the Sponsor and the Trustee will, on behalf of the Trust, file certain reports and other information with the SEC. These reports and other information can be inspected at the public reference facilities of the SEC located at 100 F
Street, N.E., Washington, D.C. 20549 and online at <I>www.sec.gov</I>. You may also obtain copies of such material from the public reference facilities of the SEC at 100 F Street N.E., Washington, D.C. 20549, at prescribed rates. You may obtain more
information concerning the operation of the public reference facilities of the SEC by calling the SEC at 1-800-SEC-0330 or visiting online at <I>www.sec.gov</I>. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">The Trustee will furnish you with annual reports as required by the rules and regulations of the SEC, as well as with those reports required by the CFTC and the NFA, including, but not limited to, an annual audited
financial statement certified by independent public accountants, and any other reports required by any other governmental authority that has jurisdiction over the activities of the Trust. The monthly Account Statements for the Trust that are
required to be prepared under the CFTC&#146;s rules will be published online at <I>www.ishares.com</I>. You also will be provided with appropriate information to permit you, on a timely basis, to file your U.S. federal and state income tax returns
with respect to your Shares. Additional reports may be posted online at <I>www.ishares.com</I> in the discretion of the Sponsor or the Trustee or as required by regulatory authorities. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">111 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_25"></A>INDEX TO FINANCIAL STATEMENTS </B></FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD></TD>
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<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Page</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Audited Financial Statements</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
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<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT>
Diversified Alternatives Trust</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_1">Report of Independent Registered Public Accounting Firm</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_2">Statements of Financial Condition at December&nbsp;31, 2011 and 2010</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-3</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
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<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_3">Statements of Operations for the years ended December&nbsp;31, 2011, 2010 and the period from October&nbsp;
6, 2009 (commencement of operations) through December&nbsp;31, 2009</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
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<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_4">Statements of Changes in Shareholders&#146; Capital for the years ended December&nbsp;
31, 2011, 2010 and the period from October&nbsp;6, 2009 (commencement of operations) through December&nbsp;31, 2009</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
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<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_5">Statements of Cash Flows for the years ended December&nbsp;31, 2011, 2010 and the period from October&nbsp;
6, 2009 (commencement of operations) through December&nbsp;31, 2009</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-6</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
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<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
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<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_6">Schedule of Investments at December&nbsp;31, 2011</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-7</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_7">Notes to Financial Statements</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Interim Unaudited Financial Statements</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT>
Diversified Alternatives Trust</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_8">Statements of Financial Condition at June&nbsp;30, 2012 (Unaudited) and December&nbsp;31, 2011</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_9">Statements of Operations (Unaudited) for the six months ended June&nbsp;30, 2012 and 2011</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_10">Statements of Changes in Shareholders&#146; Capital for the six months ended June&nbsp;
30, 2012<BR>(Unaudited) and the year ended December&nbsp;31, 2011</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-22</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_11">Statements of Cash Flows (Unaudited) for the six months ended June&nbsp;30, 2012 and 2011</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_12">Schedule of Investments at June&nbsp;30, 2012</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-24</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#fin400638_13">Notes to Financial Statements (Unaudited)</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">F-27</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-1 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_1"></A>REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">To the Sponsor, Trustee and Shareholders of </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT>
Diversified Alternatives Trust: </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">In our opinion, the financial statements listed in the accompanying index present fairly, in all
material respects, the financial position of iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust (the &#147;Trust&#148;) at
December&nbsp;31, 2011 and 2010, and the results of its operations and its cash flows for the years in the period ended December&nbsp;31, 2011, 2010 and the period from October&nbsp;6, 2009 (commencement of operations) through December&nbsp;31, 2009
in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Sponsor&#146;s management. Our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">/s/ PricewaterhouseCoopers LLP </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">San Francisco, California
</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">March&nbsp;14, 2012 </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-2 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_2"></A>Statements of Financial Condition </B></FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">At December&nbsp;31, 2011 and 2010 </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="71%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31,</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Current Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Cash and cash equivalents</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,686,978</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2"> 3,309,973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Cash and cash equivalents held at brokers (restricted)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,401,234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,695,461</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currencies held at brokers (restricted)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7,504,546</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,926,407</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">74,597,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">100,261,940</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest receivable</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,333</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Unrealized appreciation on forward currency contracts (Note 9)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,723,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,620,413</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net unrealized depreciation on futures contracts (Note 9)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(152,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,043,296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total Assets</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">90,763,622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">114,772,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Liabilities and Shareholders&#146; Capital</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Current Liabilities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sponsor&#146;s fees payable</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2"> 74,427</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2"> 89,735</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Due to brokers</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">100,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Unrealized depreciation on forward currency contracts (Note 9)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,695,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,744,316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total Liabilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,869,763</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,834,051</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Commitments and Contingent Liabilities (Note 7)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Shareholders&#146; Capital</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Redeemable capital Shares, no par value, unlimited amount authorized (at redemption value) &#150; 1,800,000 issued and outstanding at
December&nbsp;31, 2011 and 2,200,000 issued and outstanding at December&nbsp;31, 2010</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">87,879,459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">110,931,481</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Additional paid-in capital</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">14,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total Shareholders&#146; Capital</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">87,893,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">110,938,681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total Liabilities and Shareholders&#146; Capital</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">90,763,622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">114,772,732</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(</SUP><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">a)</SUP></FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP>Cost of foreign currencies at December&nbsp;31, 2011 and 2010: $7,615,973 and
$6,830,250, respectively. </FONT></P></TD></TR></TABLE>
 <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>See notes to financial statements. </I></FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-3 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_3"></A>Statements of Operations </B></FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">For the years ended December&nbsp;31, 2011, 2010 and the period from October&nbsp;6, 2009 </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">(commencement of operations) through December&nbsp;31, 2009 </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="52%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Years Ended December&nbsp;31,</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Period&nbsp;from&nbsp;October&nbsp;6,<BR>2009&nbsp;(Commencement&nbsp;of<BR>Operations)
through</B></FONT><br><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2009</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Investment Income</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">125,182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">111,049</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,444</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total investment income</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">125,182</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">111,049</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,444</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Expenses</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sponsor&#146;s fees</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,146,228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">634,698</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">26,019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Brokerage commissions and fees</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">87,185</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">41,174</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,933</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total expenses</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,233,413</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">675,872</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">27,952</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,108,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(564,823</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(25,508</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Realized and Unrealized Gain (Loss)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">199</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,234,749</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">699,926</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">435</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,748,162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,045,389</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(67,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currency translations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(207,584</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">102,402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(6,245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,152,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(175,836</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">51,933</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,891,124</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,917,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(125,582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized and unrealized gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,133,727</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,754,368</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(146,495</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:9.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(4,241,958</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,189,545</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(172,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss) per Share</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.78</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.88</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.74</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Weighted-average Shares outstanding</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,388,493</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,346,575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">232,184</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
 <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>See notes to financial statements. </I></FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-4 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_4"></A>Statements of Changes in Shareholders&#146; Capital </B></FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">For the years ended December&nbsp;31, 2011, 2010 and the period from October&nbsp;6, 2009 </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">(commencement of operations) through December&nbsp;31, 2009 </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="50%"></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Years Ended December&nbsp;31,</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Period from October&nbsp;6,<BR>2009&nbsp;(Commencement&nbsp;of<BR>Operations) through</B></FONT><br><FONT
STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2009</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Shareholders&#146; Capital, Beginning of Period</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">110,938,681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">14,855,197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Contributions</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">40,581,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">94,893,939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,027,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Redemptions</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(59,383,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,108,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(564,823</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(25,508</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">199</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,234,749</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">699,926</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">435</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,748,162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,045,389</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(67,036</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currency translations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(207,584</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">102,402</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(6,245</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,152,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(175,836</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">51,933</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,891,124</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,917,712</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(125,582</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Shareholders&#146; Capital, End of Period</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">87,893,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">110,938,681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">14,855,197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Net Asset Value per Share, End of Period</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">48.83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">50.43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">49.52</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
 <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>See notes to financial statements. </I></FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-5 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_5"></A>Statements of Cash Flows </B></FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">For the years ended December&nbsp;31, 2011, 2010 and the period from October&nbsp;6, 2009 </FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">(commencement of operations) through December&nbsp;31, 2009 </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="49%"></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Years Ended December&nbsp;31,</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Period from October&nbsp;6,<BR>2009&nbsp;(Commencement&nbsp;of<BR>Operations) through</B></FONT><br><FONT
STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2009</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2010</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Cash Flows from Operating Activities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(4,241,958</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,189,545</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(172,003</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Adjustments to reconcile net gain (loss) to net cash provided by (used in) operating activities:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Purchases of short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(350,098,480</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(188,417,529</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(22,496,236</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sales/maturities of short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">375,878,478</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">101,756,444</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9,000,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Accretion of discount</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(101,684</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(102,982</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,438</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain on short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(13,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(199</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Change in operating assets and liabilities:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Cash and cash equivalents held at brokers (restricted)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,294,227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,978,071</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(717,390</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currencies held at brokers, at cost (restricted)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(785,723</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(6,266,078</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(564,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest receivable</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(499</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(829</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net unrealized appreciation (depreciation) on futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,907,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,906,344</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">123,565</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sponsor&#146;s fees payable</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(15,308</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">78,083</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11,652</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Due to brokers</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">100,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:9.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net cash provided by (used in) operating activities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">20,107,889</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(91,835,272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(14,817,027</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Cash Flows from Financing Activities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Contributions</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">40,581,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">94,893,939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,027,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Redemptions</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(59,383,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:9.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net cash provided by (used in) financing activities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(18,802,864</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">94,893,939</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,027,200</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Effect of exchange rate changes on cash</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(928,020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">84,707</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(43,574</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net increase in cash and cash equivalents</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">377,005</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,143,374</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">166,599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Cash and Cash Equivalents</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Beginning of period</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,309,973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">166,599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">End of period</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,686,978</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,309,973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">166,599</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>See notes to financial statements. </I></FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-6 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_6">
</A>Schedule of Investments </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">At December&nbsp;31, 2011 </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="71%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Face Amount</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="border-bottom:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Security Description</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Fair Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">United States Treasury bills:</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">$&nbsp;&nbsp;11,300,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">0.01%-0.07% due 1/12/12</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11,299,766</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,000,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">0.01% due 2/16/12</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,999,870</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">18,500,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">0.01%-0.03% due 2/23/12</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">18,499,315</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11,600,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">0.00%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">-0.04% due 3/08/12</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11,599,443</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">14,200,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">0.01% due 3/12/12</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">14,198,827</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16,000,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">0.01% due 3/15/12</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,999,835</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Total United States Treasury bills - 84.87%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b</SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">74,597,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Rounds to less than 0.01%. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Percentage is based on shareholders&#146; capital. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-7 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Schedule of
Investments (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">At December&nbsp;31, 2011 </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">As of December&nbsp;31, 2011, open forward currency contracts held by the Trust were as follows: </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="84%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="19%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP ALIGN="center"> <P STYLE="border-bottom:1px solid #000000;width:41pt" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Settlement<BR>Date</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Currency&nbsp;to&nbsp;be<BR>Delivered</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Amount to be<BR>Delivered</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Currency&nbsp;to&nbsp;be<BR>Received</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Amount to be<BR>Received</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Unrealized<BR>Appreciation<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">AUD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,439,138</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,479,591</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4,353</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,096,640</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,067,818</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CHF</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16,730,530</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">18,176,949</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">284,981</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">21,864,893</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">29,237,645</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">853,562</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,983,337</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">17,296,467</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">227,406</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">JPY</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">729,545,155</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9,498,847</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16,846</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">NOK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">58,107,906</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,119,159</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">382,808</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">SEK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">65,656,222</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9,776,734</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">199,783</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13,003,122</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">AUD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13,862,019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,206,611</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">17,811,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">18,166,135</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">28,765</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11,881,579</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CHF</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11,121,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11,504</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">554,560</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">427,894</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">914</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,915,634</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,333,893</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">144,134</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5,033,720</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">JPY</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">391,029,463</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">48,545</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">23,350,443</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">SEK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">162,165,275</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">303,809</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">4/4/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,108,487</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">14,808,032</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">421</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">4/4/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,834,790</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4,402,019</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">359</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,723,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">AUD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">12,422,881</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">12,683,089</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(51,407</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">22,916,759</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">21,610,157</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(894,883</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">244,556</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">376,856</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">JPY</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">409,525,308</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5,276,254</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(46,404</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">NOK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">60,428,668</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,121,978</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,232</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">SEK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">119,994,053</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">17,465,576</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(37,367</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,750,444</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,847,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(26,197</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,286,165</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CHF</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5,609,474</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(287,279</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">28,786,266</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">21,436,999</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(957,657</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,436,772</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">894,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(47,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9,735,908</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">JPY</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">748,041,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(13,514</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">20,059,960</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">NOK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">118,536,574</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(198,398</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">1/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,551,668</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">SEK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">23,485,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(126,027</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">4/4/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CHF</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,535,738</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11,287,968</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(484</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">4/4/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7,702,109</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,006,672</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">4/4/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8,957,973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">AUD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8,825,111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(658</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">4/4/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5,659,651</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">JPY</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">434,673,658</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">4/4/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9,561,513</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">NOK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">57,248,212</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(161</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">4/4/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">14,754,666</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">SEK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">101,553,209</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(352</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,695,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net Unrealized Appreciation</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,028,311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-8 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Schedule of
Investments (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">At December&nbsp;31, 2011 </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">As of December&nbsp;31, 2011, open futures contracts held by the Trust were as follows: </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="51%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:52pt"><FONT STYLE="font-family:arial" SIZE="1"><B>Contract Type</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Number&nbsp;of<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Expiration<BR>Date</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Unrealized<BR>Appreciation<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Equity Contracts</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">AEX Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(69</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1/20/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(5,611,708</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(263,343</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">CAC 40 10-Year Euro</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">164</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1/20/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,739,242</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">197,994</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">OMX 30 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(575</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1/20/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(8,295,406</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(280,987</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Hang Seng Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(40</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1/30/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(4,752,659</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">34,507</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">MSCI Taiwan Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">175</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1/30/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4,436,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(35,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">TOPIX Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(34</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/9/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,217,052</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">33,143</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">S&amp;P/TSX 60 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(53</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/15/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(7,067,361</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(68,186</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">SPI 200 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">72</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/15/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7,416,505</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(289,722</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">DAX Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/16/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,829,543</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">77,889</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">FTSE 100 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">44</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/16/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,785,540</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">59,491</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">S&amp;P 500 E-mini Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/16/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,315,230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">24,623</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(509,591</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Interest Rate Contracts</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">10-Year Mini JGB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(28</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/8/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(5,186,223</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(30,569</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Euro Bund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">92</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/8/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16,605,519</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">484,340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Japan 10-Year Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(5</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/9/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(9,254,614</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(51,989</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Australian 10-Year Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(130</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/15/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(15,845,850</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(176,665</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Canada 10-Year Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(92</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/21/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(12,092,590</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(161,071</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">US 10-Year Note</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">98</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/21/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">12,850,250</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">96,469</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Long Gilt</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">70</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3/28/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">12,722,644</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">196,904</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">357,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net Unrealized Depreciation</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(152,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>See notes to financial statements. </I></FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-9 </FONT></P>


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<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_7"></A>Notes to Financial Statements </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">December&nbsp;31, 2011 </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>1 - Organization
</B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">The
iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust (the &#147;Trust&#148;) is a Delaware statutory trust organized under the laws of
the State of Delaware on July&nbsp;30, 2009 and commenced operations on October&nbsp;6, 2009. iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust
Sponsor LLC is the sponsor of the Trust (the &#147;Sponsor&#148;). The sole member and manager of the Sponsor is BlackRock Asset Management International Inc., a Delaware corporation. BlackRock Institutional Trust Company, N.A. is the
&#147;Trustee&#148; of the Trust. The Trust holds long and/or short positions in foreign currency forward contracts and exchange-traded futures contracts involving assets such as currencies, interest rates and certain eligible stock and/or bond
indices. Investments for the Trust&#146;s portfolio are selected by BlackRock Fund Advisors (the &#147;Advisor&#148;), following investment strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the
relative values or market prices of one or more assets. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust is a commodity pool, as defined in the Commodity Exchange Act (the &#147;CEA&#148;)
and the applicable regulations of the Commodity Futures Trading Commission (the &#147;CFTC&#148;), and is operated by the Sponsor, a commodity pool operator registered with the CFTC. The Sponsor is an indirect subsidiary of BlackRock, Inc. The
Advisor, an indirect subsidiary of BlackRock, Inc., serves as the commodity trading advisor of the Trust and is registered under the CEA. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust is
not an investment company registered under the Investment Company Act of 1940, as amended. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>2 - Summary of Significant Accounting Policies
</B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">A.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Basis of Accounting</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The following is a summary of
significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (&#147;U.S. GAAP&#148;). The preparation of
financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates and these differences could be material. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">Certain amounts in the financial statements for the prior years have been reclassified to conform to the current financial statement presentation. </FONT></P>
<P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">B.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Investment in Forward and Futures Contracts</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">A forward
contract is an agreement between two parties, one of whom undertakes to purchase from or sell to the other, on a specified future date, a specified quantity of a specified asset at a specified location in exchange for a specified purchase price. The
types of assets involved may vary from foreign currencies to physical commodities and financial assets such as bonds or interest rates. Unlike futures contracts, forward contracts are usually the subject of negotiation between the parties involved.
As a result, forward contracts may have a variety of maturities and involve different amounts of the specified asset. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts are
standardized forward contracts traded on an exchange. As such, futures contracts and the parties to a futures contract are subject to the regulations of the exchange where the contracts trade. Each exchange may impose certain margin requirements,
setting forth the minimum amount of funds </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-10 </FONT></P>


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<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Diversified Alternatives Trust </FONT></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>Notes to Financial Statements (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">December&nbsp;31, 2011 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
that must be deposited by a futures trader with the futures commission merchant in order to initiate futures trading or to maintain an open position in futures contracts. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Forward and futures contracts are derivative instruments and are valued at fair value. The Trust&#146;s derivatives are not designated as hedges, and all changes
in the fair value are reflected in the Statements of Operations. The current market value of all open futures contracts, whether traded on a United States exchange or a non-United States exchange, is determined by State Street Bank and Trust Company
(the &#147;Trust Administrator&#148;). Such current market value is based upon the settlement price for that particular futures contract traded on the applicable exchange on the date with respect to which net asset value is being determined;
provided, that if a futures contract could not be liquidated on such day, due to the operation of daily limits (if applicable) or other rules, procedures or actions of the exchange upon which that position is traded or otherwise, the settlement
price on the most recent day on which the position could have been liquidated is the primary basis for determining the market value of such position for such&nbsp;day. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">The current market value of all open forward contracts is based upon the prices determined by the Trust Administrator utilizing data from an internationally recognized valuation service for assets of that nature.
The Trustee periodically assesses the appropriateness of the methodologies used by the valuation service provider in determining the price of forward contracts. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">The Trustee may in its discretion (and, under extraordinary circumstances, will) value any asset of the Trust pursuant to other principles that it deems fair and equitable. In this context, &#147;extraordinary
circumstances&#148; includes, for example, periods during which a valuation price for a forward contract or a settlement price of a futures contract is not available due to events such as systems failure, natural or man-made disaster, act of God,
armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance or due to a trading or other restriction imposed by a relevant futures exchange. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">The investment objective of the Trust is to maximize absolute returns from its investments in certain futures and/or forward contracts selected by the Advisor following strategies that utilize quantitative
methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more commodities, currencies, interest rates or certain eligible stock or bond indices, and seek to control the risks and volatility
inherent in these investments by taking long and short positions in historically correlated assets. In pursuing its investment objectives, the Trust is subject to equity price risk, interest rate risk and foreign currency exchange rate risk. The
return on assets in the Trust, if any, is not intended to track the performance of any index or other benchmark. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">For futures contracts, counterparty
credit risk is minimized because futures contracts are exchange-traded and the exchange&#146;s clearing house acts as a central counterparty to all exchange-traded futures contracts (although customers continue to have credit exposure to the
clearing member who holds their account). Forward contracts are not exchange-traded, and are therefore subject to counterparty credit risk of The Royal Bank of Scotland plc, the prime broker of the Trust. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Please refer to Note 9 for additional disclosures regarding the Trust&#146;s investments in forward and futures contracts. </FONT></P>
<P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">C.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Cash and Cash Equivalents</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust defines cash and cash
equivalents to be highly liquid investments with original maturities of three months or less. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-11 </FONT></P>


<p Style='page-break-before:always'>
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<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Diversified Alternatives Trust </FONT></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>Notes to Financial Statements (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">December&nbsp;31, 2011 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">As of December&nbsp;31, 2011 and 2010, the Trust had cash and cash equivalents held at brokers of $1,401,234 and
$2,695,461, respectively, which were restricted and held as collateral against margin obligations for open forward and/or futures contracts. </FONT></P> <P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">D.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Foreign Currencies</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust may hold foreign currencies as
collateral for futures contracts traded on exchanges located outside the United States. Foreign currencies are translated into U.S. dollars at the prevailing spot exchange rate. Net realized gain or loss on foreign currencies, if any, arises from
the sale of such foreign currencies and is presented on the Statements of Operations. Net change in unrealized gain or loss on foreign currency translation on the Statements of Operations arises from changes in foreign currency values resulting from
changes in exchange rates during the period. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust does not isolate the effect of fluctuations in foreign exchange rates from the effect of
fluctuations in the market prices of securities. Such fluctuations are reflected by the Trust as a component of realized and unrealized gains and losses from investments for financial reporting purposes. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">As of December&nbsp;31, 2011 and 2010, the Trust had foreign currencies held at brokers of $7,504,546 and $6,926,407, respectively, which were restricted and held
as collateral against margin obligations for open futures contracts. </FONT></P> <P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">E.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Short-Term Investments</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments on the
Statements of Financial Condition consist principally of short-term fixed income securities with original maturities of one year or less. These investments are valued at fair value. </FONT></P>
<P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">F.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Securities Transactions, Income and Expense Recognition</I> </FONT></TD></TR></TABLE>
<P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Securities transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined using the specific identification
method. Other income and expenses are recognized on the accrual basis. </FONT></P> <P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">G.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Income Taxes</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust is not an association taxable as a
corporation and is treated as a partnership for federal, state and local income tax purposes. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">No provision for federal, state, and local income taxes
has been made in the accompanying financial statements because the Trust is not subject to income taxes. Shareholders are individually responsible for their own tax payments on their proportionate share of income, gain, loss, deduction, expense and
credit. </FONT></P> <P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">H.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Calculation of Net Asset Value</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">On each business day on which
NYSE Arca, Inc. (&#147;NYSE Arca&#148;) is open for regular trading, as soon as practicable after the close of regular trading of the Shares on NYSE Arca (normally 4:00 p.m., New York time), the Trustee determines the net asset value of the Trust.
Net asset value of the Trust means the total assets of the Trust including all cash and cash equivalents or other debt securities less total liabilities of </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-12 </FONT></P>


<p Style='page-break-before:always'>
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<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Diversified Alternatives Trust </FONT></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>Notes to Financial Statements (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">December&nbsp;31, 2011 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
the Trust, each determined on the basis of U.S. GAAP, consistently applied under the accrual method of accounting. In particular, net asset value of the Trust includes any unrealized profit or
loss on open forward contracts and futures contracts, and any other credit or debit accruing to the Trust but unpaid or not received by the Trust. </FONT></P> <P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">I.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Recent Accounting Standard</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">In May 2011, the Financial
Accounting Standards Board (&#147;FASB&#148;) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about
the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair measurement to changes in unobservable inputs and the
interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal
years beginning after December&nbsp;15, 2011, and interim periods within those fiscal years. The adoption of the additional disclosure requirements is not expected to materially impact the Trust&#146;s financial statements and disclosures.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">In December 2011, the FASB issued guidance to enhance current disclosure requirements on offsetting of certain assets and liabilities and enable
financial statement users to compare financial statements prepared under U.S. GAAP and International Financial Reporting Standards (IFRS). The new disclosures are required for investments and derivative financial instruments subject to master
netting agreements or similar agreements and require an entity to disclose both gross and net information about such investments and transactions eligible for offset in the statement of assets and liabilities. In addition, the standard requires
disclosure of collateral received and posted in connection with master netting agreements or similar agreements. The guidance is effective for financial statements for fiscal years beginning after January&nbsp;1, 2013, and interim periods within
those fiscal years. Management is evaluating the impact of this guidance on the Trust&#146;s financial statements and disclosures. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>3 - Offering of
the Shares </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust offers Shares on a continuous basis. The Trust issues and redeems Shares only in one or more blocks of 100,000 Shares
(&#147;Baskets&#148;) for a consideration in cash equal to the net asset value per Basket announced by the Trust on the first business day after the purchase or redemption order is received by the Trust. These transactions take place only with
certain broker-dealers with whom the Trust has entered into written arrangements regarding the issuance and redemption of Shares (such authorized broker-dealers are the &#147;Authorized Participants&#148;). Only institutions that enter into an
agreement with the Trust to become Authorized Participants may purchase or redeem Baskets. The Trust will not redeem individual Shares or Baskets held by parties who are not Authorized Participants. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Redemptions of Shares in exchange for a consideration in cash are treated as sales for financial statement purposes. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>4 - Trust Expenses </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust incurs all brokerage
commissions and other transaction related fees and expenses in connection with the trading activities of the Trust. These expenses are recorded as brokerage commissions and fees in the Statements of Operations as incurred. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-13 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Diversified Alternatives Trust </FONT></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>Notes to Financial Statements (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">December&nbsp;31, 2011 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor pays the amounts that would otherwise be considered the ordinary operating expenses, if any, of the
Trust. In return, the Sponsor receives an allocation from the Trust that accrues daily at an annualized rate equal to 0.95% of the adjusted net asset value of the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">The Sponsor is obligated under the trust agreement to pay the following administrative, operational and marketing expenses: (1)&nbsp;the fees of the Trustee, the Advisor, Wilmington Trust Company (the
&#147;Delaware Trustee&#148;), the Trust Administrator and SEI Investments Distribution Co. (the &#147;Processing Agent&#148;), (2)&nbsp;NYSE Arca listing fees, (3)&nbsp;printing and mailing costs, (4)&nbsp;audit fees, (5)&nbsp;fees for registration
of the Shares with the Securities and Exchange Commission (&#147;SEC&#148;), (6)&nbsp;tax reporting costs and (7)&nbsp;legal expenses up to $100,000 annually. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>5 - Related Parties </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC, is the Sponsor of the Trust, and BlackRock Fund Advisors is the Advisor of the Trust. The Sponsor and the Advisor are considered to be
related parties to the Trust. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>6 - Indemnification </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The trust agreement provides that the Sponsor and its shareholders, directors, officers, employees, affiliates (as such term is defined under the United States
Securities Act of 1933, as amended) and subsidiaries shall be indemnified from the Trust and held harmless against any loss, liability, cost, expense or judgment arising out of or in connection with the performance of their obligations under the
trust agreement or any actions taken in accordance with the provisions of the trust agreement incurred without their (1)&nbsp;negligence, bad faith, willful misconduct or willful malfeasance or (2)&nbsp;reckless disregard of their obligations and
duties under the trust agreement. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>7 - Commitments and Contingent Liabilities </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">In the normal course of business, the Trust may enter into contracts with service providers that contain general indemnification clauses. The Trust&#146;s maximum exposure under these arrangements is unknown as
this would involve future claims that may be made against the Trust that have not yet occurred. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-14 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Diversified Alternatives Trust </FONT></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>Notes to Financial Statements (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">December&nbsp;31, 2011 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>8 - Financial Highlights </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">The Trust is presenting the following financial highlights related to investment performance and operations for the years ended December&nbsp;31, 2011, 2010 and the period from October&nbsp;6, 2009 (commencement of
operations) through December&nbsp;31, 2009. The net investment income (loss) and total expense ratios are calculated using average net assets. The net asset value presentation is calculated using daily Shares outstanding. The net investment income
(loss) and expense ratios for the period from October&nbsp;6, 2009 through December&nbsp;31, 2009 have been annualized. The total return is based on the change in the net asset value of a Share during the period. </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="48%"></TD>
<TD VALIGN="bottom" WIDTH="15%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="14%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="14%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Years&nbsp;Ended&nbsp;December&nbsp;31,</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ROWSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Period from October&nbsp;6,<BR>2009&nbsp;(Commencement&nbsp;of<BR>Operations) through<BR>December&nbsp;31,
2009</B></FONT></TD>
<TD VALIGN="bottom" ROWSPAN="2"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;2011&nbsp;&nbsp;&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>&nbsp;&nbsp;&nbsp;&nbsp;2010&nbsp;&nbsp;&nbsp;&nbsp;</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net asset value per Share, beginning of period</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">50.43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">49.52</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">50.00</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.46</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.42</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized and unrealized gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.14</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.33</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.37</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net increase (decrease) in net assets from operations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1.60</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.91</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.48</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net asset value per Share, end of period</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">48.83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">50.43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">49.52</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Ratio to average net assets:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.92</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.92</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Expenses</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.02</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.01</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.01</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total return</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3.17</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.84</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.96</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>9 - Investing in Forward and Futures Contracts </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">Substantially all of the Trust&#146;s assets are invested in forward and/or futures contracts. The return on assets in the portfolio, if any, is not intended to track the performance of any index or other
benchmark. There is no assurance the Trust will achieve its investment objectives. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">For the years ended December&nbsp;31, 2011 and 2010, the average
month-end notional amounts of open forward currency contracts were $244,031,041 and $133,811,286, respectively. For the years ended December&nbsp;31, 2011 and 2010, the average month-end notional amounts of open futures contracts were $602,423,480
and $405,818,327, respectively. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-15 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Diversified Alternatives Trust </FONT></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>Notes to Financial Statements (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">December&nbsp;31, 2011 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The following table shows the fair values of the open forward currency and futures contracts, by risk exposure
category, on the Statements of Financial Condition as of December&nbsp;31, 2011 and 2010: </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="25%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="25%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="24%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="border-bottom:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Asset Derivatives</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Fair Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="border-bottom:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Liability Derivatives</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Fair Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:73pt"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2011</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign&nbsp;exchange&nbsp;contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;appreciation on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,723,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;depreciation on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,695,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized appreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">427,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">937,238</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized appreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">777,713</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">420,294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:73pt"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2010</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign&nbsp;exchange&nbsp;contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized appreciation on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,620,413</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized depreciation on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,744,316</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized appreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">227,254</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">555,551</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized appreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">85,806</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,800,805</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The following table shows the effect of the forward currency and futures contracts, by risk exposure category, on the Statements of
Operations for the years ended December&nbsp;31, 2011, 2010 and for the period from October&nbsp;6, 2009 (commencement of operations) through December&nbsp;31, 2009: </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="28%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD WIDTH="39%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="border-bottom:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Statements of<BR>Operations&nbsp;Location</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Realized<BR>Gain&nbsp;(Loss)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Change&nbsp;in&nbsp;Unrealized<BR>Appreciation/<BR>Depreciation</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="10" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:73pt"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2011</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign&nbsp;exchange&nbsp;contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,234,749</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2"> &#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on forward&nbsp;currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,152,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on futures&nbsp;contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(65,098</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on futures&nbsp;contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(181,294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on futures&nbsp;contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,770,249</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on futures&nbsp;contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,072,418</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-16 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Diversified Alternatives Trust </FONT></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>Notes to Financial Statements (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">December&nbsp;31, 2011 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="28%"></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD WIDTH="40%"></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="border-bottom:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Statements of<BR>Operations&nbsp;Location</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Realized<BR>Gain&nbsp;(Loss)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Change&nbsp;in&nbsp;Unrealized<BR>Appreciation/<BR>Depreciation</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD VALIGN="bottom" COLSPAN="10" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:73pt"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2010</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign exchange contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2"> 699,926</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2"> &#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on forward&nbsp;currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(175,836</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on futures&nbsp;contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">873,834</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on futures&nbsp;contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(345,880</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,130,286</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on futures&nbsp;contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,571,737</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:118pt"><FONT STYLE="font-family:arial" SIZE="1"><B>Period from October&nbsp;6, 2009<BR>(Commencement&nbsp;of&nbsp;Operations)<BR>through December&nbsp;31,
2009</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign exchange contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2"> 435</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2"> &#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on forward&nbsp;currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">51,933</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on futures&nbsp;contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(34,582</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on futures&nbsp;contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">17,583</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">
</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(34,493</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on futures&nbsp;contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(143,262</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT
STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(</SUP><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">a</SUP><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Amounts do not reconcile to the Statements of Operations due to brokerage commissions and fees. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>10 - Investment Valuation </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">In accordance with Financial
Accounting Standards Board Accounting Standards Codification Topic 820, <I>Fair Value Measurements and Disclosures</I>, the Trust values investments using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure
fair value. Inputs may be based on independent market data (&#147;observable inputs&#148;) or they may be internally developed (&#147;unobservable inputs&#148;). The hierarchy gives the highest priority to unadjusted quoted prices in active markets
for identical </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-17 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Diversified Alternatives Trust </FONT></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>Notes to Financial Statements (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">December&nbsp;31, 2011 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows: </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="8%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="89%"></TD></TR>


<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Level&nbsp;1</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#150;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Trust has the ability to access as of the measurement date;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Level&nbsp;2</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#150;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to
be active; and</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Level&nbsp;3</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#150;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Inputs that are unobservable for the asset or liability.</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">U.S. Treasury bills are classified as Level 2 investments, as these trade in markets that are not considered active, but whose
values are based on inputs such as quoted market prices, dealer quotations or valuations provided by alternative pricing sources that are supported by observable inputs. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">Forward currency contracts are not exchange-traded and do not have quoted prices for identical assets in active markets. These contracts are valued using pricing information obtained from third-party pricing
vendors who derive the value of these contracts from observable market inputs such as expiration dates of forward contracts, forward rates and spot exchange rates. Therefore, forward currency contracts are classified as Level 2 investments.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts are valued using settlement prices for the particular futures contract traded on the applicable exchanges. Futures contracts are
classified as Level 1 investments, as quoted prices for identical assets in active markets are available. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The following table summarizes the valuation
of the Trust&#146;s investments by the fair value hierarchy levels as of December&nbsp;31, 2011 and 2010: </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="43%"></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Level 1</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Level&nbsp;3</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:73pt"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2011</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>U.S. Treasury bills</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">74,597,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;&nbsp;&nbsp;&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">74,597,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Forward currency contracts</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,028,311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,028,311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Futures contracts</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(509,591</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(509,591</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">357,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">357,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(152,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(152,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:73pt"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2010</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>U.S. Treasury bills</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">100,261,940</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">100,261,940</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Forward currency contracts</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(123,903</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(123,903</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Futures contracts</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(328,297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(328,297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,714,999</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,714,999</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,043,296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,043,296</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-18 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> Diversified Alternatives Trust </FONT></B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>Notes to Financial Statements (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">December&nbsp;31, 2011 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>11 - Subsequent Events </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">In connection with the preparation of the financial statements of the Trust as of and for the period ended December&nbsp;31, 2011, management has evaluated the impact of all subsequent events on the Trust through
the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-19 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_8"></A>Statements of Financial Condition </B></FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">At June&nbsp;30, 2012 (Unaudited) and December&nbsp;31, 2011 </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="72%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>June 30,<BR>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>December 31,<BR>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Current Assets</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Cash and cash equivalents</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,935,642</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,686,978</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Cash and cash equivalents held at brokers (restricted)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,395,340</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,401,234</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currencies held at brokers (restricted)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5,198,271</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7,504,546</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">50,490,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">74,597,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Receivable for investment securities sold</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,395,116</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest receivable</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,020</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,333</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Unrealized appreciation on forward currency contracts (Note 9)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,911,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,723,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net unrealized depreciation on futures contracts (Note 9)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(691,436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(152,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total Assets</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">65,635,272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">90,763,622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Liabilities and Shareholders&#146; Capital</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Current Liabilities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Payable for capital Shares redeemed</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4,861,332</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sponsor&#146;s fees payable</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">49,558</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">74,427</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Due to brokers</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">300,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">100,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Unrealized depreciation on forward currency contracts (Note 9)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,083,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,695,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total Liabilities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7,294,437</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,869,763</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Commitments and Contingent Liabilities (Note 7)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Shareholders&#146; Capital</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Redeemable capital Shares, no par value, unlimited amount<BR>authorized (at redemption value) &#150; 1,200,000 issued and outstanding at
June 30, 2012 and 1,800,000 issued and<BR>outstanding at December 31, 2011</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">58,324,035</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">87,879,459</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Additional paid-in capital</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16,800</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">14,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total Shareholders&#146; Capital</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">58,340,835</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">87,893,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total Liabilities and Shareholders&#146; Capital</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">65,635,272</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">90,763,622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Cost of foreign currencies at June 30, 2012 and December 31, 2011: $5,142,903 and $7,615,973, respectively. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>See notes to financial statements. </I></FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-20 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_9"></A>Statements of Operations (Unaudited) </B></FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">For the three and six months ended June&nbsp;30, 2012 and 2011 </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="50%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Three Months Ended<BR>June&nbsp;30,</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Six Months Ended<BR>June&nbsp;30,</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Investment Income</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">19,360</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">41,035</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">31,902</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">86,215</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total investment income</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">19,360</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">41,035</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">31,902</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">86,215</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Expenses</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sponsor&#146;s fees</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">150,230</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">297,360</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">331,440</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">570,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Brokerage commissions and fees</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,801</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">17,410</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">34,618</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">35,457</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total expenses</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">166,031</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">314,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">366,058</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">605,629</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(146,671</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(273,735</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(334,156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(519,414</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Realized and Unrealized Gain (Loss)</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,762</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,762</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(343,346</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,301,901</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">629,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,301,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(470,249</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,418,213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16,378</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(433,358</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currency translations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">25,062</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">37,294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">161,947</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(9,955</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,104,660</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,134,784</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(200,717</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(770,858</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(379,793</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(483,228</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(539,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,388,908</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized and unrealized gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(63,691</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,142,158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">67,834</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,478,512</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(210,362</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,868,423</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(266,322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,959,098</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss) per Share</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.16</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.77</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.19</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.25</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Weighted-average Shares outstanding</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,296,703</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,434,066</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,423,626</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,361,326</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
 <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>See notes to financial statements. </I></FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-21 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_10"></A>Statements of Changes in Shareholders&#146; Capital </B></FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">For the six months ended June&nbsp;30, 2012 (Unaudited) and the year ended December&nbsp;31, 2011 </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="67%"></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Six Months<BR>Ended<BR>June 30, 2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Year Ended<BR>December&nbsp;31,&nbsp;2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Shareholders&#146; Capital, Beginning of Period</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">87,893,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">110,938,681</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Contributions</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">40,581,012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Redemptions</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(29,289,102</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(59,383,876</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(334,156</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,108,231</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13,430</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">629,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,234,749</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16,378</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,748,162</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currency translations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">161,947</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(207,584</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(200,717</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,152,214</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(539,264</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,891,124</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Shareholders&#146; Capital, End of Period</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">58,340,835</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">87,893,859</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Net Asset Value per Share, End of Period</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">48.62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">48.83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>
 <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>See notes to financial statements. </I></FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-22 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_11"></A>Statements of Cash Flows (Unaudited) </B></FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">For the six months ended June&nbsp;30, 2012 and 2011 </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="70%"></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="6%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="6" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Six Months Ended<BR>June 30,</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2012</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>2011</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Cash Flows from Operating Activities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net gain (loss)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(266,322)</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,959,098</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Adjustments to reconcile net gain (loss) to net cash provided by (used in) operating activities:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Purchases of short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(58,767,969</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(133,736,878</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sales/maturities of short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">82,898,820</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">119,799,622</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Accretion of discount</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(24,253</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(76,061</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on short-term investments</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">280</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,762</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:5.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Change in operating assets and liabilities:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Cash and cash equivalents held at brokers (restricted)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5,894</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,336,044</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign currencies held at brokers, at cost (restricted)</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,473,070</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,082,980</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Receivable for investment securities sold</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,399,964</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest receivable</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,313</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(809</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net unrealized appreciation (depreciation) on futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">563,180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,356,780</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Sponsor&#146;s fees payable</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(24,869</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11,086</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:7.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Due to brokers</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">200,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:9.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net cash provided by (used in) operating activities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">23,659,180</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(15,656,548</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Cash Flows from Financing Activities</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Contributions</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">25,716,762</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:3.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Redemptions</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(24,427,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(10,282,126</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:9.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net cash provided by (used in) financing activities</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(24,425,370</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,434,636</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Effect of exchange rate changes on cash</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">14,854</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">748,685</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net increase (decrease) in cash and cash equivalents</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(751,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">526,773</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Cash and Cash Equivalents</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Beginning of period</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,686,978</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,309,973</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">End of period</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT><BR>
</TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,935,642</FONT><BR>
</TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT><BR>
</TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,836,746</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>See notes to financial statements. </I></FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-23 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_12">
</A>Schedule of Investments (Unaudited) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">At June&nbsp;30, 2012 </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD WIDTH="70%"></TD>
<TD VALIGN="bottom" WIDTH="3%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom" COLSPAN="2" NOWRAP ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Face Amount</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="border-bottom:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Security Description</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Fair Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">United States Treasury bills:</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">$&nbsp;&nbsp;&nbsp;&nbsp;27,300,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">0.00%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> due
8/16/12</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">27,295,743</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,500,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">0.00%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> due
8/30/12</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,498,657</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16,000,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">0.00%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> due
9/06/12</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,995,991</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">700,000</FONT></TD>
<TD NOWRAP VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">0.00%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"> due
9/20/12</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">699,787</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Total United States Treasury bills - 86.54%</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">50,490,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Rounds to less than 0.01%. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Percentage is based on shareholders&#146; capital. </FONT></P></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-24 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Schedule of
Investments (Unaudited) (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">At June&nbsp;30, 2012 </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">As of June 30, 2012, open forward currency contracts held by the Trust were as follows: </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="84%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="16%"></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>

<TR>
<TD VALIGN="bottom" NOWRAP ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Settlement</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px;border-bottom:1px solid #000000;width:41pt" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Date</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Currency&nbsp;to&nbsp;be<BR>Delivered</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Amount to be<BR>Delivered</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Currency&nbsp;to&nbsp;be<BR>Received</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Amount to be<BR>Received</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Unrealized<BR>Appreciation<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">AUD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">160,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">164,944</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13,362,154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">13,424,848</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">318,202</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CHF</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,088,301</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16,662,796</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">720,894</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">17,287,297</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">22,907,751</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">968,960</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">606,752</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">951,657</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">JPY</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">26,337,775</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">330,100</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">NOK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">25,860,843</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4,453,301</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">103,195</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">SEK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">19,797,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,926,602</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">58,682</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,146,441</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">AUD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,178,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">85,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">600,856</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">620,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7,289</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,945,261</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CHF</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,810,561</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">24,304</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,191,486</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,758,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">39,539</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,447,517</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">939,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">25,251</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8,058,144</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">JPY</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">663,900,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">262,685</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">824,045</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">NOK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5,027,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">21,557</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,174,132</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">SEK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">44,517,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">274,886</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,911,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">AUD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9,807,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9,699,097</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(351,661</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">388,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">373,047</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(7,534</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CHF</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5,620,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">5,835,111</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(102,833</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,103,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4,768,861</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(98,018</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">JPY</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">670,021,929</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8,174,374</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(223,183</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">NOK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,533,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">578,564</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(15,729</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">SEK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7,806,140</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,130,839</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(8</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,012,021</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">AUD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9,721,277</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(49,117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,088,179</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CAD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">6,060,165</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(143,895</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">417,981</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">CHF</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">383,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(13,313</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,514,728</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">EUR</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,951,484</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(38,158</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">16,055,240</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">GBP</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,051,785</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(289,586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">4,378,919</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">JPY</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">348,513,000</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(10,916</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">8,618,597</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">NOK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">49,276,965</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(329,616</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">7/5/2012</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">USD</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11,529,901</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">SEK</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">76,759,829</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(409,980</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,083,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top" COLSPAN="16"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net Unrealized Appreciation</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">827,594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-25 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Schedule of
Investments (Unaudited) (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">At June&nbsp;30, 2012 </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="2%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">&#149;</FONT></TD>
<TD WIDTH="1%" VALIGN="top"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">As of June&nbsp;30, 2012, open futures contracts held by the Trust were as follows: </FONT></P></TD></TR></TABLE>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="51%"></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>

<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:52pt"><FONT STYLE="font-family:arial" SIZE="1"><B>Contract Type</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Number&nbsp;of<BR>Contracts</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Expiration<BR>Date</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Notional<BR>Amount</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Unrealized<BR>Appreciation<BR>(Depreciation)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Equity Contracts</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">AEX Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(65</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7/20/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(5,068,903</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(258,188</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">CAC 40 10-Year Euro</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">81</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7/20/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,281,154</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">175,776</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">OMX 30 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(166</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7/20/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(2,474,103</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(119,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Hang Seng Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(35</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7/30/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(4,387,831</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(62,268</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">MSCI Taiwan Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(213</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">7/30/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(5,397,420</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(117,150</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">TOPIX Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(12</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/14/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,156,536</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(78,205</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">S&amp;P/TSX 60 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(49</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/20/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(6,358,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(85,652</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">SPI 200 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">104</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/20/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,812,434</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(90,614</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">DAX Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">11</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/21/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,237,541</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">95,623</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">FTSE 100 Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">117</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/21/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,135,185</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">168,828</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">S&amp;P 500 E-mini Index</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(20</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/21/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,356,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(36,400</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(407,897</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Interest Rate Contracts</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Euro Bund</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">57</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/6/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">10,192,121</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(198,924</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">10-Year Mini JGB</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(10</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/7/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(1,800,978</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(3,760</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Japan 10-Year Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/10/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(7,203,409</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(15,039</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Australian 10-Year Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(78</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/17/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(10,030,839</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(23,534</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Canada 10-Year Bond</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(133</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/19/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(18,062,534</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(161,558</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">US 10-Year Note</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">93</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/19/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">12,403,875</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">75,563</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Long Gilt</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">82</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">9/26/2012</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">15,319,086</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">43,713</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(283,539</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top" COLSPAN="12"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net Unrealized Depreciation</FONT></P></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(691,436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><I>See notes to financial statements. </I></FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-26 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="fin400638_13"></A>Notes to Financial Statements (Unaudited) </B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">June&nbsp;30, 2012 </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>1 - Organization
</B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">The
iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust, (the &#147;Trust&#148;) is a Delaware statutory trust organized under the laws of
the State of Delaware on July&nbsp;30, 2009 and commenced operations on October&nbsp;6, 2009. iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust
Sponsor LLC is the sponsor of the Trust (the &#147;Sponsor&#148;). The sole member and manager of the Sponsor is BlackRock Asset Management International Inc., a Delaware corporation. BlackRock Institutional Trust Company, N.A. is the
&#147;Trustee&#148; of the Trust. The Trust holds long and/or short positions in foreign currency forward contracts and exchange-traded futures contracts involving assets such as currencies, interest rates and certain eligible stock and/or bond
indices. Investments for the Trust&#146;s portfolio are selected by BlackRock Fund Advisors (the &#147;Advisor&#148;), following investment strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the
relative values or market prices of one or more assets. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust is a commodity pool, as defined in the Commodity Exchange Act (the &#147;CEA&#148;)
and the applicable regulations of the Commodity Futures Trading Commission (the &#147;CFTC&#148;), and is operated by the Sponsor, a commodity pool operator registered with the CFTC. The Sponsor is an indirect subsidiary of BlackRock, Inc. The
Advisor, an indirect subsidiary of BlackRock, Inc., serves as the commodity trading advisor of the Trust and is registered under the CEA. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust is
not an investment company registered under the Investment Company Act of 1940, as amended. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The accompanying unaudited financial statements were
prepared in accordance with accounting principles generally accepted in the United States of America (&#147;U.S. GAAP&#148;) for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S.
Securities and Exchange Commission (the &#147;SEC&#148;). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements
have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust&#146;s financial statements included in its Annual
Report on Form 10-K for the year ended December&nbsp;31, 2011 as filed with the SEC on March&nbsp;14, 2012. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>2 - Summary of Significant Accounting
Policies </B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">A.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Basis of Accounting</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The following is a summary of
significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain
estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates and these differences could be material. </FONT></P> <P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">B.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Investment in Forward and Futures Contracts</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">A forward
contract is an agreement between two parties, one of whom undertakes to purchase from or sell to the other, on a specified future date, a specified quantity of a specified asset at a specified location in exchange for a specified purchase price. The
types of assets involved may vary from foreign currencies to physical commodities and financial assets such as bonds or interest rates. Unlike futures contracts, </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-27 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Notes to
Financial Statements (Unaudited) (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">June&nbsp;30, 2012 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
forward contracts are usually the subject of negotiation between the parties involved. As a result, forward contracts may have a variety of maturities and involve different amounts of the
specified asset. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts are standardized forward contracts traded on an exchange. As such, futures contracts and the parties to a futures
contract are subject to the regulations of the exchange where the contracts trade. Each exchange may impose certain margin requirements, setting forth the minimum amount of funds that must be deposited by a futures trader with the futures commission
merchant in order to initiate futures trading or to maintain an open position in futures contracts. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Forward and futures contracts are derivative
instruments and are valued at fair value. The Trust&#146;s derivatives are not designated as hedges, and all changes in the fair value are reflected in the Statements of Operations. The current market value of all open futures contracts, whether
traded on a United States exchange or a non-United States exchange, is determined by State Street Bank and Trust Company (the &#147;Trust Administrator&#148;). Such current market value is based upon the settlement price for that particular futures
contract traded on the applicable exchange on the date with respect to which net asset value is being determined; provided that if a futures contract could not be liquidated on such day, due to the operation of daily limits (if applicable) or other
rules, procedures or actions of the exchange upon which that position is traded or otherwise, the settlement price on the most recent day on which the position could have been liquidated is the primary basis for determining the market value of such
position for such day. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The current market value of all open forward contracts is based upon the prices determined by the Trust Administrator utilizing
data from an internationally recognized valuation service for assets of that nature. The Trustee periodically assesses the appropriateness of the methodologies used by the valuation service provider in determining the price of forward contracts.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trustee may in its discretion (and, under extraordinary circumstances, will) value any asset of the Trust pursuant to other principles that it
deems fair and equitable. In this context, &#147;extraordinary circumstances&#148; includes, for example, periods during which a valuation price for a forward contract or a settlement price of a futures contract is not available due to events such
as systems failure, natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance or due to a trading or other restriction imposed by a relevant futures exchange.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The investment objective of the Trust is to maximize absolute returns from its investments in certain futures and/or forward contracts selected by the
Advisor following strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more commodities, currencies, interest rates or certain eligible stock or bond
indices, and seek to control the risks and volatility inherent in these investments by taking long and short positions in historically correlated assets. In pursuing its investment objectives, the Trust is subject to equity price risk, interest rate
risk and foreign currency exchange rate risk. The return on assets in the Trust, if any, is not intended to track the performance of any index or other benchmark. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">For futures contracts, counterparty credit risk is minimized because futures contracts are exchange-traded and the exchange&#146;s clearing house acts as a central counterparty to all exchange-traded futures
contracts (although customers continue to have credit exposure to the clearing member who holds their account). Forward contracts are not exchange-traded, and are therefore subject to counterparty credit risk of The Royal Bank of Scotland plc, the
prime broker of the Trust. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-28 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Notes to
Financial Statements (Unaudited) (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">June&nbsp;30, 2012 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Please refer to Note 9 for additional disclosures regarding the Trust&#146;s investments in forward and futures
contracts. </FONT></P> <P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">C.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Cash and Cash Equivalents</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust defines cash and cash
equivalents to be highly liquid investments with original maturities of three months or less. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">As of June&nbsp;30, 2012 and December&nbsp;31, 2011, the
Trust had cash and cash equivalents held at brokers of $1,395,340 and $1,401,234, respectively, which were restricted and held as collateral against margin obligations for open forward and/or futures contracts. </FONT></P>
<P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">D.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Foreign Currencies</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust may hold foreign currencies as
collateral for futures contracts traded on exchanges located outside the United States. Foreign currencies are translated into U.S. dollars at the prevailing spot exchange rate. Net realized gain or loss on foreign currencies, if any, arises from
the sale of such foreign currencies and is presented on the Statements of Operations. Net change in unrealized gain or loss on foreign currency translation on the Statements of Operations arises from changes in foreign currency values resulting from
changes in exchange rates during the period. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust does not isolate the effect of fluctuations in foreign exchange rates from the effect of
fluctuations in the market prices of securities. Such fluctuations are reflected by the Trust as a component of realized and unrealized gains and losses from investments for financial reporting purposes. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">As of June&nbsp;30, 2012 and December&nbsp;31, 2011, the Trust had foreign currencies held at brokers of $5,198,271 and $7,504,546, respectively, which were
restricted and held as collateral against margin obligations for open futures contracts. </FONT></P> <P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">E.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Short-Term Investments</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Short-term investments on the
Statements of Financial Condition consist principally of short-term fixed income securities with original maturities of one year or less. These investments are valued at fair value. </FONT></P>
<P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">F.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Securities Transactions, Income and Expense Recognition</I> </FONT></TD></TR></TABLE>
<P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Securities transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined using the specific identification
method. Other income and expenses are recognized on the accrual basis. </FONT></P> <P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">G.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Income Taxes</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust is not an association taxable as a
corporation and is treated as a partnership for federal, state and local income tax purposes. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">No provision for federal, state, and local income taxes
has been made in the accompanying financial statements because the Trust is not subject to income taxes. Shareholders are individually responsible for their own tax payments on their proportionate share of income, gain, loss, deduction, expense and
credit. </FONT></P> <P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">H.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Calculation of Net Asset Value</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">On each business day on which
NYSE Arca, Inc. (&#147;NYSE Arca&#148;) is open for regular trading, as soon as practicable after the close of regular trading of the Shares on NYSE Arca (normally 4:00 p.m., New York </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-29 </FONT></P>


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<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Notes to
Financial Statements (Unaudited) (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">June&nbsp;30, 2012 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
time), the Trustee determines the net asset value of the Trust. Net asset value of the Trust means the total assets of the Trust including all cash and cash equivalents or other debt securities
less total liabilities of </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">the Trust, each determined on the basis of U.S. GAAP, consistently applied under the accrual method of accounting. In
particular, net asset value of the Trust includes any unrealized profit or loss on open forward contracts and futures contracts, and any other credit or debit accruing to the Trust but unpaid or not received by the Trust. </FONT></P>
<P STYLE="font-size:18px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="2">I.</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:arial" SIZE="2"><I>Recent Accounting Standard</I> </FONT></TD></TR></TABLE> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">In December 2011, the Financial
Accounting Standards Board (&#147;FASB&#148;) issued guidance to enhance current disclosure requirements on offsetting of certain assets and liabilities and enable financial statement users to compare financial statements prepared under U.S. GAAP
and International Financial Reporting Standards (IFRS). The new disclosures are required for investments and derivative financial instruments subject to master netting agreements or similar agreements and require an entity to disclose both gross and
net information about such investments and transactions eligible for offset in the statement of assets and liabilities. In addition, the standard requires disclosure of collateral received and posted in connection with master netting agreements or
similar agreements. The guidance is effective for financial statements for fiscal years beginning after January&nbsp;1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trust&#146;s
financial statements and disclosures. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>3 - Offering of the Shares </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2">The Trust offers Shares on a continuous basis. The Trust issues and redeems Shares only in one or more blocks of 100,000 Shares (&#147;Baskets&#148;) for consideration in cash equal to the net asset value per
Basket announced by the Trust on the first business day after the purchase or redemption order is received by the Trust. These transactions take place only with certain broker-dealers with whom the Trust has entered into written arrangements
regarding the issuance and redemption of Shares (such authorized broker-dealers are the &#147;Authorized Participants&#148;). Only institutions that enter into an agreement with the Trust to become Authorized Participants may purchase or redeem
Baskets. The Trust will not redeem individual Shares or Baskets held by parties who are not Authorized Participants. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Redemptions of Shares in exchange
for a consideration in cash are treated as sales for financial statement purposes. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>4 - Trust Expenses </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust incurs all brokerage commissions and other transaction related fees and expenses in connection with the trading activities of the Trust. These expenses
are recorded as brokerage commissions and fees in the Statements of Operations as incurred. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor pays the amounts that would otherwise be
considered the ordinary operating expenses, if any, of the Trust. In return, the Sponsor receives an allocation from the Trust that accrues daily at an annualized rate equal to 0.95% of the adjusted net asset value of the Trust. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Sponsor is obligated under the trust agreement to pay the following administrative, operational and marketing expenses: (1)&nbsp;the fees of the Trustee, the
Advisor, Wilmington Trust Company (the &#147;Delaware Trustee&#148;), the Trust Administrator and SEI Investments Distribution Co., (2)&nbsp;NYSE Arca listing fees, </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-30 </FONT></P>


<p Style='page-break-before:always'>
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<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Notes to
Financial Statements (Unaudited) (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">June&nbsp;30, 2012 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
(3)&nbsp;printing and mailing costs, (4)&nbsp;audit fees, (5)&nbsp;fees for registration of the Shares with the SEC, (6)&nbsp;tax reporting costs and (7)&nbsp;legal expenses up to $100,000
annually. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>5 - Related Parties </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware
Trust Sponsor LLC, is the Sponsor of the Trust, and BlackRock Fund Advisors is the Advisor of the Trust. The Sponsor and the Advisor are considered to be related parties to the Trust. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>6 - Indemnification </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The trust agreement provides that the Sponsor and its shareholders, directors, officers,
employees, affiliates (as such term is defined under the United States Securities Act of 1933, as amended) and subsidiaries shall be indemnified from the Trust and held harmless against any loss, liability, cost, expense or judgment arising out of
or in connection with the performance of their obligations under the trust agreement or any actions taken in accordance with the provisions of the trust agreement incurred without their (1)&nbsp;negligence, bad faith, willful misconduct or willful
malfeasance or (2)&nbsp;reckless disregard of their obligations and duties under the trust agreement. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>7 - Commitments and Contingent Liabilities
</B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">In the normal course of business, the Trust may enter into contracts with service providers that contain general indemnification clauses. The
Trust&#146;s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>8 - Financial Highlights </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The Trust is presenting the following financial highlights related to investment
performance and operations for the period from January&nbsp;1, 2012 through June&nbsp;30, 2012. The net investment income (loss) and total expense ratios are calculated using average net assets. The net asset value presentation is calculated using
daily Shares outstanding. The net investment income (loss) and expense ratios have been annualized. The total return is based on the change in the net asset value of a Share during the period. </FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="89%"></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net asset value per Share, beginning of period</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">48.83</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment loss</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.23</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net realized and unrealized gain</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">0.02</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net decrease in net assets from operations</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.21</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net asset value per Share, end of period</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">48.62</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:3px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Ratio to average net assets:</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Net investment
loss</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.96</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top">
<P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Expenses</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1.05</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">%&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total
return</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(0.43</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)%&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Percentage is annualized. </FONT></P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="1%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(b)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Percentage is not annualized. </FONT></P></TD></TR></TABLE> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>9 -
Investing in Forward and Futures Contracts </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Substantially all of the Trust&#146;s assets are invested in forward and/or futures contracts. The return
on assets in the portfolio, if any, is not intended to track the performance of any index or other benchmark. There is no assurance the Trust will achieve its investment objectives. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-31 </FONT></P>


<p Style='page-break-before:always'>
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<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Notes to
Financial Statements (Unaudited) (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">June&nbsp;30, 2012 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">For the six months ended June&nbsp;30, 2012 and the year ended December&nbsp;31, 2011, the average month-end
notional amounts of open forward currency contracts were $184,773,414 and $244,031,041, respectively. </FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">For the six months ended June&nbsp;30, 2012 and
the year ended December&nbsp;31, 2011, the average month-end notional amounts of open futures contracts were $131,856,613 and $602,423,480, respectively. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The following table shows the fair values of the open forward currency and futures contracts, by risk exposure category, on the Statements of Financial Condition
as of June&nbsp;30, 2012 and December&nbsp;31, 2011: </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TR>
<TD WIDTH="25%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="25%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="24%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="border-bottom:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Asset Derivatives</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Fair Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="border-bottom:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Liability Derivatives</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Fair Value</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:52pt"><FONT STYLE="font-family:arial" SIZE="1"><B>June&nbsp;30, 2012</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign&nbsp;exchange&nbsp;contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;appreciation on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,911,141</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;depreciation on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,083,547</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;appreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">440,227</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">848,124</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;appreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">119,276</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">402,815</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:73pt"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2011</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign exchange contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;appreciation on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">3,723,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;depreciation on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,695,336</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;appreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">427,647</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">937,238</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;appreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">777,713</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unrealized&nbsp;depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">420,294</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The following table shows the effect of the forward currency and futures contracts, by risk exposure category, on the Statements of
Operations for the six months ended June&nbsp;30, 2012 and 2011: </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="29%"></TD>
<TD VALIGN="bottom" WIDTH="10%"></TD>
<TD WIDTH="33%"></TD>
<TD VALIGN="bottom" WIDTH="10%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="9%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="border-bottom:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Statements of<BR>Operations&nbsp;Location</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Realized<BR>Gain&nbsp;(Loss)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Change&nbsp;in&nbsp;Unrealized<BR>Appreciation/<BR>Depreciation</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:121pt"><FONT STYLE="font-family:arial" SIZE="1"><B>Six&nbsp;Months&nbsp;Ended&nbsp;June&nbsp;30,&nbsp;2012</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign&nbsp;exchange&nbsp;contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;629,770</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(200,717</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(480,783</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">101,694</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-32 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Notes to
Financial Statements (Unaudited) (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">June&nbsp;30, 2012 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="29%"></TD>
<TD VALIGN="bottom" WIDTH="11%"></TD>
<TD WIDTH="31%"></TD>
<TD VALIGN="bottom" WIDTH="11%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="10%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>

<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center" STYLE="border-bottom:1px solid #000000"> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="1"><B>Statements of<BR>Operations&nbsp;Location</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Realized<BR>Gain&nbsp;(Loss)</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Change&nbsp;in&nbsp;Unrealized<BR>Appreciation/<BR>Depreciation</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:121pt"><FONT STYLE="font-family:arial" SIZE="1"><B>Six&nbsp;Months&nbsp;Ended&nbsp;June&nbsp;30,&nbsp;2012</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">462,543</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(640,958</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>

<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:121pt"><FONT STYLE="font-family:arial" SIZE="1"><B>Six&nbsp;Months&nbsp;Ended&nbsp;June&nbsp;30,&nbsp;2011</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Foreign exchange contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,301,013</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on forward currency contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(770,858</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">129,800</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">952,322</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="2"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net realized gain (loss) on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2"></FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(598,615</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex"></SUP></FONT><FONT
STYLE="font-family:arial" SIZE="2"></FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)</FONT><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2">&nbsp;
</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Net change in unrealized appreciation/depreciation on futures contracts</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2,436,586</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Amounts do not reconcile to the Statements of Operations due to brokerage commissions and fees. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>10 - Investment Valuation </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">FASB Accounting Standards
Codification Topic 820, <I>Fair Value Measurements and Disclosure</I> defines fair value as the price the Trust would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement
date. The Trust&#146;s policy is to value its investments at fair value. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">U.S. Treasury bills are valued at the last available bid price received from
independent pricing services. In determining the value of a fixed income investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in
comparable investments, various relationships observed in the market between investments and calculated yield measures. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Forward currency contracts are
valued using the London close forward rate. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts are valued using the last reported settlement price for the particular futures contract
traded on the applicable exchange. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">Various inputs are used in determining the fair value of financial instruments. Inputs may be based on independent
market data (&#147;observable inputs&#148;) or they may be internally developed (&#147;unobservable inputs&#148;). These inputs are categorized into a disclosure hierarchy consisting of three broad levels for
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-33 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>


 <P STYLE="margin-top:0px;margin-bottom:0px;padding-bottom:0px;" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>Notes to
Financial Statements (Unaudited) (Continued) </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">June&nbsp;30, 2012 </FONT></P>
<p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">
financial reporting purposes. The level of a value determined for a financial instrument within the fair value hierarchy is based on the lowest level of any input that is significant to the fair
value measurement in its entirety. The three levels of the fair value hierarchy are as follows: </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="9%"></TD>
<TD VALIGN="bottom"></TD>
<TD WIDTH="1%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="88%"></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Level&nbsp;1</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#150;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unadjusted quoted prices in active markets for identical assets or liabilities;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Level&nbsp;2</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#150;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or
liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived
principally from or corroborated by observable market data by correlation or other means; and</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Level&nbsp;3</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#150;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">Unobservable inputs that are unobservable for the asset or liability, including the Trust&#146;s assumptions used in determining the fair value of investments.</FONT></TD></TR>
</TABLE> <P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">The following table summarizes the valuation of the Trust&#146;s investments by the fair value hierarchy levels as of June&nbsp;30,
2012 and December&nbsp;31, 2011: </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="92%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD WIDTH="43%"></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="7%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD>
<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Level 1</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Level 2</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Level&nbsp;3</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1px solid #000000"><FONT STYLE="font-family:arial" SIZE="1"><B>Total</B></FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:52pt"><FONT STYLE="font-family:arial" SIZE="1"><B>June&nbsp;30, 2012</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>


<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>U.S. Treasury bills</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">50,490,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">50,490,178</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Forward currency
contracts<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">827,594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">827,594</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Futures
contracts<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(407,897</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(407,897</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(283,539</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(283,539</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(691,436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(691,436</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD>
<TD HEIGHT="16" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP> <P STYLE="border-bottom:1px solid #000000;width:73pt"><FONT STYLE="font-family:arial" SIZE="1"><B>December&nbsp;31, 2011</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD COLSPAN="2" VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>U.S. Treasury bills</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">74,597,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">$</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">74,597,056</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Forward currency
contracts<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,028,311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">1,028,311</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD>
<TD HEIGHT="8" COLSPAN="4"></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><B>Futures
contracts<FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP></FONT><FONT STYLE="font-family:arial" SIZE="2"></FONT></B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Equity contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(509,591</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(509,591</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR BGCOLOR="#cceeff">
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Interest rate contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">357,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">357,419</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:2.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2">Total futures contracts</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(152,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&#151;&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">(152,172</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">)&nbsp;</FONT></TD></TR>
<TR STYLE="font-size:1px">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE="border-top:1px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="3%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">(a)</SUP>&nbsp;</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:arial" SIZE="1">Futures contracts and forward currency contracts are valued at unrealized appreciation/depreciation. </FONT></P></TD></TR></TABLE>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>11 - Subsequent Events </B></FONT></P>
 <P STYLE="margin-top:6px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2">In connection with the preparation of the financial statements of the Trust as of and for the period ended June&nbsp;30, 2012, management has
evaluated the impact of all subsequent events on the Trust through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">F-34 </FONT></P>


<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:24px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>PART 2 </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B><A NAME="rom400638_26"></A>STATEMENT OF ADDITIONAL INFORMATION </B></FONT></P> <P STYLE="margin-top:180px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="4"><B>iSHARES<FONT
STYLE="font-family:arial" SIZE="2"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> DIVERSIFIED ALTERNATIVES TRUST </B></FONT></P> <P STYLE="margin-top:180px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>THIS STATEMENT OF ADDITIONAL INFORMATION IS THE SECOND PART OF A TWO-PART </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>DOCUMENT AND
SHOULD BE READ IN CONJUNCTION WITH THE DISCLOSURE DOCUMENT </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>DATED,
[&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;], 2012. THE DISCLOSURE DOCUMENT AND THIS STATEMENT OF ADDITIONAL </B></FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="2"><B>INFORMATION ARE BOUND TOGETHER, AND BOTH CONTAIN IMPORTANT INFORMATION. </B></FONT></P>
<P STYLE="margin-top:96px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>[&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;], 2012 </B></FONT></P>

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<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
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<TD></TD>
<TD></TD>
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<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#saitoc400638_1">THE FUTURES MARKETS</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2-1</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
<TR>
<TD HEIGHT="5"></TD>
<TD HEIGHT="5" COLSPAN="4"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:arial" SIZE="2"><A HREF="#saitoc400638_2">GLOSSARY</A></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;</FONT></TD>
<TD NOWRAP VALIGN="bottom" ALIGN="right"><FONT STYLE="font-family:arial" SIZE="2">2-4</FONT></TD>
<TD NOWRAP VALIGN="bottom"><FONT STYLE="font-family:arial" SIZE="2">&nbsp;&nbsp;</FONT></TD></TR>
</TABLE>

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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="saitoc400638_1"></A>THE FUTURES MARKETS </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Futures Contracts </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts are
standardized contracts made on United States or foreign exchanges that call for the future delivery of specified quantities of various agricultural and tropical commodities, industrial commodities, currencies, financial instruments or metals at a
specified time and place. The contractual obligations, depending upon whether one is a buyer or a seller, may be satisfied either by taking or making, as the case may be, physical delivery of an approved grade of commodity or by making an offsetting
sale or purchase of an equivalent but opposite futures contract on the same, or mutually off-setting, exchange prior to the designated date of delivery. A futures contract provides for a specified settlement month in which the cash settlement is
made or in which the commodity or financial instrument is to be delivered by the seller (whose position is described as &#147;short&#148;) and acquired by the purchaser (whose position is described as &#147;long&#148;). </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Margin </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Initial&#148; or
&#147;original&#148; margin is the minimum amount of funds that must be deposited by a futures trader with his commodity broker in order to initiate futures trading or to maintain an open position in futures contracts. The market participant
normally makes to, and receives from, the broker subsequent daily payments as the price of the futures contract fluctuates. These payments are called &#147;variation margin&#148; and are made as the existing positions in the futures contract become
more or less valuable, a process known as &#147;marking to the market.&#148; By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market participant may be able to earn interest on its
margin funds, thereby increasing the total return that it may realize from an investment in futures contracts. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">A margin deposit is like
a cash performance bond. It helps assure the futures trader&#146;s performance of his obligations under contracts he purchases or sells. Futures interests are customarily bought and sold on margins that represent a very small percentage (ranging
upward from less than 2% to 5%) of the purchase price of the underlying commodity being traded. Because of such low margins, price fluctuations occurring in the futures markets may create profits and losses that are greater, in relation to the
amount invested, than are customary in other forms of investment or speculation. The minimum amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which such contract is traded, and
may be modified from time to time by the exchange during the term of the contract. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Brokerage firms carrying accounts for traders in
futures contracts may not accept lower, and generally require higher, amounts of margin as a matter of policy in order to afford further protection for themselves. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">Margin requirements are computed each day by a commodity broker. When the market value of a particular open futures position changes to a point where the margin on deposit does not satisfy maintenance margin
requirements, a margin call is made by the commodity broker. If the margin call is not met within a reasonable time, the broker may close out the trader&#146;s position. With respect to the Trust&#146;s trading, only the Trust and not its
Shareholders personally, will be subject to margin calls. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Futures Exchanges </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Futures contracts are traded on organized exchanges known as &#147;contract markets&#148; in the United States. At any time prior to the expiration
of a futures contract, subject to the availability of a liquid secondary market, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the position. This operates to terminate the
position and fix the trader&#146;s profit or loss. Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a &#147;futures commission merchant,&#148; which is a member of the clearing
</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">2-1 </FONT></P>


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house. The clearing house guarantees the performance of each clearing member that is a party to a futures contract by, in effect, taking the opposite side of the transaction. Clearing houses do
not guarantee the performance by clearing members of their obligations to their customers. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Unlike equity securities, futures contracts,
by their terms, have stated expirations and, at a specified point in time prior to expiration, trading in a futures contract for the current delivery month will cease. As a result, a market participant wishing to maintain its exposure to a futures
contract on a particular commodity with the nearest expiration must close out its position in the expiring contract and establish a new position in the contract for the next delivery month, a process referred to as &#147;rolling.&#148; For example,
a market participant with a long position in November crude oil futures that wishes to maintain a position in the nearest delivery month will, as the November contract nears expiration, sell November futures, which serves to close out the existing
long position, and buy December futures. This will &#147;roll&#148; the November position into a December position, and, when the November contract expires, the market participant will still have a long position in the nearest delivery month.
</FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Regulations </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Futures exchanges
and clearing houses in the United States are subject to regulation by the CFTC. Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits, maximum price fluctuations and trading halts and
suspensions and requiring liquidation of contracts in certain circumstances. See &#147;Risk Factors&#151;Risk Factors Relating to Regulatory Requirements&#151;Regulatory and exchange position limits may restrict the creation of Baskets and the
operation of the Trust.&#148; </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Foreign futures exchanges differ in certain respects from their U.S. counterparts. (Investors should be
aware that no governmental U.S. agency regulates the foreign exchange markets.) In contrast to U.S. exchanges, certain foreign exchanges are &#147;principals&#146; markets,&#148; where trades remain the liability of the traders involved, and the
exchange clearing house does not become substituted for any party. See &#147;Risk Factors&#151;Risks Relating to Derivative Contracts&#151;Trading on futures exchanges outside the United States is not subject to U.S. regulation.&#148; </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Position Limits </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The CFTC and U.S. futures
exchanges have established limits, referred to as &#147;speculative position limits&#148; or &#147;position limits&#148; on the maximum net long or net short speculative position that any person or group of persons (or &#147;accountability
levels&#148;) may hold, own or control in certain futures interests contracts. Among the purposes of speculative position limits is the desire to prevent a &#147;corner&#148; on a market or undue influence on prices by any single trader or group of
traders. The CFTC has jurisdiction to establish position limits with respect to all commodities futures and has established position limits for all agricultural commodities. Most U.S. futures exchanges have established accountability levels for all
derivative contracts traded on these exchanges. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In addition, the CFTC requires each United States exchange to submit position limits
for all commodities traded on such exchange for approval by the CFTC. Position limits do not apply to forward contract trading or generally to trading on foreign exchanges. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:arial" SIZE="2"><B>Daily Limits </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">Most U.S. futures exchanges (but generally not foreign exchanges or banks or
dealers in the case of forward contracts) limit the amount of fluctuation in futures interests contract prices during a single trading day by regulation. These regulations specify what are referred to as &#147;daily price fluctuation limits&#148; or
more commonly &#147;daily limits.&#148; The daily limits establish the maximum amount that the price of a futures </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">2-2 </FONT></P>


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interests contract may vary either up or down from the previous day&#146;s settlement price. Once the daily limit has been reached in a particular futures interest, no trades may be made at a
price beyond the limit. See &#147;Risk Factors&#151;Risks Relating to Commodities Markets&#151;Commodity futures trading may be illiquid. In addition, suspensions or disruptions of market trading in the commodities markets and related derivatives
markets may adversely affect the value of your Shares.&#148; </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:arial" SIZE="2"><B>Hedgers and Speculators </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">The two broad classes of persons who trade futures contracts are &#147;hedgers&#148; and &#147;speculators.&#148; Commercial interests, including
farmers, that market or process commodities, and financial institutions that market or deal in commodities, including interest rate sensitive instruments, foreign currencies and stocks, and which are exposed to currency, interest rate and stock
market risks, may use the futures markets for hedging. Hedging is a protective procedure designed to minimize losses that may occur because of price fluctuations occurring, for example, between the time a processor makes a contract to buy or sell a
raw or processed commodity at a certain price and the time he must perform the contract. The futures markets enable the hedger to shift the risk of price fluctuations to the speculator. The speculator, such as the Trust, risks his capital with the
hope of making profits from price fluctuations in futures interests contracts. Speculators, unlike hedgers, rarely take physical delivery of commodities, but rather close out their positions by entering into offsetting purchases or sales of futures
contracts. The Trust does not anticipate taking or making delivery of any physical commodities or financial instruments underlying the futures contracts. Since the speculator may take either a long or short position in the futures markets, it is
possible for him to make profits or incur losses regardless of whether prices go up or down. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">2-3 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B><A NAME="saitoc400638_2"></A>GLOSSARY </B></FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">In this prospectus, each of the following terms has the meaning set forth below: </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Advisor&#148;&#151;BlackRock Fund Advisors, a California corporation, when acting in its capacity as commodity trading advisor of the Trust.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Adjusted Net Asset Value&#148;&#151;with respect to the Trust, as of any date, the value of the Trust&#146;s assets as of such
date minus all Trust&#146;s accrued fees (other than fees computed by reference to the value of the Trust or its assets), expenses and other liabilities on that date. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">&#147;Advisory Agreement&#148;&#151;the Investment Advisory Agreement between the Trust and the Advisor. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">&#147;Authorized Participant&#148;&#151;A person who, at the time of submitting to the Trust a purchase or a redemption order (1)&nbsp;is a registered broker-dealer and, if required in connection with its
activities, a registered futures commission merchant, (2)&nbsp;is a DTC Participant, and (3)&nbsp;has in effect a valid Authorized Participant Agreement. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">&#147;Authorized Participant Agreement&#148;&#151;An agreement among the Authorized Participant, the Trustee and the Sponsor that provides the procedures for the creation and redemption of Baskets. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Basket&#148;&#151;A block of 100,000 Shares (as such number may be increased or decreased pursuant to the Trust Agreement). </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Basket Amount&#148;&#151;As of any date, an amount equal to the product of the NAV on such date and the number of Shares constituting a
Basket on such date. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Business Day&#148;&#151;Any day other than: (a)&nbsp;a Saturday or a Sunday; or (b) a day on which NYSE Arca
is closed for regular trading. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;CFTC&#148;&#151;Commodity Futures Trading Commission, an independent agency with the mandate to
regulate commodity futures and option markets in the United States, or any successor governmental agency in the United States. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Clearing FCM&#148;&#151;Barclays Capital Inc., or any other futures commission merchant appointed by the Sponsor as clearing futures
commission merchant for the Portfolio. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Code&#148;&#151;The United States Internal Revenue Code of 1986, as amended. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Commodity Exchange Act&#148; or &#147;CEA&#148;&#151;The United States Commodity Exchange Act, as amended. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Delaware Trustee&#148;&#151;Wilmington Trust Company, a Delaware corporation with trust powers. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;DTC&#148;&#151;The Depository Trust Company, or its successor. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">&#147;DTC Participant&#148;&#151;An entity that has an account with DTC. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Eligible Business
Day&#148;&#151;Any Business Day other than a Business Day which immediately precedes two or more days on which there is no scheduled exchange trading session for one or more of the futures contracts purchased or sold, or that may be purchased or
sold, by the Trust on such day. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;ERISA&#148;&#151;The Employee Retirement Income Security Act of 1974, as amended. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">2-4 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Exchange Act&#148;&#151;The United States Securities Exchange Act of 1934, as amended.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;FINRA&#148;&#151;The Financial Industry Regulatory Authority. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Indirect Participant&#148;&#151;An entity that has access to the DTC clearing system by clearing securities through, or maintaining a
custodial relationship with, a DTC Participant. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Investment Company Act&#148;&#151;The United States Investment Company Act of
1940, as amended. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;NAV&#148;&#151;The net asset value per Share. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;NFA&#148;&#151;National Futures Association. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">&#147;Portfolio&#148;&#151;At any time, the portfolio of futures and/or forward contracts, cash and other investments owned by the Trust at such time. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Processing Agent&#148;&#151;SEI Investments Distribution Co., a Pennsylvania corporation, when acting in its capacity as processing agent of
the Trust or any successor thereto. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Qualified Bank&#148;&#151;A bank, trust company, corporation or national banking association
organized and doing business under the laws of the United States or any State of the United States that is authorized under those laws to exercise corporate trust powers and that, unless counsel to the Sponsor determines that the following
requirement is not necessary for the exception under Section 408(m) of the Code to apply, is a banking institution as defined in Section 408(n) of the Code. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">&#147;SEC&#148;&#151;The Securities and Exchange Commission of the United States, or any successor governmental agency in the United States. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:arial" SIZE="2">&#147;Securities Act&#148;&#151;The United States Securities Act of 1933, as amended. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Shareholders&#148;&#151;Owners of beneficial interests in the Shares. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Shares&#148;&#151;Units of fractional undivided beneficial interest in the net assets of the Trust that are issued by the Trust. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Short-Term Securities&#148;&#151;U.S. Treasury Securities or other short-term securities, in each case that are eligible as margin deposits
under the rules of the relevant exchange. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">&#147;Sponsor&#148;&#151;iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC, a Delaware limited liability company, in its capacity as the sponsor under the Trust Agreement, or any successor thereto in such capacity.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Sponsor&#146;s Fee&#148;&#151;An allocation to be paid by the Trust to the Sponsor monthly in arrears and will accrue daily at an
annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Tax Administrator&#148;&#151;PricewaterhouseCoopers
LLP, when acting in its capacity as tax administrator of the Trust. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;T-Bill&#148;&#151;U.S. Treasury bill. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%;padding-bottom:0px;"><FONT STYLE="font-family:arial" SIZE="2">&#147;Trust&#148;&#151;The iShares<FONT STYLE="font-family:arial" SIZE="1"><SUP
STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust, a Delaware statutory trust governed pursuant to the Trust Agreement. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">2-5 </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Trust Administrator&#148;&#151;An administrator appointed by the Trustee pursuant to the Trust
Agreement. The Trustee has initially appointed as Trust Administrator State Street Bank&nbsp;and Trust Company, a banking corporation organized under the laws of Massachusetts. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Trust Agreement&#148;&#151;The Trust Agreement among the Sponsor, the Trustee and the Delaware Trustee. </FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:arial" SIZE="2">&#147;Trustee&#148;&#151;BlackRock Institutional Trust Company, N.A., a national banking association, when acting in its capacity as trustee of the
Trust. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2">2-6 </FONT></P>


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 <P STYLE="line-height:2px;margin-top:0px;margin-bottom:0px;border-bottom:2pt solid #000000">&nbsp;</P>
<P STYLE="line-height:3px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000">&nbsp;</P> <P STYLE="margin-top:60px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="5"><B>iShares<FONT
STYLE="font-family:arial" SIZE="3"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Diversified Alternatives Trust </B></FONT></P> <P STYLE="margin-top:36px;margin-bottom:0px" ALIGN="center"><FONT
STYLE="font-family:arial" SIZE="5"><B>[&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;] Shares </B></FONT></P> <P STYLE="font-size:120px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center>
<P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="4"><B>PROSPECTUS
</B></FONT></P> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P><center> <P STYLE="line-height:6px;margin-top:0px;margin-bottom:2px;border-bottom:1pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:120px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:arial" SIZE="2"><B>[&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;], 2012 </B></FONT></P>
<P STYLE="font-size:60px;margin-top:0px;margin-bottom:0px">&nbsp;</P> <P STYLE="font-size:80px;margin-top:0px;margin-bottom:0px">&nbsp;</P> <P STYLE="font-size:60px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<P STYLE="line-height:3px;margin-top:0px;margin-bottom:0px;border-bottom:0.5pt solid #000000">&nbsp;</P> <P STYLE="line-height:5px;margin-top:0px;margin-bottom:2px;border-bottom:2pt solid #000000">&nbsp;</P>
<P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P>
<P STYLE="margin-top:0px;margin-bottom:0px; margin-left:1%; text-indent:-1%"><FONT STYLE="font-family:arial" SIZE="1">IS-P-ALT-&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>PART II&#151;INFORMATION NOT REQUIRED IN PROSPECTUS </B></FONT></P>
<P STYLE="margin-top:12px;margin-bottom:0px"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>Item&nbsp;13. Other Expenses of Issuance and Distribution. </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">The Trust does not and will not bear any expenses incurred in connection with the issuance and distribution of the securities being registered. These expenses are paid by the Sponsor. </FONT></P>
<P STYLE="margin-top:18px;margin-bottom:0px"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>Item&nbsp;14. Indemnification of Directors and Officers. </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">The Trust Agreement provides that the Sponsor and its shareholders, directors, officers, employees, affiliates (as such term is defined under the Securities Act) and subsidiaries shall be indemnified from
the Trust and held harmless against any loss, liability or expense arising out of or in connection with the performance of its obligations under the Trust Agreement or any actions taken in accordance with the provisions of the Trust Agreement
incurred without their (1)&nbsp;negligence, bad faith, willful misconduct or willful malfeasance or (2)&nbsp;reckless disregard of their obligations and duties under the Trust Agreement. </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px"><FONT
STYLE="font-family:Times New Roman" SIZE="2"><B>Item&nbsp;16. Exhibits and Financial Statement Schedules. </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(a) Exhibits.
</FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD WIDTH="90%"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Exhibit</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px;border-bottom:1px solid #000000;width:28pt" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Number</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" NOWRAP ALIGN="center"> <P STYLE="border-bottom:1px solid #000000;width:39pt" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Description</B></FONT></P></TD></TR>


<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;4.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">First Amended and Restated Trust Agreement*</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;4.2</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Creation and Redemption Procedures*</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;4.3</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Standard Terms of Authorized Participant Agreement*</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;5.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Opinion of Richards, Layton &amp; Finger, P.A. as to legality**</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;8.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Form of Opinion of Clifford Chance US LLP as to tax matters**</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">10.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Investment Advisory Agreement*</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">10.2</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Futures Commission Merchant Agreement*</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">10.3</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Foreign Exchange Prime Brokerage Agency Agreement&#134;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">23.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Consent of Richards, Layton &amp; Finger, P.A.***</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">23.2</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Consent of Clifford Chance US LLP****</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">23.3</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Consent of Independent Registered Public Accounting Firm**</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">24.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Powers of Attorney*****</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.INS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Instance Document.#</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.SCH</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Taxonomy Extension Schema Document. #</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.CAL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Taxonomy Extension Calculation Linkbase Document. #</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.DEF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Taxonomy Extension Definition Linkbase Document. #</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.LAB</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Taxonomy Extension Label Linkbase Document. #</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.PRE</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Taxonomy Extension Presentation Linkbase Document. #</FONT></TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">*</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Incorporated by reference to the exhibit with the same number filed with Amendment No.&nbsp;5 to the Registration Statement No.&nbsp;333-153099 on October&nbsp;13,
2009. </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">**</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Filed herewith. </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">***</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Included in Exhibit 5.1 </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">****</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Included in Exhibit 8.1 </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">*****</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Included on the signature page to this Registration Statement </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">&#134;</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Incorporated by reference to Exhibit 10.3 filed with Post-Effective Amendment No.&nbsp;2 to the Registration Statement 333-153099 on October&nbsp;12, 2010. Confidential
portions of this document have been filed separately with the Securities and Exchange Commission pursuant to Rule&nbsp;406 under the Securities Act. </FONT></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:6%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">(b) Financial Statement schedules: Not applicable. </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">#</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Pursuant to Rule 406T of Regulation S-T, these interactive data files are deemed not filed or part of a registration statement or prospectus for purposes of Sections 11
or 12 of the Securities Act of 1933, as amended, are deemed not filed for the purposes of Section&nbsp;18 of the Securities and Exchange Act of 1934, as amended, and otherwise are not subject to liability under those sections.
</FONT></TD></TR></TABLE>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2">II-1
</FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>Item&nbsp;17. Undertakings. </B></FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">(a) The registrant hereby undertakes: </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(1) To file, during any
period in which offers or sales are being made, a post-effective amendment to this registration statement; </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(i)
To include any prospectus required by section&nbsp;10(a)(3) of the Securities Act; </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(ii) To reflect in the
prospectus any facts or events arising after the effective date of the registration statement (or the most recent post-effective amendment thereof) which, individually or in the aggregate, represent a fundamental change in the information set forth
in the registration statement. Notwithstanding the foregoing, any increase or decrease in volume of securities offered (if the total dollar value of securities offered would not exceed that which was registered) and any deviation from the low or
high end of the estimated maximum offering range may be reflected in the form of prospectus filed with the Commission pursuant to Rule&nbsp;424(b) if, in the aggregate, the changes in volume and price represent no more than a 20&nbsp;per cent change
in the maximum aggregate offering price set forth in the &#147;Calculation of Registration Fee&#148; table in the effective registration statement; </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">(iii) To include any material information with respect to the plan of distribution not previously disclosed in the registration statement or any material change to such information in the registration
statement; </FONT></P> <P STYLE="margin-top:18px;margin-bottom:0px; margin-left:8%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2"><I>Provided</I>, <I>however</I>, that: </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:13%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(A) Paragraphs&nbsp;(a)(1)(i) and (a)(1)(ii) of this section do not apply if the registration statement is on
Form&nbsp;S-8, and the information required to be included in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by each of the registrant pursuant to section&nbsp;13 or
section&nbsp;15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the registration statement; and </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:13%; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">(B) Paragraphs&nbsp;(a)(1)(i), (a)(1)(ii) and (a)(1)(iii) of this section do not apply if the registration statement is on Form&nbsp;S-3 or Form&nbsp;F-3 and the information required to be included in a
post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by each of the registrant pursuant to section&nbsp;13 or section&nbsp;15(d) of the Securities Exchange Act of 1934 that are incorporated
by reference in the registration statement, or is contained in a form of prospectus filed pursuant to Rule&nbsp;424(b) that is part of the registration statement. </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:13%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(C) <I>Provided, further, however</I>, that paragraphs (a)(1)(i) and (a)(1)(ii) do not apply if the registration
statement is for an offering of asset-backed securities on Form S-1 or Form S-3, and the information required to be included in a post-effective amendment is provided pursuant to Item&nbsp;1100(c) of Regulation AB. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2">II-2
</FONT></P>


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 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(2) That, for the purpose of determining any liability under the Securities
Act, each such post-effective amendment shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such securities at that time shall be deemed to be the <I>bona fide</I> offering thereof.
</FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(3) To remove from registration by means of a post-effective amendment any of the securities being registered
which remain unsold at the termination of the offering. </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(4) If the registrant is a foreign private issuer, to
file a post-effective amendment to the registration statement to include any financial statements required by Item&nbsp;8.A. of Form 20-F at the start of any delayed offering or throughout a continuous offering. Financial statements and information
otherwise required by Section&nbsp;10(a)(3) of the Act need not be furnished, provided, that the registrant includes in the prospectus, by means of a post-effective amendment, financial statements required pursuant to this paragraph (4)&nbsp;and
other information necessary to ensure that all other information in the prospectus is at least as current as the date of those financial statements. Notwithstanding the foregoing, with respect to registration statements on Form F-3, a post-effective
amendment need not be filed to include financial statements and information required by Section&nbsp;10(a)(3) of the Act or Rule 3-19 of this chapter if such financial statements and information are contained in periodic reports filed with or
furnished to the Commission by the registrant pursuant to Section&nbsp;13 or Section&nbsp;15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the Form F-3. </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(5) That, for the purpose of determining liability under the Securities Act to any purchaser: </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(i) If the registrant is relying on Rule 430B: </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:13%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(A) Each prospectus filed by the registrant pursuant to Rule 424(b)(3) (&#167;230.424(b)(3) of this chapter) shall be
deemed to be part of the registration statement as of the date the filed prospectus was deemed part of and included in the registration statement; and </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:13%; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">(B) Each prospectus required to be filed pursuant to Rule 424(b)(2), (b)(5), or (b)(7) (&#167;230.424(b)(2), (b)(5), or (b)(7) of this chapter) as part of a registration statement in reliance or Rule 430B
relating to an offering made pursuant to Rule 415(a)(1)(i), (vii), or (x)&nbsp;(&#167;230.415(a)(1)(i), (vii), or (x)&nbsp;of this chapter) for the purpose of providing the information required by section 10(a) of the Securities Act shall be deemed
to be part of an included in the registration statement as of the earlier of the date such form of prospectus is first used after effectiveness or the date of the first contract of sale of securities in the offering described in the prospectus. As
provided in Rule 430B, for liability proposes of the issuer and any person that is at that date an underwriter such date shall be deemed to be a new effective date of the registration statement relating to the securities in the registration
statement to which that prospectus relates, and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof. Provided, however, that no statement made in a registration statement or prospectus that is
part of the registration statement or made in a document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration statement will, as to a purchase with a time of contract of sale
prior to such effective date, supersede or modify any statement that was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately prior to such effective date; or
</FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(ii) If the registrant is subject to Rule 430C (&#167;230.430C of this chapter), each prospectus filed
pursuant to Rule 424(b) as part of a registration statement relating to an offering, other than registration statements relying on Rule 430B or other than prospectuses filed in reliance on Rule 430A (&#167;230.430A of this chapter), shall be deemed
to be part of and included in the registration statement as of the date it is first used after effectiveness. Provided, however, that no statement made in a registration statement or prospectus that is part of the registration statement or made in a
document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration statement will, as to a purchaser with a time of contract of sale prior to such first use, supersede or modify
any statement that was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately prior to such date of first use. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2">II-3
</FONT></P>


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<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px; margin-left:4%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(6) That, for the purpose of determining liability of the registrant under
the Securities Act to any purchaser in the initial distribution of the securities: </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%"><FONT STYLE="font-family:Times New Roman" SIZE="2">The undersigned registrant undertakes that
in a primary offering of securities of the undersigned registrant pursuant to this registration statement, regardless of the underwriting method used to sell the securities to the purchaser, if the securities are offered or sold to such purchaser by
means of any of the following communications, the undersigned registrant will be a seller to the purchaser and will be considered to offer or sell such securities to such purchaser: </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(i) Any preliminary prospectus or prospectus of the undersigned registrant relating to the offering required to be filed
pursuant to Rule&nbsp;424; </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(ii) Any free writing prospectus relating to the offering prepared by or on behalf
of the undersigned registrant or used or referred to by the undersigned registrant; </FONT></P> <P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(iii) The portion of any
other free writing prospectus relating to the offering containing material information about the undersigned registrant or its securities provided by or on behalf of the undersigned registrant; and </FONT></P>
<P STYLE="margin-top:6px;margin-bottom:0px; margin-left:8%; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(iv) Any other communication that is an offer in the offering made by the undersigned registrant to the purchaser.
</FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">(b) The undersigned registrant hereby undertakes to provide to the underwriter at the closing specified in the underwriting
agreement, certificates in such denominations and registered in such names as required by the underwriter to permit prompt delivery to each purchaser. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">(c) Insofar as indemnification for liabilities under the Securities Act may be permitted to directors, officers or persons controlling the registrant pursuant to the provisions described in Item&nbsp;14
above, or otherwise, the registrant has been informed that in the opinion of the Securities and Exchange Commission such indemnification is against public policy as expressed in the Act and is, therefore, unenforceable. In the event that a claim for
indemnification against such liabilities (other than the payment by the registrant of expenses incurred or paid by a director, officer or controlling person of the registrant in the successful defense of any such action, suit or proceeding) is
asserted by such director, officer or controlling person in connection with the securities being registered, the registrant will, unless in the opinion of its counsel the matter has been settled by controlling precedent, submit to a court of
appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the Act and will be governed by the final adjudication of such issue. </FONT></P>
 <p STYLE="margin-top:0px;margin-bottom:0px"><FONT SIZE="1">&nbsp;</FONT></P> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2">II-4
</FONT></P>


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<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>SIGNATURES </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">Pursuant to the requirements of the Securities Act of 1933, the Registrant has duly caused the registration statement to be signed on its behalf by the undersigned, thereunto duly authorized, in the City
of San Francisco, California, on September 27, 2012. </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="6%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="92%"></TD></TR>


<TR>
<TD VALIGN="top" COLSPAN="3"><FONT STYLE="font-family:Times New Roman" SIZE="2">iShares Diversified Alternatives Trust</FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">By:</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top">
<P STYLE="margin-top:0px;margin-bottom:0px"><FONT STYLE="font-family:Times New Roman" SIZE="2">iShares<FONT STYLE="font-family:Times New Roman" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware
Trust Sponsor LLC</FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px"><FONT STYLE="font-family:Times New Roman" SIZE="2">as sponsor</FONT></P></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">By:</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="2">/s/&nbsp;&nbsp;&nbsp;&nbsp;Patrick Dunne</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Patrick Dunne</B></FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">By:</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" STYLE="BORDER-BOTTOM:1px solid #000000"><FONT STYLE="font-family:Times New Roman" SIZE="2">/s/&nbsp;&nbsp;&nbsp;&nbsp;Jack Gee</FONT></TD></TR>
<TR>
<TD VALIGN="top"></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Jack Gee</B></FONT></TD></TR>
</TABLE></DIV> <P STYLE="margin-top:18px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>POWER OF ATTORNEY </B></FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">Each person whose signature appears below hereby constitutes Patrick Dunne, Jack Gee, Manish Mehta, Philip Jensen, Peter F. Landini and Kimun Lee, and each of them singly, his true and lawful
attorneys-in-fact with full power to sign on behalf of such person, in the capacities indicated below, any and all amendments to this registration statement and any subsequent related registration statement filed pursuant to Rule 462(b) under the
Securities Act of 1933, and generally to do all such things in the name and on behalf of such person, in the capacities indicated below, to enable the Registrant to comply with the provisions of the Securities Act of 1933 and all requirements of the
Securities and Exchange Commission thereunder, hereby ratifying and confirming the signature of such person as it may be signed by said attorneys-in-fact, or any of them, on any and all amendments to this registration statement or any such
subsequent related registration statement. </FONT></P> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:4%"><FONT STYLE="font-family:Times New Roman" SIZE="2">Pursuant to the requirements of the Securities Act of 1933, this registration
statement has been signed by the following persons in the capacities* and on the dates indicated. </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE">


<TR>
<TD WIDTH="37%"></TD>
<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="44%"></TD>
<TD VALIGN="bottom" WIDTH="2%"></TD>
<TD WIDTH="15%"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP ALIGN="center"> <P STYLE="border-bottom:1px solid #000000;width:35pt" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Signature </B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" NOWRAP ALIGN="center"> <P STYLE="border-bottom:1px solid #000000;width:30pt" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Capacity</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="bottom" NOWRAP ALIGN="center"> <P STYLE="border-bottom:1px solid #000000;width:16pt" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Date</B></FONT></P></TD></TR>


<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px;border-bottom:1px solid #000000" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2">/<SMALL>S</SMALL>/&nbsp;&nbsp;&nbsp;&nbsp;P<SMALL>ATRICK</SMALL>
D<SMALL>UNNE&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</SMALL></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Patrick Dunne</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Times New Roman" SIZE="2">Director, Chief Executive Officer, President</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><U>September 27, 2012</U></FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px;border-bottom:1px solid #000000" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2">/<SMALL>S</SMALL>/&nbsp;&nbsp;&nbsp;&nbsp;J<SMALL>ACK</SMALL>
G<SMALL>EE&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</SMALL></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Jack Gee</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Times New Roman" SIZE="2">Chief Financial Officer, Principal Accounting Officer</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><U>September 27, 2012</U></FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px;border-bottom:1px solid #000000" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2">/<SMALL>S</SMALL>/&nbsp;&nbsp;&nbsp;&nbsp;M<SMALL>ANISH</SMALL>
M<SMALL>EHTA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</SMALL></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Manish Mehta</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Times New Roman" SIZE="2">Director</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><U>September 27, 2012</U></FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px;border-bottom:1px solid #000000" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2">/<SMALL>S</SMALL>/&nbsp;&nbsp;&nbsp;&nbsp;P<SMALL>HILIP</SMALL>
J<SMALL>ENSEN&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</SMALL></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Philip Jensen</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Times New Roman" SIZE="2">Director</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><U>September 27, 2012</U></FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px;border-bottom:1px solid #000000" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2">/<SMALL>S</SMALL>/&nbsp;&nbsp;&nbsp;&nbsp;P<SMALL>ETER</SMALL> F.
L<SMALL>ANDINI&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</SMALL></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Peter F. Landini</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Times New Roman" SIZE="2">Director</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><U>September 27, 2012</U></FONT></TD></TR>
<TR>
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top"> <P STYLE="margin-top:0px;margin-bottom:0px;border-bottom:1px solid #000000" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2">/<SMALL>S</SMALL>/&nbsp;&nbsp;&nbsp;&nbsp;K<SMALL>IMUN</SMALL>
L<SMALL>EE&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</SMALL></FONT></P> <P STYLE="margin-top:0px;margin-bottom:1px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Kimun Lee</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"> <P STYLE="margin-left:1.00em; text-indent:-1.00em"><FONT STYLE="font-family:Times New Roman" SIZE="2">Director</FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;</FONT></TD>
<TD VALIGN="top" NOWRAP ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><U>September 27, 2012</U></FONT></TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="4%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">*</FONT></TD>
<TD ALIGN="left" VALIGN="top"> <P ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">The Registrant is a trust and the persons are signing in their capacities as officers or directors of iShares<FONT
STYLE="font-family:Times New Roman" SIZE="1"><SUP STYLE="vertical-align:baseline; position:relative; bottom:.8ex">&reg;</SUP></FONT> Delaware Trust Sponsor LLC, the sponsor of the Registrant. </FONT></P></TD></TR></TABLE>

<p Style='page-break-before:always'>
<HR  SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
<h5 align="left"><a href="#toc">Table of Contents</a></h5>

 <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="2"><B>EXHIBIT INDEX </B></FONT></P>
<P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE" ALIGN="center">


<TR>
<TD></TD>
<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD WIDTH="90%"></TD></TR>
<TR>
<TD VALIGN="bottom" NOWRAP ALIGN="center"> <P STYLE="margin-top:0px;margin-bottom:0px" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Exhibit</B></FONT></P>
<P STYLE="margin-top:0px;margin-bottom:1px;border-bottom:1px solid #000000;width:28pt" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Number</B></FONT></P></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="bottom" NOWRAP ALIGN="center"> <P STYLE="border-bottom:1px solid #000000;width:39pt" ALIGN="center"><FONT STYLE="font-family:Times New Roman" SIZE="1"><B>Description</B></FONT></P></TD></TR>


<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;4.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">First Amended and Restated Trust Agreement*</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;4.2</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Creation and Redemption Procedures*</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;4.3</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Standard Terms of Authorized Participant Agreement*</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;5.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Opinion of Richards, Layton &amp; Finger, P.A. as to legality**</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">&nbsp;&nbsp;8.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Form of Opinion of Clifford Chance US LLP as to tax matters**</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">10.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Investment Advisory Agreement*</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">10.2</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Futures Commission Merchant Agreement*</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">10.3</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Foreign Exchange Prime Brokerage Agency Agreement&#134;</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">23.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Consent of Richards, Layton &amp; Finger, P.A.***</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">23.2</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Consent of Clifford Chance US LLP****</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">23.3</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Consent of Independent Registered Public Accounting Firm**</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">24.1</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Powers of Attorney*****</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.INS</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Instance Document.#</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.SCH</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Taxonomy Extension Schema Document. #</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.CAL</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Taxonomy Extension Calculation Linkbase Document. #</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.DEF</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Taxonomy Extension Definition Linkbase Document. #</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.LAB</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Taxonomy Extension Label Linkbase Document. #</FONT></TD></TR>
<TR>
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR>
<TD VALIGN="top" NOWRAP><FONT STYLE="font-family:Times New Roman" SIZE="2">101.PRE</FONT></TD>
<TD VALIGN="bottom"><FONT SIZE="1">&nbsp;&nbsp;</FONT></TD>
<TD VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">XBRL Taxonomy Extension Presentation Linkbase Document. #</FONT></TD></TR>
</TABLE> <P STYLE="line-height:8px;margin-top:0px;margin-bottom:2px;border-bottom:0.5pt solid #000000;width:10%">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">*</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Incorporated by reference to the exhibit with the same number filed with Amendment No.&nbsp;5 to the Registration Statement No.&nbsp;333-153099 on October&nbsp;13,
2009. </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">**</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Filed herewith. </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">***</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Included in Exhibit 5.1 </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">****</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Included in Exhibit 8.1 </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">*****</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Included on the signature page to this Registration Statement </FONT></TD></TR></TABLE> <P STYLE="font-size:6px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">&#134;</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Incorporated by reference to Exhibit 10.3 filed with Post-Effective Amendment No.&nbsp;2 to the Registration Statement&nbsp;333-153099 on October&nbsp;12, 2010.
Confidential portions of this document have been filed separately with the Securities and Exchange Commission pursuant to Rule&nbsp;406 under the Securities Act. </FONT></TD></TR></TABLE> <P STYLE="margin-top:12px;margin-bottom:0px; text-indent:6%"><FONT
STYLE="font-family:Times New Roman" SIZE="2">(b) Financial Statement schedules: Not applicable. </FONT></P> <P STYLE="font-size:12px;margin-top:0px;margin-bottom:0px">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR>
<TD WIDTH="6%" VALIGN="top" ALIGN="left"><FONT STYLE="font-family:Times New Roman" SIZE="2">#</FONT></TD>
<TD ALIGN="left" VALIGN="top"><FONT STYLE="font-family:Times New Roman" SIZE="2">Pursuant to Rule 406T of Regulation S-T, these interactive data files are deemed not filed or part of a registration statement or prospectus for purposes of Sections 11
or 12 of the Securities Act of 1933, as amended, are deemed not filed for the purposes of Section&nbsp;18 of the Securities and Exchange Act of 1934, as amended, and otherwise are not subject to liability under those sections.
</FONT></TD></TR></TABLE>
</BODY></HTML>
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Form S-1 for iShares Diversified Alternatives Trust
Table of Contents
As filed with the Securities and Exchange Commission on September 27, 2012
Registration No. 333-
SECURITIES AND EXCHANGE
COMMISSION
WASHINGTON, D.C. 20549
Form S-1
REGISTRATION STATEMENT
UNDER
THE SECURITIES ACT OF 1933
iSHARES
®
DIVERSIFIED ALTERNATIVES TRUST
SPONSORED BY iSHARES
®
DELAWARE TRUST SPONSOR LLC
(Exact name of Registrant as specified in its charter)
Delaware
6799
26-4632352
(State or other Jurisdiction of
Incorporation or Organization)
(Primary Standard Industrial
Classification Code Number)
(I.R.S. Employer
Identification No.)
c/o BlackRock Asset Management International Inc.
400 Howard Street
San Francisco, CA 94105
Attn: Product Management Team and Intermediary
Investor and Exchange-Traded Products Department
(415) 670-2000
(Address, including zip code, and telephone number, including area code, of Registrant's principal executive offices)
BlackRock Asset Management International Inc.
400 Howard Street
San Francisco, CA 94105
Attn: Product Management Team and Intermediary Investor and Exchange-Traded Products Department
(415) 670-2000
(Name, address, including zip code, and telephone number, including area code, of agent for service)
Copies to:
David Yeres, Esq.
Clifford Chance US LLP
31 West 52
nd
Street
New York, NY 10019
Deepa Damre, Esq.
BlackRock Fund Advisors
400 Howard Street
San Francisco, CA 94105
Approximate date of commencement of proposed sale to the public:
As soon as practicable after this Registration Statement becomes
effective.
If any of the securities being registered on this Form are to be offered on a delayed or continuous basis pursuant
to Rule 415 under the Securities Act of 1933, check the following box.
x
If this Form is filed to register additional securities for an offering pursuant to Rule 462(b) under the Securities Act of 1933, check the following box and list the Securities Act registration statement
number of the earlier effective registration statement for the same offering.
¨
If this Form is a post-effective amendment filed pursuant to Rule 462(c) under the Securities Act of 1933, check the following box and list the Securities Act registration statement number of the earlier
effective registration statement for the same offering.
¨
If this Form is a post-effective amendment filed pursuant to Rule 462(d) under the Securities Act of 1933, check the following box and list the Securities Act registration statement number of the earlier
effective registration statement for the same offering.
¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller
reporting company. See the definitions of "large accelerated filer," "accelerated filer" and "smaller reporting company" in Rule 12b-2 of the Exchange Act.
Large accelerated filer
¨
Accelerated filer
x
Non-accelerated filer
¨
(Do not check if a smaller reporting company)
Smaller reporting company
¨
CALCULATION OF REGISTRATION FEE
Title of each class of securities to be registered
Amount to be
registered
Proposed maximum
offering price per
Share
Proposed maximum
aggregate offering price
Amount of
registration Fee
(1)
Shares
0
$0
$0
$0
(1)
This Registration Statement (the "replacement registration statement") relates to shares of the registrant that were previously registered
pursuant to Registration Statement No. 333-153099 (the "expiring registration statement") originally declared effective by the Securities and Exchange Commission on November 12
th
, 2009, and which remain unsold at the time of effectiveness of this replacement registration statement (such shares,
the "unsold shares"). Prior to the effectiveness of this replacement registration statement, the registrant will file a pre-effective amendment hereto setting forth the total number of unsold shares and the amount of registration fee paid
in connection with their registration pursuant to the expiring registration statement. As provided in Rule 415(a)(6) under the Securities Act, the fee so paid will continue to be applied to the unsold shares and no additional filing fee is required.
The Registrant hereby amends this registration statement on such date or dates as may be necessary to delay its effective date until
the Registrant shall file a further amendment which specifically states that this registration statement shall thereafter become effective in accordance with section 8(a) of the Securities Act of 1933 or until the registration statement shall become
effective on such date as the Securities and Exchange Commission, acting pursuant to said section 8(a), may determine.
Table of Contents
The information in this prospectus is not complete and may be changed. We may not sell securities
pursuant to the prospectus included in this registration statement until it is declared effective by the Securities and Exchange Commission. This prospectus is not an offer to sell these securities and it is not soliciting an offer to buy these
securities in any state where the offer or sale is not permitted.
SUBJECT TO COMPLETION, DATED SEPTEMBER 27, 2012
[                ] Shares
iShares
®
Diversified Alternatives Trust
The
iShares
®
Diversified Alternatives Trust, or the Trust, is a Delaware statutory trust that issues Shares representing fractional undivided beneficial interests in its net
assets. The Trust seeks to maximize its absolute returns by investing in long and/or short positions in foreign-currency forward contracts and exchange-traded futures contracts selected by BlackRock Fund Advisors, the Trust's Advisor, following
investment strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more assets. See "Business of the Trust—Investment Objective;
Strategies." The objective of the Trust is to maximize absolute returns from investments with historically low correlation to traditional asset classes while seeking to control the risks and volatility inherent in futures and forward contracts
by taking long and short positions in historically correlated assets.
The Shares are listed for trading on NYSE Arca
under the symbol "ALT." BlackRock Institutional Trust Company, N.A. is the Trustee of the Trust. The Trust is a commodity pool, as defined in the Commodity Exchange Act and the applicable regulations of the Commodity Futures Trading
Commission, and is operated by its Sponsor, iShares
®
Delaware Trust Sponsor LLC, a commodity pool operator registered under the Commodity Exchange Act. The Trust is not
an investment company registered under the Investment Company Act.
Investing in the Shares involves significant risk. See "
Risk
 Factors
" starting on page 15.
•
Effective on the date of this prospectus, the maximum annualized portfolio return volatility targeted by the Advisor will increase from 8% to 10%. This more
aggressive approach may result in higher losses.
•
Prices of futures and forward contracts are volatile and even a small price movement may result in large losses.
•
The Trust uses leveraged investment techniques in seeking to achieve its investment objectives. Leverage causes the value of the Shares to be more volatile than
if the Trust did not use leverage.
•
The return on the Shares (if any) is not related to any index or other benchmark.
•
The Trust has no mandatory holdings allocation requirements. Accordingly, at any given time, the Trust may be disproportionately exposed to one or more markets,
asset classes or contract counterparties.
•
The Trust is subject to fees and expenses that are payable regardless of profitability.
•
There may be conflicts of interest between you and the Sponsor, the Trustee, the Trust's Advisor and their affiliates.
•
Your losses may be exacerbated if there is no liquid market for the Shares at the time you want to sell them.
•
You may lose all or substantially all of your investment in the Shares.
•
Neither the Advisor, nor any of the Advisor's principals, has been responsible for or has any experience as advisor to or manager of an active commodity
fund other than the Trust.
Neither the Securities and
Exchange Commission nor any state securities commission has approved or disapproved of the securities offered in this prospectus, or determined if this prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION
PASSED ON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.
The Shares are not deposits or other obligations of BlackRock
Institutional Trust Company, N.A. or any of their subsidiaries or affiliates or any other bank, are not guaranteed by BlackRock Institutional Trust Company, N.A. or any of their subsidiaries or affiliates or any other bank and are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency. An investment in the Shares is speculative and involves a high degree of risk.
The Trust intends to offer
Shares on a continuous basis. The Trust issues and redeems Shares only in one or more blocks of 100,000 Shares called Baskets. These transactions take place only with certain broker-dealers with whom the Trust has entered into written arrangements
regarding the issuance and redemption of Shares (we refer to these broker-dealers as Authorized Participants), in each case in exchange for a consideration per Share equal to the net asset value per Share announced by the Trust on the first Business
Day (as defined herein) after the purchase or redemption order is received by the Trust. See "Business of the Trust—Computation of the Trust's Net Asset Value." Only institutions that enter into an agreement with the Trust to
become Authorized Participants may purchase or redeem Baskets.
On
[            ], 2012, the Shares closed on NYSE Arca at $[            ].
The Authorized Participants may offer to the public, from time to time, Shares from any Baskets they purchase from the Trust. Shares offered to the
public by the Authorized Participants may be offered at a per-Share offering price that varies depending on, among other factors, the trading price of the Shares on NYSE Arca, the net asset value per Share and the supply of and demand for the Shares
at the time of the offer. Shares initially comprising the same Basket but offered to the public at different times may have different offering prices. The Authorized Participants will not receive from the Trust, the Sponsor or any of their
affiliates, any fee or other compensation in connection with their sale of Shares to the public; however, Authorized Participants may receive commissions or fees from investors who purchase Shares through their commission- or fee-based brokerage
accounts.
The date of this prospectus is [            ], 2012.
Table of Contents
COMMODITY FUTURES TRADING COMMISSION
RISK DISCLOSURE STATEMENT
YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE
THAT COMMODITY INTEREST TRADING CAN QUICKLY LEAD TO LARGE LOSSES, AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS ON
REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE POOL.
FURTHER, COMMODITY POOLS MAY BE SUBJECT TO
SUBSTANTIAL CHARGES FOR MANAGEMENT, AND ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT
CONTAINS A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGES 14 AND 45 AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGE 14.
THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE,
BEFORE YOU DECIDE TO PARTICIPATE IN THIS COMMODITY POOL, YOU SHOULD CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT, AT PAGE 15.
YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE
UNITED STATES, INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO
COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.
YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY ENGAGE IN OFF-EXCHANGE FOREIGN CURRENCY TRADING. SUCH TRADING IS NOT CONDUCTED IN THE INTERBANK MARKET. THE FUNDS THAT THE POOL USES FOR OFF-EXCHANGE FOREIGN
CURRENCY TRADING WILL NOT RECEIVE THE SAME PROTECTIONS AS FUNDS USED TO MARGIN OR GUARANTEE EXCHANGE-TRADED FUTURES AND OPTION CONTRACTS. IF THE POOL DEPOSITS SUCH FUNDS WITH A COUNTERPARTY AND THAT COUNTERPARTY BECOMES INSOLVENT, THE POOL'S
CLAIM FOR AMOUNTS DEPOSITED OR PROFITS EARNED ON TRANSACTIONS WITH THE COUNTERPARTY MAY NOT BE TREATED AS A COMMODITY CUSTOMER CLAIM FOR PURPOSES OF SUBCHAPTER IV OF CHAPTER 7 OF THE BANKRUPTCY CODE AND THE REGULATIONS THEREUNDER. THE POOL MAY BE A
GENERAL CREDITOR AND ITS CLAIM MAY BE PAID, ALONG WITH THE CLAIMS OF OTHER GENERAL CREDITORS, FROM ANY MONIES STILL AVAILABLE AFTER PRIORITY CLAIMS ARE PAID. EVEN POOL FUNDS THAT THE COUNTERPARTY KEEPS SEPARATE FROM ITS OWN FUNDS MAY NOT BE SAFE
FROM THE CLAIMS OF PRIORITY AND OTHER GENERAL CREDITORS.
iSHARES
®
DIVERSIFIED ALTERNATIVES TRUST IS NOT A MUTUAL FUND OR ANY OTHER TYPE OF INVESTMENT COMPANY WITHIN THE MEANING OF THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, AND IS NOT SUBJECT TO REGULATION THEREUNDER.
i
Table of Contents
AUTHORIZED PARTICIPANTS MAY BE REQUIRED TO DELIVER A PROSPECTUS WHEN SELLING TO THE PUBLIC SHARES
PURCHASED FROM THE TRUST. SEE "PLAN OF DISTRIBUTION."
THE TRUST MAY
CONSTITUTE A COLLECTIVE INVESTMENT SCHEME AS DEFINED IN THE FINANCIAL SERVICES AND MARKETS ACT 2000 (THE "FSMA"). THE TRUST IS NOT AUTHORIZED OR OTHERWISE RECOGNIZED IN THE UNITED KINGDOM AND THEREFORE WOULD BE CHARACTERIZED AS AN
UNREGULATED COLLECTIVE INVESTMENT SCHEME FOR THE PURPOSES OF THE FSMA. AS SUCH, THE ISSUE AND DISTRIBUTION OF THIS PROSPECTUS IN THE UNITED KINGDOM IS RESTRICTED BY LAW. IN ADDITION, THIS PROSPECTUS HAS NOT BEEN APPROVED BY A PERSON AUTHORIZED TO
CARRY ON INVESTMENT BUSINESS IN THE UNITED KINGDOM (AN "AUTHORIZED PERSON") FOR THE PURPOSES OF SECTION 21(2)(B) OF THE FSMA. ACCORDINGLY, THIS PROSPECTUS CAN ONLY BE ISSUED OR DISTRIBUTED IN THE UNITED KINGDOM: (1) BY AN
AUTHORIZED PERSON IN CIRCUMSTANCES PERMITTED BY SECTION 235 OF THE FSMA AND RULES MADE THEREUNDER AND THE PROVISIONS OF THE FSMA (FINANCIAL PROMOTION OF COLLECTIVE INVESTMENT SCHEMES) (EXEMPTIONS) ORDER 2001 (AS AMENDED), OR BY A PERSON WHO IS NOT
AN AUTHORIZED PERSON, IN CIRCUMSTANCES PERMITTED BY THE FSMA (FINANCIAL PROMOTION) ORDER 2005 (AS AMENDED); AND (2) IN CIRCUMSTANCES WHERE THE ISSUANCE OR DISTRIBUTION OF THIS PROSPECTUS WOULD NOT CONSTITUTE OR OTHERWISE RESULT IN AN OFFER OF
TRANSFERABLE SECURITIES TO THE PUBLIC IN THE UNITED KINGDOM WITHIN THE MEANING OF PART VI OF THE FSMA. ANY OTHER DISTRIBUTION OF THIS PROSPECTUS IN OR INTO THE UNITED KINGDOM IS UNAUTHORIZED. ANY PERSON ISSUING OR DISTRIBUTING THIS PROSPECTUS OR ANY
PART OF IT MAY BE ACTING IN BREACH OF APPLICABLE LAW OR REGULATIONS AND ANY PERSONS RECEIVING THIS PROSPECTUS IN OR FROM THE UNITED KINGDOM IN CIRCUMSTANCES NOT FALLING WITHIN (1) OR (2) ABOVE MAY NOT RELY ON ITS CONTENTS. NO PART OF THIS
PROSPECTUS SHOULD THEREFORE BE PUBLISHED, DISTRIBUTED OR OTHERWISE MADE AVAILABLE WITH UNRESTRICTED ACCESS IN ANY FORM IN THE UNITED KINGDOM.
THE TRUST HAS NOT BEEN APPROVED BY THE SWISS FINANCIAL MARKET SUPERVISORY AUTHORITY (THE "FINMA") AS A FOREIGN COLLECTIVE INVESTMENT SCHEME PURSUANT TO ARTICLE 120 OF THE SWISS COLLECTIVE INVESTMENT
SCHEME ACT OF JUNE 23, 2006 (THE "CISA"). ACCORDINGLY, THE SHARES MAY NOT BE PUBLICLY OFFERED IN OR FROM SWITZERLAND AND NEITHER THIS PROSPECTUS NOR ANY OTHER OFFERING MATERIALS RELATING TO THE TRUST AND/OR THE SHARES MAY BE MADE AVAILABLE
THROUGH A PUBLIC OFFERING IN OR FROM SWITZERLAND. THE SHARES MAY ONLY BE OFFERED AND THIS PROSPECTUS MAY ONLY BE DISTRIBUTED IN OR FROM SWITZERLAND TO QUALIFIED INVESTORS (AS DEFINED IN THE CISA AND ITS IMPLEMENTING REGULATIONS).
OTHER INFORMATION
"iShares" is a registered trademark of BlackRock Fund Advisors or its affiliates.
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TABLE OF CONTENTS
Page
PROSPECTUS SUMMARY
1
RISK FACTORS
15
FORWARD-LOOKING STATEMENTS
38
USE OF PROCEEDS
38
BUSINESS OF THE TRUST
39
SELECTED FINANCIAL DATA
47
SUPPLEMENTARY FINANCIAL INFORMATION
48
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
51
DESCRIPTION OF THE SHARES AND THE TRUST AGREEMENT
64
THE SECURITIES DEPOSITORY; BOOK-ENTRY-ONLY SYSTEM; GLOBAL SECURITY
70
THE SPONSOR
71
THE TRUSTEE
75
THE DELAWARE TRUSTEE
75
THE ADVISOR
75
THE FUTURES COMMISSION MERCHANT
78
THE FOREIGN CURRENCY PRIME BROKER
81
CONFLICTS OF INTEREST
82
CERTAIN PERFORMANCE DATA
86
U.S. FEDERAL INCOME TAX CONSEQUENCES
89
ERISA AND RELATED CONSIDERATIONS
102
PLAN OF DISTRIBUTION
103
LEGAL MATTERS
111
EXPERTS
111
WHERE YOU CAN FIND MORE INFORMATION
111
INDEX TO FINANCIAL STATEMENTS
F-1
PART 2—STATEMENT OF ADDITIONAL INFORMATION
You should rely only on the information contained in this prospectus. None of the Sponsor, the Trustee, the Delaware Trustee or the Trust has
authorized any other person to provide you with different information. If anyone provides you with different or inconsistent information, you should not rely on it. None of the Sponsor, the Trustee, the Delaware Trustee or the Trust is making an
offer to sell the Shares in any jurisdiction where the offer or sale is not permitted. You should assume that the information appearing in this prospectus is accurate only as of the date on the front cover of this prospectus.
Certain defined terms used in this prospectus are set forth in the "Glossary" in the Statement of Additional Information attached hereto.
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PROSPECTUS SUMMARY
This summary highlights some of the information contained in this prospectus. This summary does not contain all of the information you should
consider before investing in the Shares. You should carefully read this entire prospectus, including "Risk Factors" beginning on page 15, before making a decision to invest in the Shares. Capitalized terms not defined in this section
have the meaning set forth in the Glossary beginning on page 2-4 of Part 2 of this prospectus.
Structure of the Trust
The
iShares
®
Diversified Alternatives Trust, or the Trust, is a Delaware statutory trust. The Trust intends to continuously
issue and redeem Shares in transactions with Authorized Participants. Each Share represents a unit of fractional undivided beneficial interest in the net assets of the Trust. The assets of the Trust, called the Portfolio, consist of cash and
financial instruments that are used, as needed, to secure the Trust's trading obligations in respect of foreign-currency forward contracts and exchange-traded futures contracts selected by BlackRock Fund Advisors, the Trust's Advisor,
following investment strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more assets and seek to control the risks and volatility inherent in these
investments by taking long and short positions in historically correlated assets. See "—Investment Objective; Strategies." The term of the Trust is perpetual, unless it is dissolved under the circumstances described under
"Description of the Shares and the Trust Agreement—Amendment and Dissolution." The principal offices of the Trust are located at 400 Howard Street, San Francisco, CA 94105, and the Trust's telephone number is
(415) 670-2000.
The Trust is a commodity pool as defined in the Commodity Exchange Act (the "CEA")
and the regulations of the Commodity Futures Trading Commission (the "CFTC"). The Trust is operated by its Sponsor,
iShares
®
Delaware Trust Sponsor LLC, a limited liability company registered under the CEA as a commodity pool operator.
The sole member and manager of the Sponsor is BlackRock Asset Management International Inc., a Delaware corporation. BlackRock Institutional Trust Company, N.A. is the Trustee of the Trust. The Advisor, BlackRock Fund Advisors, is the commodity
trading advisor of the Trust and is registered under the CEA. The Trust is not an investment company registered under the Investment Company Act and is not required to register under that Act.
The material terms of the agreement governing the Trust are discussed in greater detail under "Description of the Shares and the Trust
Agreement."
Breakeven Point Per Unit of Initial Investment
The estimated amount of all fees and expenses which are anticipated to be incurred by a new investor during the first twelve months is 1.07% of the per Share price of $50.65 as of August 31, 2012 (or expressed as a
dollar amount, $0.54 of the price of $50.65 per Share). Based on certain interest rate, expense and other assumptions, the estimated twelve-month breakeven point is 0.93% of the $50.65 per Share price as of August 31, 2012 (or expressed as a dollar
amount, $0.47 of the price of $50.65 per Share). See "Breakeven Analysis".
Creations and Redemptions
The Trust issues Shares only in one or more blocks of 100,000 Shares (each, a "Basket") in exchange for cash in an amount equal to the
Basket Amount announced by the Trust on the first Business Day after the purchase order is received by the Trust. The Trust redeems Shares only in Baskets in exchange for cash in an amount equal to the Basket Amount announced by the Trust on the
first Business Day after the redemption order is received by the Trust. The Trust does not redeem individual Shares or Baskets held by
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parties who are not Authorized Participants. See "Risk Factors—Risk Relating to the Trust and Investment in the Shares—Creation and redemption of Baskets may be delayed when one or
more of the exchanges where the Trust may need to trade, either to establish new positions or to liquidate existing ones, are scheduled to be closed, and may be subject to postponement, suspension or rejection under certain circumstances, all of
which may reduce the liquidity of the Shares."
The Sponsor
The Sponsor is iShares
®
Delaware Trust Sponsor LLC, a Delaware limited liability company. The Sponsor's primary business function in connection with the Trust is to direct the actions
of the Trustee in the management of the Trust and to act as commodity pool operator of the Trust.
The Sponsor has
been registered under the CEA as a commodity pool operator and has been a member of the National Futures Association (the "NFA") since June 2009.
The Sponsor arranged for the creation of the Trust, the registration of the Shares for their public offering and the listing of the Shares on NYSE Arca. The Sponsor is obligated under the Trust Agreement to pay the
following administrative, operational and marketing expenses: (1) the fees of the Trustee, the Advisor, the Delaware Trustee, the Trust Administrator and the Processing Agent, (2) NYSE Arca listing fees, (3) printing and mailing
costs, (4) audit fees, (5) fees for registration of the Shares with the SEC, (6) tax reporting costs and (7) legal expenses up to $100,000 annually. In recognition of its paying these expenses, the Sponsor is entitled to an
allocation that accrues daily at an annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust and is payable by the Trust monthly in arrears. That allocation to the Sponsor is referred to in this prospectus as the
"Sponsor's Fee." For a description of how the net asset value of the Trust is calculated, see "Business of the Trust—Computation of the Trust's Net Asset Value."
The Sponsor may remove the Trustee and appoint a successor Trustee if the Trustee ceases to meet certain objective requirements, or if, having
received written notice of a material breach of its obligations under the Trust Agreement, the Trustee has not cured the breach within 30 days. The Sponsor may also replace the Trustee during the 90 days following any merger, consolidation or
conversion in which the Trustee is not the surviving entity or, in its discretion, at any time following the first anniversary of the creation of the Trust.
The principal office of the Sponsor is located at 400 Howard Street, San Francisco, CA 94105, and its telephone number is (415) 670-2000.
The Advisor
The Advisor is BlackRock Fund Advisors, a California corporation. The Advisor is
the commodity trading advisor for the Trust and has discretionary authority to make all determinations with respect to the Portfolio, subject to specified limitations. The Advisor has been registered as a commodity trading advisor under the CEA
since April 5, 1993 and is a member of the NFA.
The Advisor and the Trust may each terminate the Advisory Agreement at any time
upon 30 days' prior written notice.
The Trustee
The Trustee of the Trust is BlackRock Institutional Trust Company, N.A., a national banking association affiliated with the Sponsor.
The Shares are not deposits or other obligations of BlackRock Institutional
Trust
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Company, N.A. or any of its subsidiaries or affiliates or any other bank, are not guaranteed by BlackRock Institutional Trust Company, N.A. or any of its subsidiaries or affiliates or any
other bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency. An investment in the Shares is speculative and involves a high degree of risk
.
The Delaware Trustee
Wilmington Trust
Company, a Delaware corporation with trust powers, is the Delaware Trustee of the Trust. The Delaware Trustee is not entitled to exercise any of the powers, and does not have any of the duties or responsibilities, of the Trustee. The Delaware
Trustee is a trustee of the Trust for the sole and limited purpose of fulfilling the requirements of the Delaware Statutory Trust Act.
The Trust
Administrator and Certain Agents of the Trust
The Trust has delegated the processing of creation and redemption orders of Baskets to
SEI Investments Distribution Co. (the "Processing Agent"). The Trust has also delegated the valuation of certain assets of the Trust for purposes of the daily calculation of the net asset value of the Trust and certain other administrative
responsibilities to State Street Bank and Trust Company (the "Trust Administrator"). Neither the Processing Agent nor the Trust Administrator is affiliated with the Sponsor or the Trustee. The Trust has also retained
PricewaterhouseCoopers LLP (the "Tax Administrator") to provide tax accounting and tax reporting services for the Trust. The Trust may terminate the Processing Agent, the Trust Administrator or the Tax Administrator at any time or appoint
different agents to act on its behalf.
Investment Objective; Strategies
The investment objective of the Trust is to maximize absolute returns from a portfolio of foreign currency forward contracts and exchange-traded futures contracts that may involve commodities, currencies, interest
rates and certain eligible stock or bond indices while seeking to control the risks and volatility inherent in those investments by taking long and short positions in historically correlated assets. The Trust also expects to earn interest on the
assets used to collateralize its trading positions. The return on assets in the Portfolio, if any, is not intended to track the performance of any index or other benchmark. There is no assurance that the Trust will achieve its investment objectives.
Since the inception of the Trust, the Advisor set a range between 6% and 8% as its target for the annualized portfolio return volatility
of the Trust. Seeking to improve Trust returns, on the date of this prospectus the Advisor will increase the maximum portfolio return volatility to 10% per annum. This increase in volatility may result in higher losses.
Forward Contracts
A forward
contract is an agreement between two parties, one of which undertakes to purchase from or sell to the other, on a specified future date, a specified quantity of a specified asset at a specified location in exchange for a specified purchase price. At
the discretion of the Advisor, the Trust may enter into foreign currency forward contracts. See "Business of the Trust—Investment Objective; Strategies—Forward Contracts."
Futures Contracts
Futures
contracts are standardized forward contracts traded on an exchange. At the discretion of the Advisor, the Trust may engage in trading activities with respect to futures contracts that may involve commodities, currencies, interest rates and certain
eligible stock or bond indices, as described elsewhere in this prospectus. See "Business of the Trust—Investment Objective; Strategies—Futures Contracts."
Interest
Futures contracts are customarily bought and sold on margins that represent a very
small percentage (ranging upward from less than 2% to 5%) of the purchase price of the asset underlying the futures contract
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being traded. Similarly the Trust may, from time to time, be required to satisfy collateral requirements set forth by its over-the-counter counterparties with respect to the Trust's forward
contracts trading obligations. Any interest paid on the Trust's cash positions, together with any interest paid on collateral deposited as margin, net of expenses, is generally reinvested.
Strategies
The Advisor is
the commodity trading advisor for the Trust. The Advisor invests cash proceeds from the sales of Baskets in short term United States government securities and other financial instruments that, in compliance with the rules of the futures exchanges
and other markets where the Advisor trades on behalf of the Trust, are eligible to secure the Trust's trading obligations in respect of a portfolio of foreign-currency forward contracts and exchange-traded futures contracts selected by the
Advisor following strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more assets and seek to control the risks and volatility of these investments by
taking long and short positions in historically correlated assets. These strategies may include:
•
Yield and Futures Curve Arbitrage Strategies
which seek to take advantage of interest rate and futures contract price differentials by simultaneously
entering into long and short positions in various bond futures contracts, interest rates futures contracts, commodity futures contracts and/or currency forward contracts that the Advisor determines to be mispriced relative to one another. The
Advisor may enter into long positions in contracts whose underlying assets are deemed relatively inexpensive and may enter into short positions on contracts whose underlying assets are deemed relatively expensive.
•
Technical Strategies
which, in general, seek to take advantage of a comparison between assets' historical returns and their recent performance.
Technical strategies are based on the theory that past price history may be predictive of asset value, and so technical strategies may be used to capture returns arising from price changes over time. For example, if recent performance of an asset
exceeds historical performance, then a long "momentum" trade opportunity to buy may arise. If the historical performance of an asset exceeds recent performance, then a short "reversal" trade opportunity may arise. All technical
strategies are quantitative in nature and financial modeling is used for determining long and/or short positions in various asset types.
•
Fundamental Relative Value Strategies
which seek returns by attempting to identify instances where there are discrepancies between the market and
fundamental values of an asset and trading long or short positions in that asset.
See "Business of the
Trust—Investment Objective; Strategies—Investment Strategies" and "—Portfolio Construction."
Characteristics of an Investment in the Shares
The Shares are intended to constitute a relatively cost-effective means of achieving investment exposure to non-traditional asset classes. An investment in Shares is:
•
Listed
. Although there can be no assurance that an actively traded market in the Shares will exist at the time you wish to sell its Shares, the Shares are
listed for trading on NYSE Arca under the symbol "ALT."
•
Relatively cost efficient
. Transactions in the asset classes that the Advisor, on behalf of the Trust, invests or trades in entail certain expenses.
Nonetheless, because the expenses involved in the Portfolio are dispersed among all Shareholders, an investment in the Shares may represent a
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cost-efficient alternative to investment positions in the same asset classes for investors not otherwise in a position to participate directly in the markets for physical commodities, foreign
currencies, interest rates, or futures, forwards or other over-the-counter derivative contracts involving those assets. See "Business of the Trust—Investment Objective; Strategies."
The Shares are eligible for margin accounts.
Risk Factors
An investment in the Shares is speculative and involves, among others, the following risks:
Risks Relating to Regulatory Requirements
•
Changes to the regulatory regime applicable to futures contracts may have an adverse effect on the ability of the Trust to pursue its strategies and, therefore,
result in a decreasing value of the Shares.
•
Regulatory and exchange position limits may restrict the creation of Baskets and the operation of the Trust.
•
Changes in the margin requirements set by the relevant futures exchanges and over-the-counter market participants may limit the Trust's ability to meet its
investment objectives.
Risks Relating to Commodities Markets
•
The price of the Shares fluctuates as a result of fluctuations in the prices of any commodities underlying the futures contracts owned by the Trust. Commodity
prices may be volatile, thereby creating the potential for losses regardless of the length of time you intend to hold your Shares.
•
Historical performance of specific commodities or commodity indices is no guide to their future performance or to the performance of the Shares.
•
Commodity futures trading may be illiquid. In addition, suspensions or disruptions of market trading in the commodities markets and related derivatives markets
may adversely affect the value of your Shares.
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•
During a period when commodity prices are fairly stationary, "backwardation" (a situation where the prices of futures contracts are higher for
contracts with shorter-term expirations than for contracts with longer-term expirations) or "contango" (a situation where the prices of futures contracts with longer-term expirations are higher than the prices of futures contracts with
shorter-term expirations) in the prices of the commodity-linked futures contracts held by the Trust may cause the price of your Shares to decrease.
Risks Relating to Currency Markets
•
As a multinational currency, the euro may experience greater price volatility due to the influence of multiple and uncoordinated political and fiscal regimes.
•
A country's decision to abandon the euro zone could have adverse consequences for the value of the Shares.
•
The price of the Shares fluctuates as a result of fluctuations in the exchange rates of currencies underlying any currency-linked futures or forward contracts
owned by the Trust. Exchange rates may be volatile, thereby creating the potential for losses regardless of the length of time you intend to hold your Shares.
•
Substantial transactions in a currency by any official sector market participant (such as central banks, other governmental agencies and/or other multi-lateral
institutions that buy, sell or hold currencies) could adversely affect an investment in the Shares.
•
A country's decision to abandon its current currency and adopt a new one could have adverse consequences for the value of any positions related to the old
currency that the Trust may hold at the time.
Risks Relating to U.S. Government and Sovereign Debt Markets
•
Investing in debt obligations of the U.S. government creates exposure to credit and interest rate risk.
•
Investing in futures and/or forward contracts linked to sovereign debt instruments creates exposure to the direct or indirect consequences of political, social
or economic changes in the countries in which the issuers are located and the creditworthiness of the sovereign.
•
Investing in futures and/or forward contracts linked to non-U.S. sovereign debt instruments creates exposure to the non-U.S. interest rate fluctuations.
Risks Relating to Interest Rate Derivatives Markets
•
Investing in interest rate futures contracts creates exposure to interest rate fluctuations in one country as well as relative interest rate movements between
countries.
Risks Relating to Security Index Futures Markets
•
Investing in security index futures contracts creates exposure to the performance of the underlying index.
Risks Relating to Derivative Contracts
•
The Trust's use of leverage and/or short positions involves certain risks, including potentially high volatility and magnified losses in the underlying
assets, and should be considered to be speculative.
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•
The Trust is subject to credit risks and other risks associated with U.S. exchange-traded futures contracts.
•
Trading on futures exchanges outside the United States is not subject to U.S. regulation.
•
When entering into foreign currency forward contracts, the Trust assumes the risk that its counterparties may become unable or unwilling to pay any amounts owed
to the Trust.
•
The Advisor, on behalf of the Trust, trades in forward contracts that are not traded on regulated exchanges and, therefore, offer different or lower levels of
protections to investors.
•
Failure of the Clearing FCM to segregate assets or the insolvency of the Trust's prime broker may increase losses.
Risks Relating to the Advisor and its Trading Strategies
•
The lack of experience of the Advisor and its principals in actively managing an entity like the Trust and applying quantitative investment strategies similar to
those that are used in the selection of investments for the Trust may result in substantial trading losses for the Trust and, as a result, you could lose some or all of the value of your Shares.
•
The Advisor makes decisions regarding investments for the Trust relying on quantitative models that may be defective or not adequate to analyze market conditions
at the time the investment decisions are made; as a result, the returns expected from those investments may not materialize.
•
The strategies used by the Advisor to identify investment opportunities for the Trust may fail to deliver the desired returns.
•
Relative value strategies used by the Advisor to identify investment opportunities for the Trust are subject to certain risks.
•
Various actual and potential conflicts of interest involving the Advisor may be detrimental to Shareholders.
Risks Relating to the Trust and Investment in the Shares
•
The Trust is subject to the risks associated with being newly organized.
•
The lack of an active trading market for the Shares may result in losses on your investment at the time of disposition of your Shares.
•
The Shares of the Trust are new securities products and their value could decrease if unanticipated operational or trading problems arise.
•
You may not rely on past performance in deciding whether to buy the Shares.
•
The Trust is subject to the costs and risks associated with being actively managed. These costs and risks may cause your investment in the Shares to result in
losses that you might have avoided if you had invested in products not exposed to those costs and risks.
•
The price you receive upon the sale of your Shares may be less than their NAV.
•
The NAV may not always correspond to the market price of the Shares and, as a result, Baskets may be created or redeemed at a value that differs from the market
price of the Shares.
•
None of the Sponsor, the Advisor or the Trustee can assure you that it will continue in its respective role. If any of them was no longer to act in those roles,
the Trust and the value of the Shares may suffer.
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•
The Trust may incur additional transactional costs because the Portfolio is actively managed, and actively managed portfolios may have higher turnover rates.
•
Fees and expenses payable by the Trust are charged regardless of profitability and may result in a depletion of its assets.
•
It is not expected that the Trust will make any periodic distributions or dividend payments to Shareholders.
•
The Trust could be liquidated at a time when the disposition of its interests will result in losses to investors in the Shares.
•
The Sponsor has broad discretion to liquidate the Trust at any time.
•
The Shares may not provide anticipated benefits of diversification from other asset classes.
•
The liquidity of the Shares may be affected by the withdrawal from participation of Authorized Participants or by the suspension of issuance, transfers or
redemptions of Shares by the Trust.
•
Creation and redemption of Baskets may be delayed when one or more of the exchanges where the Trust may need to trade, either to establish new positions or to
liquidate existing ones, are scheduled to be closed, and may be subject to postponement, suspension or rejection under certain circumstances, all of which may reduce the liquidity of the Shares.
•
Competition from other commodities- and currencies-related investments could limit the market for, and reduce the liquidity of, the Shares.
•
As a Shareholder, you will not have the rights normally associated with ownership of common shares.
•
As a Shareholder, you will not have the protections normally associated with the ownership of shares in an investment company registered under the Investment
Company Act.
•
Competing claims over ownership of relevant intellectual property rights could adversely affect the Trust or an investment in the Shares.
•
The value of the Shares will be adversely affected if the Trust is required to indemnify the Sponsor or the Advisor or if the Sponsor is required to indemnify
the Trustee.
•
NYSE Arca may halt trading in the Shares, which would adversely impact your ability to sell your Shares.
Risks Relating to Taxes
•
The Trust's classification as a publicly traded partnership not taxable as a corporation is not free from doubt, and if the Trust were to fail to qualify as
a partnership for U.S. federal income tax purposes, the Trust's income and items of deduction would not pass through to the Shareholders, the Trust would be required to pay tax at corporate rates on any portion of the Trust's net income
that does not constitute tax-exempt income, and distributions by the Trust to the Trust's Shareholders would be taxable as dividends to the extent of the Trust's earnings and profits.
•
Shareholders' tax liability could exceed cash distributions on the Shares.
•
The IRS could adjust or reallocate items of income, gain, deduction, loss and credit with respect to the Shares if the IRS does not accept the assumptions or
conventions utilized by the Trust.
•
Shareholders could become subject to U.S. withholding tax beginning in 2014.
Conflicts of Interest
There may be conflicts of interest among the Shareholders and the
Sponsor, the Trustee and the Advisor (or their affiliates). These conflicts may arise because of the affiliation between each of the
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Sponsor, the Advisor and the Trustee. Because of this affiliation, the Sponsor will have an incentive not to remove the Advisor or the Trustee. Conflicts may also result from the Sponsor's
authority to determine whether to make distributions to Shareholders. In addition, conflicts may arise in connection with trading activities for the proprietary accounts or customer accounts of the Sponsor, the Advisor or any of their affiliates or
other accounts under management in regard to position limits, timing of the taking of positions or other similar conflicts. Conflicts may also arise in connection with research reports published by the Sponsor or its affiliates with respect to
markets in which the Portfolio may participate. For more information regarding these potential conflicts of interest, see "Conflicts of Interest" beginning on page 82.
Certain U.S. Tax Consequences
The Trust has received an opinion of Clifford Chance US LLP to
the effect that, although the matter is not free from doubt due to the lack of clear guidance and direct authority, the Trust will not be treated as an association or a publicly traded partnership taxable as a corporation for U.S. federal income tax
purposes. Accordingly, the Trust will not be a taxable entity for U.S. federal income tax purposes and will not incur U.S. federal income tax liability. Instead, you will be taxed as a beneficial owner of an interest in a partnership, which means
that you generally will be required to take into account your allocable share of the Trust's items of income, gain, loss, deduction, expense and credit in computing your U.S. federal income tax liability.
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The Offering
Offering
The Shares represent units of fractional undivided beneficial interests in the net assets of the Trust.
Use of Proceeds
Proceeds received by the Trust from the issuance and sale of Baskets are invested by the Advisor in short-term United States government securities and other financial instruments that, in compliance with
the rules of the futures exchanges and other markets where the Advisor trades on behalf of the Trust, are eligible to secure the Trust's trading obligations in respect of a portfolio of foreign currency forward contracts and exchange-traded
futures contracts that may involve commodities, currencies, interest rates and certain eligible stock or bond indices, selected by the Advisor. See "—Portfolio" below.
NYSE Arca Symbol
ALT
CUSIP
464294107
Creation and Redemption
The Trust intends to issue and redeem Baskets on a continuous basis. Baskets are issued and redeemed only in exchange for a consideration in cash equal to the Basket Amount announced by the Trust on the
first Business Day after the purchase or redemption order is received by the Trust. Baskets may be created and redeemed only by Authorized Participants, who pay the Trustee a transaction fee of $800 per creation or redemption. See "—Net
Asset Value" below and "Description of the Shares and the Trust Agreement—Creation of Baskets" and "—Redemption of Baskets."
Authorized Participants
Baskets may be created and redeemed only by Authorized Participants. Each Authorized Participant must (1) be a registered broker-dealer and, if required in connection with its activities, a
registered futures commission merchant, (2) be a DTC Participant, and (3) have entered into an Authorized Participant Agreement with the Trust and the Sponsor.
Suspension of Issuance, Transfers and Redemptions
The Trust may suspend the issuance of Baskets, registration of transfers of Shares and redemption of Baskets generally, or may refuse a particular purchase order, transfer or redemption order at any time,
if the Trustee or the Sponsor determines that it is advisable to do so for any reason. See "Description of the Shares and the Trust Agreement—Requirements for Trustee Actions."
Portfolio
The Advisor selects for the Portfolio foreign currency forward contracts and exchange-traded futures contracts that may involve commodities, currencies, interest rates and certain eligible stock or
bond indices with a view towards maximizing absolute returns
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while seeking to control the volatility inherent in these types of investments. While the Advisor may select investments for the Portfolio following a variety of strategies that utilize
quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more assets, there are no mandatory holdings allocation requirements. Accordingly, at any given time, the Trust may be
disproportionately exposed to one or more asset classes or contract counterparties, including over-the-counter counterparties and clearing organizations. See "Business of the Trust—Investment Objective; Strategies."
The return on assets in the Portfolio, if any, is not intended to track the performance of any index or other benchmark.
While the Advisor has the authority to trade on behalf of the Trust at any time in its discretion, it is generally expected that such discretionary trading will not occur more than once a week. The Trust,
however, may need to trade more frequently in order to invest proceeds from the issuance of Baskets of Shares or raise funds to honor redemption requests. The Trust will post the composition of the Portfolio daily on its website at
www.ishares.com.
Margin Assets
The Trust deposits, from time to time, with the Clearing FCM or other licensed financial or commodities market participant any required margin in the form of cash or other eligible assets (depending on
the nature of the position being secured, customary practices in the relevant market and any applicable regulatory or counterparty requirements). Any interest paid on this collateral is part of the return on the Portfolio.
Net Asset Value
On each Business Day, as soon as practicable after the close of regular trading of the Shares on NYSE Arca (normally 4:00 P.M., New York City time), the Trustee must determine the net asset value of
the Trust, the net asset value per Share (the "NAV") and the Basket Amount as of that date.
On each day on which the Trustee must determine the net asset value of the Trust, the NAV and the Basket Amount, the Trust Administrator values all futures and forward trading positions and other
non-cash assets in the Portfolio and communicates that valuation to the Trustee for use by the Trustee in the determination of the Trust's net asset value. The Trustee subtracts the Trust's accrued fees (other than fees computed by
reference to the value of the Trust or its assets), expenses and other liabilities on that day from the value of the Trust's assets as of the close of trading on that day. The result is the Trust's "Adjusted Net Asset Value."
Fees computed by reference to the value of the Trust or its assets (including the Sponsor's Fee) are calculated on the Adjusted Net Asset Value. The Trustee subtracts
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the fees so calculated from the Adjusted Net Asset Value of the Trust to determine the Trust's net asset value.
The Trustee determines the NAV by dividing the net asset value of the Trust on a given day by the number of Shares outstanding at the time the calculation is made. The Trustee
then determines the Basket Amount corresponding to that date by multiplying the NAV by the number of Shares in a Basket (
i.e.,
100,000).
The NAV for each Business Day is expected to be distributed through major market data vendors and published online at
www.ishares.com
, or any successor thereto. It is expected that the Trust will
update the NAV as soon as practicable after each subsequent NAV is calculated. See "Business of the Trust—Computation of the Trust's Net Asset Value."
You should note that while the NAV is updated on each Business Day, the NAV is calculated by reference to assets that trade on futures exchanges or other markets, including in non-U.S. jurisdictions.
Accordingly, the NAV may not always reflect the same-day valuation of assets that trade on markets in non-U.S. jurisdictions if one or more of those jurisdictions are not open for business on any given Business Day.
Voting Rights
Except in limited circumstances, owners of Shares have no voting rights. See "Description of the Shares and the Trust Agreement—Voting Rights."
Distributions
The Trust is not expected to make any distributions or pay any dividends to its Shareholders except (1) in connection with redemptions of Baskets, (2) as determined by the Sponsor in its absolute
discretion, and (3) in connection with the liquidation of the Trust.
Limitation of Liabilities
You cannot lose more than your investment in the Shares. Under Delaware law, Shareholders' liability is limited to the same extent as the liability of stockholders of a for profit Delaware business
corporation.
Dissolution Events
The Trustee will dissolve the Trust if:
•
the Trustee is notified that the Shares are delisted from NYSE Arca and are not approved for listing on another national securities exchange within five Business
Days of their delisting;
•
registered holders of at least 75% of the outstanding Shares notify the Trustee that they elect to dissolve the Trust;
•
sixty days have elapsed since the Trustee notified the Sponsor of the Trustee's election to resign, and a successor trustee has not been appointed and
accepted its appointment;
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•
the SEC (or its staff) or a court of competent jurisdiction determines that the Trust is an investment company under the Investment Company Act, and the Trustee
has actual knowledge of that determination;
•
the Sponsor notifies the Trustee in writing that it has determined, in its discretion, that the dissolution of the Trust is advisable. The Sponsor may, for
example (but is not obligated to), decide to liquidate the Trust if, among other reasons, (1) legal, regulatory or market changes result, in the opinion of the Sponsor, in a decrease of investment opportunities available to the Trust in
compliance with its investment objective and strategies, (2) it becomes impossible or impractical to compute the net asset value of the Trust or to assess the accuracy of such valuations; or (3) the value of the Portfolio is below a level
such that continued operation of the Trust is not cost-efficient;
•
the Trust is treated as an association taxable as a corporation for U.S. federal income tax purposes, and the Trustee receives notice from the Sponsor that the
Sponsor has determined that the dissolution of the Trust is advisable; or
•
DTC is unable or unwilling to continue to perform its functions, and a comparable replacement is unavailable.
After dissolution of the Trust, the Trustee will deliver cash to the Shareholders upon surrender and cancellation of the Shares and, 90 days after dissolution, may sell any remaining Trust property and
hold any remaining cash, uninvested and in a non-interest bearing account, for the pro rata benefit of the Shareholders who have not surrendered their Shares for cancellation. See "Description of the Shares and the Trust
Agreement—Amendment and Dissolution."
Clearance and Settlement
The Shares are issued only in book-entry form. Transactions in Shares clear through the facilities of DTC. Investors may hold their Shares through DTC, if they are DTC Participants, or indirectly through
entities that are DTC Participants.
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Breakeven Analysis
The following table indicates the approximate dollar returns and percentages required for the value of an initial $50.65 investment in a Share to
equal the amount originally invested twelve months after issuance.
The table, as presented, is only an approximation. The
capitalization of the Trust does not directly affect the level of the charges as a percentage of its net asset values, other than the Sponsor's Fee and brokerage commissions.
Expense
(1)
$
%
Transaction
Fee
(2)
0.02
0.04
Sponsor's
Fee
(3)
0.48
0.95
Syndication and Filing Expenses
(3)
—
0.00
Trust Operating
Expenses
(3)
—
0.00
Commodity Trading Advisor Fee
(3)
—
0.00
Brokerage Commissions and Fees
(4)
0.04
0.08
Interest
Income
(5)
(0.07
)
(0.14
)
12-Month Break
Even
(6)
0.47
0.93
(1)
The foregoing breakeven analysis assumes that the Shares have a constant month-end net asset value. Calculations are based on $50.65 as the net asset value per
Share, which was the net asset value as of the close of business on August 31, 2012.
(2)
Per share amounts assume the creation or redemption of one Basket (since the $800 fee is per transaction, creation or redemption in more than one-Basket
increments will result in a lower per-Share transaction fee).
(3)
From the Sponsor's Fee, the Sponsor is responsible for the ordinary and recurring expenses of the Trust, including the SEC registration fees, Trust
operating expenses and the commodity trading advisor fee.
(4)
Brokerage commissions and fees are an estimate based on historical commission and fee rates from August 2011 to August 2012. Annual brokerage commissions and
fees are estimated to be $49,000, based on net assets of $61,000,000. The actual amount of brokerage commissions and fees to be incurred will vary based upon the trading frequency of the Trust.
(5)
Interest income is currently estimated to be earned at an annual rate of 0.14%, which is based on the six-month U.S. Treasury rate as of August 31, 2012.
(6)
You may pay customary brokerage commissions in connection with purchases of Shares. Because brokerage commission rates will vary from investor to investor, we
have not included brokerage commissions in the breakeven table. Investors should review the terms of their brokerage accounts for details on applicable charges.
Summary Financial Condition
As of the close of business on August 31, 2012, the net asset value of the Trust was $60,775,802, and the NAV was $50.65.
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RISK FACTORS
Investing in the Shares is speculative and involves a high degree of risk. You could lose all or a substantial portion of your investment in the
Shares. Before making an investment decision, you should carefully consider the risks described below, as well as the other information included in this prospectus.
Risks Relating to Regulatory Requirements
Changes to the regulatory regime applicable to
futures contracts may have an adverse effect on the ability of the Trust to pursue its strategies and, therefore, result in a decreasing value of the Shares.
The U.S. futures markets are subject to comprehensive regulation, not only by the CFTC but also by self-regulatory organizations, including the NFA and the exchanges on which the futures contracts are traded. As
with any regulated activity, changes in the regulations may have unexpected results. For example, changes in the amount or quality of the collateral that traders in futures contracts are required to provide to secure their open positions, or in the
limits on the number or size of positions that a trader may have open at a given time, may adversely affect the ability of the Trust to enter into certain transactions that could otherwise present lucrative opportunities.
A number of bills have been introduced to the U.S. Congress in response to high energy and commodity prices. These bills generally target perceived
excessive speculation in commodities and commodity indices, including by institutional "index funds," on regulated futures markets and in the over-the-counter derivatives markets. These bills include a broad range of measures intended to
limit speculation, including possible increases in the margin levels required for regulated futures contracts; imposing, or tightening existing speculative position limits applicable to regulated futures and over-the-counter derivatives positions;
providing the CFTC authority to establish certain speculative position limits; imposing aggregate speculative position limits across regulated U.S. futures, over-the-counter positions and certain futures contracts traded on non-U.S. exchanges;
eliminating or narrowing existing exemptions from speculative position limits; restricting the access of certain classes of investors to futures markets and over-the-counter derivatives markets; and imposing additional reporting requirements on
market participants, such as the Trust.
While it is impossible to predict which measures will be adopted or precisely how they will
affect the value of your shares, any such measures could increase the costs of the Trust, result in significant direct limitations on the maximum permitted size of the Trust's futures positions and therefore on the size of the Trust or the
number or type of strategies available to the Trust; and could also affect liquidity in the market for the Shares and the correlation between the price of the Shares and the net asset value of the Trust.
Regulatory and exchange position limits may restrict the creation of Baskets and the operation of the Trust.
Prior to the adoption of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the "Dodd-Frank Act"), which was signed into law
on July 21, 2010, position limits with respect to most U.S. futures contracts have been set by U.S. commodities exchanges and boards of trade. The Dodd-Frank Act required the CFTC to establish federal position limits on futures and options contracts
in physical commodities (including energy) and on economically equivalent over-the-counter derivatives. As mandated by the Dodd-Frank Act, the CFTC has finalized regulations that impose federal position limits with respect to 28 physical delivery
commodity futures and options contracts traded across various exchanges as well as to swaps that are economically equivalent to such contracts and directed the U.S. commodities exchanges and boards of trade to adopt corresponding position limits in
futures, options and swaps not to exceed the limits adopted by the CFTC. The final rule significantly limits the availability of the bona fide hedging exemption to hedging of physical commodity positions or transactions and does not extend to
financial hedging or risk management.
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In addition to the federal position limits established by the CFTC, many U.S. and foreign futures
exchanges impose "speculative position limits" or "accountability levels" on the maximum net long or short futures positions that any person may hold or control in contracts traded on such exchanges. Under the exchange rules and
CFTC regulations, all accounts owned or managed by commodity trading advisors, such as the Advisor, their principals and their affiliates would be combined for position limit purposes.
Many U.S. futures exchanges and boards of trade also limit the amount of fluctuation permitted in futures contract prices during a single trading
day by regulations referred to as "daily price fluctuation limits" or "daily limits." Once the daily limit has been reached in a particular futures contract, no trades may be made that day at a price beyond that limit or trading
may be suspended for specified periods during the trading day. Futures contract prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially
subjecting the Trust to substantial losses.
In order to comply with the position limits established by the CFTC and the relevant
exchanges, the Advisor may in the future be required to reduce the size of outstanding positions, not enter into new positions that would otherwise be taken for the Trust or not trade certain markets on behalf of the Trust. Modification of trades
made by the Trust, if required, could adversely affect the Trust's operations and profitability and significantly limit the Trust's ability to reinvest income in additional contracts, create additional Baskets, or add to existing positions
in the desired amount.
In addition, a violation of position limits by the Advisor could lead to regulatory action resulting in
mandatory liquidation of certain open positions held on behalf of the Advisor's accounts in order to ensure compliance with the position limits. There can be no assurance that the Advisor will liquidate positions held on behalf of all the
Advisor's accounts, including any proprietary accounts, in a proportionate manner or at prices favorable to the Trust. In the event the Advisor chooses to liquidate a disproportionate number of positions held on behalf of any of the Trust at
unfavorable prices, the Trust may incur substantial losses and the value of the Shares may be adversely affected.
Further, the CFTC has
proposed a new rule which would require each registered futures commission merchant, such as the Clearing FCM, to establish risk-based limits on position and order size. If the rule is adopted as proposed, the Trust's Clearing FCM may be
required to reduce its internal limits on the size of the positions it will execute or clear for the Trust, and the Trust may seek to use additional clearing FCMs, which may increase the costs of clearing for the Trust and adversely affect the value
of the Shares.
The Trust may apply to the CFTC or to the relevant exchange for relief from certain position limits. If the Trust
applies and is unable to obtain such relief, the Trust's ability to issue new Baskets, or the Trust's ability to reinvest income in additional futures contracts, may be limited to the extent these activities would cause the Trust to exceed
applicable position limits. Limiting the size of the Trust may affect the correlation between the price of the Shares, as traded on the applicable U.S. futures exchange, and the net asset value of the Trust. Accordingly, the inability to create
additional Baskets or add to existing positions in the desired amount could result in Shares trading at a premium or discount to NAV. See "Risks Relating to the Trust and Investment in the Shares—The NAV may not always correspond to the
market price and, as a result, Baskets may be created or redeemed at a value that differs from the market price of the Shares."
Changes in the margin requirements set by the relevant futures exchanges and over-the-counter market participants may limit the Trust's
ability to meet its investment objectives.
The Trust is required to deposit margin securing its exposure to one or more
positions in the Portfolio. Futures contracts are customarily bought and sold on margins that represent a very small percentage (ranging upward from less than 2% to 5%) of the purchase price of the contract being traded. The exchanges or futures
commission merchants, however, may raise the margin requirements at any time at
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their own discretion, particularly during the periods of perceived market volatility, and the Trust may be required to deposit additional funds in order to satisfy the additional margin
requirements with respect to its open futures contract positions.
Commercial banks participating in trading over-the-counter derivative
contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many over-the-counter market participants in foreign
exchange trading have begun to require that their counterparties post margin. In addition, the Dodd-Frank Act subjects the Trust's foreign exchange derivatives trading to a retail foreign exchange regime promulgated by a relevant regulator of
the Trust's counterparty. Upon effectiveness of the new retail foreign exchange regulations applicable to the Trust, the Trust would be required to post margin in the amount required under the regulations (between 2% and 5% depending on a
currency pair).
If any of the relevant futures exchanges or over-the-counter market participants imposes substantially higher margin
requirements or if margin requirements under the new retail foreign exchange regulations are substantially higher than those presently imposed by the Trust's counterparties, the Trust may be unable to either realize expected returns or to fully
implement its trading strategies as a result of substantially greater margin obligations.
Risk Relating to Commodities Markets
The price of the Shares fluctuates as a result of fluctuations in the prices of any commodities underlying the futures contracts owned by the
Trust. Commodity prices may be volatile, thereby creating the potential for losses regardless of the length of time you intend to hold your Shares.
The price of the Shares depends on the value of the investments in the Portfolio. To the extent that the Portfolio includes long or short positions in futures contracts the value of which is linked to the price of
an underlying commodity, the Trust, and therefore the Shares, are exposed to fluctuations in the price of one or more underlying commodities. The prices of certain physical commodities have been extremely volatile at times during the past several
years. Depending on the level and type of fluctuation of these commodities, and whether the Portfolio includes long or short positions with respect to those assets, the value of commodity futures contracts that may be held by the Trust, and
consequently the value of the Shares, may be adversely affected. Commodities prices are affected by, among other factors, the cost of producing, transporting and storing commodities, changes in consumer or commercial demand for commodities, the
hedging and trading strategies of producers and consumers of commodities, speculative trading in commodities by commodity pools and other market participants, disruptions in commodity supply, weather, political and other global events, global
macroeconomic factors, and government regulation of commodities or commodity futures markets. These factors cannot be controlled by the Trust, the Sponsor or the Advisor. Accordingly, the price of the Shares could change substantially and in a rapid
and unpredictable manner. This exposes you to a potential loss if you need to sell your Shares when the value of the commodity futures contracts held by the Trust is lower than it was when you made your investment. These fluctuations can affect your
investment regardless of the length of time you intend to hold your Shares.
The following events would generally result in a decline in
the price of any underlying commodities represented in the Portfolio:
•
A significant increase in hedging activity by producers of the underlying commodities.
Should producers of the underlying commodities represented in the
Portfolio increase their hedging of their future production through forward sales or other short positions, this increased selling pressure could depress the price of one or more of the underlying commodities, which could adversely affect the price
of the Shares.
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•
A significant change in the attitude of speculators and investors toward the underlying commodities.
Should the speculative or investment community take a
negative view towards one or more of the underlying commodities, it could cause a decline in the value of commodity-linked derivative contracts held by the Trust, which could reduce the price of the Shares.
Conversely, several factors may trigger a temporary increase in the price of the underlying commodities. The price of a commodity underlying a
commodity-linked futures contract held by the Trust may be affected by several other factors, including:
•
Large purchases or sales of physical commodities by the official sector.
Governments and large institutions have large commodities holdings or may
establish major commodities positions. For example, a significant portion of the aggregate world gold holdings is owned by governments, central banks and related institutions. Similarly, nations with centralized or nationalized oil production and
organizations such as OPEC control large physical quantities of crude oil. If one or more of these or similar institutions decides to buy or sell any commodity in amounts large enough to cause a change in world prices, the value of any trading
positions held by the Trust and the price of the Shares could be adversely affected.
•
Other political factors
. In addition to the organized political and institutional trading-related activities described above, peaceful political activity
such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection or war may greatly influence commodities prices.
•
Significant increases or decreases in the available supply of a physical commodity due to natural or technological factors
. Natural factors would include
depletion of known cost-effective sources for a commodity or the impact of severe weather on the ability to produce or distribute the commodity. Technological factors, such as increases in availability created by new or improved production,
extraction, refining and processing equipment and methods or decreases caused by failure or unavailability of major production, refining and processing equipment (for example, shutting down or constructing oil refineries), also materially influence
the supply of commodities.
•
Significant increases or decreases in the demand for a physical commodity due to natural or technological factors.
Natural factors would include such
events as unusual climate conditions impacting the demand for energy commodities. Technological factors may include such developments as substitutes for energy or other commodities.
Prospective investors in the Shares should also keep in mind that the change in the price of the Shares that follows a change in the price of a
commodity underlying futures contracts owned by the Trust will not always be in the same direction as the change in the price of that underlying commodity. Depending upon the nature of the Trust's position with respect to the underlying
commodity, it may be the case that a decrease in the price of the underlying commodity has a positive impact on the price of the Shares, or that an increase in the price of the underlying commodity has a negative impact on the price of the Shares.
The Trust's use of leverage has the potential to magnify the impact of fluctuations in the price of underlying commodities on the value of the Trust's assets. See "Risks Relating to Derivative Contracts—The Trust's use of
leverage and/or short positions involves certain risks, including potentially high volatility and magnified losses in the underlying assets, and should be considered to be speculative."
Historical performance of specific commodities or commodity indices is no guide to their future performance or to the performance of the
Shares.
At any given time, the Trust may be exposed to changes in the prices of one or more commodities. Even at a time when the
prices of some or most commodities are increasing, it is possible for the price of the Shares to decrease as a result of lack of exposure to such commodities, mistaken anticipation by the Advisor of the direction in which the price of the commodity
would move or many other factors. Therefore, there are no external indicators of how the Shares will perform. Because the Trust does not track or seek
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to replicate any commodity index or other similar benchmark, the past performance of any commodity index is not necessarily indicative of the future performance of the Shares. You may lose some
or all of your investment in the Shares even during times when commodities indices are showing positive returns.
Commodity
futures trading may be illiquid. In addition, suspensions or disruptions of market trading in the commodities markets and related derivatives markets may adversely affect the value of your Shares.
The commodity, commodity futures and commodity derivatives markets are subject to temporary distortions or other disruptions due to various factors,
including the lack of liquidity, congestion, disorderly markets, limitations on deliverable supplies, the participation of speculators, government regulation and intervention, technical and operational or system failures, nuclear accident,
terrorism, riots and acts of God. In addition, forward contracts may entail breakage costs if terminated prior to their final maturity and futures positions cannot always be liquidated at the desired prices.
Further, U.S. futures exchanges and some foreign exchanges have regulations that limit position, size and/or the amount of fluctuation in futures
contract prices that may occur during a single business day. These limits are generally referred to as "daily price fluctuation limits," and the maximum or minimum price of a contract on any given day as a result of these limits is
referred to as a "limit price." Once the limit price has been reached in a particular contract, no trades may be made at a different price. It is not certain how long these price limits may remain in effect. Limit prices may have the
effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices, and possibly having a negative effect on the investment strategies of the Trust and/or the value of commodity-linked
futures contracts held by the Trust. These circumstances could thereby adversely affect the price of your Shares. In addition, these circumstances could limit trading in commodity-linked futures contracts, which could affect the investment
strategies of the Trust and/or the calculation of the NAV and the trading price of the Shares. Accordingly, these limits may result in an NAV that differs, and may differ significantly, from the NAV that would prevail in the absence of these limits.
If Baskets are created or redeemed at a time when these price limits are in effect, the creation or redemption price will reflect the price limits as well.
Furthermore, exchanges may take steps, such as requiring liquidation of open positions, in the case of disorderly markets, market congestion and other market disruptions. These actions could require the Trust to
limit or forego a desired investment strategy. This could adversely affect the NAV and the Trust's performance.
In addition,
during periods of reduced market liquidity or in the absence of readily available market quotations for a particular commodity-linked futures contract in the Portfolio, the ability of the Trust Administrator to assign an accurate daily value to
these investments may be diminished and the Trust Administrator may be required to value these investments at prices other than market prices.
During a period when commodity prices are fairly stationary, "backwardation" or "contango" in the prices of the commodity-linked futures contracts held by the Trust may cause the price of
your Shares to decrease.
As the futures contracts that are held by the Trust near expiration, the Trust may replace them with
contracts that have a later expiration. For example, a contract purchased and held in March may specify a June expiration. As that contract nears expiration, the Trust may replace it by selling the June contract and purchasing the contract expiring
in September. This process is referred to as "rolling." Historically, the prices of some futures contracts (generally those relating to physical commodities that are typically consumed immediately rather than stored) have frequently been
higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as "backwardation." In these circumstances, absent other factors, the sale of the June contract would take place at a
price that is higher than the price at which the Trust would have purchased the September contract, thereby allowing the Trust to purchase a greater quantity of the September contract.
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Some of the commodities underlying the commodity-linked futures contracts held by the Trust may
historically exhibit "contango" markets rather than backwardation. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term
storage of a physical commodity prior to delivery or other factors. In addition, the forward price of a commodity may fluctuate between backwardation and contango. In the case of a contango market, the purchase price of the underlying asset of the
futures contract being traded by a trader upon the sale of futures contracts about to expire will be higher than the amount realized in the sale.
The presence or absence of backwardation, or the existence or non-existence of contango in the commodity markets could result in losses, which could adversely affect the investment strategies of the Trust and/or
the value of the commodity-linked futures contracts held by the Trust and, accordingly, decrease the price of your Shares.
Furthermore,
when the Trust rolls futures contracts close to their expiration into futures contracts expiring at a later date, it is possible that the Trust may incur significant costs in connection with the roll, whether due to actions of market participants or
otherwise. This adverse effect may be increased due to the actions of the market participants who are aware of the composition of the Trust's Portfolio, which is published daily on the Trust's website.
Risks Relating to Currency Markets
As
a multinational currency, the euro may experience greater price volatility due to the influence of multiple and uncoordinated political and fiscal regimes.
The euro is a multinational currency and its price may be affected by political, social, economic or financial events occurring in any of the seventeen euro zone countries. While the euro is the currency of a union
of these countries, the union is economic and not political. The lack of a single fiscal policy and a central economic authority coordinating the response to events that may adversely affect the price of the euro creates uncertainties that do not
exist in the case of a single-state currency. If the value of the euro is threatened by events or circumstances arising in localized areas of the euro zone and the euro zone members are not able to coordinate a successful response to such events,
the value of the euro may decline and you may sustain a loss on your investment in the Shares.
A country's decision to
abandon the euro zone could have adverse consequences for the value of the Shares.
In the wake of the financial difficulties
experienced by Greece, Ireland and Portugal there has been speculation about a possible breakup of the euro zone. If one or more nations decide to leave the euro zone, it is impossible to predict the effect of such a decision on the value of the
euro and any of the other foreign currencies in which the Portfolio holds positions at any time. Similarly, the departure of one of the stronger economies (Germany, for example) could have devastating consequences for the value of the euro and
adversely affect foreign currency positions in the Portfolio. Under these circumstances, the value of the Shares would decrease and you could sustain losses on your investment.
The price of the Shares fluctuates as a result of fluctuations in the exchange rates of currencies underlying any currency-linked futures or
forward contracts owned by the Trust. Exchange rates may be volatile, thereby creating the potential for losses regardless of the length of time you intend to hold your Shares.
The price of the Shares depends on the value of the investments in the Portfolio. To the extent that the Portfolio includes forward or other
derivative contracts linked to or affected by the price of a foreign currency, the Trust, and therefore the Shares, are exposed to fluctuations in the price of that foreign currency. The prices of various foreign currencies have been extremely
volatile at times during the past
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several years. Some foreign currency prices have recently experienced sharp fluctuations and there is no certainty that these prices will remain at their current levels. If they move in
directions that the Advisor does not anticipate, the investment strategies of the Trust and/or the value of the Shares may be adversely affected.
The value of the foreign currencies and, in turn, the currency-linked instruments held by the Trust, may be affected by several factors, including, but not limited to:
•
debt level and trade deficit of the United States and/or the relevant non-U.S. countries;
•
inflation or deflation rates of the United States and the relevant non-U.S. countries and investors' expectations concerning inflation or deflation rates
generally;
•
interest rates of the United States and the relevant non-U.S. countries and investors' expectations concerning interest rates generally;
•
investment and trading activities of mutual funds, hedge funds and currency funds;
•
global or regional political, economic or financial events and situations; and
•
sovereign action to set or restrict currency conversion.
These factors cannot be controlled by the Trust, the Sponsor or the Advisor. Accordingly, the price of the Shares could change substantially and in a rapid and unpredictable manner. This exposes you to a potential
loss if you need to sell your Shares when the value of the currency-linked instruments held by the Trust is lower than it was when you made your investment. These fluctuations can affect your investment regardless of the length of time you intend to
hold your Shares.
Substantial transactions in a currency by any official sector market participant could adversely affect an
investment in the Shares.
The official sector consists of central banks, other governmental agencies and/or other multi-lateral
institutions that buy, sell or hold foreign currencies as part of their reserve assets. The official sector holds a significant amount of foreign currencies that can be traded in the open market. In the event that future economic, political or
social conditions or pressures require members of the official sector to sell their currency simultaneously or in an uncoordinated manner, the demand for the currency might not be sufficient to accommodate the sudden increase in the supply of the
currency to the market. Consequently, the price of the currency could decline, which would adversely affect an investment in the Shares.
Conversely, unusual purchases of a currency by members of the official sector may have the effect of increasing the price of that currency which
could adversely affect the value of Trust investments linked to that currency and, consequently, the performance of the Shares.
A
country's decision to abandon its current currency and adopt a new one could have adverse consequences for the value of any positions related to the old currency that the Trust may hold at the time.
A country's decision to abandon its currency at a time when the Trust has investments in futures and/or forward contracts, the value of which
depends on the value of such currency, could have adverse effects for the value of the Trust's contracts and, therefore, for the Trust's investment strategy and/or the price of the Shares. For example, as members of the European Union, the
United Kingdom and Sweden have the option to adopt the euro as their currency in lieu of the British Pound Sterling and the Swedish Krona, respectively. Similarly, although Switzerland is not a member of the European Union, it may in the future
decide to join it. If Switzerland joins the European Union, it will have the option to adopt the euro as its currency in lieu of the Swiss Franc. If the United Kingdom, Sweden or Switzerland adopts the euro as its currency by official act, the value
of its currency could depreciate, depending on, among other things, the
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relative value of its currency and the euro, the conversion ratio of its currency per euro and the timing of the adoption of the euro. If the British Pound Sterling, the Swedish Krona or the
Swiss Franc declines in value at a time when the Trust has investments linked to that currency, the value of the currencies-linked derivative instruments held by the Trust and, in turn, the price of the Shares may be adversely affected.
Risks Relating to U.S. Government and Sovereign Debt Markets
Investing in debt obligations of the U.S. government creates exposure to credit and interest rate risk.
The Trust may invest in U.S. government debt instruments, which are U.S. Treasury bills, notes and bonds of varying maturities that are backed by the full faith and credit of the United States government. The U.S.
government debt instruments in which the Trust invests may be subject to credit risk and interest rate risk. Credit risk refers to the possibility that the issuer of a security will be unable to make interest payments and/or repay the principal on
its debt. Interest rate risk refers to the fluctuations in the value of a fixed-income security resulting from fluctuations in the general level of interest rates. While the credit risk associated with U.S. government securities was, in the past,
generally considered to be minimal, the possibility of a default by the U.S. government on its debt obligations has lately been the subject of speculation as the U.S. congress has labored to raise the statutory limit on public indebtedness and to
address the budget deficit. Reflecting these concerns, both Moody's and Fitch have placed a "negative outlook" on their triple-A ratings of U.S. government securities, while Standard & Poor's has downgraded the long-term
sovereign credit rating on the United States of America to "AA+" but maintained the "A-1+" short-term rating.
In addition, the interest rate risk associated with U.S. government securities can be substantial, and such risks may vary unpredictably over time. U.S. government securities generally offer lower yields than other
fixed-income securities, making them more susceptible to changes in interest rates. Thus, a rise in the general level of interest rates may cause the value of the Portfolio's U.S. government securities or U.S. government securities-linked
derivative contracts to fall substantially. In addition, recent historically high deficit spending by the U.S. government has necessitated additional issuances of U.S. government securities which may result in a significant decline in yields. A
continuing rise in the level of the U.S. government deficit may lead to a further increase in the U.S. government borrowings and could be associated with an increase in the interest rates paid on U.S. government securities. Any such increase would
adversely affect the value of U.S. government securities held by the Trust and, therefore, the value of the Shares. In addition, the Trust may become exposed to a greater credit risk with respect to U.S. government securities, which may cause a
considerable decline in the value of the Portfolio.
Investing in futures and/or forward contracts linked to sovereign debt
instruments creates exposure to the direct or indirect consequences of political, social or economic changes in the countries in which the issuers are located and the creditworthiness of the sovereign.
The Trust may trade in futures and forward contracts involving debt instruments issued or guaranteed by non-U.S. governments and their political
subdivisions (such instruments, "sovereign debt" instruments). An investment in sovereign debt instruments involves special risks and creates exposure to the direct and indirect consequences of political, social or economic changes in the
countries in which the issuing governments are located. The ability and willingness of the non-U.S. issuers of the sovereign debt or the non-U.S. governmental authorities that control repayment of their external debt to pay principal and interest on
that debt when due may vary unpredictably and may depend on general economic and political conditions within the relevant country.
The
non-U.S. issuer of the sovereign debt or the non-U.S. governmental authorities that control the repayment of the debt may be unable or unwilling to repay principal or interest when due, and the Trust may have limited recourse in the event of a
default. During periods of economic uncertainty, the market prices of non-U.S. sovereign debt instruments may be more volatile than prices of debt obligations of the
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U.S. government or other obligations. In the past, certain non-U.S. issuers of sovereign debt have encountered difficulties in servicing their debt obligations, withheld payments of principal and
interest and declared moratoria on the payment of principal and interest on their sovereign debt. In some cases, remedies must be pursued in the courts of the defaulting party itself, and the ability of the holder of sovereign debt instruments to
obtain recourse may be subject to the political climate in the relevant country and other unpredictable factors.
While the Trust is not
directly exposed to these risks because it does not invest directly in sovereign debt instruments, the value and/or liquidity of the positions taken by the Trust that involve sovereign debt instruments may be adversely affected by the occurrence of
any of the events discussed above.
Investing in futures and/or forward contracts linked to non-U.S. sovereign debt instruments
creates exposure to non-U.S. interest rate fluctuations.
Interest rate movements directly affect the price of the sovereign
bond-related positions held by the Trust and indirectly the value of the Portfolio. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Trust's profitability. The
Trust's primary interest rate exposure is expected to be to interest rate fluctuations in the United States and other major industrialized, or Group of Seven countries (Canada, France, Germany, Italy, Japan, United Kingdom and United States,
collectively, "G-7"). However, the Trust also may take positions in futures contracts on the government debt of other nations.
Risks
Relating to Interest Rate Derivatives Markets
Investing in interest rate futures contracts creates exposure to interest rate
fluctuations in one country as well as relative interest rate movements between countries.
Interest rate movements directly
affect the price of the interest rate futures positions held by the Trust and indirectly the value of its security index futures and currency forward positions. Interest rate movements in one country as well as relative interest rate movements
between countries materially impact the Trust's profitability. Because interest rates move up and down, interest rate futures contracts held by the Trust may trade at a premium some of the time and at a discount at other times. The Trust's
primary interest rate exposure is to interest rate fluctuations in the United States and other G-7 countries. However, the Trust may also take futures positions on the interest rates and currencies of other nations.
Risks Relating to Security Index Futures Markets
Investing in security index futures contracts creates exposure to the performance of the underlying index.
The Trust may trade in certain stock or bond index futures that are designed to track the value of broader market indices (such as the Dow Jones Industrial Average, the NASDAQ 100 Index or the Barclays Aggregate
Bond Index). The value of the stock and bond index futures contracts and the underlying broader market index may vary due to disruptions in the markets for the relevant index assets, the imposition of speculative position limits (as discussed in
"Risk Factors—Risks Relating to Regulatory Requirements—Regulatory and exchange position limits may restrict the creation of Baskets and the operation of the Trust."), or due to other extraordinary circumstances. Further, some or
a significant part of the securities (stocks or bonds) in the underlying index, may in turn be subject to specific risks that may affect the performance of the index and, consequently, the value of the Shares. In particular, to the extent that some
or a significant part of the securities (stocks or bonds) in the index are subject to risks associated with emerging markets (either because their issuers are from, or are located or have extensive operations in emerging market countries), the
performance of the index may be subject to the uncertainties that characterize an investment in an emerging market economy (such as political risks, lack of transparency, and different regulatory and legal systems). These risks may have an adverse
effect on the index and the price of the Shares.
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In addition, stock index futures products are typically traded on electronic trading platforms and
are subject to risks related to system access, varying response time, security and system or component failure.
Risks Relating to Derivative
Contracts
The Trust's use of leverage and/or short positions involves certain risks, including potentially high
volatility and magnified losses in the underlying assets, and should be considered to be speculative.
The Trust uses leveraged
investment techniques in seeking to achieve its investment objectives. Leverage may cause the value of the Shares to be more volatile than if the Trust did not use leverage. The more the Trust invests in leveraged instruments, the more this leverage
will magnify any losses on those investments. In addition, derivatives contracts have a high degree of price variability and are subject to occasional rapid and substantial changes, which will be magnified by the leveraged positions of the Trust.
Certain types of leveraging transactions, such as short sales, could theoretically be subject to unlimited losses in cases where the Trust, for any reason, is unable to close out the transaction. Consequently, you could lose all or substantially all
of your investment in the Trust.
The Trust is subject to credit risks and other risks associated with U.S. exchange-traded
futures contracts.
The Trust may trade in U.S. exchange-traded futures contracts as a means to achieve its investment
objectives. Futures exchanges in the United States are subject to regulation under the CEA by the CFTC, the governmental agency currently having responsibility for regulation of futures exchanges and trading on those exchanges.
The risks associated with the Trust's use of U.S. exchange-traded futures contracts include:
•
Due to market conditions there may not always be a liquid secondary market for a futures contract. As a result, the Trust may be unable to close out its futures
contracts at a desired price and at a time which is advantageous.
•
Trading restrictions or limitations may be imposed by an exchange, and government regulations may restrict trading in futures contracts.
Further, the counterparty to a U.S. exchange-traded futures contract is generally a clearing organization backed by a
group of financial institutions. Each futures exchange in the United States has an associated "clearing house." Once trades between members of an exchange have been confirmed, the clearing house becomes substituted for each buyer and each
seller of contracts traded on the exchange and, in effect, becomes the other party to each trader's open position in the market. Thereafter, each party to a trade looks only to the clearing house for performance. However, the obligations of the
clearing house with respect to any open positions do not run to customers. There can be no assurance that the clearing house, or its members, will satisfy its obligations to the Trust. In addition, in the event of a bankruptcy or insolvency of any
exchange or a clearing house, the Trust could experience a loss of the funds deposited through its U.S. futures commission merchant as margin with the exchange or clearing house, a loss of any profits on its open positions on the exchange, and the
loss of unrealized profits on its closed positions on the exchange.
In addition, U.S. futures exchanges have rules that limit position,
size and/or the amount of fluctuation in futures contract prices that may occur during a single business day. These limits are generally referred to as "daily price fluctuation limits," and the maximum or minimum price of a contract on any
given day as a result of these limits is referred to as a "limit price." Once the limit price has been reached in a particular contract, no trades may be made at a different price. It is not certain how long any such price limits may
remain in effect. Limit prices may have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices, possibly having a negative effect on the
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investment strategies of the Trust and/or the value of the futures contracts held by the Trust. These circumstances could thereby adversely affect the price of your Shares. In addition, these
circumstances could also limit trading in futures contracts, which could affect the investment strategy of the Trust and/or the calculation of the NAV and the trading price of the Shares. Accordingly, these limits may result in an NAV that differs,
and may differ significantly, from the NAV that would prevail in the absence of these limits. If Baskets are created or redeemed at a time when these price limits are in effect, the creation or redemption price will reflect the price limits.
Furthermore, exchanges may take steps, such as requiring liquidation of open positions, in the case of disorderly markets, market
congestion or other market disruptions. These actions could require the Trust to limit or forego a desired investment strategy. This could adversely affect the NAV and the Trust's performance.
In addition, during periods of reduced market liquidity or in the absence of readily available market quotations for particular futures contracts
in the Portfolio, the ability of the Trust Administrator to assign an accurate daily value to these investments may be diminished and the Trust Administrator may be required to value these investments at prices other than market prices.
Trading on futures exchanges outside the United States is not subject to U.S. regulation.
The Trust may conduct trading on futures exchanges located outside of the United States. In that event, trading on those exchanges is not regulated
by any United States governmental agency and may involve certain risks not applicable to trading on United States exchanges, including different or diminished investor protections. In trading contracts denominated in currencies other than U.S.
dollars, Shares are subject to the risk of adverse exchange-rate movements between the dollar and the functional currencies of those contracts. You could incur substantial losses from trading on non-U.S. exchanges to which you would not otherwise
have been subject had the Trust's trading been limited to U.S. markets.
When entering into foreign currency forward
contracts, the Trust assumes the risk that its counterparties may become unable or unwilling to pay any amounts owed to the Trust.
Certain foreign currencies markets in which the Trust effects its transactions are over-the-counter or "interdealer" markets. Unlike
exchange-traded futures contracts, the counterparty to an over-the-counter forward contract is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. Participants in
over-the-counter markets are typically not subject to the same credit evaluation and regulatory oversight as are members of "exchange-based" markets. To the extent that the Trust trades in over-the-counter transactions, the Trust may take
a credit risk with regard to parties with which it trades and also may bear the risk of settlement default. These risks may differ materially from those involved in exchange-traded futures transactions which generally are characterized by clearing
organization guaranties, daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Transactions entered into directly between two counterparties generally do not benefit from these
protections, which in turn may subject the Trust to the risk that a counterparty will not settle a transaction in accordance with agreed terms and conditions because of a dispute over the terms of the contract or because of a credit or liquidity
problem. This counterparty risk is increased for contracts with longer maturities when events may intervene to prevent settlement. The ability of the Trust to transact business with any one or any number of counterparties, the lack of any
independent evaluation of the counterparties or their financial capabilities, and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Trust.
Further, if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Trust may experience
significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Trust may obtain only limited recovery or may obtain no recovery in such circumstances. In addition, the Trust may enter into agreements with a
limited number of counterparties which
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may increase the Trust's exposure to counterparty credit risk. As evidenced by the upheaval of the credit markets leading to and following the 2008 bankruptcy of Lehman Brothers,
counterparty credit exposure may surge unexpectedly or as a result of events which may or may not relate to the credit standing of the counterparties to the Trust.
Over-the-counter derivatives contracts have terms that make them less marketable than futures contracts. They are less marketable because they are not traded on an exchange, do not have uniform terms and
conditions, and are entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty.
The Advisor, on behalf of the Trust, trades in forward contracts that are not traded on regulated exchanges and, therefore, offer different
or lower levels of protections to investors.
As a means to achieve its investment objectives, the Trust may from time to time
enter into forward contracts. These investment vehicles are typically traded on a principal-to-principal basis through dealer markets that are dominated by major money center and investment banks and other institutions and are subject to lesser
degrees of regulation or, in some cases, no substantive regulation. With respect to these contracts, the Trust and investors in the Shares do not receive the protections of the regulatory and statutory scheme of the CEA. The forward markets rely
upon the integrity of market participants in lieu of the additional regulation imposed by the exchanges or the CFTC on participants in the futures markets. The lack of regulation in these markets could expose investors to significant losses under
certain circumstances including in the event of trading abuses or financial failure by participants.
In addition, the Trust may trade
in forward contracts traded on electronic trading facilities rather than in the over-the-counter market. Many electronic trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading
of contracts on these facilities and inclusion of these contracts in the Portfolio may be subject to risks not presented by most exchange-traded futures contracts, including risks related to the liquidity and price histories of the relevant
contracts.
Failure of the Clearing FCM to segregate assets or the insolvency of the Trust's prime broker may increase
losses.
The CEA requires a futures commission merchant, such as the Clearing FCM, to segregate all funds received from customers
with respect to any orders for the purchase or sale of U.S. domestic futures contracts from its proprietary assets. Similarly, the CEA requires each futures commission merchant to hold in a separate secure account all funds received from customers
with respect to any orders for the purchase or sale of foreign futures contracts and segregate any such funds from the funds received with respect to domestic futures contracts. However, all funds and other property received by the Clearing FCM from
its customers are held by the Clearing FCM on a commingled basis in an omnibus account and may be freely accessed by the Clearing FCM, which may also invest any such funds in certain instruments permitted under the applicable regulation. There is a
risk that assets deposited by the Trust with the Clearing FCM as margin for the purchase of domestic or foreign futures contracts may, in certain circumstances, be used to satisfy losses of other clients of the Clearing FCM. In addition, the assets
of the Trust might not be fully protected in the event of the Clearing FCM's bankruptcy, as the Trust would be limited to recovering only a pro rata share of all available funds segregated on behalf of the Clearing FCM's combined domestic
customer accounts.
Similarly, the CEA requires a clearing organization approved by the CFTC as a derivatives clearing organization to
segregate all funds and other property received from a clearing member's clients in connection with domestic futures and options contracts from any funds held at the clearing organization to support the clearing member's proprietary
trading. Nevertheless, all customer funds held at a clearing
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organization in connection with any futures or options contracts are held in a commingled omnibus account and are not identified to the name of the clearing member's individual customers.
With respect to futures and options contracts, a clearing organization may use assets of a non-defaulting customer held in an omnibus account at the clearing organization to satisfy payment obligations of a defaulting customer of the clearing member
to the clearing organization. As a result, in the event of a default or the Clearing FCM's other clients or the Clearing FCM's failure to extend own funds in connection with any such default, the Trust would not be able to recover the full
amount of assets deposited by the Clearing FCM on behalf of the Trust with the clearing organization.
In addition, the Trust will
depend on the services of one or more prime brokers to carry out certain foreign currency forward transactions. At any time, a substantial portion, or all, of the Trust's cash and securities may be held as collateral by the prime broker against
margin obligations or deposited with the prime broker for safekeeping. Unlike futures commission merchants, prime brokers are not required to segregate all funds received from customers from prime broker's proprietary assets. In addition, the
prime brokerage agreements permit the prime broker to pledge or otherwise hypothecate the Trust's investment securities subject to certain limitations. As such, in the event of the insolvency of a prime broker, the Trust might not be able to
recover equivalent assets in full as the Trust may rank among the prime broker's unsecured creditors in relation to assets which the prime broker owns, borrows, lends or otherwise uses.
Risks Relating to the Advisor and its Trading Strategies
The lack of experience of the
Advisor and its principals in actively managing an entity like the Trust and applying quantitative investment strategies similar to those that are used in the selection of investments for the Trust may result in substantial trading losses for the
Trust and, as a result, you could lose some or all of the value of your Shares.
Although the Advisor has
been registered under the CEA as a commodity trading advisor since April 5, 1993, before the inception of the Trust, it had never been responsible for an actively managed commodity pool other than the Trust. To date, the Advisor's only
experience as a commodity trading advisor to a registered commodity pool other than the Trust has been as advisor to the
iShares
®
S&P GSCI
™
Commodity-Indexed Investment Pool LLC, a company that seeks to track the performance of the iShares
®
S&P GSCI
™
Total Return Index by
investing in one specified futures contract the performance of which is intended to correspond to changes in such index. When directing investments for the iShares
®
S&P GSCI
™
Commodity-Indexed
Investment Pool LLC, the Advisor does not exercise the type of discretion, or apply the types of strategies that are necessary for the success of the investments in the Trust's Portfolio; to the contrary, its responsibilities are limited to
directing the acquisition of a single futures contract on the same terms that are available to any other investor purchasing the same futures contract at the same time.
In contrast, with respect to the Trust, the Advisor does not have the same limited role; as explained elsewhere in this prospectus, the Advisor is responsible for the application of quantitative methodologies in
connection with the selection of investments for the Trust and for all determinations regarding which Trust positions are held to maturity and which positions are liquidated early (either in response to market conditions or in order to meet the
liquidity needs of the Trust).
In addition, Reza Estilaei and Russ Koesterich, the individuals that are primarily responsible for
Portfolio management decisions with respect to the Trust, have never managed an investment vehicle other than the Trust or applied strategies similar to those used by the Trust. Accordingly, they may not be relied upon to compensate for the
Advisor's institutional lack of experience with investment vehicles like the Trust.
To the extent that the Advisor's, and the
Advisor's principals', lack of prior experience in the application of the methodologies used by the Trust and the making of investment decisions similar to those required to generate Trust profits, produce losses to the Trust, the value of
your Shares will be adversely affected and you will sustain a loss in your investment in the Shares.
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The Advisor makes decisions regarding investments for the Trust relying on quantitative models
that may be defective or not adequate to analyze market conditions at the time the investment decisions are made; as a result, the returns expected from those investments may not materialize.
The Advisor identifies and evaluates potential investment opportunities for the Trust using proprietary analytical and business models that have
been built and are updated on the basis of historical data collected or derived from several sources that track the performance of different variables across markets deemed relevant to its investment decisions by the Advisor. In the process of
building these models, the Advisor has relied and will rely on assumptions that the Advisor deems reasonable under the circumstances. Although the Advisor is expected to take reasonable care to ensure the reliability of the sources used, the
accuracy of the information derived from such sources and the reasonableness of its assumptions, the possibility for error remains. In addition, even in circumstances in which the sources are reliable, the information is accurate and the assumptions
are reasonable, it is possible for a model to fail to perform as expected in the face of new market conditions, changing economic or regulatory environments or other unanticipated circumstances not built into the model. Investors in the Shares
should be aware that, if the models used by the Advisor in its investment decisions prove to be defective or become inadequate in light of the circumstances prevailing at the time they are used in connection with investment decisions for the Trust,
the returns anticipated by the Advisor may fail to materialize, substantial losses may occur and as a result the price of the Shares could be adversely affected. Consequently, you could lose all or substantially all of your investment in the Trust.
The strategies used by the Advisor to identify investment opportunities for the Trust may fail to deliver the desired returns.
The Advisor utilizes specialized investment strategies, follows allocation methodologies, applies investment models and
assumptions, and enters into other strategies intended, among other things, to affect the Trust's performance while targeting risk levels. There can be no assurance that the Advisor will succeed in achieving any goal related to these practices.
The Advisor may be unable or may choose in its judgment not to seek to achieve these goals. Consequently, you could lose all or substantially all of your investment in the Trust.
Relative value strategies used by the Advisor to identify investment opportunities for the Trust are subject to certain risks.
The Advisor utilizes, among others, relative value trading strategies which are composed of positions in contracts relating to
two or more assets the prices of which are expected to either converge or diverge and, in theory, mitigate the absolute price risk associated with taking an outright, unhedged position in respect of a single asset, and may be based upon historical
price relationships and intended to neutralize the adverse (and positive) price effects of macro-economic events and trends. However, relative value strategies are subject to certain risks. The success of the Advisor's trading activities
depends, among other things, on the Advisor's ability to identify unjustified or temporary discrepancies between the fundamental value and the market price of an asset or between the market prices of two or more assets whose prices are expected
to move in relation to each other and to exploit those discrepancies to derive a profit to the extent that the Advisor is able to anticipate in which direction the relative values or prices will move to eliminate the identified discrepancy. For
example, a relative value strategy may fail to profit fully or at all or may suffer a loss or a greater loss due to a failure of the component contract prices to converge or diverge as anticipated. This may occur with respect to prices relating to
all or only certain contract maturities and may result from an unanticipated backwardation or contango of contract prices or other reversal of historic or expected relationships. See "—Risk Factors Relating to Commodity Markets—During
a period when commodity prices are fairly stationary, "backwardation" or "contango" in the prices of the commodity-linked futures contracts held by the Trust may cause the price of your Shares to decrease."
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Identification and exploitation of the investment opportunities to be pursued by the Advisor involve a
high degree of uncertainty. If what the Advisor perceives as an unjustified or temporary price or value discrepancy posing an investment opportunity is nothing more than a price differential due to reasons not likely to disappear within the time
horizon of an investment made by the Trust, if the Advisor fails to anticipate the direction in which the relative prices or values will move to eliminate a discrepancy, or if the Advisor has incorrectly evaluated the extent of the expected spread
relationships, so that, for example, the value of the Trust's long positions appreciates at a slower rate than the value of the Trust's short positions in related assets, then the expected returns for the Trust will not materialize, and
the Trust may sustain a loss that will adversely affect the price of the Shares.
The discrepancies that the Advisor seeks to identify
and turn into profit opportunities for the Trust may arise due to a variety of circumstances. Some may be due to uneven flows of information to the relevant markets, with the market for one asset reflecting the impact of specified items of
information before or after the same information has an impact on the market for a related asset. Others may be the result of regulatory or legal restrictions applicable to one type of asset, but not to a functionally equivalent asset (which occurs,
for example, when regulated financial institutions are prohibited from investing in a particular type of asset, but are free to take, via derivative arrangements, positions that leave them exposed to the performance of the same asset). A reduction
in the volatility and market inefficiencies that create the opportunities in which the Advisor may seek to invest, as well as other market factors, will reduce the scope for the Advisor's investment strategies, limit the Trust's
opportunities for profit and adversely affect the price of the Shares.
Various actual and potential conflicts of interest
involving the Advisor may be detrimental to Shareholders.
The Trust is subject to actual and potential conflicts of interest
involving the Sponsor, the Trustee and the Advisor. The relationships existing among the Advisor, the Trustee and the Sponsor are described under "Conflicts of Interest". Because of these relationships, the Sponsor may have a disincentive
to replace the Trustee or the Advisor, regardless of their performance.
A conflict of interest may also arise where the Advisor finds
that futures positions established for the benefit of the Trust, when aggregated with the Advisor's positions in other accounts of the Advisor (or the proprietary or other positions of its principals or affiliates), approach or exceed the
position limits set by the CFTC or the relevant futures exchange in a particular asset. All futures contracts managed by the Advisor and its affiliates in respect of a particular futures contract may be combined for position limit purposes. It is
possible that the Advisor will approach or reach position limits and, if so, will have a conflict of interest among the various accounts it manages as to which accounts are allocated the limited contracts available. The Trust may be forced to forego
certain opportunities as a result of those limitations. In addition, if in the opinion of the CFTC or other regulating body, exchange or board of trade the Advisor (or its principals or affiliates) exceed position limits, the Advisor may be forced
to liquidate certain positions in order to comply with the aggregate applicable position limit requirements. In liquidating positions held on behalf of its accounts, however, the Advisor may choose not to liquidate positions held on behalf of the
Trust in proportion to other accounts under its management. The result to the Trust would be a reduction in the potential for profit and/or potentially substantial losses should the exit of positions be at unfavorable prices by virtue of position
limits. See "Conflicts of Interest."
In addition, the Sponsor and the Advisor may, from time to time, have conflicting
demands in respect of their obligations to the Trust and, in the future, to other commodity pools and accounts. The Advisor may be effecting trades for its own accounts and for others (including other commodity pools in competition with the Trust)
on a discretionary basis. It is possible that positions taken by the Advisor for other accounts may be taken ahead of or opposite positions taken on behalf of the Trust. In addition, the Advisor and certain of its affiliates may currently or in the
future offer products or pursue investment strategies that
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may utilize or include some or all of the strategies and/or exposures targeted by the Trust, or which may compete or conflict with the Trust's activities. Further, a conflict of interest may
also arise where the Advisor receives an incentive-based fee in lieu of, or in addition to, an asset-based fee for its advisory services in respect of certain accounts, other than the Trust, and may choose to devote greater resources and allocate
more investment opportunities to those accounts. In the event the Sponsor or the Advisor trades for its own account, neither of them would make those trading records available for inspection. The result to the Trust would be, among others, a
reduction in the potential for profit should the entry of positions be at unfavorable prices by virtue of entry of other trades in front of the Trust's trades.
The Sponsor has not established any formal procedure to resolve conflicts of interest. Consequently, investors are dependent on the good faith of the respective parties subject to such conflicts to resolve them
equitably. Although the Sponsor attempts to monitor these conflicts, it is extremely difficult, if not impossible, for the Sponsor to ensure that these conflicts do not, in fact, result in adverse consequences to the Shareholders.
Risks Relating to the Trust and Investment in the Shares
The Trust is subject to the risks associated with being newly organized.
The Trust is
newly organized. The success of the Trust will depend on a number of conditions that are beyond its control. These conditions include the level of acceptance by the investor community of an investment vehicle such as the Trust, which has not been
offered to retail investors before, the Trust's ability to raise sufficient funds to be able to efficiently engage in derivatives trading and the Advisor's ability to identify profitable trading opportunities for the Trust. There is a
substantial risk that the investment objectives of the Trust will not be met. Neither the Sponsor nor the Advisor has been responsible for an actively managed, publicly offered commodity fund other than the Trust. If the experience of the Sponsor
and the Advisor and their principals is not adequate or suitable to manage investment vehicles such as the Trust, the operations of the Trust may be adversely affected.
The lack of an active trading market for the Shares may result in losses on your investment at the time of disposition of your Shares.
Although the Shares are listed for trading on NYSE Arca, there can be no guarantee that an active trading market for the Shares will develop or be
maintained. If you need to sell your Shares at a time when no active market for them exists, the price you receive for your Shares, assuming that you are able to sell them, will likely be lower than that you would receive if an active market did
exist.
The Shares of the Trust are new securities products and their value could decrease if unanticipated operational or trading
problems arise.
The mechanisms and procedures governing the creation, redemption and offering of the Shares have been developed
specifically for these securities products. Consequently, there may be unanticipated problems or issues with respect to the mechanics of the operations of the Trust and the trading of the Shares that could have a material adverse effect on an
investment in the Shares. In addition, because the Trust is actively managed, to the extent that unanticipated operational or trading problems or issues arise, the Sponsor's or the Advisor's past experience and qualifications may not be
suitable for solving these problems or issues.
You may not rely on past performance in deciding whether to buy the Shares.
The Trust commenced trading on November 16, 2009; consequently, there is no meaningful performance history you can use to
evaluate your investment in the Trust. Although past performance is not necessarily indicative of future results, if the Trust had a meaningful performance history, that history might provide you with more information on which to evaluate an
investment in the Trust. In addition, given the Advisor's decision to increase the maximum targeted annualized volatility of the Trust's portfolio from 8% to 10% as of the date of this prospectus, the limited performance history developed
by the Trust since its inception may be even less relevant to a decision to invest in the Shares.
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The Trust is subject to the costs and risks associated with being actively managed. These costs
and risks may cause your investment in the Shares to result in losses that you might have avoided if you had invested in products not exposed to those costs and risks.
There is limited market history for actively-managed exchange-traded funds, and it is not known how well the Trust will perform in the marketplace. Until a few years ago, most exchange-traded funds, including
exchange- traded commodity funds, have attempted to replicate or track an index. There is no index that the Trust attempts to replicate or track. Instead, the Advisor has discretion to select the Trust's investments, and the ability of the
Trust to meet its investment objectives is directly related to the Advisor's portfolio allocation of the Trust's assets. The Advisor's judgments, based on its investment strategy, about the attractiveness and potential appreciation of
the particular investments in which the Trust invests may prove to be incorrect and the value of your Shares may be adversely affected.
The price you receive upon the sale of your Shares may be less than their NAV.
Shares may trade at, above or below their NAV. The NAV fluctuates with changes in the market value of the Trust's assets. The trading prices of
Shares are expected to fluctuate in accordance with changes in the NAV, intraday changes in the value of the investment portfolio held by the Trust and market supply and demand. The amount of the discount or premium in the trading price of the
Shares relative to their NAV may be influenced by non-concurrent trading hours between NYSE Arca, on which the Shares trade, and markets for the instruments, or the assets underlying the instruments, held by the Trust. While the Shares trade on NYSE
Arca until 4:00 P.M., New York City time, liquidity in the markets for the derivative instruments, or the assets underlying the instruments, held by the Trust and trading on certain other exchanges or trading facilities during different time
frames may be reduced after the close of the principal markets for those instruments or underlying assets. Consequently, liquidity in the instruments held by the Trust may be reduced at the close of trading at the applicable underlying market. As a
result, trading spreads, and the resulting premium or discount on Shares, may widen during the time when NYSE Arca is open and certain other applicable markets are closed.
The NAV may not always correspond to the market price of the Shares and, as a result, Baskets may be created or redeemed at a value that differs from the market price of the Shares.
The NAV of the Shares of the Trust changes as fluctuations occur in the market value of its Portfolio. You should be aware that the public trading
price of a number of Shares of the Trust otherwise amounting to a Basket may be different from the NAV of an actual Basket (
i.e.
, 100,000 individual Shares may trade at a premium over, or a discount to, net asset value of a Basket) and
similarly the public trading price per Share of the Trust may be different from the NAV per Share of the Trust. Consequently, an Authorized Participant may be able to create or redeem a Basket at a discount or a premium to the public trading price
per Share of the Trust. This price difference may be due, in large part, to the fact that supply and demand forces at work in the secondary trading market for Shares of the Trust are closely related, but not identical, to the same forces influencing
the price of an underlying commodity at any point in time. You also should note that the size of the Trust in terms of total assets and positions held may change substantially over time and from time to time as Baskets are created and redeemed.
Authorized Participants or their clients or customers may have an opportunity to realize a profit if they can purchase a Basket at a
discount to the public trading price of the Shares or can redeem a Basket at a premium over the public trading price of the Shares of the Trust. To the extent that Authorized Participants and their clients and customers may be able to exploit such
arbitrage opportunities, the public trading price of the Shares should track the NAV over time. Market participants that are not Authorized Participants may not be able to exploit any such arbitrage opportunity to the same degree, if at all.
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None of the Sponsor, the Advisor or the Trustee can assure you that it will continue in its
respective role. If any of them was no longer to act in those roles, the Trust and the value of the Shares may suffer.
None of
the Sponsor, the Advisor or the Trustee can assure you that it will be willing or able to continue to service the Trust for any length of time. If any of them discontinues its activities on behalf of the Trust, the Trust may be adversely affected.
For example, following the resignation of the Sponsor, the Advisor or the Trustee, the Trust may not be able to secure the services of a substitute sponsor, advisor or trustee on terms as favorable (including in respect of compensation) as those in
effect with the departing party, or on any terms at all. If the Trust is unable to secure the services of a new sponsor, advisor or trustee, it may be forced to terminate its activities at a time that is disadvantageous for its Shareholders. If the
Sponsor's or the Advisor's registrations under the CEA or memberships in the NFA were revoked or suspended, they would no longer be able to provide services to the Trust.
The Trust may incur additional transactional costs because the Portfolio is actively managed, and actively managed portfolios may have higher
turnover rates.
The Trust may engage in investment activity without regard to the effect on portfolio turnover. Portfolio
turnover refers to the rate at which the instruments held by the Trust are replaced. The higher the rate, the higher the transactional and brokerage costs associated with the turnover, which may adversely affect the Trust's net asset value and,
in turn, the value of your Shares. Historically, the Trust's annual turnover rate has ranged between 486% (for the calendar year ended December 31, 2011) and 583% (for the calendar year ended December 31, 2010). In connection with the
increase in maximum targeted annualized volatility of the Trust effective as of the date of this prospectus, the Trust's expected annual turnover rate's range has been increased to 300% to 800%, although it may vary and be considerably
higher under certain market conditions or due to other factors including the term of a relevant futures contract. Transaction costs incurred by the Trust include commissions, futures exchange, futures regulatory and futures clearing fees,
transaction fees of the prime broker and other fees or costs associated with trading. These costs have been estimated in the break-even table that appears on page 14. Actively managed portfolios (like the Trust) may have higher transaction costs or
fees than products that are passive, or products that do not transact based on events and factors that influence market prices. For example, an active manager may trade more often during periods of high market volatility in an attempt to take
advantage of price movements.
Several variables, and expectations or announcements related to such variables, may lead to increased
trading by the trust, which in turn increases transaction costs. These variables potentially include changes in interest rates, changes in supply and demand for the futures or currencies traded by the Trust, and macro economic factors, such as
economic performance, inflation and growth. More frequent reallocation of investments across the Trust's strategies also may increase both Portfolio turnover and transaction costs for the Trust.
Fees and expenses payable by the Trust are charged regardless of profitability and may result in a depletion of its assets.
The Trust is subject to the fees and expenses described in this prospectus, which are payable irrespective of profitability.
These fees and expenses include an allocation to the Sponsor (known as the "Sponsor's Fee") that accrues daily at an annualized rate equal to 0.95% of the adjusted net asset value of the Trust and is payable by the Trust monthly in
arrears. Additional charges may apply to the Trust. The Trust is expected to earn interest income. If interest income falls below the amount required to cover the Trust's fees and expenses, the Trust needs to have positive performance in order
to break even net of fees and expenses. Consequently, depending upon the interest rate environments, the expenses of the Trust could, over time, result in losses to your investment therein. You may never achieve any gains, significant or otherwise,
on your investment in the Shares. See "Business of the Trust—Trust Expenses."
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It is not expected that the Trust will make any periodic distributions or dividend payments to
its Shareholders.
Other than in connection with the redemption of Baskets or with the liquidation of the Trust, or as determined
by the Sponsor in its absolute discretion, it is not expected that the Trust will make any distributions or pay any dividends to its Shareholders. Consequently, any gain from an investment in the Shares would result from an increase in the price of
the Shares realized upon the sale of Shares by the Shareholder.
The Trust could be liquidated at a time when the disposition of
its interests will result in losses to investors in the Shares.
Under certain circumstances, the Trustee or the Shareholders
could dissolve the Trust. For a description of how a dissolution would occur, see "Description of the Shares and the Trust Agreement—Amendment and Dissolution." Upon dissolution, the Trust would liquidate its holdings and use the
proceeds to pay all expenses of liquidation and any outstanding liabilities. Any remaining cash will be distributed among investors surrendering Shares. Any assets of the Trust remaining in the possession of the Trustee after 90 days may be sold by
the Trustee and the proceeds held uninvested and in a non-interest bearing account until claimed by any remaining Shareholders. Sales of derivative investment instruments in connection with the liquidation of the Trust at a time of low prices will
likely result in losses, or adversely affect your gains, on your investment in the Shares.
The Sponsor has broad discretion to
liquidate the Trust at any time.
The Trust Agreement provides the Sponsor with broad discretion to liquidate the Trust at any
time the Sponsor determines that liquidation is advisable. It cannot be predicted when or under what circumstances, if any, the Sponsor would exercise its discretion to liquidate the Trust. A liquidation could cause you to suffer a loss on your
investment in the Shares.
The Shares may not provide anticipated benefits of diversification from other asset classes.
Generally, the performance of physical commodity or currency markets has not been correlated with the performance of financial
asset classes, such as stocks and bonds. Non-correlation means that there is no statistically significant relationship, positive or negative, between the past performance of derivative contracts on physical commodities or currencies on the one hand,
and stocks or bonds on the other hand. Because of this lack of correlation, the Shares cannot be expected to be profitable during unfavorable periods for the stock or bond market, or vice-versa. The commodity and currency markets are fundamentally
different from the securities markets in that for every gain in commodity or currency derivatives trading, there is an equal and offsetting loss. If the performance of the Shares reflects positive or negative correlation to one or more financial
asset classes, however, investing in Shares for purposes of diversification of the investment risk from such other financial asset classes may be unsuccessful.
The liquidity of the Shares may be affected by the withdrawal from participation of Authorized Participants or by the suspension of issuance, transfers or redemptions of Shares by the Trust.
If one or more Authorized Participants withdraw from participation, creating or redeeming Baskets may become more difficult,
which may reduce the liquidity of the Shares. If creating or redeeming Baskets becomes more difficult, the correlation between the price of the Shares and the NAV may be affected, which may adversely affect the trading market for the Shares. Having
fewer participants in the market for the Shares could also adversely affect the ability to arbitrage any price difference between the derivative instruments held by the Trust and the Shares, which may affect the trading market and liquidity of the
Shares.
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In addition, the Trust may, at any time, suspend the delivery of Shares, the registration of transfers
of the Shares, or the surrender of the Shares for the purpose of withdrawing Trust property generally, or refuse a particular deposit, transfer or withdrawal if it determines that it is advisable for any reason. If any of these events were to occur,
the liquidity of the Shares may be adversely affected.
Creation and redemption of Baskets may be delayed when one or more of the
exchanges where the Trust may need to trade, either to establish new positions or to liquidate existing ones, are scheduled to be closed, and may be subject to postponement, suspension or rejection under certain circumstances, all of which may
reduce the liquidity of the Shares.
Generally, upon the receipt of a request for the creation of one or more Baskets, the Trust
has to establish one or more new positions for its Portfolio. Similarly, upon the receipt of a request for the redemption of one or more Baskets, the Trust usually has to liquidate one or more of its existing positions to raise the funds required to
pay the amounts due to the redeeming Authorized Participant in respect of that redemption.
Because creation and redemption orders can
be placed at any time before 4:00 p.m. (New York time), it is possible that, by the time a creation or redemption order is received by the Trust, one or more of the futures exchanges on which the Trust would need to trade to establish new or to
liquidate one or more existing positions may be closed or about to close and that the Trust may need to wait until the following trading day. For this reason, if a creation or redemption order is communicated to the Trust on a Business Day that
precedes two consecutive days when there is no scheduled trading session in one or more of the futures exchanges that the Trust may need to trade on to establish new or liquidate existing positions, that creation or redemption order is not
considered "received" by the Trust (and, therefore, the time to deliver the Shares or to pay the redemption price to the Authorized Participant placing the order does not begin to run) until the first Eligible Business Day thereafter. This
may result in the Trust settling creation or redemption orders later than an Authorized Participant might have expected, and this delay may reduce the liquidity of the Shares. The Portfolio is expected to hold numerous futures contracts from time to
time, potentially including those that trade on the following exchanges: Chicago Board of Trade, Chicago Mercantile Exchange, Commodity Exchange, Inc., Eurex, Hong Kong Futures Exchange, ICE Futures US Softs, Intercontinental Exchange, Kansas City
Board of Trade, Korea Exchange, London Metal Exchange, Meff Renta Variable (Madrid), Montreal Exchange, New York Mercantile Exchange, NYSE LIFFE—Amsterdam, NYSE LIFFE—London, NYSE LIFFE—Paris, NASDAQ OMX Nordic Exchange, Optivas
Market Sweden, Singapore Exchange, South Africa Futures Exchange, Sydney Futures Exchange, Tokyo Financial Exchange, and Tokyo Stock Exchange. These exchanges' holiday schedules should therefore limit the ability to create and redeem Shares.
The Trust may suspend the creation or redemption of Baskets for as long as it considers necessary for any reason. In addition, the
Trust has the absolute right to reject any creation or redemption order, including (1) orders not in proper form, (2) orders received during any period in which circumstances make transactions in, or delivery of, Shares or any of the futures or
forward contracts in the Trust's portfolio impossible or impractical, and (3) if the acceptance of the creation or redemption order would, in the opinion of counsel to the Trust, result in a violation of law. See "Description of the Shares
and the Trust Agreement—Creation of Baskets" and "—Redemption of Baskets."
Any such postponement, suspension
or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely affect the value of the redemption proceeds if the NAV declines during the period of the delay or may make the creation of Baskets
more expensive if the NAV increases during the delay. Under each Authorized Participant Agreement, the Trust has disclaimed any liability that may result from any suspension, postponement or rejection.
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Competition from other commodities- and currencies-related investments could limit the market
for, and reduce the liquidity of, the Shares.
Demand for the Shares may be affected by the attractiveness of an investment in
the Shares relative to other investment vehicles, including other commodity or currency pools, hedge funds, traditional debt and equity securities issued by companies in the commodities or currencies industry, other securities backed by or linked to
commodities or currencies and direct investments in commodities or currencies or commodity or currency derivative contracts. Market, financial and other conditions or factors may make it more attractive to invest or trade in other investment
vehicles or to invest in such commodities or currencies directly, which could limit the market for, and reduce the liquidity of, the Shares.
As a Shareholder, you will not have the rights normally associated with ownership of common shares.
Shareholders are not entitled to the same rights as owners of shares issued by a corporation. By acquiring Shares, you are not acquiring the right to elect directors, to receive dividends, to vote on certain
matters regarding the Trust or to take other actions normally associated with the ownership of common shares. You will have only the limited rights described under "Description of the Shares and the Trust Agreement."
As a Shareholder, you will not have the protections normally associated with the ownership of shares in an investment company registered
under the Investment Company Act.
The Trust is not registered as an investment company for purposes of
United States federal securities laws, and is not subject to regulation by the SEC as an investment company. Consequently, Shareholders do not have the regulatory protections provided to investors in investment companies registered under the
Investment Company Act. For example, the provisions of the Investment Company Act that limit leverage and transactions with affiliates, prohibit the suspension of redemptions (except under limited circumstances) and limit sales loads do not apply to
the Trust. While iShares
®
Delaware Trust Sponsor LLC, as the Sponsor, is registered under the CEA as a commodity pool
operator, and BlackRock Fund Advisors, as the Advisor, is registered under the CEA as a commodity trading advisor, the nature and degree of the regulation to which they are subject differ from the regulatory scheme imposed under the Investment
Company Act.
Competing claims over ownership of relevant intellectual property rights could adversely affect the Trust or an
investment in the Shares.
While the Sponsor and the Advisor believe that they have all the intellectual property rights needed
to operate the Trust and make investments for the Portfolio in the manner described in this prospectus, third parties may allege or assert ownership of intellectual property rights that may be related to the design, structure and operation of the
Trust or to the computer models, processes or methodologies used by the Advisor for the selection of assets for the Portfolio. To the extent any claims of such ownership are brought or any proceedings are instituted to assert such claims, the
negotiation, litigation or settlement of such claims, the issuance of any restraining orders or injunctions, or the ultimate disposition of such claims in a court of law, may adversely affect the Trust and the value of the Shares.
The value of the Shares will be adversely affected if the Trust is required to indemnify the Sponsor or the Advisor or if the Sponsor is
required to indemnify the Trustee.
Under the Trust Agreement, the Sponsor has the right to be indemnified by the Trust for any
liability or expense the Sponsor incurs without negligence, bad faith or willful misconduct on its part and the Trustee, in turn, has the right to be indemnified by the Sponsor for any losses it incurs that are not the result of the Trustee's
negligence, bad faith or material breach of the Trust Agreement. Similarly, under the Advisory Agreement the Advisor is entitled to indemnification from the Trust in certain events. That means that the assets of the Trust may have to be sold in
order to cover losses or liability suffered by the Sponsor or the Advisor for which the Trust is responsible, which would reduce the net asset value of the Trust and the value of the Shares.
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NYSE Arca may halt trading in the Shares, which would adversely impact your ability to sell your
Shares.
The Shares are listed for trading on NYSE Arca under the symbol ALT. Trading in the Shares may be halted due to market
conditions or, in light of NYSE Arca rules and procedures, for reasons that, in the view of NYSE Arca, make trading in the Shares inadvisable, or in the event certain information about the value of the Shares and the NAV is not made available as
required by NYSE Arca. In addition, trading generally on NYSE Arca is subject to trading halts caused by extraordinary market volatility pursuant to "circuit breaker" rules that require trading to be halted for a specified period based on
a specified market decline. There can be no assurance that the requirements necessary to maintain the listing of the Shares will continue to be met or will remain unchanged.
Risks Relating to Taxes
Please refer to "U.S. Federal Income Tax Consequences" for
information on the potential U.S. federal income tax consequences of the purchase, ownership and disposition of the Shares.
The
Trust's classification as a publicly traded partnership not taxable as a corporation is not free from doubt, and if the Trust were to fail to qualify as a partnership for U.S. federal income tax purposes, the Trust's income and items of
deduction would not pass through to the Shareholders, the Trust would be required to pay tax at corporate rates on any portion of the Trust's net income that does not constitute tax-exempt income, and distributions by the Trust to the
Trust's Shareholders would be taxable dividends to the extent of the Trust's earnings and profits.
It is expected that
the Trust will operate and be classified as a partnership for U.S. federal income tax purposes. So long as the Trust qualifies as a partnership, it will be able to pass through its income, including the Trust's federally tax-exempt income, and
deductions to the Shareholders. The Trust's qualification as a partnership for U.S. federal income tax purposes involves the application of numerous technical provisions under which there is a lack of direct authority. In general, if a
partnership is "publicly traded" (as defined in the Internal Revenue Code, the "Code") it will be treated as a corporation for U.S. federal income tax purposes. It is expected that the Trust will be treated as a publicly traded
partnership. A publicly traded partnership will, however, be taxed as a partnership, and not as a corporation for U.S. federal income tax purposes, so long as 90% or more of its gross income for each taxable year constitutes "qualifying
income" within the meaning of Section 7704(d) of the Code and the partnership is not required to register under the Investment Company Act. This exception is referred to as the "qualifying income exception." Qualifying income
generally includes interest (other than certain contingent interest), gains from futures and/or forward contracts derived from investing in foreign currencies and income from certain commodities transactions. In addition, qualifying income generally
also includes income from a notional principal contract (such as a credit default swap) if the income from the reference obligation would be qualifying income. In determining whether interest is treated as qualifying income for purposes of these
rules, interest income derived from a "financial business" and income and gains derived by a "dealer" in securities are not treated as qualifying income. The Trust takes the position that for purposes of determining whether the
Trust is engaged in a financial business, portfolio investing activities that the Trust engages in do not and will not cause the Trust to be engaged in a financial business or to be considered a "dealer" in securities.
If less than 90% of the Trust's gross income constitutes qualifying income, for any reason, other than a failure that is determined to be
inadvertent and that is cured within a reasonable time after discovery, or if the Trust is required to register under the Investment Company Act, the Trust's items of income and deduction would not pass through to the Trust's Shareholders
and the Trust's Shareholders would be treated for U.S. federal income tax purposes as stockholders in a corporation. The Trust would be required to pay income tax at corporate rates on any portion of its net income that did not constitute
tax-exempt income. Distributions by the Trust to its Shareholders would constitute dividend income taxable to such
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holders to the extent of the Trust's earnings and profits and the payment of these distributions would not be deductible by the Trust. These consequences would have a material adverse effect
on the Trust its Shareholders and the value of the Shares.
Shareholders' tax liability could exceed cash distributions on
the Shares.
You will be required to pay U.S. federal income taxes on your allocable share of the Trust's income, without
regard to the receipt of cash distributions on the Shares. There is no obligation to make distributions on the Shares and no such distribution is anticipated. Accordingly, you may not receive cash distributions sufficient to cover your allocable
share of such taxable income or even the tax liability resulting from that income.
The IRS could adjust or reallocate items of
income, gain, deduction, loss and credit with respect to the Shares if the IRS does not accept the assumptions or conventions utilized by the Trust.
The U.S. tax rules that apply to partnerships are complex and their application is not always clear. Moreover, the rules generally were not written for, and in some respects are difficult to apply to, publicly
traded interests in partnerships. The Trust applies certain assumptions and conventions intended to comply with the intent of the rules and to report income, gain, deduction, loss and credit to investors in a manner that reflects the investors'
economic gains and losses, but these assumptions and conventions may not comply with all aspects of the applicable Treasury regulations. It is possible therefore that the IRS will successfully assert that these assumptions or conventions do not
satisfy the technical requirements of the Code or the Treasury regulations and will require that items of income, gain, deduction, loss and credit be adjusted or reallocated in a manner that could be adverse to you.
Shareholders could become subject to FATCA withholding tax
Starting in 2014, U.S. withholding tax may be imposed on allocations of income to and distributions received by you with respect to your Shares and starting in 2015, U.S. withholding tax may be imposed on
disposition proceeds allocated or distributed by the Trust to you and disposition proceeds received by you upon a sale of your Shares. Prospective Shareholders should consult their own tax advisors about this new regime, which is commonly referred
to as FATCA. See "
U.S. Federal Income Tax Consequences—Foreign Account Tax Compliance".
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FORWARD-LOOKING STATEMENTS
This prospectus includes statements that relate to future events or future performance. In some cases, you can identify these forward-looking
statements by words such as "may," "should," "expect," "plan," "anticipate," "believe," "estimate," "predict," "potential" or the negative of these terms or
other comparable phrases. All statements, other than statements of historical fact, included in this prospectus that address activities, events or developments that may occur in the future, including matters such as changes in market conditions (for
the Trust's assets and the Shares), the Trust's operations, the Sponsor's plans and references to the Trust's future success and other similar matters, are forward-looking statements. These statements are only predictions. Actual
events or results may differ materially. These statements are based upon assumptions and analyses made by the Sponsor on the basis of its perception of historical trends, current conditions and expected future developments, as well as other factors
it believes are appropriate in the circumstances. Whether actual results and developments will conform to the Sponsor's expectations and predictions, however, is subject to a number of risks and uncertainties, including the special
considerations discussed in this prospectus, including under "Risk Factors," general economic, market and business conditions, changes in laws or regulations, including those concerning taxes, made by governmental authorities or regulatory
bodies and other world economic and political developments. Consequently, the forward-looking statements made in this prospectus are qualified by these cautionary statements, and there can be no assurance that the actual results or developments the
Sponsor anticipates will be realized or, even if substantially realized, will result in the expected consequences to, or have the expected effects on, the Trust's operations or the value of the Shares. None of the Trust, the Sponsor, the
Trustee or the Delaware Trustee is under a duty to update any forward-looking statements to conform the statements to actual results or to a change in the expectations or predictions of these persons.
USE OF PROCEEDS
The Advisor, on behalf of the Trust, invests the proceeds received by the Trust from the issuance and sale of Baskets in short-term United States government securities and other financial instruments that, in
compliance with the rules of the futures exchanges and other markets where the Trust trades, are eligible to secure the Trust's trading obligations.
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BUSINESS OF THE TRUST
The activities of the Trust are limited to (1) issuing Baskets in exchange for cash, (2) paying out of Trust assets any Trust expenses
and liabilities not assumed by the Sponsor, (3) delivering proceeds consisting of cash in exchange for Baskets surrendered for redemption, (4) depositing any required margin in the form of cash or other eligible assets with domestic
futures commission merchants, futures foreign brokers or other financial intermediaries or dealers, and (5) investing its cash, at the direction of the Advisor, in a portfolio of foreign currency forward contracts and exchange-traded futures
contracts that may involve commodities, currencies, interest rates and certain eligible stock or bond indices. The Trust is a passive investor in the cash or Short-Term Securities posted as margin to collateralize the Portfolio's trading
positions. The Trust does not engage in any activities designed to obtain a profit from, or to ameliorate losses caused by, changes in the value of Short-Term Securities posted as margin. The Trust's Sponsor has been registered under the CEA
and has been a member of the NFA since June 22, 2009.
Investment Objective; Strategies
The investment objective of the Trust is to maximize absolute returns from its investments in certain futures and/or forward contracts that the
Advisor selects following strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more commodities, currencies, interest rates or certain eligible stock or
bond indices, and seek to control the risks and volatility inherent in these investments by taking long and short positions in historically correlated assets. The Trust also expects to earn interest on some or all of the assets used to collateralize
its trading positions. The return on assets in the Trust, if any, is not intended to track the performance of any index or other benchmark.
Forward Contracts
A forward contract is an agreement between two parties, one of whom
undertakes to purchase from or sell to the other, on a specified future date, a specified quantity of a specified asset at a specified location in exchange for a specified purchase price. Unlike futures contracts, forward contracts are usually the
subject of negotiation between the parties involved. As a result, forward contracts may have a variety of maturities and involve different amounts of the specified asset. Because of this custom-tailored nature of forward contracts, there is usually
not a readily available means of offsetting or closing out a forward contract by taking an offsetting position. To offset its exposure to a forward contract, a party may establish an opposite position and will settle and realize the profit or loss
of both positions simultaneously on the same delivery date.
Forward contracts are generally not subject to regulatory requirements and
do not clear or settle through established market facilities.
Forward markets of shorter durations in certain foreign currencies have
traditionally been highly liquid. The principals who deal in forward markets, however, are not required to continue to make markets in the currency or commodity forwards they trade, and these markets may experience periods of illiquidity, sometimes
of significant duration.
At the discretion of the Advisor, the Trust may enter into foreign currency forward contracts which primarily
involve currencies in the twenty-five most liquid or actively-traded currencies as measured by turnover in the most recent Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity coordinated by the Bank for International
Settlements.
Futures Contracts
Futures contracts are standardized forward contracts traded on an exchange. As such, futures contracts and the parties to a futures contract are subject to the regulations of the exchange where the
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contracts trade. Each exchange may impose certain margin requirements, setting forth the minimum amount of funds that must be deposited by a futures trader with a futures commission merchant in
order to initiate futures trading or to maintain an open position in futures contracts. Clearing and settlement takes place through the facilities designated by the exchange and parties generally collateralize their obligations. As the exchange
generally sets the terms of a futures contract, there is no negotiation other than with respect to the price and the number of contracts traded between two traders.
The obligations of a party to a physically settled futures contract may be discharged by taking or making physical delivery of the underlying commodity or by making an offsetting sale or purchase of an identical
futures contract on the same or a linked exchange before the designated date of delivery. The difference between the price at which the futures contract is purchased or sold and the price paid for the offsetting contract, less brokerage commissions,
represents the profit or loss to the trader. Some futures contracts settle in cash, rather than by delivery of the underlying commodity.
The Advisor, on behalf of the Trust, may enter into futures contracts in U.S. domestic markets or on exchanges located outside the United States.
Foreign markets may offer advantages such as trading opportunities or arbitrage possibilities not available in the United States. Foreign markets, however, may have greater risk potential than domestic markets. See "Risk Factors—Risks
Relating to Derivative Contracts—Trading on futures exchanges outside the United States is not subject to U.S. regulation."
Futures contracts selected for the Trust by the Advisor may involve assets varying from foreign currencies to physical commodities, financial
assets (such as interest rates) and equity or debt securities indexes other than "narrow-based security indexes" (as such term is defined for purposes of the Investment Company Act).
Investment Strategies
In
allocating the assets of the Trust, the Advisor intends to pursue its investment objective by utilizing investment strategies relating to relative value. Relative value strategies seek to profit from the mispricing of financial instruments,
capturing spreads between assets and asset categories that deviate from the fair value or historical norms. The Advisor considers the following three general strategies as sources of return:
Yield and Futures Curve Arbitrage Strategies
which seek to take advantage of interest rate and futures contract price differentials by
simultaneously entering into long and short positions in various bond futures contracts, interest rates futures contracts, commodity futures contracts and/or currency forward contracts that the Advisor determines to be mispriced relative to one
another. The Advisor may enter into long positions in contracts whose underlying assets are deemed relatively inexpensive and may enter into short positions on contracts whose underlying assets are deemed relatively expensive. Some futures curve
arbitrage strategies that may be utilized by the Advisor are based on macroeconomic considerations. The strategies are primarily quantitative in nature, and financial modeling is an integral component of each Yield and Futures Curve Arbitrage
Strategy. Examples of yield and futures curve arbitrage strategies include:
•
Sovereign Bond and Interest Rate Yield Arbitrage
compares the differences between long term and short term interest rates for a given country within a
pre-determined set of countries. The Advisor compares the recent average performance of the short term interest rates of a selected number of countries. Based on these performance comparisons, the Advisor either takes long positions in short term
interest rate futures contracts whose underlying interest rates are higher, and short positions in short term interest rate futures contracts whose underlying interest rates are relatively lower, or takes long positions in bond futures contracts
whose underlying interest rates are higher, and short positions in bond futures contracts whose underlying interest rates are relatively lower. Decisions are influenced by what the Advisor considers to be indicators for future returns including
relative yield and yield curve characteristics.
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•
The
Currency Yield Arbitrage Strategy
engages in long and short investing in currency forward markets and seeks to take advantage of the differences
between short term interest rates across a number of selected countries. The Advisor takes on long positions in currency forward contracts for those countries with relatively higher short term interest rates and enters into short positions in
currency forward contracts for those countries with relatively lower short term interest rates. Decisions are influenced by relative currency yield and each currency's own yield curve structure.
•
The
Commodity Curve Arbitrage Strategy
engages in long and short investing in commodity futures markets and seeks to exploit the differences between the
futures prices of a contract with a greater time until expiration and the futures prices of a contract with a lesser time until expiration for a specific commodity futures contract within a pre-determined set of commodities. The Advisor seeks to
enter into long positions in certain commodity futures contracts and short positions in other commodity contracts in order to capitalize on potential mispricing. Decisions are influenced by commodity futures curve characteristics, such as steepness,
roll yield and seasonality.
Technical Strategies
which, in general, seek to take advantage of a comparison
between assets' historical returns and their recent performance. Technical strategies are based on the theory that past price history may be predictive of asset value, and so technical strategies may be used to capture returns arising from
price changes over time. For example, if recent performance of an asset exceeds historical performance, then a long "momentum" trade opportunity to buy may arise. If the historical performance of an asset exceeds recent performance, then a
short "reversal" trade opportunity may arise. All technical strategies are quantitative in nature and financial modeling is used for determining long and/or short positions in various asset types. Examples of such technical strategies
include:
•
The
Interest Rates Momentum and Reversal Strategy
which seeks to take advantage of historical patterns of changes in global interest rate markets. The
strategy compares the recent average performance of the short term interest rates of a selected number of countries. Based on these performance comparisons, allows the Advisor to take long positions in short term interest rate futures contracts
whose underlying interest rates are relatively higher and enter into short positions in short term interest rate futures contracts whose underlying interest rates are relatively lower.
•
Equity Index Momentum and Reversal Strategy
which seeks to take advantage of historical patterns of returns in international equity index future markets.
The strategy seeks to exploit the recent performance of the equity index markets across a number of selected countries. The strategy takes on long positions in equity index futures contracts with relatively higher performance and enters into short
positions in equity index futures contracts with relatively poor performance.
•
Commodity Momentum and Reversal Strategy
which seeks to exploit the recent price performance of, and patterns of returns for, commodities. The Advisor
takes on long positions in commodity futures contracts with relatively higher average performance and enters into short positions in commodity futures contracts with relatively poor average performance.
Fundamental Relative Value Strategies
which seek returns by attempting to identify instances where there are discrepancies between the
market and fundamental values of an asset. Comparing current price to fundamental value may provide a measure of mispricing, or opportunity, which can be compared across markets to provide a metric of relative misevaluation. The Trust's
relative value strategies tend to buy in markets that appear inexpensive on a relative basis, and sell in markets that appear expensive, trading long or short positions in the relevant assets. Examples of fundamental relative value strategies
include:
•
Equity Index Relative Value
which seeks to exploit unusual cross market deviations from fundamental value in international equity index futures markets.
•
Currency Relative Value
which seeks to exploit unusual cross market deviations from fundamental value in currency forwards markets.
41
Table of Contents
•
Fixed Income Relative Value
which seeks to exploit unusual cross market deviations from fundamental value in international sovereign bond and interest
rate futures markets.
•
Commodity Relative Value
which seeks to exploit unusual cross market deviations from fundamental value in commodity futures markets.
•
Asset Class Relative Value
which seeks to exploit unusual cross asset class deviations from fundamental value in international bond, stock, commodity and
currency markets via simultaneous trading in sovereign bond futures, international equity futures, commodity futures and currency forwards markets.
The Advisor implements its strategies by taking long or short positions in futures and/or forward contracts.
The relative value and other strategies referenced in this prospectus are subjective classifications made by the Advisor in its sole discretion. Such classifications may differ substantially from classifications
into similarly named strategies made by other industry participants.
Portfolio Construction
The Advisor utilizes a portfolio construction process in which each potential strategy and underlying asset is ranked in terms of expected return,
volatility and trading cost. This portfolio construction process is quantitative and relies on the use of computer models developed by affiliates of the Advisor for the computation of expected return, volatility and trading cost and the
determination of optimal positions and consequent leverage in accordance with the risk and return targets of the Portfolio. These risk and return targets take into account certain financial measurements known as annualized portfolio return
volatility and Sharpe ratio. Annualized portfolio return volatility is a quantitative measure used to assess a portfolio's deviation above or below its average returns over a one year period. Historically, in building the Portfolio the Advisor
has targeted an allocation of annualized portfolio return volatility of 6-8%, which has been allocated equally across the yield and futures curve arbitrage strategies, the technical strategies, and the fundamental relative value strategies described
above. Effective on the date of this prospectus, the Advisor will increase the maximum targeted portfolio return volatility to 10% per annum, which, depending on market conditions, may or may not be allocated equally among strategies. By raising the
volatility ceiling and by maintaining flexibility of allocation among strategies, the Advisor seeks to be able to take advantage of market fluctuations in a more efficient manner, to be able to take full advantage of the target risk and, ultimately,
an improved performance for the Trust. There is no assurance that the objectives of the Advisor will be reached.
Although the Advisor
expects a long-term Sharpe ratio of 0.50 to 0.75 for the Portfolio, the realized Sharpe ratio for the period from October 6, 2009 (the date of commencement of operations) to March 31, 2012 has been (0.19). A Sharpe ratio is a quantitative measure of
the excess return per unit of risk in an investment asset or a trading strategy. The Advisor measures excess returns as the realized portfolio return minus a one-month Treasury bill benchmark return for the same period being measured. The Advisor
measures risk as the annualized portfolio return volatility described above. For example, a 0.50 Sharpe ratio indicates that for each one percent of excess return, an investor may expect 2% of annualized portfolio return volatility (0.50 =
1%/2%). Also, a 0.75 Sharpe ratio indicates that for each one percent of excess return, an investor may expect approximately 1.33% of annualized portfolio return volatility (0.75 = 1%/1.33%). Some or all of the Advisor's expectations or
targets may not be realized by the Trust.
The Advisor believes that it has obtained all necessary licenses for the use of the computer
models referred to above. See "Risk Factors—Risks Relating to the Trust and Investment in the Shares—Competing claims over ownership of relevant intellectual property rights could adversely affect the Trust or an investment in the
Shares."
The Advisor has broad discretion to allocate the funds of the Trust among the subcategories of investments described
above and except for the allocation targets described above there are no
42
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pre-determined quotas limiting the overall exposure of the Trust to one or more strategies, assets or asset categories. As a result, at any given moment, the Trust may be disproportionately
exposed to one or more asset classes or contract counterparties, including over-the-counter counterparties and clearing organizations. However, it is expected that the Trust will not enter into an otherwise eligible transaction if, after giving
effect to such transaction, the Trust's maximum probable net credit exposure to a single counterparty (other than a regulated commodities exchange, the Clearing FCM or any clearing facility thereof) would exceed 10% of the most recently
determined net asset value of the Trust. For these purposes, "net credit exposure" with respect to a counterparty means any excess of (a) all amounts payable by the counterparty to the Trust, over (b) all amounts payable by the Trust to
the counterparty.
The principals of the Advisor determine the asset allocation for the Portfolio which seeks to achieve a target excess
return at a targeted risk level. The Advisor expects to allocate Trust investments periodically among yield and futures curve arbitrage strategies, technical strategies and fundamental relative value strategies such as those listed above using a
"mean variance optimization." Mean variance optimization is a method used to determine portfolio allocations by considering risk and return metrics. The goal of mean variance optimization is to diversify risk based on quantitative analysis
of historical relationships without reducing expected return. There is no guaranty that the Advisor will be able to achieve this goal for the Trust. See "Risk Factors—Risks Relating to the Advisor and its Trading Strategies."
While the Advisor has the authority, subject to the targets described above, to trade on behalf of the Trust at any time in its
discretion, it is generally expected that such discretionary trading will not occur more than once a week. The Trust, however, may need to trade more frequently in order to invest the proceeds from the issuance of Baskets of Shares or raise funds to
honor redemption requests. The Trust posts the composition of the Portfolio daily on its website.
Use of Leverage
The Advisor employs variable leverage as a means of controlling the risk in the Portfolio. The Advisor uses a quantitative model of the expected
risk in the Portfolio to determine the size of the exposures in the combined strategy portfolio and, based on the sizes of the exposures, determines the amount of leverage. While the management of leverage and risk is conducted using the
quantitative risk model, limits on total leverage may also be introduced by the Advisor during periods of low volatility, when leverage might otherwise become too pronounced.
Characteristics of an Investment in the Shares
The Shares are intended to constitute a
relatively cost-effective means of achieving investment exposure to the performance of the asset classes held by the Trust. Although the Shares are not an exact equivalent of an investment in the underlying futures and forward contracts in the
Portfolio, the Shares are intended to provide investors with an alternative way of participating in the commodities and foreign currencies futures and/or forwards markets. An investment in Shares is:
•
Listed
. Although there can be no assurance that an actively traded market in the Shares will exist at the time you wish to sell Shares, the Shares are
listed for trading on NYSE Arca under the symbol ALT.
•
Relatively cost efficient
. Transactions in the asset classes that the Advisor, on behalf of the Trust, invests or trades in entail certain expenses.
Nonetheless, because the expenses involved in the investment in the Portfolio are dispersed among all Shareholders, an investment in Shares may represent a cost-efficient alternative to investment positions in the same asset classes for investors
not otherwise in a position to participate directly in the markets for physical commodities, foreign currencies, interest rates, or futures, forwards or other over-the-counter derivative contracts involving such assets.
The Shares are eligible for margin accounts.
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Secondary Market Trading
While it is anticipated that the price of the Shares will fluctuate in a manner that reflects changes in the Trust's net asset value over time, at any given time the Shares may trade at, above or below their
NAV. The NAV will fluctuate with changes in the market value of the Portfolio. The trading price of the Shares will fluctuate in accordance with changes in their NAV, intraday changes in the value of the Portfolio, market supply and demand and other
factors. The amount of the discount or premium in the trading price relative to the NAV may be influenced by non-concurrent trading hours between NYSE Arca, on which the Shares trade, and the principal markets on which the futures and forward
contracts in the Portfolio trade. For example, while the Shares trade on NYSE Arca until 4:00 P.M., New York City time, liquidity in the markets for the derivative instruments or the assets underlying the instruments held by the Trust may be
reduced after the close of the principal markets for these instruments or underlying assets. As a result, trading spreads, and the resulting premium or discount on the Shares, may widen during this "gap" in market trading hours.
Computation of the Trust's Net Asset Value
On each Business Day, as soon as practicable after the close of regular trading of the Shares on NYSE Arca (normally 4:00 P.M., New York City time), the Trustee determines the net asset value of the Trust, the
NAV and the Basket Amount as of that date. The NAV is the net asset value of the Trust divided by the number of outstanding Shares. The Basket Amount is the NAV multiplied by the number of Shares comprising a Basket.
Net asset value of the Trust means the total assets of the Trust including all cash and cash equivalents or other debt securities less total
liabilities of the Trust, each determined on the basis of United States generally accepted accounting principles, consistently applied under the accrual method of accounting. In particular, net asset value of the Trust includes any unrealized profit
or loss on open forward contracts and futures contracts, and any other credit or debit accruing to the Trust but unpaid or not received by the Trust.
On each day on which the Trustee must determine the net asset value of the Trust and the NAV, the Trust Administrator must value all futures and forward trading positions and other Short-Term Securities and
non-cash assets in the Portfolio and communicate such valuation to the Trustee for use by the Trustee in the determination of the Trust's net asset value.
The current market value of all open futures contracts, whether traded on a United States exchange or a non-United States exchange, is determined by the Trust Administrator based upon the settlement price for that
particular futures contract traded on the applicable exchange on the date with respect to which net asset value is being determined; provided, that if a futures contract could not be liquidated on such day, due to the operation of daily limits (if
applicable) or other rules, procedures or actions of the exchange upon which that position is traded or otherwise, the settlement price on the most recent day on which the position could have been liquidated may be the basis for determining the
market value of the position for that day.
The current market value of all open forward contracts is based upon the prices determined
by the Trust Administrator utilizing data from an internationally recognized valuation service for those types of assets.
The Trustee
may in its discretion (and, under extraordinary circumstances, will) value any asset of the Trust pursuant to other principles that it deems fair and equitable so long as those principles are consistent with industry standards. In this context,
"extraordinary circumstances" includes, for example, periods during which a valuation price for a forward contract or a settlement price of a futures contract is not
44
Table of Contents
available due to events such as systems failure, natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance or
due to a trading or other restriction imposed by a relevant futures exchange.
On each Business Day, the Trustee subtracts the
Trust's accrued fees (other than fees computed by reference to the value of the Trust or its assets), expenses and other liabilities on that day from the value of the Trust's assets as of the close of trading on that day. The difference is
the Trust's "Adjusted Net Asset Value." Fees computed by reference to the value of the Trust or its assets are calculated based on the Adjusted Net Asset Value. The Trustee subtracts the fees of the Trust calculated on an Adjusted Net
Asset Value basis to determine the Trust's net asset value.
The Trust Administrator may be replaced if, in the judgment of the
Trustee, it ceases to provide regular or accurate valuations.
The NAV for each Business Day is distributed through major market data
vendors and published online at
www.ishares.com
, or any successor thereto. The Trust updates the NAV as soon as practicable after each subsequent NAV is calculated.
You should note that while the NAV is updated on each Business Day, the NAV is calculated by reference to assets that trade on futures exchanges or other markets, including in foreign jurisdictions. Accordingly,
the NAV may not always reflect the same-day valuation of assets that trade on markets in non-U.S. jurisdictions if one or more of those jurisdictions are not open for business on any given Business Day.
Trust Expenses
The Sponsor is obligated
under the Trust Agreement to pay the following administrative, operational and marketing expenses: (1) the fees of the Trustee, the Advisor, the Delaware Trustee, the Trust Administrator and the Processing Agent, (2) NYSE Arca listing
fees, (3) printing and mailing costs, (4) audit fees, (5) fees for registration of the Shares with the SEC, (6) tax reporting costs and (7) legal expenses up to $100,000 annually. In recognition of its paying these expenses,
the Sponsor is entitled to receive as the Sponsor's Fee an allocation that accrues daily at an annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust and is payable by the Trust monthly in arrears. For a description of how
the net asset value of the Trust is calculated, see "—Computation of the Trust's Net Asset Value" above.
The
Sponsor and the Trustee may amend or terminate the Sponsor's obligation to pay certain expenses of the Trust in compliance with the requirements described under "Description of the Shares and the Trust Agreement—Amendment and
Dissolution."
The Trust is responsible for paying any applicable brokerage commissions and similar transaction fees out of its
assets.
The following expenses are also paid out of the assets of the Trust:
•
The Sponsor's Fee;
•
any expenses of the Trust that are not assumed by the Sponsor;
•
any taxes and other governmental charges that may fall on the Trust or its property;
•
any expenses of any extraordinary services performed by the Trustee or the Sponsor on behalf of the Trust or expenses of any action taken by the Trustee or the
Sponsor to protect the Trust or the rights and interests of holders of the Shares; and
•
any indemnification of the Sponsor or the Advisor.
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The Trustee is also entitled to charge the Trust for all expenses and disbursements incurred by the
Trustee, with the consent of the Sponsor, in connection with actions it deems necessary or desirable to protect the Trust or the rights and interests of holders of the Shares, including fees and disbursements of its legal counsel;
provided
that the Trustee is not entitled to charge the Trust for (1) expenses and disbursements by it prior to the commencement of the trading of Shares on NYSE Arca and (2) fees of agents for performing services that the Trustee is required to
perform under the Trust Agreement.
The Trustee, at the direction of the Sponsor, may liquidate the Trust's property from time to
time as necessary to permit payment of the fees and expenses that the Trust is required to pay. The Trustee is not responsible for any depreciation or loss incurred by reason of the liquidation of Trust property made in compliance with the Trust
Agreement.
Tax Administrator
The Trust has retained PricewaterhouseCoopers LLP as Tax Administrator to provide tax accounting and tax reporting services. The Trust may terminate
the Tax Administrator at any time.
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SELECTED FINANCIAL DATA
The following tables set forth selected financial data for the Trust. The selected financial data as of and for the six months ended June 30,
2012 have been derived from the unaudited financial statements included elsewhere in this prospectus, which, in the opinion of management, include all material adjustments, consisting only of normal recurring adjustments, considered necessary for a
fair statement of the results for the periods presented. The selected financial data as of December 31, 2011 and 2010 and for the years ended December 31, 2011, 2010 and the period from October 6, 2009 (commencement of operations)
through December 31, 2009 have been derived from the audited financial statements included elsewhere in this prospectus. The selected financial data as of December 31, 2009 has been derived from audited financial statements filed with the
Registrant's Annual Report on Form 10-K for the year ended December 31, 2009 and not included in this prospectus. The selected financial data presented herein should be read in conjunction with "Management's Discussion and
Analysis of Financial Condition and Results of Operations" and the financial statements, including the notes thereto, and other historical financial information included elsewhere in this prospectus.
Financial Highlights
(Dollar amounts in $000's,
except for per Share amounts)
iShares
®
Diversified Alternatives Trust
June 30,
2012
(Unaudited)
December 31
2011
2010
2009*
Total assets (at period end)
$
65,635
$
90,764
$
114,773
**
$
15,018
**
Total gain (loss) on sales of short-term investments and forward currency and futures contracts
$
646
$
(5,969
)
$
3,746
$
(67
)
Net gain (loss)
$
(266
)
$
(4,242
)
$
1,190
$
(172
)
Weighted-average Shares outstanding
1,423,626
2,388,493
1,346,575
232,184
Net gain (loss) per Share
$
(0.19
)
$
(1.78
)
$
0.88
$
(0.74
)
Net cash flows
$
(751
)
$
377
$
3,143
$
167
*
For the period from October 6, 2009 (commencement of operations) through December 31, 2009.
**
Prior years amounts have been reclassified to conform with current financial statement presentation.
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Table of Contents
SUPPLEMENTARY FINANCIAL INFORMATION
Quarterly Income Statements*
(Dollar amounts in
$000's, except for per Share amounts)
iShares
®
Diversified Alternatives Trust
Three Months Ended
(Unaudited)
June 30,
2012
March 31,
2012
Investment Income
Interest
$
19
$
13
Total investment income
19
13
Expenses
Sponsor's fees
150
181
Brokerage commissions and fees
16
19
Total expenses
166
200
Net investment loss
(147
)
(187
)
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Short-term investments
(0
)
(0
)
Forward currency contracts
(343
)
973
Futures contracts
(470
)
487
Net change in unrealized appreciation/depreciation on:
Foreign currency translations
25
137
Forward currency contracts
1,105
(1,305
)
Futures contracts
(380
)
(159
)
Net realized and unrealized gain (loss)
(64
)
132
Net loss
$
(210
)
$
(56
)
Net loss per Share
$
(0.16
)
$
(0.04
)
Weighted-average Shares outstanding
1,296,703
1,550,549
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Table of Contents
Three Months Ended (Unaudited)
Year
Ended
December 31,
2011
March 31,
2011
June 30,
2011
September 30,
2011
December 31,
2011
Investment Income
Interest
$
45
$
41
$
21
$
18
$
125
Total investment income
45
41
21
18
125
Expenses
Sponsor's fees
273
297
308
268
1,146
Brokerage commissions and fees
18
17
25
26
87
Total expenses
291
315
334
294
1,233
Net investment loss
(246
)
(274
)
(312
)
(277
)
(1,108
)
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Short-term investments
—
3
9
2
13
Forward currency contracts
(1
)
1,302
(1,283
)
(3,253
)
(3,235
)
Futures contracts
(3,852
)
3,418
(4,083
)
1,769
(2,748
)
Net change in unrealized appreciation/depreciation on:
Foreign currency translations
(47
)
37
(147
)
(51
)
(208
)
Forward currency contracts
1,364
(2,135
)
(2,144
)
4,067
1,152
Futures contracts
3,872
(483
)
807
(2,305
)
1,891
Net realized and unrealized gain (loss)
1,336
2,142
(6,841
)
229
(3,134
)
Net gain (loss)
$
1,091
$
1,868
$
(7,154
)
$
(47
)
$
(4,242
)
Net gain (loss) per Share
$
0.48
$
0.77
$
(2.77
)
$
(0.02
)
$
(1.78
)
Weighted-average Shares outstanding
2,287,778
2,434,066
2,578,348
2,247,826
2,388,493
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Three Months Ended (Unaudited)
Year
Ended
December 31,
2010
March 31,
2010
June 30,
2010
September 30,
2010
December 31,
2010
Investment Income
Interest
$
7
$
23
$
34
$
47
$
111
Total investment income
7
23
34
47
111
Expenses
Sponsor's fees
59
127
195
253
635
Brokerage commissions and fees
4
10
13
14
41
Total expenses
64
137
208
267
676
Net investment loss
(57
)
(114
)
(174
)
(220
)
(565
)
Realized and Unrealized Gain
(Loss)
Net realized gain (loss) on:
Short-term investments
—
—
0
—
0
Forward currency contracts
18
177
(154
)
659
700
Futures contracts
(479
)
892
(52
)
2,685
3,045
Net change in unrealized appreciation/depreciation on:
Foreign currency
translations
3
(22
)
198
(77
)
102
Forward currency contracts
164
(613
)
719
(445
)
(176
)
Futures contracts
304
(292
)
791
(2,720
)
(1,918
)
Net realized and unrealized gain
10
141
1,501
102
1,754
Net gain (loss)
$
(47
)
$
28
$
1,327
$
(118
)
$
1,190
Net gain (loss) per Share
$
(0.09
)
$
0.03
$
0.81
$
(0.06
)
$
0.88
Weighted-average Shares
outstanding
521,111
1,097,802
1,644,565
2,093,478
1,346,575
*
Certain totals may not sum due to rounding.
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
The following discussion and analysis should be read in conjunction with the financial statements of the
Trust and related notes included elsewhere in this prospectus. This discussion may contain statements that relate to future events or future performance. See "Forward-Looking Statements" elsewhere in this prospectus.
Overall Performance
The Six Months Ended June 30, 2012
For the six-month period ended June 30, 2012 (the "reporting period"), the Trust's total return, net of
expenses, was (0.43)%. This performance was the result of a negative return on the Trust's equity and long-term fixed income investments, partially offset by the gains in foreign currency investments.
Market Environment/Background
During the
reporting period, the Trust's investments resulted in exposure to the following geographical areas: Europe, North America, Australia, and Asia. In general, three important factors helped to shape the performance of the global markets: 1) recent
developments in Greece and Spain further intensified the European debt crises, 2) weak macro-economic data releases from the U.S. and its subsequent effect on the labor market, 3) the so called "fiscal cliff" (the combination of large
spending cuts and tax increases) which is scheduled to become effective in 2013 added major concern to the sustainability of growth in the U.S.
The following table presents certain macro-economic indicators for each of the areas referred to above at the dates and for the periods indicated:
10-Year Yield
Nominal GDP
Year Over Year
Change
Unemployment Rate
Exchange Rate
(3)
December 31,
2011
June 30,
2012
Quarter Ended
December 31,
2011
Quarter Ended
March 31,
2012
Month Ended
December 31,
2011
Month Ended
June 30,
2012
December 31,
2011
June 30,
2012
Germany
1.83
%
1.58
%
2.6
%
(1)
3.0
%
(1)
5.6
%
(2)
5.4
%
(2)
€
0.7716
€
0.7895
Sweden
1.62
%
1.60
%
1.2
%
(1)
3.2
%
(1)
7.1
%
(1)
8.8
%
(1)
Kr
6.8872
Kr
6.9224
U.S.A.
1.88
%
1.65
%
4.0
%
(2)
4.5
%
(2)
8.5
%
(2)
8.2
%
(2)
N/A
N/A
Australia
3.68
%
3.05
%
5.3
%
(1)
4.6
%
(1)
5.2
%
(2)
5.2
%
(2)
AUD
0.9796
AUD
0.9768
Japan
0.99
%
0.84
%
(2.4
)%
(1)
1.4
%
(1)
4.5
%
(2)
4.3
%
(2)
¥
76.913
¥
79.795
(1)
Not seasonally adjusted
(2)
Seasonally adjusted
(3)
Currency units per $1
Source:
Bloomberg
Portfolio Update
The Trust continued to maintain zero exposure to the short-term bond strategy for the reporting period. This decision was the result of a mismatch
between market expectations on short-term interest rates and what the strategy suggested based on momentum. This action will continue until market conditions significantly improve.
The established recovery trajectory of the U.S economy in the first quarter of 2012 and the European Central Bank long-term refinancing operations
actions significantly reduced the tail risk across the global markets. For this reason, the Trust's short term volatility which began to fall back at the end of last year
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continued its trend for the reporting period. To maintain the Trust's volatility within the target range of 6% to 8% in effect at the time, the Trust's target risk was resized in
February's rebalance to reflect the sentiment improvement in the markets.
Trust's Strategies' Performance
The Trust's investments in currency markets generated a net return of 0.80% during the reporting period (see figure 1). The Trust's
performance was driven by short positions in euro, Swiss franc and Canadian dollar. Long positions in pound sterling and Australian dollar contributed negatively to the performance of this asset class.
The Trust's investments in futures on the equity markets generated a net return of (0.70)% for the reporting period (see figure 1). The
Trust's performance in the equity markets was driven by long positions in the Australian, German, French, and United Kingdom equity markets. Short equity positions in Canada, Sweden, Taiwan and Hong Kong contributed positively to the
performance of this asset class.
The Trust's investments in futures on long-term bonds (bonds with maturities of more than one
year) generated a net return of (0.53)% for the reporting period (see figure 1). The Trust's performance in this asset class was primarily driven by the short positions in the Australian and Canadian bond markets. Long positions in the bond
markets of the U.S. and United Kingdom contributed positively to the performance and offset some of the losses.
The Trust exploited
three strategies (relative value, momentum, and yield curve arbitrage or carry) across three different asset classes during the reporting period. Of these three strategies, the relative value strategy delivered a positive performance of 2.44%. On
the other hand, the yield curve arbitrage and momentum strategies returned (1.75)% and (1.12)%, respectively. See figure 2 for the performance of each strategy during the reporting period.
The Trust's annualized portfolio return volatility was 4.2% for this reporting period, based on the daily performance of the Trust. This low
number was the result of negative correlations across the strategies, which helped to manage the overall Trust's risk effectively. The Trust experienced an increase in its annualized volatility relative to the first quarter of 2012. This
increase was primarily driven by the more volatile markets which were influenced heavily by the large uncertainty over the European debt crisis and its effect on the global recovery. At the end of the reporting period, the Trust continued to
maintain an expected annualized portfolio return volatility of 6% to 8%. As explained elsewhere in this prospectus, this range is being revised by the Advisor to 6% to 10% as of the date of this prospectus. (See "Business of the
Trust—Investment Objectives; Strategies—Portfolio Construction" above.) The proprietary risk model uses about 20 years of historical return data to calculate the expected annualized portfolio return volatility.
The realized Sharpe ratio of the portfolio for the period from inception through the end of the reporting period was (0.27). This ratio is
primarily the result of poor performance of the Trust and relatively high
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volatility in the third quarter of 2011 as well as underperformance of the Trust in the reporting period. The Trust continues to target a long-term Sharpe ratio between 0.50 and 0.75.
Figure 1: Asset class total return during the six months ended June 30, 2012
Figure 2: Strategy total return during the six months ended June 30, 2012
The Year Ended December 31, 2011
The Trust
returned (3.17)% for the year ended December 31, 2011. The negative performance was largely driven by the currency, equity and short-term fixed income market investments. The long-term fixed income market investments had a positive contribution to
the performance.
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Market Environment/Background
The global markets experienced significant events (discussed below) and were highly volatile for the year ended December 31, 2011. These events led
to a risk adverse market and a global sell-off in the second half of the year.
The year began with optimism in U.S., Asian, and
European Union (EU) markets. This optimism carried through April, with most major countries/indices outperforming expectations despite some disruptions in March as a result of the immense natural disaster in Japan. However, this global bull market
came to a halt in May and continued to have difficulty finding its footing for the remainder of the year. The markets faced five main issues for the year ended December 31, 2011: 1) mounting pressure on sovereign debt in the EU region, 2) political
impasse over the debt ceiling and loss of trust in the direction of U.S. policy to address economic recovery, 3) extremely low U.S. investor sentiment, which reached its lowest level in thirty years (based on the survey conducted by the University
of Michigan), 4) Japan's natural disaster and its effect on global supply chains, and 5) spread of political instability in the Middle East and North Africa and its subsequent effect on the price of energy.
Although optimism about the health of the U.S. economy grew at the beginning of the year, the reports on U.S. macro-economic data were mixed
throughout the year. Unemployment numbers remained persistently high as hiring was slowed down in the private sector and the government. However, in the last quarter, the hiring pace picked up and the unemployment rate dropped to 8.5% which was the
lowest since 2009. The U.S. debt/credit rating was downgraded one notch by Standard and Poor's in August 2011 over the debt ceiling issue, which exacerbated the underperformance of the U.S. equity market during the third quarter of 2011. The
equity market, as measured by the S&P 500 index, had a flat performance for the year ended December 31, 2011. The U.S. dollar index volatility was not as high and the U.S. dollar depreciated steadily through June 2011. However, as the markets
digested the high uncertainty ahead, the U.S. dollar began to appreciate and the index ended up returning about 1.8% for the year ended December 31, 2011. The index's annual volatility was about 9%.
EU markets were highly volatile during the year ended December 31, 2011 as the sovereign debt crises in Greece, Ireland, and Portugal continued to
cast a cloud over the euro zone and global recovery. Both Greece's and Ireland's credit ratings were downgraded during the year. Portugal was given about $100 billion. The EU markets experienced some optimism based on the compromise
between the European Central Bank (ECB), International Monetary Fund (IMF), and EU officials, which granted Greece a bailout of approximately $155 billion. But optimism from these stabilization measures was short lived as Italy's growing debt
crisis caused increasing anxiety; the Italian government holds approximately $2 trillion in debt. This concern hinted that the core EU may also suffer from debt issues and the situation could spiral out of control in the near future.
European officials scrambled in the second half of the year to calm the markets and prevent the first sovereign default in the euro area. Fearing
that the debt crisis could cripple the region's banking system, markets responded to every twist in the multiple negotiations and summits attempting to resolve this crisis. After the fifth European official summit was not able to deliver a
comprehensive plan, Standard & Poor's announced that 15 euro zone nations might face rating downgrades. This included Germany and France, which could subsequently affect the European Financial Stability Facility (EFSF) rating. The German
and French equity markets were particularly volatile (each more than 28%) during the year ended December 31, 2011. Both DAX and CAC 40 delivered poor performance, approximately (14.7)% and (17.0)%, respectively. The euro was also quite volatile
(more than 11%) and depreciated approximately 3.2% against U.S. dollar by the end of the year.
In the early part of the year ended
December 31, 2011, the Nordic countries' macro economic data were strong and countries such as Sweden raised forecasts for growth in the next few years. Additionally, the
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Swedish central bank raised its benchmark repurchase rate in April and July, and the Swedish krona advanced against major currencies. Norway also benefitted from a sharp rise in oil prices and
its currency appreciated substantially. However, in the second half of the year, the region's currencies experienced high volatility and depreciation. The concern over the sovereign debt crisis in the EU region continued to put downward
pressure on these currencies as the EU's faltering economies did not support strong global growth projections in the near future and these economies rely heavily on exports. The Swedish krona and Norwegian krone depreciated 2.5% and 2.8%,
respectively, against U.S. dollar for the year ended December 31, 2011.
Japan began the year with optimism. The Bank of Japan raised
its economic assessment as faster overseas growth bolstered exports and production. However, the massive earthquake and tsunami in March devastated the country, and the aftermath derailed hopes of economic growth and prosperity in the short-term.
Japan began to struggle with industrial production, and supply chains were disrupted significantly. For the year, the Nikkei 225 index dropped more than 17% and the Japanese yen appreciated 5.5% relative to the U.S. dollar. High risk aversion drove
the yen's appreciation.
Political and social unrest in several Middle Eastern and Northern African nations during 2011 raised
concerns over the spread of instability throughout the rest of the Middle East potentially causing serious disruptions in oil supply and pushing the price of oil upward. The price of oil broke the $115 per barrel mark in late April due in part to
such concerns. However, concern over the euro zone debt crises and the fragile recovery of the U.S. economy pushed the price of oil downward over the remainder of the year, and prices ended up below $100 per barrel by December 31, 2011.
Portfolio Update
The Trust
closed out of all its Japanese positions in the equity, bond, and currency markets in mid-March, following the earthquake and tsunami in that country. Based on the available information, the Investment Committee of the Advisor did not find the
uncertainty surrounding this exogenous shock to be consistent with the Trust's systematic process in the short-term. By mid-August, all the information indicated that the country had made significant progress and that the risk of an energy or
nuclear shock was back to a normal level. Given that the Japanese market has comparatively recognized this "normal" state, Japan was re-introduced to the Trust's investment universe in the subsequent fund rebalance in September.
An equity yield curve arbitrage strategy, which was approved by the Investment Committee in May, was added to the current suite of
strategies as of June 1, 2011. The existing equity relative value strategy was also enhanced to account for differences in accounting practices across different countries. These additions/changes helped the Trust to enhance its equity performance
for the year ended December 31, 2011.
As a result of heightened uncertainty in the global markets, the fund's short-term
volatility began to rise steadily in July and increased sharply in the month of August. To manage the risk of the portfolio effectively and maintain risk within target range of 6% to 8% in effect at the time, the fund's target risk was resized
in September's rebalance.
The short-term bond strategy began to suffer from negative performance in the second half of the year.
This negative performance was the result of a mismatch between market expectations on short-term interest rates and the strategy suggested based on momentum. For this reason, the strategy has been temporarily removed from the Trust's current
suite of strategies until market conditions significantly improve.
Trust's Strategies' Performance
The Trust's investments in equity markets delivered negative performance (0.91%) during the year ended December 31, 2011 (see figure 3). In
general, equity markets were highly volatile, which was
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primarily driven by all of the factors mentioned above. The under-performance in the Trust's equity market investments were driven by the long positions in the German, French, and Japanese
equity markets. The short positions in the Canadian, United Kingdom, and Hong Kong equity markets contributed positively to the performance of this asset class.
The Trust's investments in futures on short-term bonds (bonds with maturities of less than one year) suffered a negative performance of (0.82)% for the year ended December 31, 2011 (see figure 3). The
short-term interest rate market sentiment insights were generally positive for the first half of the year. However, the euro zone sovereign debt crises made the short-term interest rate market more volatile for the second half of the year. The
Trust's large short position in Euribor, combined with its long position in Eurosterling were the major detractors. The Trust's long position in Eurodollar delivered positive performance and offset some of the loss in the other two assets.
The Trust's investments in futures on long-term bonds (bonds with maturities of more than one year) delivered a positive
performance of 0.32% for the year ended December 31, 2011 (see figure 3). The Trust's large long positions in U.S. Treasuries and United Kingdom gilt delivered a large positive contribution to performance for the year ended December 31, 2011.
On the other hand, short positions in Australian and Canadian bonds detracted from performance and offset some of the Trust's gains for the year.
The Trust's investments in currency markets suffered the largest negative performance, (1.76)%, during the year ended December 31, 2011 (see figure 3). Short positions in the Swiss franc and euro combined with
long position in the Norwegian krone detracted from the Trust's performance in the year ended December 31, 2011. The Trust's long positions in the Swedish krona and Australian dollar contributed positively to performance for the year.
The Trust exploited three strategies (namely, relative value, momentum, and yield curve arbitrage or carry) across three different
asset classes during the year ended December 31, 2011. Of these three strategies, the yield curve arbitrage and relative value strategies delivered positive performances of 0.38% and 1.96%, respectively. On the other hand, the momentum strategies
returned (5.51)%. The underperformance in momentum strategy was the result of highly volatile equity, fixed income, and currency markets, which did not support sizeable trends that momentum techniques could benefit from. See figure 4 for the
performance of each strategy during the year ended December 31, 2011.
The Trust's annualized portfolio return volatility was 6.92%
for the year ended December 31, 2011, based on the daily performance of the Trust. The Trust experienced an increase in volatility relative to last year's reported number. This was primarily driven by Japan's natural disaster, the euro
zone sovereign debt crisis, and the concern over the U.S.'s anemic recovery, and their effects on their local and global markets. Realized volatility was well within the stated target range for risk, and at the end of the reporting period the
Trust continued to maintain an expected annualized portfolio return volatility of 6% to 8%. As explained elsewhere in this prospectus, this range is being revised by the Advisor to 6% to 10% as of the date of this prospectus. (See "Business of
the Trust—Investment Objectives; Strategies—Portfolio Construction" above.) The Trust's proprietary risk model uses more than 19 years of historical return data to calculate the expected annualized portfolio return volatility.
The realized Sharpe ratio of the Trust's portfolio was (0.20) for the period from inception through the year ended December 31,
2011. The relatively large drop in the return of the portfolio combined with the increase in the portfolio's volatility, which was observed primarily in the third quarter, led to this negative risk-adjusted return. The upward shift in the
Trust's volatility was the result of increased uncertainty and
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larger-than-usual volatilities in global markets. The Trust continues to target a long-term Sharpe ratio between 0.50 and 0.75.
Figure 3: Asset class total return during the year ended December 31, 2011
Figure 4: Strategy total return during the year ended December 31, 2011
The Year Ended December 31, 2010
The Trust returned 1.84%, net of fees and transaction costs,
for the year ended December 31, 2010. Positive performance was largely driven by the currency and the long-term fixed income market investments. However, the equity and short-term fixed income market investments detracted from the overall
performance.
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Market Environment/Background
The markets were relatively volatile for the year ended December 31, 2010. Uncertainty about the global recovery, its sustainability, and fear of a
double dip recession were some of the important elements that shaped markets across the world. These concerns were fueled by mixed global economic data, persistent high unemployment in the U.S., European Union sovereign credit risk distress, and the
fear of the contagion effect. These issues left the markets with a weak sentiment for the first half of the year and made investors cautious about taking risks. The ramification of these kinds of concerns also forced some typical hedge fund currency
strategies to unwind their positions between May and July 2010. However, some optimism took hold in the second half of the year as more encouraging economic news was released.
Equity and currency markets struggled in the first half of the year as mounting pressure on sovereign debt was back in the limelight. Greece's fiscal situation was the main concern and other European
countries, such as Spain, Portugal, and Ireland, took center stage later. These concerns jolted the currency market and the euro fell below U.S. $1.20, a four-year low. However, the results of the European Union area stress tests for financial
institutions, released mid-year, had some calming effects on the markets and the added transparency helped reduce the potential contagion effect.
Despite the concerns over the jobless recovery in the U.S., the steady gross domestic product (GDP) growth, positive earnings from blue chip companies, a second quantitative easing policy in the U.S. put forward by
the Federal Reserve, and the extension of the Bush-era tax cuts provided a strong rally in the U.S. equity markets in the second half of the year.
Trust's Strategies' Performance
The Trust's investments in futures on long-term
bonds (bonds with maturities of more than one year) delivered a 2.51% return for the year ended December 31, 2010 (see figure 5). Uncertainty in the global market recovery and relatively volatile markets attracted investors to safer assets and
encouraged a flight to quality. On average, large long positions in U.S. Treasury bonds and United Kingdom gilts combined with the overall average large short position in the Australian bond markets added a positive contribution to the Trust's
performance. However, the overall short positions in the Canadian and Japanese government bonds detracted from performance.
The
Trust's investments in futures on short-term bonds (bonds with maturities of less than one year) underperformed and delivered (0.90)% for 2010 (see figure 5). The short-term end of the yield curve was volatile and did not allow for the markets
to establish a sizeable trend that momentum strategies could take advantage of. Performance from the overall large long euro-sterling asset was the largest positive contributor, while the short position in Euribor underperformed and pushed the
strategy's performance into the negative territory.
The Trust's investments in equity markets delivered a negative
performance of (0.49)% during the year ended December 31, 2010 (see figure 5). In general, equity markets had a poor performance in early 2010 and tumbled for the first half of the year. Uncertainty about the global recovery and European Union
sovereign debt default risk were frequently brought into the spotlight. The underperformance in the Trust's equity market investments was driven by the short positions in Hong Kong and Canadian equity markets. Meanwhile, on average, the long
positions in the German and Japanese equity markets contributed positively to the performance of this asset class during the year ended December 31, 2010.
The Trust's investments in currency markets performed well during the year ended December 31, 2010 and delivered a 1.51% return (see figure 5). The main contributors to the performance were the overall large
long positions in the Australian dollar, Swedish krona, and Norwegian krone. Meanwhile, the large short positions in the euro and Swiss franc contributed negatively to the performance of the currency portfolio in 2010.
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The Trust exploited three strategies (namely, relative value, momentum, and yield curve arbitrage or
carry) across three different asset classes during the year ended December 31, 2010. Of these three strategies, the carry and relative value strategies delivered positive returns of 5.29% and 0.86%, respectively. The momentum strategy, on the other
hand, had a negative contribution of (3.31)%. The underperformance in the momentum strategy was the result of highly volatile and range bound markets, which do not allow for the establishment of sizeable trends that market neutral long/short
momentum techniques could benefit from. See figure 6 for the performance of each strategy during the year ended December 31, 2010.
The
Trust realized portfolio return volatility of 4.7% for the year ended December 31, 2010, based on the daily performance of the Trust. This low return volatility, relative to the Trust's stated target, is partly due to higher than usual
correlations among assets within each asset class and low or negative correlations among the three strategies employed by the Trust. At the end of 2010 the Trust continued to maintain an expected annualized portfolio return volatility of 6% to 8%.
As explained elsewhere in this prospectus, this range is being revised by the Advisor to 6% to 10% as of the date of this prospectus. (See "Business of the Trust—Investment Objectives; Strategies—Portfolio Construction" above.)
The proprietary risk model uses more than 19 years of historical return data to calculate the expected annualized portfolio return volatility.
The realized Sharpe ratio of the Trust portfolio was 0.35 for the period from inception through December 31, 2010. This lower Sharpe ratio, compared to the stated target of 0.50, is partly due to lower realized
volatility of the portfolio. As mentioned above, the relatively higher volatility in different markets could lead to higher than usual correlations among assets within each asset class which, in turn, would lower the Trust's realized
volatility. However, the Trust continues to target a long-term Sharpe ratio between 0.50 and 0.75.
Figure 5: Asset class total return during the year ended December 31, 2010
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Figure 6: Strategy total return during the year ended December 31, 2010
Results of Operations
The Trust invested in
three broad asset classes: currency, equity, and fixed income through investments in forward and futures contracts and Short-Term Securities posted as margin to collateralize the Trust's portfolio of futures and/or forward contracts. The fixed
income asset class includes bond futures with duration greater than one year and short-term interest rate futures less than or equal to one year. See below for a discussion on the performance of the Trust for the six months ended June 30, 2012,
year ended December 31, 2011, 2010 and the period from October 6, 2009 (Commencement of Operations) through December 31, 2009.
The
Six Months Ended June 30, 2012
The Trust's net asset value decreased from $87,893,859 at December 31, 2011 to $58,340,835
at June 30, 2012. The decrease in the Trust's net asset value resulted primarily from a decrease in outstanding Shares, which fell from 1,800,000 at December 31, 2011 to 1,200,000 at June 30, 2012, due to zero Shares being created and
600,000 Shares (6 Baskets) being redeemed during the period.
Net loss for the period was $266,322, resulting from a net investment
loss of $334,156 and a net realized and unrealized gain of $67,834. For the six months ended June 30, 2012, the Trust had a net loss of $280 on short-term investments, a net realized and unrealized gain of $429,053 from forward currency
contracts, a net realized and unrealized loss of $379,089 from equity index futures, a net realized and unrealized loss of $178,415 from fixed income futures, and a net unrealized gain of $161,947 from foreign currency translations. Net realized and
unrealized loss for the period from futures contracts noted above do not reconcile to the Statement of Operations due to brokerage commissions and fees. Other than the Sponsor's fees of $331,440 and brokerage commissions and fees of $34,618,
the Trust had no other expenses during the period.
The decrease of $239,571 in total expenses from $605,629 for the six months ended
June 30, 2011 to $366,058 for the six months ended June 30, 2012, was primarily due to a decrease in the Sponsor's fee. The Sponsor's fee decreased due to a decrease in the Trust's net assets.
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The Year Ended December 31, 2011
The Trust's net asset value decreased from $110,938,681 at December 31, 2010 to $87,893,859 at December 31, 2011. The decrease in the Trust's net asset value resulted primarily from a decrease
in outstanding Shares, which fell from 2,200,000 at December 31, 2010 to 1,800,000 at December 31, 2011, due to 800,000 Shares (8 Baskets) being created and 1,200,000 Shares (12 Baskets) being redeemed during the year.
Net loss for the year was $4,241,958, resulting from a net investment loss of $1,108,231 and a net realized and unrealized loss of $3,133,727. For
the year ended December 31, 2011, the Trust had a net gain of $13,430 from short-term investments, a net loss of $2,082,535 from forward currency contracts, a net loss of $246,392 from equity index futures, a net loss of $697,831 from fixed
income futures, and a net loss of $207,584 from foreign currency translations. Net realized and unrealized gain and loss for the year from futures contracts noted above do not reconcile to the Statement of Operations due to brokerage commissions and
fees. Other than the Sponsor's fees of $1,146,228 and brokerage commissions and fees of $87,185, the Trust had no other expenses during the year.
The Year Ended December 31, 2010
The
Trust's net asset value increased from $14,855,197 at December 31, 2009 to $110,938,681 at December 31, 2010. The increase in the Trust's net asset value resulted primarily from an increase in outstanding Shares, which rose from
300,000 at December 31, 2009 to 2,200,000 at December 31, 2010, due to 1,900,000 Shares (19 Baskets) being created and zero Shares being redeemed during the year.
Net gain for the year was $1,189,545, resulting from a net investment loss of $564,823 and a net realized and unrealized gain of $1,754,368. For the year ended December 31, 2010, the Trust had a net gain of
$199 from short-term investments, a net gain of $524,090 from forward currency contracts, a net gain of $527,954 from equity index futures, a net gain of $558,549 from fixed income futures, and a net gain of $102,402 from foreign currency
translations. Net realized and unrealized gain and loss for the year from futures contracts noted above do not reconcile to the Statement of Operations due to brokerage commissions and fees. Other than the Sponsor's fees of $634,698 and
brokerage commissions and fees of $41,147, the Trust had no other expenses during the year.
The Period from October 6, 2009 (Commencement of
Operations) through December 31, 2009
The Trust's net asset value increased from $9,998,145 at October 6, 2009
(commencement of operations) to $14,855,197 at December 31, 2009. The increase in the Trust's net asset value resulted primarily from an increase in outstanding Shares, which rose from 200,000 at October 6, 2009 to 300,000 at
December 31, 2009, due to 100,000 Shares (1 Basket) being created and zero Shares being redeemed during the period.
Net loss for
the period was $172,003, resulting from a net investment loss of $25,508 and a net realized and unrealized loss of $146,495. For the period from October 6, 2009 (commencement of operations) through December 31, 2009, the Trust had a net
gain of $52,368 from forward currency contracts, a net loss of $16,999 from equity index futures, a net loss of $177,755 from fixed income futures, and a net loss of $6,245 from foreign currency translations. Net realized and unrealized gain and
loss for the period from futures contracts noted above do not reconcile to the Statement of Operations due to brokerage commissions and fees. Other than the Sponsor's fees of $26,019 and brokerage commissions and fees of $1,933, the Trust had
no other expenses during the period.
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Liquidity and Capital Resources
A significant portion of the assets of the Trust are held in cash, U.S. Treasury bills and other Short-Term Securities which are used, as needed, to secure the Trust's trading obligations in respect of a
portfolio of futures and/or forward contracts as described elsewhere in this report. The percentage that cash, U.S. Treasury bills and Short-Term Securities given as collateral bears to the total assets of the Trust varies from day to day, depending
on the changes in the market values of the contracts held in the Portfolio.
The Trust's liquidity needs arise in connection with
payment of (1) mark-to-market and termination costs of futures and forward contracts with respect to which the Trust is "out of the money," (2) redemption of Baskets, (3) the Sponsor's Fee, (4) trading fees and
commissions, and (5) any expenses not assumed by the Sponsor. The Sponsor is not aware of any trends, demands, conditions or events that are reasonably likely to result in material changes to the Trust's liquidity needs.
The Trust is expected to generate liquidity from (1) mark-to-market and termination payments received with respect to futures and forward
contracts with respect to which the Trust is "in the money," (2) the sale of Baskets, (3) any interest on its cash and other instruments (including, when and to the extent they become available to the Trust, securities held as
collateral for the Trust's trading obligations), and (4) the disposition of its assets. Pursuant to the trust agreement, the Trust is prohibited from incurring any indebtedness for borrowed money.
The Trust's futures contracts may from time to time be subject to periods of illiquidity due to market conditions, regulatory limits or other
reasons. Futures exchanges limit the fluctuations during a single day of prices of the contracts traded on such exchanges by regulations known as "daily limits." Once the price of a futures contract has increased or decreased by an amount
equal to the daily limit, positions in that contract can not be taken or liquidated unless the parties are willing to affect the trade at a price equal to or within the daily limit.
The Trust's Portfolio or one or more of its futures or forward contract positions may prove to be illiquid. Such illiquidity could cause or
exacerbate losses to the Trust.
Because the Portfolio may include a variety of trading positions, the Trust's capital is at risk
due to changes in the value of such positions or other assets (market risk) or the inability of counterparties to perform (credit risk).
Market Risk
The Portfolio
consists of positions in certain futures and/or forward contracts and cash and financial instruments which may be used, as needed, to secure the Trust's trading obligations with respect to those trading positions. Depending upon the level of
diversification of the Portfolio at any given time, fluctuations in the value of one or more trading positions of the Trust may have a significant impact on the value of the Shares. The value of any futures and/or forward contracts in the Portfolio
at any time is expected to reflect the market value of the underlying asset, although this correlation may not be exact. The market risk associated with the trading positions in the Portfolio may, potentially, be the entire Portfolio. The
Trust's exposure to market risk is also influenced by a number of factors, including the liquidity of the assets in the Portfolio, market conditions in U.S. and non-U.S. markets, market volatility and activities of other market participants.
Credit Risk
In
respect of each trading position in the Portfolio, the Trust is exposed to the credit risk of a default by the counterparties to over-the-counter trades and, with respect to exchange-traded contracts, of a
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default by relevant brokers or the clearing institutions or exchanges through which such trades settle. In the case of such a default, the Trust could be unable to recover amounts due to it on
its trading positions and assets posted as margin. The Portfolio is also exposed to the credit risk of the obligors of any Short- Term Securities posted as margin.
Off-Balance Sheet Arrangements and Contractual Obligations
The Trust does not use and is not
expected to use special purpose entities to facilitate off-balance sheet financing arrangements. The Trust does not have and is not expected to have loan guarantee arrangements or other off-balance sheet arrangements of any kind other than
agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services that are in the interest of the Trust. While the Trust's exposure
under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Trust's financial position. The Trust is contractually obligated to maintain margin with its
clearing futures commission merchant and its prime broker. Under extreme circumstances, such contractual obligations could demand substantially all of the assets of the Trust.
Critical Accounting Policies
The financial statements of the Trust and accompanying notes are
prepared in accordance with U.S. GAAP. The preparation of these financial statements relies on estimates and assumptions that impact the Trust's financial positions and results of operations. These estimates and assumptions affect the
Trust's application of accounting policies. Please refer to Note 2 to the financial statements of the Trust found elsewhere in this prospectus for a further discussion of the Trust's accounting policies.
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DESCRIPTION OF THE SHARES AND THE TRUST AGREEMENT
The Trust is a statutory trust organized under the laws of the State of Delaware. The Trust intends to issue and redeem Shares on a continuous
basis. The required consideration for the Trust's issuance of Shares is cash. The Trust Agreement among the Sponsor, the Trustee and the Delaware Trustee governs the Trust and sets out the rights of the registered holders of the Shares and the
rights and obligations of the Sponsor, the Trustee and the Delaware Trustee. Delaware law governs the Trust Agreement, the Trust and the Shares. The following summary of material provisions of the Trust Agreement is qualified by reference to the
entire Trust Agreement, which is filed as an exhibit to the registration statement of which this prospectus is a part.
Each Share
represents a unit of fractional undivided beneficial interest in the net assets of the Trust. Substantially all of the assets of the Trust consist of the Portfolio held by the Trustee on behalf of the Trust. The Trust may hold a limited amount of
cash necessary to cover any expenses not assumed by the Sponsor or for other reasons, such as if a claim were to arise against an Authorized Participant, or any other third party, which would be settled in cash. Any cash held by the Settlement Agent
on behalf of the Trust would be held in a non-interest-bearing account. The Trust is not an investment company registered under the Investment Company Act and is not required to register under that Act.
The Trust has delegated the processing of orders for the creation and redemption of Baskets to the Processing Agent. Certain books and records of
the Trust showing the names and addresses of all participants in the commodity pool are maintained at the offices of the Processing Agent at One Freedom Valley Drive, Oaks, PA 19456. The Processing Agent is not an affiliate of the Sponsor or the
Trustee. The Trust may terminate the Processing Agent at any time.
Creation of Baskets
The Trust intends to offer Baskets on a continuous basis to Authorized Participants. To order the issuance of a new Basket, an Authorized
Participant must submit a purchase order to the Processing Agent prior to 4:00 p.m. (New York time) on a day that is an Eligible Business Day. Purchase orders received after 4:00 p.m. (New York time) on an Eligible Business Day, or on a day that is
not an Eligible Business Day will be treated as received on the next following Eligible Business Day. A purchase order received on an Eligible Business Day that immediately precedes a day on which there is no scheduled exchange trading session for
one or more of the futures contracts purchased or sold, or that may be purchased or sold, by the Trust on such day is referred to as a "Special Purchase Order."
After submitting a purchase order on an Eligible Business Day, the purchasing Authorized Participant must deposit with the Settlement Agent, by 6:00 p.m. (New York time) on the same day, an amount equal to 105%
(110% in the case of a Special Purchase Order) of the Basket Amount announced by the Trust on the immediately preceding Business Day (the "Deposit Amount"). If the Settlement Agent does not receive the deposit, the purchase order is
automatically cancelled.
To receive the Shares comprising a new Basket, the purchasing Authorized Participant must pay to the Trust
Administrator the sum of (i) the Basket Amount announced by the Trust on the first Business Day immediately following the day when the purchase order was received by the Processing Agent, as purchase price of such new Shares, plus (ii) a transaction
fee of $800 per purchase order, plus (iii) in the case of a Special Purchase Order, any extraordinary losses, costs or expenses incurred in connection with the execution of trades related to such Special Purchase Order (such sum, the
"Purchase Order Execution Price").
If the Deposit Amount received from the purchasing Authorized Participant is equal to, or
greater than, the Purchase Order Execution Price, the Trust issues the new Basket on the second Business Day (the third Business Day, in the case of a Special Purchase Order) following the day when the purchase order was
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received by the Processing Agent and returns to the purchasing Authorized Participant the excess (if any) of the Deposit Amount over the Purchase Order Execution Price (without any interest
thereon). In all other cases, the Trust only issues the new Shares when the purchasing Authorized Participant has deposited with the Settlement Agent immediately available funds in an amount equal to the difference between (i) the Purchase Order
Execution Price and (ii) the Deposit Amount.
Only Authorized Participants are able to transfer the required consideration and receive
Baskets in exchange. Authorized Participants may act for their own accounts or as agents for broker-dealers, custodians and other securities market participants that wish to create or redeem Baskets. An Authorized Participant has no obligation to
create or redeem Baskets for itself or on behalf of other persons. An order for one or more Baskets may be placed by an Authorized Participant on behalf of multiple clients. The Sponsor and the Trustee maintain a current list of Authorized
Participants. As of the date of this prospectus, Barclays Capital Inc., Citigroup Global Markets, Inc., Credit Suisse Securities (USA) LLC, Knight Clearing Services LLC and UBS Securities LLC are the only Authorized Participants.
The Trust has the absolute right to reject any creation order, including, without limitation, (1) creation orders that the Trust determines
are not in proper form, (2) creation orders that the Trust determines would have adverse tax or other consequences to the Trust or the Shareholders, (3) creation orders the acceptance of which would, in the opinion of counsel to the Trust
or the Sponsor, result in a violation of law, (4) creation orders in respect of which the Settlement Agent has not received the corresponding Deposit Amount by 5 p.m. on the date the creation order was received, or (5) during any period in which
circumstances make transactions in, or settlement or delivery of, Shares or components of the Portfolio impossible or impractical. Neither the Trustee nor the Sponsor nor any of their agents will be liable to any person for the Trust's
rejection of a creation order.
Redemption of Baskets
The Trust intends to redeem Baskets on a continuous basis from Authorized Participants. To redeem a Basket, an Authorized Participant must submit its redemption order to the Processing Agent prior to 4:00 p.m.
(New York time) on a day that is an Eligible Business Day. Redemption orders received after 4:00 p.m. (New York time) on an Eligible Business Day, or on a day that is not an Eligible Business Day will be treated as received on the next
following Eligible Business Day. A redemption order received on an Eligible Business Day that immediately precedes a day on which there is no scheduled exchange trading session for one or more of the futures contracts purchased or sold, or that may
be purchased or sold, by the Trust on such day is referred to as a "Special Redemption Order".
After submitting a redemption
order on an Eligible Business Day, the redeeming Authorized Participant must, not later than 6:00 p.m. (New York time) on the same day, either
(i) confirm in writing to the Settlement Agent that the Shares comprising the Baskets to be redeemed have been transferred by the redeeming Authorized Participant from its account at DTC to the Settlement
Agent's account at DTC, or
(ii) deposit with the Settlement Agent an amount per Basket to be redeemed equal to 105% (110% in the
case of a Special Redemption Order) of the Basket Amount announced by the Trust on the immediately preceding Business Day (the "Deposit Amount").
If such confirmation or deposit is not received, the redemption order is automatically cancelled.
The amount of cash that a redeeming Authorized Participant is entitled to receive from the Trust Administrator in exchange for a Basket surrendered
to the Trust Administrator for redemption is an amount equal to (i) the Basket Amount announced by the Trust on the first Business Day immediately following the
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day when the redemption order was received by the Processing Agent, minus (ii) a transaction fee of $800 per redemption order, minus (iii) in the case of a Special Redemption Order, any
extraordinary losses, costs or expenses incurred in connection with the execution of trades related to such Special Redemption Order (such amount, the "Redemption Order Execution Price").
Once the redeeming Authorized Participant has transferred to the Settlement Agent's account at DTC the total number of Shares comprising the
Baskets to be redeemed, the Trust Administrator will credit the redeeming Authorized Participant's account at DTC with an amount equal to the sum of (i) the Redemption Order Execution Price and (ii) the Deposit Amount (if any) deposited by the
redeeming Authorized Participant; the payment to the redeeming Authorized Participant will take place not earlier than on the second Business Day (the third Business Day, in the case of a Special Redemption Order), and (in the discretion of the
Trust) not later than the fourth Business Day, following the date when the redemption order was received by the Processing Agent.
The
Trust has the absolute right to reject any redemption order, including, without limitation, (1) redemption orders that the Trust has determined are not in proper form, (2) redemption orders the acceptance of which would, in the opinion of
counsel to the Trust or the Sponsor, result in a violation of law, or (3) during any period in which circumstances make transactions in, or settlement or delivery of, Shares or components of the Portfolio impossible or impractical. Neither the
Trustee nor the Sponsor nor any of their agents will be liable to any person for the Trust's rejection of a redemption order.
Certificates
Evidencing the Shares
The Shares are evidenced by certificates executed and delivered by the Trustee on behalf of the Trust. DTC has
accepted the Shares for settlement through its book-entry settlement system. So long as the Shares are eligible for DTC settlement, there will be only one certificate evidencing Shares, registered in the name of a nominee of DTC. Investors are able
to own Shares only in the form of book-entry security entitlements with DTC or direct or indirect participants in DTC. No investor is entitled to receive a separate certificate evidencing Shares. Because Shares can be held only in the form of book
entries through DTC and its participants, investors must rely on DTC, a DTC participant and any other financial intermediary through which they hold Shares to receive the benefits and exercise the rights described in this section. Investors should
consult with their broker or financial institution to find out about the procedures and requirements for securities held in DTC book-entry form.
Limitation of Liabilities
You cannot lose
more than your investment in the Shares. Under Delaware law, Shareholders' liability is limited to the same extent as the liability of stockholders of a for profit Delaware business corporation.
Cash and Other Distributions
If the Sponsor
determines, in its absolute discretion, that there is more cash being held in the Trust than is reasonably expected to be invested or needed to pay the Trust's expenses in the near future, the Sponsor at its absolute discretion can direct the
Trustee to distribute the extra cash to the Shareholders. The Trust has no obligation and is not expected to make periodic distributions to Shareholders.
If the Trust receives any property in respect of Trust property other than cash, the Trustee, at the direction of the Sponsor, may distribute that property to the Shareholders by any means lawful, equitable or
feasible. If the Trustee cannot distribute the property proportionately among the Shareholders, the Trustee, at the direction of the Sponsor, may adopt any other method that it deems to be lawful, equitable and feasible, including public or private
sale.
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Registered holders of Shares will receive these distributions in proportion to the number of Shares
owned. Before making a distribution, the Trustee will deduct any applicable withholding taxes and any fees and expenses of the Trust that have not been paid. It will distribute only whole United States dollars and cents and will round fractional
cents down to the nearest whole cent. Neither the Sponsor nor the Trustee will be responsible if the Sponsor determines that it is unlawful or impractical to make a distribution available to registered holders.
Share Splits
If requested by the Sponsor,
the Trustee will declare a split or a reverse split in the number of Shares outstanding. The Trustee will not be required to distribute any fraction of a Share in connection with a split or reverse split of the Shares. The Trustee may sell the
aggregated fractions of Shares that would otherwise be distributed in a split or reverse split of the Shares or the amount of Trust property that would be represented by those Shares and distribute the net proceeds of those Shares or that Trust
property to the Shareholders entitled to them.
Voting Rights
Shares do not have any voting rights. However, registered holders of at least 25% of the Shares have the right to require the Trustee to cure any material breach by it of the Trust Agreement, and registered holders
of at least 75% of the Shares have the right to require the Trustee to terminate the Trust as described under "—Amendment and Dissolution."
Taxes and Other Charges in Connection with Creations and Redemptions
Under the terms of the
Trust Agreement, Authorized Participants creating or redeeming Baskets are obligated to pay any taxes, governmental charges or stock transfer or similar fees in connection with such creation or redemption.
Payment of Taxes
The Trustee may deduct the
amount of any taxes owed from any distributions to the Shareholders. It may also sell Trust assets, by public or private sale, to pay any taxes owed. Registered holders of Shares remain liable if the proceeds of the sale are not enough to pay the
taxes.
Valuation of the Trust Assets
See "Business of the Trust—Computation of the Trust's Net Asset Value."
Limitations on
Obligations and Liability
The Trust Agreement expressly limits the obligations of the Sponsor and the Trustee. It also limits the
liability of the Sponsor and the Trustee. The Sponsor and the Trustee:
•
are obligated to take only the actions specifically set forth in the Trust Agreement without negligence or bad faith;
•
are not liable if either of them is prevented or delayed by law or circumstances beyond their control from performing their obligations under the Trust
Agreement;
•
are not liable if they exercise or fail to exercise discretion permitted under the Trust Agreement;
•
have no obligation to prosecute a lawsuit or other proceeding related to the Shares or the Trust property on behalf of any holders of Shares or on behalf of any
other person; and
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•
may rely upon any advice or information from other persons they believe in good faith to be competent to provide such advice or information.
In addition, the Sponsor is entitled to be indemnified by the Trust for any liability or expense it incurs without
negligence, bad faith or willful misconduct on its part.
Amendment and Dissolution
The Sponsor and the Trustee may agree to amend the Trust Agreement without the consent of the Shareholders. If an amendment imposes or increases
fees or charges (except for taxes and other governmental charges) or prejudices a substantial existing right of the Shareholders, it will not become effective until 30 days after the Trustee notifies the registered holders of the amendment. At the
time an amendment becomes effective, by continuing to hold Shares, investors are deemed to agree to the amendment and to be bound by the Trust Agreement as amended. However, no amendment to the Trust Agreement may be made if, as a result of such
amendment, it would cause the Trust to be taxable as an association taxable as a corporation for U.S. federal income tax purposes.
The
Trustee will dissolve the Trust if:
•
the Trustee is notified that the Shares are delisted from NYSE Arca and are not approved for listing on another national securities exchange within five Business
Days of their delisting;
•
registered holders of at least 75% of the outstanding Shares notify the Trustee that they elect to dissolve the Trust;
•
sixty days have elapsed since the Trustee notified the Sponsor of the Trustee's election to resign, and a successor trustee has not been appointed and
accepted its appointment;
•
the SEC (or its staff) or a court of competent jurisdiction determines that the Trust is an investment company under the Investment Company Act, and the Trustee
has actual knowledge of that determination;
•
the Sponsor notifies the Trustee in writing that it has determined, in its discretion, that the dissolution of the Trust is advisable. Such circumstances might
occur, by way of illustration and not of limitation, if (1) legal, regulatory or market changes result in a decrease of investment opportunities available to the Trust in compliance with its investment objective and strategies; (2) it
becomes impossible to compute the net asset value of the Portfolio or to assess accuracy of such valuations; or (3) the value of the Portfolio is below a level such that continued operation of the Trust is not cost effective;
•
the Trust is treated as an association taxable as a corporation for U.S. federal income tax purposes, and the Trustee receives notice from the Sponsor that the
Sponsor has determined that the dissolution of the Trust is advisable; or
•
DTC is unable or unwilling to continue to perform its functions, and a comparable replacement is unavailable.
The Trustee will notify DTC at least 30 days before the date for dissolution of the Trust. After dissolution, the Trustee and its agents will do
the following under the Trust Agreement but nothing else: (1) collect distributions pertaining to Trust property, (2) pay the Trust's expenses and sell assets as necessary to meet those expenses and (3) deliver Trust property
upon surrender and cancellation of Shares. Ninety days or more after dissolution, the Trustee may sell any remaining Trust property in a public or private sale. After that, the Trustee will hold the money it received on the sale and any other cash
it is holding under the Trust Agreement for the
pro rata
benefit of the registered holders that have not surrendered their Shares. The Trustee will not invest the money and will have no liability for interest. The
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Trustee's only obligations will be to account for the money and other cash, after deduction of applicable fees, trust expenses and taxes and governmental charges.
Requirements for Trustee Actions
Before the
Trustee registers a transfer of Shares, makes a distribution on Shares, or permits the withdrawal of Trust property, the Trustee may require:
•
payment of stock transfer or other taxes or other governmental charges and transfer or registration fees charged by third parties for the transfer of any Shares
or Trust property;
•
satisfactory proof of the identity and genuineness of any signature or other information it deems necessary; and
•
compliance with regulations it may establish, from time to time, consistent with the Trust Agreement, including the presentation of transfer documents.
The Trust may suspend the delivery of Shares, registrations of transfer of Shares and surrenders of Shares for the
purpose of withdrawing Trust property generally, or may refuse particular deposit, transfer or withdrawal requests at any time when the books of the Trustee are closed or at any time if the Trustee or the Sponsor determines that it is necessary or
advisable to do so for any reason.
Delegation by the Trustee to the Trust Administrator or Agent
The Trustee may delegate all or some of its duties under the Trust Agreement to an agent, including the Trust Administrator, without the consent of
the Sponsor, any Authorized Participant or any Shareholders. The Trustee may terminate any Trust Administrator or agent at any time and is not required to appoint a new Trust Administrator or agent.
Custody of Certain Trust Assets
The
creation and redemption of Baskets is effected through cash transactions, which involve contemporaneous transfers. To the extent the Trust has property that requires a custodian, the Trustee will appoint an agent qualified to maintain the property
of the Trust.
Replacement of the Trustee
The Trustee may resign at any time and its resignation will take effect upon the appointment of a successor Trustee and its acceptance of such appointment.
The Sponsor may remove the Trustee in its discretion at any time after the first anniversary of the date of the Trust Agreement.
If at any time the Trustee ceases to be a Qualified Bank or is in material breach of its obligations under the Trust Agreement and the Trustee
fails to cure such breach within thirty (30) days after receipt of written notice from the Sponsor, or registered holders of at least 25% of the outstanding Shares, specifying such default and requiring the Trustee to cure such default, the Sponsor
may remove the Trustee and the removal will take effect upon the appointment of a successor Trustee and its acceptance of such appointment.
If the Trustee resigns or is removed, the Sponsor will use its reasonable efforts to appoint a successor Trustee, which must be a Qualified Bank. Every successor Trustee shall be required to execute and deliver to
its predecessor and to the Sponsor an instrument in writing accepting its appointment.
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THE SECURITIES DEPOSITORY; BOOK-ENTRY-ONLY SYSTEM; GLOBAL SECURITY
DTC acts as securities depository for the Shares. DTC is a limited-purpose trust company organized under the laws of the State of
New York, a member of the Federal Reserve System, a "clearing corporation" within the meaning of the New York Uniform Commercial Code, and a "clearing agency" registered pursuant to the provisions of Section 17A of the
Exchange Act. DTC was created to hold securities of its participants and to facilitate the clearance and settlement of transactions in those securities among DTC Participants through electronic book-entry changes. This eliminates the need for
physical movement of securities certificates. DTC Participants include securities brokers and dealers, banks, trust companies, clearing corporations, and certain other organizations, some of whom (and/or their representatives) own DTC. Access to the
DTC system is also available to others such as banks, brokers, dealers and trust companies that clear through or maintain a custodial relationship with a DTC Participant, either directly or indirectly. DTC agrees with and represents to its
participants that it will administer its book-entry system in accordance with its rules and by-laws and requirements of law.
Individual
certificates are not issued for the Shares. Instead, a global certificate has been signed by the Trustee on behalf of the Trust, registered in the name of Cede & Co., as nominee for DTC, and deposited with the Trustee on behalf of DTC. The
global certificate represents all of the Shares outstanding at any time.
Upon the settlement date of any creation, transfer or
redemption of Shares, DTC credits or debits, on its book-entry registration and transfer system, the number of Shares so created, transferred or redeemed to the accounts of the appropriate DTC Participants. The Trustee and the DTC Participants
designate the accounts to be credited and charged in the case of creation or redemption of Shares.
Beneficial ownership of the Shares
is limited to DTC Participants, Indirect Participants and persons holding interests through DTC Participants and Indirect Participants. Owners of beneficial interests in the Shares are shown on, and the transfers of ownership are effected only
through, records maintained by DTC, with respect to DTC Participants, the records of DTC Participants, with respect to Indirect Participants, and the records of Indirect Participants with respect to beneficial owners that are not DTC Participants or
Indirect Participants. Beneficial owners are expected to receive from or through a DTC Participant a written confirmation relating to their purchase of the Shares.
Investors may transfer Shares through DTC by instructing the DTC Participant or Indirect Participant through which they hold their Shares to transfer the Shares. Transfers will be made in accordance with standard
securities industry practice.
DTC may decide to discontinue providing its service for the Shares by giving notice to the Trustee and
the Sponsor. Under these circumstances, the Trustee and the Sponsor will either find a replacement for DTC to perform its functions at a comparable cost or, if a replacement is unavailable, the Trust will be dissolved.
The rights of the Shareholders generally must be exercised by DTC Participants acting on their behalf in accordance with the rules and procedures
of DTC.
The Trust Agreement provides that, as long as the Shares are represented by a global certificate registered in the name of DTC
or its nominee, the Trustee will be entitled to treat DTC as the holder of the Shares.
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THE SPONSOR
The Sponsor
The Sponsor is
iShares
®
Delaware Trust Sponsor LLC, a Delaware limited liability company. The Sponsor's primary business function
with respect to the Trust is to direct the actions of the Trustee in the management of the Trust and to act as commodity pool operator of the Trust.
The Sponsor was formed as a Delaware limited liability company on June 16, 2009. The sole member and manager of the Sponsor is BlackRock Asset Management International Inc. (formerly known as Barclays Global
Investors International, Inc.), a Delaware corporation.
BlackRock Asset Management International Inc., the sole
member and manager of the Sponsor, was organized as a Delaware corporation on March 22, 1990. Since January 2004, BlackRock Asset Management International Inc. has held an equity interest in a securities lending platform. Since January 2005,
BlackRock Asset Management International Inc. has served as sponsor of the iShares Gold Trust (the "Gold Trust"), a trust that publicly offers shares registered with the SEC. Since April 2006, BlackRock Asset Management International Inc.
has served as sponsor of the iShares
®
Silver Trust (the "Silver
Trust"), a trust that publicly offers shares registered with the SEC. Neither the Gold Trust nor the Silver Trust is a commodity pool regulated by the CFTC or the NFA. Since July 2006, BlackRock Asset Management International Inc. has served as
sponsor and commodity pool operator of the iShares
®
S&P GSCI
™
Commodity-Indexed Trust and manager and commodity pool operator of the iShares
®
S&P
GSCI
™
Commodity-Indexed Investing Pool. Since October 2007, BlackRock Asset Management International Inc. has served as
sponsor of the iShares
®
Mexico Trust, a trust that issues Mexican
exchange-traded equity funds. Since December 2008, BlackRock Asset Management International Inc. has served as sponsor of the following Brazilian exchange-traded equity funds: iShares
®
Ibovespa Fundo de Indice, iShares
®
BM&FBovespa Small Cap Fundo de Indice, and iShares
®
BM&FBovespa MidLarge Cap Fundo de Indice. BlackRock Asset Management International Inc. has been registered under the CEA
as a commodity pool operator since October 13, 2005, and is a member of the NFA.
The Sponsor has been registered under the CEA as a
commodity pool operator and has been a member of the NFA since June 22, 2009.
The Sponsor's principal office is located at 400
Howard Street, San Francisco, CA 94105.
Certain performance data regarding the sole member and manager of the Sponsor may be found
on pages 86-88.
The Sponsor arranged for the creation of the Trust, the registration of the Shares for their public offering and
the listing of the Shares on NYSE Arca. The Sponsor is obligated under the Trust Agreement to pay the following administrative, operational and marketing expenses: (1) the fees of the Trustee, the Advisor, the Delaware Trustee, the Trust
Administrator and the Processing Agent, (2) NYSE Arca listing fees, (3) printing and mailing costs, (4) audit fees, (5) fees for registration of the Shares with the SEC, (6) tax reporting costs and (7) legal expenses up
to $100,000 annually. In recognition of its paying these expenses, the Sponsor is entitled to receive as the Sponsor's Fee an allocation that accrues daily at an annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust and is
payable by the Trust monthly in arrears. For a description of how the net asset value of the Trust is calculated, see "Business of the Trust—Computation of the Trust's Net Asset Value."
The Sponsor may remove the Trustee and appoint a successor Trustee if the Trustee ceases to meet certain objective requirements, or if, having
received written notice of a material breach of its obligations under the Trust Agreement, the Trustee has not cured the breach within 30 days. The Sponsor may also
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replace the Trustee during the 90 days following any merger, consolidation or conversion in which the Trustee is not the surviving entity or, in its discretion, at any time following the first
anniversary of the creation of the Trust.
Except as described below, neither the Sponsor nor any of its principals are expected to hold
any beneficial interest in the Trust (other than the Sponsor's nominal investment in Shares in connection with its role as Tax Matters Partner of the Trust). The Sponsor and its principals are permitted to trade commodity interests for their
own accounts only in accordance with the Sponsor's code of ethics. The Sponsor does not intend to permit Shareholders to review its records with respect to any such trading or any written policies related to such trading.
Principals and Key Personnel of the Sponsor
Patrick Dunne is the President, Chief Executive Officer and Director and Jack Gee is the Chief Financial Officer of the Sponsor.
The Sponsor is managed by a Board of Directors composed of Philip Jensen, Peter F. Landini, Kimun Lee, Patrick Dunne and Manish Mehta.
Mr. Dunne
became a principal of iShares Delaware Trust Sponsor LLC in September 2011 and has served as its President and Chief Executive
Officer since September 2011.
Mr. Dunne has served as Global Chief Operating Officer of the iShares
®
business from October 2010 to October 2011. Prior to that, Mr. Dunne served as Global Head of Securities Lending and Cash
Management business from December 2005 to April 2008. Prior to that, Mr. Dunne served as Head of Securities Lending, North America from August 2003 to December 2005; Chief Operating Officer of BGIS Europe business from January 2002 to August 2003;
Head of Strategy, BGIS North America from August 2000 to December 2001; Head of Fixed Income Trading from February 1995 to August 1999; Senior Fixed Income Trader from February 1994 to March 1995; and Fixed Income Portfolio Manager from February
1992 to February 1994. Mr. Dunne became a registered associated person of BlackRock Fund Advisors, a commodity trading advisor registered with the CFTC, in May 1995. Mr. Dunne joined BlackRock Institutional Trust Company, N.A., a national banking
association and a commodity trading advisor registered with the CFTC, in October 1991 as an Equity Portfolio Manager in the Portfolio Management Group and became a registered associated person of BlackRock Institutional Trust Company, N.A. in March
1998. Mr. Dunne served as a principal of Barclays Global Investors Ltd., a commodity trading advisor formerly registered with the CFTC, from May 2003 to December 2005 and as a registered associated person of Barclays Global Investors Ltd. from
September 2003 to December 2005. Prior to joining BlackRock Institutional Trust Company, N.A., Mr. Dunne served as a Marketing Research Associate at Merrill Lynch & Co. from May 1991 to October 1991. Mr. Dunne earned a Bachelor of Arts degree in
economics from the University of California at Berkeley in 1991 and a Master of Science degree in management from the Stanford Graduate School of Business in 2000.
Jack Gee
became a principal of iShares
®
Delaware Trust Sponsor LLC in September 2011 and serves as Chief Financial Officer. Mr. Gee became a principal of BlackRock Asset Management International Inc., a
commodity pool operator registered with the CFTC, in December 2011 and serves as Chief Financial Officer, Chief Operating Officer and Director. Mr. Gee joined BlackRock Institutional Trust Company, N.A., a national banking association and a
commodity trading advisor registered with the CFTC, as a Principal in September 2004 and served as Director of US Fund Administration of BlackRock Institutional Trust Company N.A. from September 2004 to January 2010. Since January 2010, Mr. Gee has
served as Managing Director of BlackRock Institutional Trust Company, N.A. Prior to joining BlackRock Institutional Trust Company, N.A., Mr. Gee served as Chief Financial Officer of Parnassus Investments, an investment adviser registered with
the SEC, from March 2004 to September 2004; Chief Financial Officer of Cazenave
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Partners, an investment adviser registered with the SEC, from October 2003 to March 2004; Controller of Paul Capital Partners, an investment firm focusing on the secondary private equity and
healthcare market, from October 2002 to October 2003; Chief Financial Officer of Fremont Investment Advisors, Inc., an investment adviser formerly registered with the SEC, from October 1997 to September 2002. Mr. Gee earned a Bachelor of Science
degree in accounting from the California State University in 1982.
Manish Mehta
became a principal of the Sponsor in March 2012
and serves as Director. Mr. Mehta joined BlackRock Institutional Trust Company, N.A., a national banking association and a commodity trading advisor registered with the CFTC, as a Managing Director in November 2011. Prior to that, Mr. Mehta served
as Managing Partner of CHJ Capital Management, a financial services firm, from March 2011 to November 2011. From March 2005 to January 2011 Mr. Mehta served as Head of Strategy and Corporate Development at BlackRock Institutional Trust Company, N.A.
Prior to joining BlackRock Institutional Trust Company, N.A. in March 2005, Mr. Mehta served as consultant and principal at Boston Consulting Group, a global management consulting firm, from September 2000 to March 2005. Mr. Mehta earned a Bachelor
of Science degree in Electrical Engineering and Computer Sciences from the University of California, Berkeley in 1993 and an MBA from the Wharton School at the University of Pennsylvania in 2000.
Philip Jensen
became a principal of the Sponsor in September 2009, and is Chairman of the Sponsor's audit committee. Since June 2001,
Mr. Jensen has served as Partner and Chief Financial Officer of Paul Capital Partners, an investment firm focusing on the secondary private equity and healthcare market. Mr. Jensen received his Bachelor of Science from San Francisco State
University and is a certified public accountant.
Peter F. Landini
became a principal of the Sponsor in September 2009 and is a
member of the Sponsor's audit committee. In January 2003, Mr. Landini joined RBP Investment Advisors, Inc., a financial planning consultancy firm, for which he presently serves as Partner and Wealth Manager. Mr. Landini received his
Bachelor of Science degree in Accounting from Santa Clara University and an MBA in Finance from Golden Gate University. Mr. Landini is a certified financial planner and is a member of the Financial Planning Association.
Kimun Lee
became a principal of the Sponsor in September 2009, and is a member of the Sponsor's audit committee. Mr. Lee is a
California-registered investment adviser and has conducted his consulting business under the name Resources Consolidated since January 1980. Since September 2010, Mr. Lee has served as a member of the Board of directors of Firsthand Technology Value
Fund, Inc., a mutual fund company. Until January 2005 Mr. Lee also served as a member of the board of directors of Fremont Mutual Funds, Inc., a mutual fund company. Mr. Lee received his Bachelor of Arts from the University of the Pacific
and an MBA from University of Nevada, Reno. He also completed the executive education program on corporate governance at Stanford Graduate School of Business.
Reza Estilaei, Ph.D
., became a principal of the Sponsor in June 2012. Dr. Estilaei joined BlackRock Institutional Trust Company, N.A., a national banking association and a commodity trading advisor
registered with the CFTC, in May 2006 and serves as Portfolio Manager and Researcher. Prior to BlackRock Institutional Trust Company, N.A., Dr. Estilaei served as a Principal and Researcher at Mellon Capital Management, a commodity trading advisor
registered with the CFTC, from May 2004 to April 2006. Prior to that, Dr. Estilaei attended the University of California, Berkeley from March 2002 to March 2004. Dr. Estilaei earned a Bachelor of Science degree in physics from the University of
California, Riverside in 1990, a Ph.D. in physics from the University of British Columbia in 1998 and a Masters in financial engineering from the University of California, Berkeley in 2004.
Russ Koesterich
became a principal of the Sponsor in June 2012. Mr. Koesterich joined BlackRock Institutional Trust Company, N.A., a
national banking association and a commodity trading advisor registered with the CFTC, in March 2005. Since October 2010, Mr. Koesterich has served as Global Head
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of Strategy of the iShares
®
business. Mr. Koesterich served as a
Senior Portfolio manager from March 2005 to March 2007, Head of U.S. Strategy for Active Equity from April 2007 to December 2008 and Head of Global Strategy for Active Equity from January 2009 to September 2010. Prior to BlackRock Institutional
Trust Company, N.A., Mr. Koesterich served as Head of North American Strategy of State Street Bank and Trust, a national banking association, from June 2002 to March 2005. Mr. Koesterich earned a Bachelor of Arts degree in history from Brandeis
University in 1987, a Juris Doctor degree from Boston College in 1990 and an MBA from Columbia University in 1995.
BlackRock Asset Management International Inc. became a principal of the Sponsor in June 2009 and Daniel Waltcher became a
principal of the Sponsor in February 2012. Greg Savage became a principal and associated person of the Sponsor in July 2012.
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THE TRUSTEE
The Trustee of the Trust is BlackRock Institutional Trust Company, N.A. (formerly known as Barclays Global Investors, N.A.), a national banking
association. The Trustee's principal office is located at 400 Howard Street, San Francisco, CA 94105. The Trustee has authority to delegate certain of its responsibilities under the Trust Agreement to a Trust Administrator or agent. The Trustee
maintains certain books and records of the Trust relating to communications with Shareholders and the Advisor at the offices of the Trustee.
State Street Bank and Trust Company, a banking corporation organized under the laws of Massachusetts, serves as the Trust Administrator. State Street Bank and Trust Company's principal office is
located at One Lincoln Street, Boston, MA 02111. State Street Bank and Trust Company is subject to supervision by the Massachusetts Commissioner of Banks and the Board of Governors of the Federal Reserve System. Information regarding creation
and redemption of Shares, Basket composition, the net asset value of the Trust, transaction fees and the names of the parties that have executed an Authorized Participant Agreement may be obtained from State Street Bank and Trust Company by
calling the following number: 1-800-474-2737. A copy of the Trust Agreement is available for inspection at the Trust Administrator's office identified above. Books and records of the Trust are maintained at this office of State Street Bank and
Trust Company (other than records maintained by the Trustee or the Processing Agent as described herein).
The Trustee has delegated the
valuation of certain assets of the Trust for purposes of the daily calculation of the net asset value of the Trust to the Trust Administrator. The Trustee may terminate the Trust Administrator at any time or appoint different agents to act on its
behalf.
The Trustee's fees are paid by the Sponsor.
The Trustee and any of its affiliates may from time to time purchase or sell Shares for their own account, as agent for their customers and for accounts over which they exercise investment discretion.
THE DELAWARE TRUSTEE
Wilmington Trust Company serves as the Delaware Trustee of the Trust. The Delaware Trustee is not entitled to exercise any of the powers, or have any of the duties or responsibilities, of the Trustee. The Delaware
Trustee is a trustee of the Trust for the sole and limited purpose of fulfilling the requirements of the Delaware Statutory Trust Act.
THE ADVISOR
The Advisor is BlackRock Fund Advisors (formerly known as Barclays Global Fund Advisors), a California corporation. The Advisor serves as the commodity trading advisor for the Portfolio. The Advisor has been
registered as a commodity trading advisor under the CEA since April 5, 1993 and is a member of the NFA. The Trust has entered into a commodity trading advisor agreement with the Advisor, which provides the Advisor with discretionary authority
to make all determinations with respect to the Portfolio's assets, subject to specified limitations which seek to ensure that: (i) the Trust does not become an investment company subject to the registration requirements of the Investment
Company Act, and (ii) the Trust meets the requirements of the Code and regulations thereunder to be treated as a partnership for federal income tax purposes
.
Except as described below, neither the Advisor nor any of its principals are expected to hold any beneficial interest in the Trust. The Advisor and its principals are permitted to trade commodity interests
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for their own accounts only in accordance with the Advisor's code of ethics. The Advisor does not intend to permit Shareholders to review its records with respect to any such trading or any
written policies related to such trading.
Certain performance data regarding the Advisor may be found on pages 86-88.
Principals and Key Personnel of the Advisor
Laurence Fink is the Chief Executive Officer, Michael Latham is the Co-Chief Operating Officer and Ann Marie Petach is the Chief Financial Officer
of the Advisor. Reza Estilaei and Russ Koesterich are principals of the Advisor and are principally responsible for the trading decisions of the Trust.
The Advisor is managed by a Board of Directors, which is composed of Laurence Fink, Robert Kapito and Daniel Waltcher.
Laurence Fink
became a principal of BlackRock Fund Advisors, an investment adviser registered with the SEC and commodity trading advisor registered with the CFTC, in December 2009. Mr. Fink has served as
Director, Chairman and Chief Executive Officer of BlackRock Fund Advisors since December 2009. Mr. Fink has served as Chairman, Chief Executive Officer and Director of BlackRock Inc., a global asset management firm, since January 1998; Chief
Executive Officer of BlackRock Advisors, LLC, an investment management company, since September 1994; Chairman, Chief Executive Officer and Director of BlackRock Financial Management, Inc., an investment management company, since April 1988 and as
principal since May 1997; Chief Executive Officer of BlackRock Capital Management, Inc., an investment management company, since November 1999; Chief Executive Officer of Blackrock Institutional Management Corporation, an investment management
company, since February 1998; Chief Executive Officer of BlackRock Investment Management, LLC, an investment management company, since September 2006 and a principal since August 2008; Chairman, Chief Executive Officer and Director of State Street
Research & Management Company, an investment management company, since February 2005; a principal of EnSo Capital Management LLC, an investment management company, since May 2002 and a principal of EnSo Capital Management II LLC from July 2002
to November 2009. Mr. Fink received his MBA from the University of California Los Angeles in 1976 and his Bachelor of Science in Political Science from California State University Northridge in 1974.
Michael Latham
became a principal and associated person of BlackRock Fund Advisors, an investment adviser registered
with the SEC and commodity trading advisor registered with the CFTC in March 2010. Mr. Latham became a principal of BlackRock Asset Management International Inc., a commodity pool operator registered with the CFTC in February 2006 and an associated
person of BAMII in January 2010. Mr. Latham has served as Chief Executive Officer and President of BAMII since December 2009 and Director of BAMII since October 2005. Mr. Latham served as Chief Financial Officer of BAMII from October 2005 to
December 2009. Mr. Latham served as Director of iShares
®
Delaware Trust Sponsor LLC, a commodity pool operator from
June 2009 to September 2011 and served as its Chief Executive Officer and President from December 2009 to September 2011. Mr. Latham was a principal of iShares
®
Delaware Trust Sponsor LLC from June 2009 to September 2011 and an associated person of iShares
®
Delaware Trust Sponsor LLC from January 2010 to September 2011. Mr. Latham has served as Co-Chief Operating Officer of BFA since March 2010. Mr. Latham has
served as the global head of the iShares
®
business since July 2010. Mr. Latham served as the head of the iShares
®
business for the United States and Canada from January 2006 to July 2010. Prior to that, Mr. Latham served as the Chief
Operating Officer of the U.S. Individual Investor and the Exchange Traded Fund business of BTC, a national banking association and commodity trading advisor registered with the CFTC, from January 2000 to January 2006. Mr. Latham served as
deputy head of operations and subsequently head of operations for BlackRock Advisors (UK) Limited, a U.K. asset manager from August 1997 to January 2000. From August 1994 to August 1997, Mr. Latham was a manager in the Portfolio Accounting Group at
BTC. Prior to joining BTC, Mr. Latham was an
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auditor at Ernst & Young from September 1989 to August 1994. Mr. Latham received his Bachelor of Science in Business Administration from the San Francisco State University and is a
certified public accountant.
Ann Marie Petach
became a principal of BlackRock Institutional Trust Company, N.A., a national
banking association and a commodity trading advisor registered with the CFTC, and BlackRock Fund Advisors, an investment adviser registered with the SEC and commodity trading advisor registered with the CFTC, in December 2009. Ms. Petach has served
as Director of BlackRock Institutional Trust Company, N.A. since December 2009, and Chief Financial Officer of BlackRock Fund Advisors since December 2009. Ms. Petach has served as Managing Director of BlackRock Inc., a global asset management firm,
since June 2007 and as its Chief Financial Officer since June 2008; Managing Director of BlackRock Advisors, LLC, an investment management company, since June 2007 and as its Chief Financial Officer since June 2008; Managing Director of BlackRock
Capital Management, Inc., an investment management company, since June 2007 and as its Chief Financial Officer since June 2008; Managing Director of BlackRock Financial Management Inc., an investment management company, since June 2007, its Chief
Financial Officer since June 2008 and as principal since September 2008; Managing Director of Blackrock Institutional Management Corporation, an investment management company and a commodity trading advisor registered with the CFTC, since June 2007
and as its Chief Financial Officer since June 2008; Managing Director of BlackRock Investment Management, LLC, an investment management company, since June 2007, Chief Financial Officer since June 2008 and as principal since September 2008; Managing
Director of State Street Research & Management Company, an investment management company, since June 2007 and as Chief Financial Officer since June 2008; Assistant Treasurer of Ford Motor Company, a multinational automotive manufacturer, from
January 1998 to November 2004 and Vice President and Treasurer from November 2004 to June 2007. Ms. Petach received a Bachelor of Arts in Business and Spanish from Muhlenberg College in 1982 and an MBA from Carnegie Mellon University in 1984.
Robert Kapito
became a principal of BlackRock Fund Advisors, an investment adviser registered with the SEC and commodity trading
advisor registered with the CFTC, in December 2009 and has served as Director and President since December 2009. Mr. Kapito has served as Director and Vice Chairman of BlackRock Inc., a global asset management firm, from January 1998 to September
2007 and as its President since September 2007; Director and Vice Chairman of BlackRock Advisors, LLC, an investment management company, from February 1998 to September 2007 and as its President since September 2007; Director and Vice Chairman of
BlackRock Capital Management, Inc., an investment management company, from November 1999 to September 2007 and as its President since September 2007; Director and Vice Chairman of BlackRock Financial Management, Inc., an investment management
company, from April 1988 to September 2007, and as President since September 2007, principal since May 1997 and associated person since October 1997; Director and Vice Chairman of Blackrock Institutional Management Corporation, an investment
management company, from February 1998 to September 2007, and as President since September 2007; Director and Vice Chairman of BlackRock Investment Management LLC, an investment management company, from September 2006 to September 2007, as President
since September 2007 and as a principal since November 2008; Director and Vice Chairman of State Street Research & Management Company, an investment management company, from February 2005 to September 2007, and as President since September 2007.
Mr. Kapito received his Bachelor of Science in Economics from the Wharton School of the University of Pennsylvania in 1979 and his MBA from the Harvard Graduate School of Business in 1983.
Daniel Waltcher
joined BlackRock Fund Advisors, an investment adviser registered with the SEC and commodity trading advisor registered with
the CFTC, in December 2009. Mr. Waltcher has served as Director of BlackRock Fund Advisors since December 2009, principal of BlackRock Fund Advisors since January 2010 and Secretary of BlackRock Fund Advisors since February 2012.
Mr. Waltcher has served as Deputy General Counsel and Managing Director of BlackRock Inc., a global asset management firm, since January 2005. From October 1998 to December 2001, Mr. Waltcher served as Director and Senior Counsel
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at BlackRock, Inc. and from January 2002 to December 2004, he served as Managing Director and Senior Counsel at that entity. Mr. Waltcher became a principal and serves as Managing Director
of BlackRock Asset Management International Inc., a commodity pool operator registered with the CFTC, BlackRock Financial Management Inc, an investment management company and a commodity trading adviser registered with the CFTC, BlackRock
Institutional Trust Company, N.A., a national banking association and a commodity trading advisor registered with the CFTC and BlackRock Investment Management LLC, an investment management company since February 2012. Mr. Waltcher became a
principal and serves as Secretary and Managing Director of iShares Delaware Trust Sponsor LLC, a commodity pool operator, since February 2012. Previously, Mr. Waltcher was Senior Counsel of Chancellor Capital Management, Inc., a money
management firm, from July 1995 to September 1998 and an associate at Simpson Thacher & Bartlett, a law firm, from October 1989 to June 1995. Mr. Waltcher received his Bachelor of Arts from Cornell University in 1984 and his JD from
Cornell Law School in 1989.
BlackRock Delaware Holdings, Inc.
, a Delaware Corporation and an indirect subsidiary of
BlackRock, Inc., became a principal of the Advisor in July 2012. BlackRock Delaware Holdings, Inc. owns 100% of the equity of the Advisor.
Prior to July 2012, the Advisor was owned by BlackRock Institutional Trust Company, N.A., a national banking association and an indirect subsidiary of BlackRock, Inc. and was a principal of the Advisor from
December 2009 to July 2012. On January 20, 2012, BlackRock Institutional Trust Company, N.A. ("BTC"), without admitting or denying wrongdoing entered into an Offer of Settlement with the CFTC under which BTC agreed to the imposition
of a $250,000 penalty and the entry of an Order to resolve allegations by the CFTC that two trades by BTC violated Section 4c(a)(1) of the Commodity Exchange Act and CFTC Regulation 1.38(a). BTC also agreed to cease and desist from any
further violations of these statutes. The CFTC did not allege that any clients of BTC, BlackRock or any related affiliate were harmed in any way in the execution of these two trades.
Greg Savage, a Senior Portfolio Manager and Team Leader, became a principal and an associated person of the Advisor in March 2009. Michael Latham,
Co-Chief Operating Officer of the Advisor, became a principal and associated person of the Advisor in March 2010. Ryan Braniff, Head of a Business Unit, became a principal of the Advisor in October 2008. Reza Estilaei, Head of a Business Function,
became a principal of the Advisor in July 2012. Russ Koesterich, Head of a Business Unit, became a principal of the Advisor in July 2012.
THE FUTURES COMMISSION MERCHANT
The Trust has entered into a futures customer account agreement with a futures commission merchant (the "Clearing FCM") that provides for the execution and clearing of transactions in futures, payment of
commissions, custody of assets and other standard provisions. Barclays Capital Inc. ("BCI") is the Clearing FCM of the Trust. The Trust may employ other futures commission merchants or foreign brokers for the execution of futures
transactions.
BCI is a registered securities broker-dealer and futures commission merchant. BCI is involved in a number of judicial and
arbitration matters arising in connection with the conduct of its business. BCI's management believes, based on currently available information, that the results of such proceedings will not have a significant adverse effect on BCI's
financial condition.
On September 15, 2009 motions were filed in the United States Bankruptcy Court for the Southern District of New
York (the Court) by Lehman Brothers Holdings Inc. (LBHI), the SIPA Trustee for Lehman Brothers Inc. (the SIPA Trustee) and the Official Committee of Unsecured Creditors of Lehman Brothers Holdings Inc. (the Committee). All three motions challenge
certain aspects of the transaction pursuant to which BCI and other companies in the Barclays Group acquired most of the assets of Lehman Brothers Inc. (LBI) in September 2008 and the court order approving such sale. The claimants seek an order:
voiding the transfer of certain assets to BCI; requiring BCI to return to the LBI estate alleged excess value BCI received;
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and declaring that BCI is not entitled to certain assets that it claims pursuant to the sale documents and order approving the sale. On November 16, 2009, LBHI, the SIPA Trustee and the Committee
filed separate complaints in the Bankruptcy Court asserting claims against BCI based on the same underlying allegations as the pending motions and seeking relief similar to that which is requested in the motions. On January 29, 2010 BCI filed its
response to the motions. BCI considers that the motions and claims against it are without merit and is vigorously defending its position. On January 29, 2010, BCI also filed a motion seeking delivery of certain assets that LBHI and LBI have failed
to deliver as required by the sale documents and the court order approving the sale. Claimants completed the presentation of their fact evidence on June 25, 2010. It is not possible to estimate any possible loss to BCI in relation to these matters
or any effect that these matters might have upon operating results in any particular financial period. According to the annual report on Form 20-F filed by Barclays with the Securities and Exchange Commission on March 30, 2012, on February 22,
2011, the Court issued its Opinion in relation to these matters, rejecting the Rule 60 Claims and deciding some of the Contract Claims in the SIPA Trustee's favor and some in favor of BCI. On July 15, 2011, the Court entered final Orders
implementing its Opinion. BCI and the SIPA Trustee have each filed a notice of appeal from the Court's adverse rulings on the Contract Claims. LBHI and the Committee have withdrawn their notices of appeal from the Court's ruling on the
Rule 60 Claims, rendering the Court's Order on the Rule 60 Claims final.
If the final Orders relating to the Contract Claims were
to be unaffected by future proceedings, Barclays estimates that after taking into account the effective provision of US$1.2bn (£0.8bn), its loss would be approximately US$4.3bn (£2.8bn). Any such loss, however, is not considered probable
and Barclays is satisfied with the current level of provision.
In addition, LBHI had been pursuing a claim for approximately US$500m
relating to bonuses that BCI was allegedly obligated to pay to former Lehman employees. On September 14, 2011, the Court issued a decision dismissing that claim and entered a final Order to that effect on September 21, 2011. LBHI has
stated that it will not appeal that decision, rendering the Order dismissing that claim final.
Also, according to the Barclays Form
20-F filing on March 30, 2012, the United States Federal Housing Finance Agency (FHFA), acting for two US government sponsored enterprises, Fannie Mae and Freddie Mac (collectively, the GSEs), filed lawsuits against 17 financial institutions in
connection with the GSEs' purchases of residential mortgage-backed securities (RMBS). The lawsuits allege, among other things, that the RMBS offering materials contained materially false and misleading statements and/or omissions. Barclays Bank
PLC and/or certain of its affiliates or former employees are named in two of these lawsuits, relating to sales between 2005 and 2007 of RMBS, in which BCI was lead or co-lead underwriter.
Both complaints demand, among other things: rescission and recovery of the consideration paid for the RMBS; and recovery for the GSEs' alleged
monetary losses arising out of their ownership of the RMBS. The complaints are similar to other civil actions filed against Barclays Bank PLC and/or certain of its affiliates by other plaintiffs, including the Federal Home Loan Bank of Seattle,
Federal Home Loan Bank of Boston, Federal Home Loan Bank of Chicago, Cambridge Place Investment Management, Inc., HSH Nordbank AG (and affiliates) and Stichting Pensioenfonds ABP, relating to their purchases of RMBS. Barclays considers that the
claims against it are without merit and intends to defend them vigorously.
The original amount of RMBS related to the claims against
Barclays in these cases totaled approximately US$6.8bn, of which approximately US$2.0bn was outstanding as at December 31, 2011. Cumulative losses reported on these RMBS as at December 31, 2011 were approximately US$0.1bn. If Barclays were
to lose these cases it could incur a loss of up to the outstanding amount of the RMBS at the time of judgment (taking into account further principal payments after December 31, 2011) plus any cumulative losses on the RMBS at such time and any
interest, fees and costs, less the market value of the RMBS at such time. Barclays has estimated the total market value of the RMBS as at December 31, 2011 to be approximately US$1.1bn. Barclays may be entitled to indemnification for a portion
of any losses.
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Also, according to the Barclays Bank PLC Form 20-F filing on March 30, 2012, Barclays Bank PLC,
Barclays PLC and various current and former members of Barclays PLC's Board of Directors have been named as defendants in five proposed securities class actions (which have been consolidated) pending in the United States District Court for the
Southern District of New York (the Court). The consolidated amended complaint, dated February 12, 2010, alleges that the registration statements relating to American Depositary Shares representing Preferred Stock, Series 2, 3, 4 and 5 (the ADS)
offered by Barclays Bank PLC at various times between 2006 and 2008 contained misstatements and omissions concerning (amongst other things) Barclays portfolio of mortgage-related (including US subprime-related) securities, Barclays exposure to
mortgage and credit market risk and Barclays financial condition. The consolidated amended complaint asserts claims under Sections 11, 12(a)(2) and 15 of the Securities Act of 1933. On January 5, 2011, the Court issued an order and, on
January 7, 2011, judgment was entered, granting the defendants' motion to dismiss the complaint in its entirety and closing the case. On February 4, 2011, the plaintiffs filed a motion asking the Court to reconsider in part its
dismissal order. On May 31, 2011, the Court denied in full the plaintiffs' motion for reconsideration. The plaintiffs have appealed both decisions (the grant of the defendants' motion to dismiss and the denial of the plaintiffs'
motion for reconsideration) to the United States Court of Appeals for the Second Circuit.
Barclays considers that these ADS-related
claims against it are without merit and is defending them vigorously. It is not practicable to estimate Barclays possible loss in relation to these claims or any effect that they might have upon operating results in any particular financial period.
Also, according to the Barclays Bank PLC Form 20-F filing on March 30, 2012, on January 13, 2009, Barclays commenced an
action in the Ontario Superior Court seeking an order that its early terminations earlier that day of two credit default swaps under an ISDA Master Agreement with the Devonshire Trust (Devonshire), an asset-backed commercial paper conduit trust,
were valid. On the same day, Devonshire purported to terminate the swaps on the ground that Barclays had failed to provide liquidity support to Devonshire's commercial paper when required to do so. On September 7, 2011, the court ruled
that Barclays early terminations were invalid, Devonshire's early terminations were valid and, consequently, Devonshire was entitled to receive back from Barclays cash collateral of approximately C$533m together with accrued interest thereon.
Barclays is appealing the court's decision. If the court's decision were to be unaffected by future proceedings, Barclays estimates that its loss would be approximately C$500m, less any impairment provisions taken by Barclays for this
matter.
In addition, the CFTC, the Securities and Exchange Commission, the U.S. Department of Justice Fraud Section (DOJ-FS) and
Antitrust Division, and the Financial Services Authority (FSA) are among various authorities conducting investigations into submissions made by Barclays Bank PLC (BCI's ultimate parent) and other panel members to the bodies that set various
interbank offered rates, such as the London Interbank Offered Rate (LIBOR) and the Euro Interbank Offered Rate (EURIBOR). On June 27, 2012, Barclays PLC, Barclays Bank PLC and BCI announced that they had reached a settlement with the CFTC. A
penalty of $200 million was paid by the Barclays entities in connection with the CFTC settlement. On June 27, 2012, Barclays Bank PLC also announced that it had reached a settlement with the FSA by entry into a Settlement Agreement and with
DOJ-FS by entry into a Non-Prosecution Agreement with the U.S. Department of Justice. Barclays has agreed to pay total penalties of £290 million (sterling equivalent) in connection with these three resolutions with the CFTC, DOJ-FS and
the FSA. In addition, Barclays Bank PLC announced that it has been granted conditional leniency from the Antitrust Division of the Department of Justice in connection with potential US antitrust law violations with respect to financial instruments
that reference EURIBOR. On July 6, 2012, the U.K. Serious Fraud Office announced that it had decided formally to accept the LIBOR matter for investigation.
A number of civil cases containing allegations relating to LIBOR and other interbank rates have been filed against Barclays and other banks, including: Kalaway v. Barclays, PLC et al., S.D.N.Y., No. 12-cv-5280
and Gusinsky v. Barclays, PLC et al., S.D.N.Y., No. 12-cv-5329. A class action was commenced on July 6,
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2012 in the United States District Court for the Southern District of New York (SDNY) against BCI, Barclays Bank PLC and other EURIBOR panel banks by plaintiffs that purchased or sold
EURIBOR-related financial instruments between January 1, 2005 through December 31, 2009.
BCI, Barclays PLC and Barclays Bank
PLC also have been named as defendants along with a current and a former member of Barclays PLC's Board of Directors in a proposed securities class action pending in the SDNY in connection with Barclays Bank PLC's role as a contributor
panel bank to LIBOR. The complaint alleges that Barclays PLC's Annual Reports on Form 20-F for the years 2006 to 2011 contained misstatements and omissions concerning (among other things) its compliance with its operational risk management
processes and certain laws and regulations. The complaint is brought on behalf of a proposed class consisting of all persons or entities (other than defendants) who purchased Barclays PLC-sponsored American Depositary Receipts on an American
securities exchange between July 10, 2007 and June 27, 2012.
There have been no other administrative, civil or criminal
actions, whether pending or concluded, against BCI within the last 5 years that would be considered to be material as defined in Section 4.24(l)(2) of the Regulations under the CEA. Neither BCI nor any affiliate, officer, director or employee
thereof has passed on the merits of this prospectus or offering, or gives any guarantee as to the performance or any other aspect of the Fund.
THE FOREIGN CURRENCY PRIME BROKER
The Trust has entered into an
agreement with The Royal Bank of Scotland plc for the provision of prime brokerage services to the Trust. This agreement is not exclusive and, accordingly, the Trust may from time to time use prime brokerage services from other sources. See
"
Risk
Factors—Risks Related to Derivatives Contracts—When entering into foreign currency forward contracts, the Trust assumes the risk that its counterparties may become unable or
unwilling
to pay any amounts owed to the Trust
" and "—
Failure of the Clearing FCM to segregate assets or the insolvency of the Trust's primer broker may increase losses.
"
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CONFLICTS OF INTEREST
General
Prospective investors should be
aware that the Sponsor intends to assert that Shareholders have, by purchasing Shares, consented to the following conflicts of interest in the event of any proceeding alleging that such conflicts violated any duty owed by the Sponsor to the
Shareholders.
The Sponsor, the Advisor and the Trustee want you to know that there are certain entities with which the Sponsor, the
Advisor or the Trustee may have relationships that may give rise to conflicts of interest, or the appearance of conflicts of interest. These entities include the following: affiliates of the Advisor, the Sponsor and the Trustee (including BlackRock,
Inc., and
The PNC Financial Services Group, Inc
.
and each of their affiliates, directors, partners, trustees, managing members, officers and employees (collectively, the "Affiliates")).
The activities of the Sponsor, the Advisor, the Trustee and the Affiliates in the management of, or their interest in, their own accounts and other
accounts they manage, may present conflicts of interest that could disadvantage the Trust and its shareholders. The Sponsor, the Advisor, the Trustee or the Affiliates provide investment management services to other funds and discretionary managed
accounts that may follow an investment program similar to that of the Trust. The Sponsor, the Advisor, the Trustee and the Affiliates are involved worldwide with a broad spectrum of financial services and asset management activities and may engage
in the ordinary course of business in activities in which their interests or the interests of their clients may conflict with those of the Trust. The Sponsor, the Advisor, the Trustees or one or more Affiliates act or may act as an investor,
investment banker, research provider, investment manager, financier, underwriter, advisor, market maker, trader, prime broker, lender, agent and principal, and have other direct and indirect interests, in assets in which the Trust directly and
indirectly invest.
Thus, it is likely that the Trust will have multiple business relationships with and will invest in, engage in
transactions with, make voting decisions with respect to, or obtain services from entities for which the Sponsor, the Advisor, the Trustee or an Affiliate performs or seeks to perform investment banking or other services.
The Sponsor, the Advisor, the Trustee and one or more Affiliates may engage in proprietary trading and advise accounts and funds that have
investment objectives similar to those of the Trust and/or that engage in and compete for transactions in the same types of assets as the Trust. The trading activities of the Sponsor, the Advisor, the Trustee and the Affiliates are carried out
without reference to positions held directly or indirectly by the Trust and may result in the Sponsor, the Advisor, the Trustee or an Affiliate having positions that are adverse to those of the Trust.
No Affiliate is under any obligation to share any investment opportunity, idea or strategy with the Trust. As a result, an Affiliate may compete
with the Trust for appropriate investment opportunities. As a result of this and several other factors, the results of the Trust's investment activities may differ from those of an Affiliate and of other accounts managed by an Affiliate and it
is possible that the Trust could sustain losses during periods in which one or more Affiliate and other accounts achieve profits on their trading for proprietary or other accounts. The opposite result is also possible.
The Trust may, from time to time, enter into transactions in which other clients of the Sponsor, the Advisor, the Trustee or an Affiliate have an
adverse interest. Furthermore, transactions undertaken by Affiliate-advised clients may adversely impact the Trust. Transactions by one or more Affiliate-advised clients or the Sponsor, the Advisor, the Trustee or the Affiliate may have the effect
of diluting or otherwise disadvantaging the values, prices or investment strategies of the Trust.
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The Trust's activities may be limited because of regulatory restrictions applicable to one or
more Affiliates and/or their internal policies designed to comply with such restrictions. An Affiliate may have business relationships with and purchase or distribute or sell services or products from or to distributors, consultants or others who
recommend the Trust or who engage in transactions with or for the Trust, and may receive compensation for such services. The Trust may also make brokerage and other payments to Affiliates in connection with the Trust's portfolio investment
transactions.
The activities of the Sponsor, the Advisor, the Trustee or the Affiliates may give rise to other conflicts of interest
that could disadvantage the Trust and its shareholders. The Sponsor, the Advisor and the Trustee have adopted policies and procedures designed to address these potential conflicts of interest.
The Sponsor
The Sponsor is an affiliate of
the Trustee and the Advisor therefore, the Sponsor may have a conflict of interest with respect to its oversight of the Trustee or the Advisor. In particular, the Sponsor, which has authority to remove the Trustee and the Advisor in its discretion,
will have an incentive not to exercise this authority, even when it is in the best interests of the Shareholders to do so, because of the relationship between the entities.
In addition, the Sponsor has a conflict of interest in allocating its own limited resources among different clients and potential future business ventures, to each of which it owes different duties. The
professional staff of the Sponsor also services other affiliates of the Sponsor and their respective clients. Although the Sponsor and its professional staff cannot and will not devote all of its or their respective time or resources to the
management of the business and affairs of the Trust, the Sponsor intends to devote, and to cause its professional staff to devote, sufficient time and resources properly to manage the business and affairs of the Trust consistent with its or their
respective duties to the Trust and others.
As described elsewhere in this prospectus, the Sponsor is entitled to receive from the Trust
as the Sponsor's Fee an allocation that accrues daily at an annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust and is payable monthly in arrears. See "Business of the Trust—Computation of the Trust's Net
Asset Value." This allocation may be higher than the amount the Trust would negotiate with an unaffiliated third party on an arm's-length basis.
The Advisor
The Advisor may, from time to time, have conflicting demands in respect of its
obligations to the Trust. The Advisor and its affiliates may engage in trading activities relating to derivative instruments that are not for the account of, or on behalf of, the Trust or the Shareholders. These activities may present a conflict
between the Shareholders' interest in the Shares and the interest of the Advisor and its affiliates in their proprietary accounts, in facilitating transactions, including derivatives transactions, for their customers' accounts and in
accounts under their management. These trading activities, if they influence the value of the Portfolio, could be adverse to the interests of the Shareholders.
A conflict of interest may also arise where the Advisor finds that futures positions established for the benefit of the Trust, when aggregated with the Advisor's positions in other accounts of the Advisor (or
the proprietary or other positions of its principals or affiliates) approach or exceed the position limits set by the CFTC or the relevant futures exchange in a particular asset. All futures contracts managed by the Advisor and its affiliates in
respect of a particular futures contract are combined for position limit purposes. It is possible that the Advisor may approach or reach such position limits and, if so, will have a conflict of interest among the various accounts it manages as to
which accounts are allocated the limited contracts available. In addition, if the position limits are exceeded by the Advisor (or its principals or affiliates) in the opinion of the CFTC or other regulatory body, exchange, or board of trade, the
Advisor may be forced to
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liquidate certain positions in order to comply with the applicable position limit requirements. In liquidating positions held on behalf of its accounts, however, the Advisor may choose not to
liquidate positions held on behalf of the Trust in proportion to other accounts under its management. The result to the Trust would be a reduction in the potential for profit and/or potentially substantial losses should the exit of positions be at
unfavorable prices by virtue of position limits. Although the Advisor may be able to achieve the same performance results with over-the-counter substitutes for futures contracts, the over-the-counter market may be subject to differing prices, lesser
liquidity and greater counterparty credit risks than the regulated commodities exchanges.
Certain affiliates of the Advisor, including
BlackRock Institutional Trust Company, N.A., may currently or in the future offer products or pursue investment strategies that may utilize or include some or all of the strategies and/or exposures targeted by the Trust, or which may compete or
conflict with the Trust's activities. Further, a conflict of interest may also arise where the Advisor receives an incentive-based fee in lieu of, or in addition to, an asset-based fee for its advisory services in respect of certain accounts,
other than the Trust, under its management. Unlike the asset-based fee arrangement established between the Advisor and the Trust, an account with an incentive-based fee arrangement would pay the Advisor a portion of that account's gains or
provide additional compensation if the Advisor meets or exceeds specified performance targets. It is possible that the Advisor may devote greater resources and allocate more investment opportunities to the accounts that have incentive-based fee
arrangements, relative to other accounts under the Advisor's management, including the Trust, in order to earn higher compensation. Although the Advisor intends to allocate resources and opportunities equitably among accounts under its
management regardless of the existing fee arrangements, the Advisor may choose not to do so. The result would be a reduction in the potential opportunities for profit and adverse effect on the price of the Shares.
Moreover, the Sponsor, the Advisor and/or their affiliates have published and in the future expect to publish research reports with respect to
commodities markets. This research may express opinions or provide recommendations that are inconsistent with purchasing or holding Shares or with positions taken in the Portfolio. The research should not be viewed as a recommendation or endorsement
of the Shares in any way, and investors must make their own independent investigation of the merits of this investment. Any of these activities by the Sponsor, the Advisor and their affiliates may affect the value of the Portfolio and the price of
the Shares.
The Clearing FCM
The Clearing FCM receives a brokerage commission for futures interests transactions effected for the Trust. Customers of the Clearing FCM who
maintain commodity trading accounts may pay commissions at negotiated rates which are greater or less than the rate paid by the Trust. The Sponsor has a disincentive to replace the Clearing FCM as the Trust's futures commission merchant because
of the existing relationship between the two entities.
The Sponsor and the Clearing FCM may, from time-to-time, have conflicting
demands in respect of their obligations to the Trust, and, in the future, to other commodity pools and accounts. It is possible that future pools that the Sponsor may become involved with may generate larger brokerage commissions, resulting in
increased payments to the Clearing FCM.
In addition, the Clearing FCM may act from time-to-time as a futures commission merchant for
other accounts with which it is affiliated or in which it or one of its affiliates has a financial interest. The compensation received by the Clearing FCM from such accounts may be more or less than the compensation received for brokerage services
provided to the Trust. In addition, various accounts traded through the Clearing FCM (and over which their personnel may have discretionary trading authority) may take positions in the futures markets opposite to those of the Trust or may compete
with the Trust for the same positions. The Clearing FCM may have a conflict of interest in its execution of trades for the Trust and
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for other customers. The Sponsor will, however, not retain any futures commission merchant for the Trust which the Sponsor has reason to believe would knowingly or deliberately favor any other
customer over the Trust with respect to the execution of commodity trades.
The Clearing FCM benefits from executing orders for other
customers, whereas the Trust may be harmed to the extent that the Clearing FCM has fewer resources to allocate to the Trust's accounts due to the existence of such other customers. Certain officers or employees of the Clearing FCM may be
members of United States commodities exchanges and/or serve on the governing bodies and standing committees of such exchanges, their clearing houses and/or various other industry organizations. In such capacities, these officers or employees may
have a fiduciary duty to the exchanges, their clearing houses and/or such various other industry organizations which could compel such employees to act in the best interests of these entities, perhaps to the detriment of the Trust.
The Trustee
The Trustee is authorized to
appoint an unaffiliated Trust Administrator or agent to carry out all or some of its duties under the Trust Agreement, but it is able to terminate or replace the Trust Administrator or agent at any time, and is not required to delegate any of its
duties to an unaffiliated third party.
No Distributions
The Sponsor has discretionary authority over all distributions made by the Trust. If the Sponsor determines that there is more cash being held in the Trust than is reasonably expected to be invested or needed to
pay the Trust's expenses in the near future, the Sponsor at its absolute discretion can direct the Trustee to distribute the extra cash to the Shareholders. The Trust has no obligation to make, and does not expect to make periodic distributions
to Shareholders. The Sponsor receives greater Sponsor's Fees as the value of the Portfolio's net assets increase.
Resolution of Certain
Conflicts
The Trust Agreement provides that in the case of a conflict of interest among the Trustee, the Sponsor and their
affiliates, on the one hand, and the holders of Shares, on the other, the Trustee and Sponsor will resolve such conflict considering the relevant interests of each party (including their own interests) and related benefits and burdens, any customary
or accepted industry practices, and any applicable generally accepted accounting practices or principles. The Trust Agreement provides that in the absence of bad faith by the Sponsor or Trustee, such a resolution will not constitute a breach of the
Trust Agreement or any duty or obligation of the Sponsor or Trustee.
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CERTAIN PERFORMANCE DATA
Trust
The following information is
presented in accordance with CFTC regulations.
All summary performance information is given as of August 31, 2012. Performance
information is set forth in accordance with CFTC regulations, since November 16, 2009.
T
he returns set forth below
refle
ct a maximum targeted annual portf
olio return volatility of 8%.
As explained elsewhere in this prospectus, this range is being revised by the Advisor to 6% to 10% as of the date of this prospectus.
(See "Business
of the Trust—Investment Objectives; Strategies—Portfolio Construction" above.)
Name of Pool:
iShares
®
Diversified Alternatives Trust
Type of Pool:
Public, Exchange-Listed Commodity Pool
Date of Inception of Trading:
November 16, 2009
Aggregate Gross Capital Subscriptions
(1)
as of August 31, 2012:
$150,504,552
Net Asset Value as of August 31, 2012:
$60,775,802
Net Asset Value per Share as of August 31, 2012
(2)
:
$50.65
Worst Monthly
Drawdown
(3)
:
3.03%
(August 2011)
Worst Peak-to-Valley Drawdown
(4)
:
7.43%
(April 2011 - June 2012)
(1)
"Aggregate Gross Capital Subscriptions" is the aggregate of all amounts ever contributed to the pool, including those of investors who subsequently
redeemed their investments.
(2)
"Net Asset Value per Share" is the net asset value of the pool divided by the total number of Shares outstanding as of August 31, 2012.
(3)
"Worst Monthly Drawdown" is the largest single month loss sustained since inception of trading. "Drawdown" as used in this section of the
Prospectus means losses experienced by the pool over the specified period and is calculated on a rate of return basis, i.e., dividing net performance by beginning equity. Drawdown is measured on the basis of monthly returns only, and does not
reflect intra-month figures.
(4)
"Worst Peak-to-Valley Drawdown" is the greatest cumulative percentage decline in month-end Net Asset Value per Share due to losses sustained by the
pool during any period in which the initial month-end Net Asset Value per Share is not equaled or exceeded by a subsequent month-end Net Asset Value per Share.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Rate of Return:
Month
2012
2011
2010
2009
January
0.18
%
1.57
%
0.16
%
n/a
February
(0.47
)%
0.84
%
(0.77
)%
n/a
March
0.18
%
(1.36
)%
0.57
%
n/a
April
(0.06
)%
3.08
%
1.01
%
n/a
May
0.74
%
(1.39
)%
0.84
%
n/a
June
(1.00
)%
(0.12
)%
(1.41
)%
n/a
July
4.28
%
(1.02
)%
0.48
%
n/a
August
(0.10
)%
(3.03
)%
(0.60
)%
n/a
September
(1.43
)%
1.59
%
n/a
October
1.23
%
0.95
%
n/a
November
(1.27
)%
(0.27
)%
(0.67
)%
December
(0.16
)%
(0.69
)%
(1.16
)%
Year
3.73
%
(3.17
)%
1.84
%
(1.82
)%
(through
August 2012
)
(January –
December 2011
)
(January –
December 2010
)
(November –
December 2009
)
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Other Commodity Pools and Accounts
The following information is presented in accordance with CFTC regulations.
The
following information, given as of August 31, 2012, pertains to the iShares
®
S&P GSCI
™
Commodity-Indexed Trust ("GSCI Trust") operated by BlackRock Asset Management International Inc., the sole member
of the Trust's commodity pool operator. The summary below also substantially reflects the performance of the iShares
®
S&P GSCI
™
Commodity-Indexed Investing Pool LLC ("GSCI Investing Pool"). The GSCI Trust owns substantially
all of the interests in the GSCI Investing Pool which is advised by BlackRock Fund Advisor, the Trust's Advisor. When examining the information that follows, prospective investors in the Shares should keep in mind that the performance of the
GSCI Trust is not an indication of the returns, if any, that the Advisor may be able to generate for the Trust. While the GSCI Trust merely tracks an index and, therefore, makes its investments in the same futures contract replicating that index,
the Trust is actively managed and invests in a variety of futures contracts and foreign-currency forward contracts not included in the index tracked by the GSCI Trust without seeking to replicate the performance of an index or other benchmark.
Accordingly, the success or failure of the Advisor in replicating the performance of the index tracked by the GSCI Trust has little, if any, relevance to the consideration of how likely the Advisor may be to generate positive results for the Trust.
See "Risk Factors—Risks Relating to the Advisor and its Trading Strategies—The lack of experience of the Advisor and its principals in actively managing an entity like the Trust and applying quantitative investment strategies similar
to those that are used in the selection of investments for the Trust may result in substantial trading losses for the Trust and, as a result, you could lose some or all of the value of your Shares."
Name of Pool:
iShares
®
S&P GSCI
™
Commodity-Indexed Trust
Type of Pool:
Public, Exchange-Listed Commodity Pool
Date of Inception of Trading:
July 10, 2006
Aggregate Gross Capital Subscriptions
(1)
as of August 31, 2012:
$2,712,409,643
Net Asset Value as of August 31, 2012:
$1,341,871,412
Net Asset Value per share as of August 31, 2012:
(2)
$34.58
Worst Monthly
Drawdown:
(3)
27.77%
(October 2008)
Worst Peak-to-Valley Drawdown:
(4)
67.43%
(June 2008 – February 2009)
(1)
"Aggregate Gross Capital Subscriptions" is the aggregate of all amounts ever contributed to the pool, including those of investors who subsequently
redeemed their investments.
(2)
"Net Asset Value per share" is the net asset value of the pool divided by the total number of shares outstanding as of August 31, 2012.
(3)
"Worst Monthly Drawdown" is the largest single month loss sustained since inception of trading. "Drawdown" as used in this section of the
Prospectus means losses experienced by the relevant pool over the specified period and is calculated on a rate of return basis, i.e., dividing net performance by beginning equity. Drawdown is measured on the basis of monthly returns only, and does
not reflect intra-month figures.
(4)
"Worst Peak-to-Valley Drawdown" is the greatest cumulative percentage decline in month-end Net Asset Value per share due to losses sustained by the
pool during any period in which the initial month-end Net Asset Value per share is not equaled or exceeded by a subsequent month-end Net Asset Value per share.
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Rate of Return:
Month
2012
2011
2010
2009
2008
2007
January
2.15
%
2.58
%
(7.74
)%
(6.76
)%
0.19
%
(2.14
)%
February
6.07
%
4.11
%
5.51
%
(6.51
)%
10.29
%
4.26
%
March
(2.23
)%
3.10
%
1.56
%
4.67
%
(0.76
)%
2.93
%
April
(0.54
)%
3.99
%
1.98
%
(1.00
)%
8.25
%
0.31
%
May
(13.13
)%
(7.60
)%
(13.15
)%
19.52
%
9.23
%
(2.41
)%
June
1.09
%
(5.70
)%
0.83
%
0.75
%
8.42
%
3.49
%
July
6.35
%
3.85
%
5.44
%
0.03
%
(12.07
)%
5.21
%
August
6.37
%
(2.69
)%
(6.11
)%
(1.74
)%
(7.40
)%
(3.78
)%
September
(11.85
)%
8.74
%
(0.14
)%
(11.99
)%
9.56
%
October
10.21
%
2.43
%
6.20
%
(27.77
)%
9.65
%
November
0.42
%
0.94
%
0.67
%
(16.40
)%
(3.22
)%
December
(1.64
)%
9.74
%
0.86
%
(13.65
)%
4.95
%
Year
4.66
%
(3.25
)%
7.83
%
15.12
%
(47.47
)%
31.45
%
(through
August
2012
)
(January –
December
2011
)
(January –
December
2010
)
(January –
December
2009
)
(January –
December
2008
)
(January –
December
2007
)
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Table of Contents
U.S. FEDERAL INCOME TAX CONSEQUENCES
The following is a summary of U.S. federal income tax consequences material to the purchase, ownership and disposition of the Shares. Unless
otherwise specifically indicated herein, this summary addresses the tax consequences only to a beneficial owner of Shares that is (i) an individual citizen or resident of the United States, (ii) a corporation organized in or under the laws
of the United States or any state thereof or the District of Columbia or (iii) otherwise subject to U.S. federal income taxation on a net income basis in respect of the Shares (a "U.S. Holder"). This summary does not purport to be a
comprehensive description of all of the tax considerations that may be relevant to a decision to purchase the Shares by any particular investor. This summary also does not address the tax consequences to (1) persons that may be subject to
special treatment under U.S. federal income tax law, such as banks, insurance companies, thrift institutions, regulated investment companies, real estate investment trusts, traders in securities that elect to mark to market and dealers in securities
or currencies, (2) persons that will hold Shares as part of a position in a "straddle" or as part of a "hedging," "conversion" or other integrated investment transaction for federal income tax purposes,
(3) persons whose functional currency is not the U.S. dollar, or (4) persons that do not hold Shares as capital assets.
This
summary is based on the Code, Treasury regulations, IRS rulings and judicial decisions in effect as of the date of this prospectus, all of which are subject to change at any time (possibly with retroactive effect) or different interpretations. As
the law is technical and complex, the discussion below necessarily represents only a general summary. Moreover, the effect of any applicable state, local or foreign tax laws is not discussed.
There can be no assurance that the IRS will not challenge one or more of the tax consequences described herein. The Sponsor has not obtained, nor
does it intend to obtain, a ruling from the IRS with respect to the U.S. federal tax consequences of acquiring, owning or disposing of the Shares. Prospective investors in the Shares should consult their tax advisors in determining the tax
consequences of an investment in the Shares, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.
Classification of the Trust
Clifford Chance US LLP has acted as counsel to the Trust in
connection with this offering. The Trust has received the opinion of Clifford Chance US LLP to the effect that, although the matter is not free from doubt due to the lack of clear guidance and direct authority, the Trust will not be classified for
U.S. federal income tax purposes as an association or a publicly traded partnership taxable as a corporation. You should be aware that opinions of counsel are not binding on the IRS, and no assurance can be given that the IRS will not challenge the
conclusions set forth in such opinion. It must be emphasized that the opinion of Clifford Chance US LLP is based on various assumptions relating to the Trust's organization, operation, assets and activities, and that all factual representations
and statements set forth in all relevant documents, records and instruments are true and correct, all actions described in this prospectus are completed in a timely fashion and that the Trust will at all times operate in accordance with the method
of operation described in the Trust's Trust Agreement and this prospectus, and is conditioned upon factual representations and covenants made by the Trust, and the Sponsor regarding the Trust's organization, operation, assets, activities,
and conduct of the Trust's operations, and assumes that such representations and covenants are accurate and complete. Such representations include, as discussed further below, representations to the effect that the Trust will meet the
"qualifying income exception" described below and will not be engaged in a financial business, although there is no clear guidance on what constitutes a financial business under the tax laws.
While it is expected that the Trust will operate so that the Trust will qualify to be treated for U.S. federal income tax purposes as a
partnership, and not as an association or a publicly traded partnership
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taxable as a corporation, given the highly complex nature of the rules governing partnerships, the ongoing importance of factual determinations, the lack of direct guidance with respect to the
application of tax laws to the activities the Trust is undertaking and the possibility of future changes in its circumstances, it is possible that the Trust will not so qualify for any particular year. Clifford Chance US LLP has no obligation to
advise the Trust or the Trust's Shareholders of any subsequent change in the matters stated, represented or assumed, or of any subsequent change in the applicable law. The Trust's taxation as a partnership will depend on the Trust's
ability to meet, on a continuing basis, through actual operating results, the "qualifying income exception" (as described below), the compliance with which will not be reviewed by Clifford Chance US LLP. Accordingly, no assurance can be
given that the actual results of the Trust's operations for any taxable year will satisfy the qualifying income exception.
Under
Section 7704 of the Code, unless certain exceptions apply, a publicly traded partnership is generally treated and taxed as a corporation, and not as a partnership, for U.S. federal income tax purposes. A partnership is a publicly traded
partnership if (i) interests in the partnership are traded on an established securities market or (ii) interests in the partnership are readily tradable on a secondary market or the substantial equivalent thereof. It is expected that
initially or in the future the Trust will be treated as a publicly traded partnership. If 90% or more of the income of a publicly traded partnership during each taxable year consists of "qualifying income" and the partnership is not
required to register under the Investment Company Act, it will be treated as a partnership, and not as an association or publicly traded partnership taxable as a corporation, for U.S. federal income tax purposes (the "qualifying income
exception"). Qualifying income generally includes interest (other than certain contingent interest), gains from futures or forward contracts derived from investing in foreign currencies and income from certain commodities transactions. In
addition, qualifying income generally also includes income from a notional principal contract (such as a credit default swap) if the income from the reference obligation would be qualifying income. In determining whether interest is treated as
qualifying income for purposes of these rules, interest income derived from a "financial business" and income and gains derived by a "dealer" in securities are not treated as qualifying income. The Trust is expected to take the
position that for purposes of determining whether it will be engaged in a financial business, portfolio investing activities that it will engage in will not cause the Trust to be engaged in a financial business or to be considered a
"dealer" in securities. While it is expected that the Trust will satisfy the qualifying income exception, and qualify to be taxed as a partnership, there can be no assurance that the IRS would not successfully challenge the Trust's
compliance with the qualifying income requirements and assert that the Trust is a publicly traded partnership taxable as a corporation for U.S. federal income tax purposes.
If, for any reason the Trust becomes taxable as a corporation for U.S. federal income tax purposes, the Trust's items of income and deduction would not pass through to the Trust's Shareholders and the
Trust's Shareholders would be treated for U.S. federal income tax purposes as stockholders in a corporation. The Trust would be required to pay income tax at corporate rates on its net income. Distributions by the Trust to the Shareholders
would constitute dividend income taxable to such Shareholders, to the extent of the Trust's earnings and profits, and the payment of these distributions would not be deductible by the Trust. These consequences would have a material adverse
effect on the Trust, the Trust's Shareholders and the value of the Shares.
If at the end of any taxable year the Trust fails to
meet the qualifying income exception, the Trust may still qualify as a partnership if the Trust is entitled to relief under the Code for an inadvertent termination of partnership status. This relief will be available if (i) the failure is cured
within a reasonable time after discovery, (ii) the failure is determined by the IRS to be inadvertent, and (iii) the Trust agrees to make such adjustments or to pay such amounts as are determined by the IRS. It is not possible to state
whether the Trust would be entitled to this relief in any or all circumstances. It also is not clear under the Code whether this relief is available for the Trust's first taxable year as a publicly traded partnership. If this relief provision
is not applicable to a particular set of circumstances involving the Trust, it will not qualify as a partnership for U.S. federal income tax purposes. Even if this relief provision applies and the Trust retains its
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partnership qualification, the Trust or its Shareholders (during the failure period) will be required to pay such amounts as determined by the IRS.
The remainder of this discussion assumes that the Trust will qualify to be taxed as a partnership for U.S. federal income tax purposes.
Distributions on the Shares
Distributions
on the Shares generally will not be taxable to you, except to the extent that the cash you receive exceeds your adjusted tax basis in the Shares. Cash distributions in excess of your adjusted tax basis in the Shares generally will be treated as gain
from the sale or exchange of the Shares, taxable in accordance with the rules described under "—Sale, Exchange or Other Taxable Disposition of Shares."
Upon a liquidating distribution of cash by the Trust (a distribution to you that terminates your interest in the Trust), you generally will recognize gain or loss from the sale or exchange of the Shares, taxable in
accordance with the rules described under "—Sale, Exchange or Other Taxable Disposition of Shares."
Sale, Exchange or Other Taxable
Disposition of Shares
Upon the sale, exchange or other taxable disposition of Shares, you generally will recognize capital gain or
loss equal to the difference between the amount realized upon the sale, exchange or other disposition and your adjusted tax basis in the Shares. Your adjusted tax basis in your Shares generally will be equal to the amount you paid for your Shares
(1) increased by any income or gain of the Trust that is allocated to you, and by the amount of any contributions you make to the capital of the Trust as part of the creation of a Basket, and (2) decreased, but not below zero, by any loss
or expense of the Trust that is allocated to you, and by the amount of any cash and the tax basis of any property distributed (or deemed distributed) to you. For a description of the allocation of income, gain, loss and expense to you, see
"—Partnership Allocations and Adjustments."
Creation and Redemption of Baskets
Holders of Shares other than Authorized Participants (or holders for which an Authorized Participant is acting) generally are not expected to
recognize gain or loss as a result of an Authorized Participant's creation or redemption of a Basket. If the Trust disposes of an asset in connection with the redemption of a Basket, however, the disposition may give rise to gain or loss that
will be allocated in part to you. An Authorized Participant's creation or redemption of a Basket also may affect the portion of the Trust's tax basis in the asset that is allocated to you.
Limitations on Deductibility of Certain Losses and Expenses
The deductibility for U.S. federal income tax purposes of a U.S. Holder's share of losses and expenses of the Trust is subject to certain limitations, including, but not limited to, rules providing that:
(1) you may not deduct the Trust's losses that are allocated to you in excess of your adjusted tax basis in your Shares; (2) individuals and personal holding companies may not deduct the losses allocable to a particular
"activity" in excess of the amount that they are considered to have "at risk" with respect to the activity; (3) the ability of individuals to take certain itemized deductions may be limited by the "alternative minimum
tax;" and (4) a noncorporate U.S. Holder may deduct its share of expenses of the Trust only to the extent that such share, together with such noncorporate U.S. Holder's other miscellaneous itemized deductions, exceeds 2 percent of
such noncorporate U.S. Holder's adjusted gross income. The Trust will report the Sponsor's Fee as an expense of the kind subject to the limitation on miscellaneous itemized deductions. To the extent that a loss or expense that you cannot
deduct currently is allocated to you, you may be required to report taxable income in excess of your economic income or cash distributions to you on the Shares.
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You are urged to consult your own tax advisor with regard to these and other limitations on your ability to deduct losses or expenses with respect to the Trust.
Under Section 709(b) of the Code, amounts paid or incurred to organize a partnership may, at the election of the partnership, be treated as
deferred expenses, which are allowed as a deduction ratably over a period of 180 months. The Trust has not yet determined whether they will make such an election. A non corporate U.S. Shareholder's allocable share of such organizational
expenses would constitute miscellaneous itemized deductions. Expenditures in connection with the issuance and marketing of Shares (so called "syndication fees") are not eligible for the 180 month amortization provision and are not
deductible.
Partnership Allocations and Adjustments
For U.S. federal income tax purposes, your share of the Trust's income, gain, loss, deduction and other items will be determined by the Trust Agreement, unless an allocation under this agreement does not have
"substantial economic effect," in which case the allocations will be determined in accordance with the "partners' interests in the partnership." Subject to the discussion below under "—Monthly Allocation and
Revaluation Conventions" and "—Section 754 Election," the allocations pursuant to the Trust Agreement should be considered to have substantial economic effect.
If the allocations provided by the Trust Agreement were successfully challenged by the IRS, the amount of income or loss allocated to you for U.S.
federal income tax purposes under the agreement could be increased or decreased, the timing of income or loss could be accelerated or deferred, or the character of the income or loss could be altered.
As described in more detail below, the U.S. tax rules that apply to partnerships are complex and their application is not always clear. Moreover,
the rules generally were not written for, and in some respects are difficult to apply to, publicly traded interests in partnerships. The Trust will apply certain assumptions and conventions intended to comply with the intent of the rules and to
report income, gain, deduction, loss and credit to investors in a manner that reflects the investors' economic gains and losses, but these assumptions and conventions may not comply with all aspects of the applicable Treasury regulations. It is
possible therefore that the IRS will successfully assert that these assumptions or conventions do not satisfy the technical requirements of the Code or the Treasury regulations and will require that items of income, gain, deduction, loss and credit
be adjusted or reallocated in a manner that could be adverse to you.
Monthly Allocation and Revaluation Conventions
In general, the Trust's taxable income and losses will be determined monthly and will be apportioned among the holders of Shares in proportion to the number of Shares treated as owned by each of them as of the
close of the last trading day of the preceding month. By investing in the Shares, a U.S. Holder agrees that, in the absence of an administrative determination or judicial ruling to the contrary, it will report income and loss under the monthly
allocation and revaluation conventions described below.
Under the monthly allocation convention, the person that was treated for U.S.
federal income tax purposes as holding a Share as of the close of the last trading day of the preceding month will be treated as continuing to hold that Share until immediately before the close of the last trading day of the following month. As a
result, a holder that is transferring its Shares or whose Shares are redeemed prior to the close of the last trading day of a month may be allocated income, gain, loss and deduction realized after the date of transfer.
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The Code generally requires that items of partnership income and deductions be allocated between
transferors and transferees of partnership interests on a daily basis. It is possible that transfers of Shares could be considered to occur for these purposes when the transfer is completed without regard to the Trust's monthly convention for
allocating income and deductions. In that event, the Trust's allocation method might be viewed as violating that requirement.
In
addition, for any month in which a creation or redemption of Shares takes place, the Trust generally will credit or debit, respectively, the "book" capital accounts of the holders of existing Shares with any unrealized gain or loss in the
Portfolio. This will result in the allocation of items of the Trust's income, gain, loss, deduction and credit to existing holders of Shares to account for the difference between the tax basis and fair market value of property owned by the
Trust at the time new Shares are issued or old Shares are redeemed ("reverse section 704(c) allocations"). The intended effect of these allocations is to allocate any built-in gain or loss in the Portfolio at the time of a creation or
redemption of Shares to the investors that economically have earned such gain or loss.
As with the other allocations described above,
the Trust generally will use a monthly convention for purposes of the reverse section 704(c) allocations. More specifically, the Trust will credit or debit, respectively, the "book" capital accounts of holders of existing Shares with any
unrealized gain or loss in the Trust's assets based on the lowest fair market value of the assets and shares, respectively, during the month in which the creation or redemption transaction takes place, rather than the fair market value at the
time of such creation or redemption (the "monthly revaluation convention"). As a result, it is possible that, for U.S. federal income tax purposes, (1) a purchaser of newly issued Shares will be allocated some or all of the unrealized
gain in the Trust's assets at the time it acquires the Shares or (2) an existing holder of Shares will not be allocated its entire share in the unrealized loss in the Trust's assets at the time of such acquisition. Furthermore, the
applicable Treasury regulations generally require that the "book" capital accounts will be adjusted based on the fair market value of partnership property on the date of adjustment and do not explicitly allow the adoption of a monthly
revaluation convention.
The Code and applicable Treasury regulations generally require that items of partnership income and deductions
be allocated between transferors and transferees of partnership interests on a daily basis, and that adjustments to "book" capital accounts be made based on the fair market value of partnership property on the date of adjustment. The Code
and regulations do not contemplate monthly allocation or revaluation conventions. If the IRS does not accept the Trust's monthly allocation or monthly revaluation convention, the IRS may contend that taxable income or losses of the Trust must
be reallocated among the holders of Shares. If such a contention were sustained, the holders' respective tax liabilities would be adjusted to the possible detriment of certain holders. The Trustee and the Sponsor are authorized to revise the
Trust's allocation and revaluation methods in order to comply with applicable law or to allocate items of partnership income and deductions in a manner that reflects more accurately the holders' interest in the Trust.
Section 754 Election
The Trust intends
to make the election permitted by Section 754 of the Code. Such an election is irrevocable without the consent of the IRS. This election generally will require each purchaser of Shares to adjust its proportionate share of the tax basis in the
Portfolio ("inside basis") to fair market value, as reflected in the purchase price for the purchaser's Shares, as if the purchaser had acquired a direct interest in the Portfolio and will require the Trust to make a corresponding
adjustment to its share of the tax basis in the Portfolio that will be segregated and allocated to the purchaser of the Shares. These adjustments are attributed solely to a purchaser of Shares and are not added to the tax basis of the Portfolio
assets associated with other holders of Shares. Generally the Section 754 election is intended to eliminate the disparity between a purchaser's outside basis in its Shares and the Trust's corresponding inside basis in the Portfolio
such that the amount of gain or loss that will be allocated to the purchaser on
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the disposition by the Trust of Portfolio assets will correspond to the purchaser's share in the appreciation or depreciation in the value of such assets since the purchaser acquired its
Shares. Depending on the relationship between a holder's purchase price for Shares and its interest in the unadjusted share of the Trust's inside basis at the time of the purchase, the Section 754 election may be either advantageous
or disadvantageous to the holder as compared to the amount of gain or loss a holder would be allocated absent the Section 754 election.
The calculations under Section 754 are complex, and there is little legal authority concerning the mechanics of the calculations, particularly in the context of publicly traded interests in partnerships. To
help reduce the complexity of those calculations and the resulting administrative costs to the Trust, the Trust will apply certain assumptions and conventions in determining and allocating the basis adjustments. It is possible that the IRS will
successfully assert that the assumptions and conventions utilized by the Trust do not satisfy the technical requirements of the Code or the Treasury regulations and will require different basis adjustments to be made. If such different adjustments
were required, some holders could be adversely affected.
In order to make the basis adjustments permitted by Section 754, the
Trust will be required to obtain information regarding each holder's secondary market transactions in Shares, as well as creations and redemptions of Shares. The Trust will seek such information from the record holders of Shares, and, by
purchasing Shares, each beneficial owner of Shares will be deemed to have consented to the provision of such information by the record owner of such beneficial owner's Shares. Notwithstanding the foregoing, however, there can be no guarantee
that the Trust will be able to obtain such information from record owners or other sources, or that the basis adjustments that the Trust makes based on the information they are able to obtain will be effective in eliminating disparity between a
holder's outside basis in its Shares and its interest in the inside basis in the Trust assets.
Constructive Termination
The Trust will experience a constructive termination for tax purposes if there is a sale or exchange of 50 percent or more of the total Shares
within a 12-month period. A constructive termination results in the closing of the Trust's taxable year for all holders of Shares. In the case of a holder of Shares reporting on a taxable year other than a fiscal year ending December 31,
the closing of the Trust's taxable year may result in more than 12 months of its taxable income or loss being includable in its taxable income for the year of termination. The Trust would be required to make new tax elections after a
termination, including a new election under Section 754. A termination could also result in penalties if the Trust were unable to determine that the termination had occurred.
Borrowing of Shares
If your Shares are borrowed (or rehypothecated) by your broker and sold to
a third party, for example as part of a loan to a "short seller" to cover a short sale of Shares, you may be considered as having disposed of those Shares. If so, you would no longer be a beneficial owner of a pro rata portion of the
Shares during the period of the loan and may recognize gain or loss from the disposition. In addition, during the period of the loan, (1) the Trust's income, gain, loss, deduction or other items with respect to those Shares would not be
reported by you, and (2) any cash distributions received by you with respect to those Shares could be fully taxable, likely as ordinary income. Accordingly, if you desire to avoid the risk of income recognition from a loan of your Shares, you
should modify any applicable brokerage account agreements to prohibit your broker from borrowing your Shares.
These rules should not
affect the amount or timing of items of income, gain, deduction or loss reported by a taxpayer that is a dealer in securities that marks the Shares to market for U.S. federal income tax purposes, or a trader in securities that has elected to use the
mark-to-market method of tax accounting with respect to the Shares.
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Information Reporting with Respect to Shares
The Trust will file a partnership return rather than a trust return. Generally, the amount and allocation of your share of the Trust's items of
income, gain, loss, deduction, expense and credit for U.S. federal income tax purposes, and the time when you receive your tax reporting information, should generally be the same as if the Trust were to file a trust return. However, the manner in
which tax reporting information is provided to investors will be affected.
Because the Trust will file a partnership return, tax
information will be reported to investors on an IRS Schedule K-1 for each calendar year as soon as practicable after the end of each such year. Each K-1 provided to a holder of Shares will set forth the holder's share of the Trust's items
of income, gain, deduction, loss and credit for such year in a manner sufficient for a U.S. Holder to complete its tax return with respect to its investment in the Shares.
Each holder, by its acquisition of Shares, will be deemed to agree to allow brokers and nominees to provide to the Trust its name and address and such other information and forms as may be reasonably requested by
the Trust for purposes of complying with their tax reporting and withholding obligations (and to waive any confidentiality rights with respect to such information and forms for such purpose) and to provide such information or forms upon request.
As described above under "Partnership Allocations and Adjustments—Monthly Allocation and Revaluation Conventions," the
partnership tax rules generally require that items of partnership income and deductions be allocated between transferors and transferees of partnership interests on a daily basis, and that certain adjustments be made based on daily valuations. These
regulations do not contemplate monthly allocation conventions of the kind that will be used by the Trust. If the IRS does not accept the monthly reporting convention, the IRS may contend that taxable income or losses of the Trust must be reallocated
among investors. If such a contention were sustained, investors' respective tax liabilities would be adjusted to the possible detriment of certain investors. The Trustee and the Sponsor are authorized to revise the Trust's allocation
method to comply with applicable law.
Tax Audits
Under the Code, adjustments in tax liability with respect to the Trust's items generally will be made at the Trust level in a partnership proceeding rather than in separate proceedings with each Shareholder.
The Sponsor will represent the Trust as the Trust's "Tax Matters Partner" during any audit and in any dispute with the IRS. Each Shareholder will be informed of the commencement of an audit of the Trust. In general, the Tax Matters
Partner may enter into a settlement agreement with the IRS on behalf of, and that is binding upon, the Shareholders.
Adjustments
resulting from an IRS audit may require each Shareholder to adjust a prior year's liability, and possibly may result in an audit of his return. Any audit of a Shareholder's return could result in adjustments not related to the Trust's
returns as well as those related to the Trust's returns.
The Tax Matters Partner will make some elections on the Trust's
behalf and on behalf of the Trust's Shareholders. In addition, the Tax Matters Partner can extend the statute of limitations for assessment of tax deficiencies against Shareholders for items in the Trust's returns. The Tax Matters Partner
may bind a Shareholder with less than a 1% profits interest in the Trust to a settlement with the IRS unless that Shareholder elects, by filing a statement with the IRS, not to give that authority to the Tax Matters Partner. The Tax Matters Partner
may seek judicial review, by which all the Shareholders are bound, of a final partnership administrative adjustment and, if the Tax Matters Partner fails to seek judicial review, judicial review may be sought by any Shareholder having at least a 1%
interest in profits or by any group of Shareholders having in the aggregate at least a 5% interest in profits. However, only one action for judicial review will go forward, and each Shareholder with an interest in the outcome may participate.
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Treatment of Trust Income
The character and timing of income that the Trust earns from the positions in its investment strategy will depend on the particular U.S. federal income tax treatment of each such position. The U.S. federal income
tax treatment of certain positions is not always clear, and the IRS and Congress sometimes take steps which change the manner in which certain positions are taxed. For example, except as discussed below with respect to 1256 contracts, positions in
currencies typically produce ordinary income and gains for U.S. federal income tax purposes. The IRS issued guidance indicating that a position that certain taxpayers were previously accounting for as prepaid forward contracts for U.S. federal
income tax purposes should, instead, be accounted for under the U.S. federal income tax rules for non-dollar denominated debt instruments. The IRS has also released a Notice seeking comments from practitioners about the application of U.S. federal
income tax rules to certain derivative positions, including derivative positions in commodities. The Notice asks for comments about, among other questions, when an investor in these positions should have income, the character of income and gain or
loss from these positions and whether the U.S. federal "constructive ownership" rules should apply to these positions. It is not possible to predict what changes, if any, will be adopted or when any such changes would take effect. However,
any such changes could affect the amount, timing and character of income, gain and loss in respect of the Trust's investments, possibly with retroactive effect. As the Trust passes its items of income, gain and loss to Shareholders, any change
in the manner in which the Trust accounts for these items could have an adverse impact on the Shareholders of the Trust.
Interest
Income from U.S. Treasury Bills
Shareholders will take into account their share of ordinary income realized by the Trust from
accruals of interest on Treasury Bills ("T-Bills") held by the Trust. The Trust may hold T-Bills with "original issue discount," in which case Shareholders would be required to include accrued amounts in taxable income on a
current basis even though receipt of those amounts may occur in a subsequent year. The Trust may also acquire T-Bills with "market discount." Upon disposition of such obligations, gain would generally be required to be treated as interest
income to the extent of the market discount and Shareholders would be required to include as ordinary income their share of such market discount that accrued during the period the obligations were held by the Trust.
Section 1256 Futures and Forward Contracts
Many of the commodity futures contracts, foreign currency futures contracts and foreign currency forward contracts held by the Trust are expected to be "Section 1256 Contracts" (as such term is defined in
Section 1256(b) of the Code). The Code generally applies a "mark-to-market" system of taxing unrealized gains and losses on such contracts and otherwise provides for special rules of taxation. A Section 1256 Contract includes
certain regulated futures contracts and foreign currency contracts. Under these rules, Section 1256 Contracts held by the Trust at the end of each taxable year of the Trust are treated for U.S. federal income tax purposes as if they were sold
by the Trust for their fair market value on the last business day of such taxable year. The net gain or loss, if any, resulting from such deemed sales (known as "marking to market"), together with any gain or loss resulting from actual
sales of Section 1256 Contracts, must be taken into account by the Trust in computing its taxable income for such year. If a Section 1256 Contract held by the Trust at the end of a taxable year is sold in the following year, the amount of
any gain or loss realized on such sale will be adjusted to reflect the gain or loss previously taken into account under the "mark-to-market" rules.
With certain exceptions, capital gains and losses from such Section 1256 Contracts generally are characterized as short-term capital gains or losses to the extent of 40% thereof and as long-term capital gains
or losses to the extent of 60% thereof. Under certain circumstances, long-term capital gains recognized by individuals may qualify for reduced rates of tax. However, certain currency contracts that
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would be treated as Section 1256 Contracts nevertheless give rise to ordinary income or loss. If an individual taxpayer incurs a net capital loss for a year, the portion thereof, if any,
which consists of a net loss on Section 1256 Contracts may, at the election of the taxpayer, be carried back three years. Losses so carried back may be deducted only against net capital gain to the extent that such gain includes gains on
Section 1256 Contracts. Generally, a Section 1256 Contract does not include any "securities futures contract" or any option on such a contract.
Section 988 Transactions
Certain of the Trust's trading activities will be
"Section 988 transactions." Section 988 transactions include entering into or acquiring any forward contract, futures contract or similar instrument if the amount paid or received is denominated in terms of a nonfunctional currency or
is determined by reference to the value of one or more nonfunctional currencies. In general, foreign currency gain or loss on Section 988 transactions is characterized as ordinary income or loss except that gain or loss on regulated futures
contracts which are Section 1256 contracts is generally characterized as capital gain or loss (as described above).
Certain
Securities Futures Contracts
Generally, a securities futures contract is a contract of sale for future delivery of a single
security or a narrow-based security index, such as an index linked security futures contract. Generally, any gain or loss from the sale or exchange of a securities futures contract is treated as gain or loss from the sale or exchange of property
that has the same character as the property to which the contract relates has (or would have) in the hands of the taxpayer. If the underlying security would be a capital asset in the taxpayer's hands, then gain or loss from the sale or exchange
of the securities futures contract would be capital gain or loss. Capital gain or loss from the sale or exchange of a securities futures contract to sell property (i.e., the short side of a securities futures contract) generally will be short-term
capital gain or loss.
Mixed Straddle Election
The Code allows a taxpayer to elect to offset gains and losses from positions, which are part of a "mixed straddle." A "mixed straddle" is any straddle in which one or more but not all positions
are Section 1256 Contracts. Pursuant to Temporary Regulations, the Trust may be eligible to elect to establish one or more mixed straddle accounts for certain of its mixed straddle trading positions. The mixed straddle account rules require a
daily "marking to market" of all open positions in the account and a daily netting of gains and losses from positions in the account. At the end of a taxable year, the annual net gains or losses from the mixed straddle account are
recognized for tax purposes. The application of the Temporary Regulations' mixed straddle account rules is not entirely clear. Therefore, there is no assurance that a mixed straddle account election by the Trust will be accepted by the IRS.
Effect of Straddle Rules on Shareholder's Securities Positions
The IRS may treat certain positions in securities held (directly or indirectly) by a Shareholder and its indirect interest in similar securities
held by the Trust as "straddles" for U.S. federal income tax purposes. Shareholders should consult their tax advisers regarding the application of the "straddle" rules to their investment in the Trust.
Other Investments
In
addition to Section 1256 Contracts, it is possible that the Trust will enter into forward contracts, futures contracts, swap transactions or other types of investments the timing and character of which will differ than that of Section 1256
Contracts.
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Reportable Transactions
There are circumstances under which certain transactions must be disclosed to the IRS in a disclosure statement attached to a taxpayer's U.S. federal income tax return. (A copy of such statement must also be
sent to the IRS Office of Tax Shelter Analysis.) In addition, the Code imposes a requirement on certain "material advisers" to maintain a list of persons participating in such transactions, which list must be furnished to the IRS upon
written request. These provisions can apply to transactions not conventionally considered to involve abusive tax planning. Consequently, it is possible that such disclosure could be required by the Trust or the Shareholders (1) if a Shareholder
incurs a loss (in each case, in excess of a threshold computed without regard to offsetting gains or other income or limitations) from the disposition (including by way of withdrawal) of Shares, or (2) possibly in other circumstances.
Furthermore, the Trust's material advisers could be required to maintain a list of persons investing in the Trust pursuant to the Code. While the tax shelter disclosure rules generally do not apply to a loss recognized on the disposition of an
asset in which the taxpayer has a qualifying basis (generally a basis equal to the amount of cash paid by the taxpayer for such asset), such rules will apply to a taxpayer recognizing a loss with respect to interests in a pass through entity (such
as the Shares) even if its basis in such interests is equal to the amount of cash it paid. In addition, under recently enacted legislation, significant penalties may be imposed in connection with a failure to comply with these reporting
requirements. U.S. Shareholders are urged to consult their tax advisers regarding the tax shelter disclosure rules and their possible application to them.
Tax Exempt Organizations
An organization that is otherwise exempt from U.S. federal income tax
generally is nonetheless subject to taxation with respect to its "unrelated business taxable income," or UBTI. Except as noted below with respect to certain categories of exempt income, UBTI generally includes income or gain derived
(either directly or through a partnership) from a trade or business, the conduct of which is substantially unrelated to the exercise or performance of the organization's exempt purpose or function. UBTI generally does not include passive
investment income, such as dividends, interest and capital gains, whether realized by the organization directly or indirectly through a partnership (such as the Trust) in which it is a partner. However, if a tax-exempt entity's acquisition of a
partnership interest is debt financed, or the partnership incurs "acquisition indebtedness," all or a portion of the income or gain attributable to the "debt financed property" would also be included in UBTI regardless of whether
such income would otherwise be excluded as dividends, interest or capital gains. The income of the Trust will be passive investment income generally excluded from UBTI and the Trust will not incur "acquisition indebtedness." Thus, if you
are a tax-exempt entity and your acquisition of the Shares is not debt-financed, income with respect to the Shares will not be UBTI.
Taxation of
Non-U.S. Holders of Shares
As used herein, the term "non-U.S. Holder" means a beneficial owner of Shares that is not a
U.S. Holder.
The Trust will conduct its activities in such a manner that a non-U.S. Holder of the Trust's Shares who is not
otherwise carrying on a trade or business in the United States will not be considered to be engaged in a trade or business in the United States as a result of an investment in the Shares. Non-U.S. persons treated as engaged in a U.S. trade or
business are generally subject to U.S. federal income tax at the graduated rates applicable to U.S. persons on their net income which is considered to be effectively connected with such U.S. trade or business. Non-U.S. persons that are corporations
may also be subject to a 30% branch profits tax. The 30% rate applicable to branch profits may be reduced or eliminated under the provisions of an applicable income tax treaty between the United States and the country in which the non-U.S. person
resides or is organized. There can be no assurance that the IRS will not assert successfully that some portion of the Trust's income is properly treated as effectively connected income with respect to the Trust's Shareholders.
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Subject to the discussion under "Foreign Account Tax Compliance," in addition, if you are a
non-U.S. Holder, interest income allocable to you generally will be considered short-term interest not subject to U.S. withholding or income tax, or "portfolio interest" not subject to U.S. federal income or withholding tax provided that
you meet certain requirements and you certify on IRS Form W-8BEN (or successor form), under penalties of perjury, that you are not a U.S. person and provide your name and address and otherwise satisfy applicable documentation requirements.
Subject to the discussion under "Foreign Account Tax Compliance" and the discussion below, you generally will not be subject
to U.S. federal income tax on gains on the sale of the Shares or on your share of the Trust's gains. However, in the case of an individual non-U.S. Holder, such holder will be subject to U.S. federal income tax on gains on the sale of Shares or
such holder's share of the Trust's gains if such non-U.S. Holder is present in the United States for 183 days or more during a taxable year and certain other conditions are met. Each holder, by its acquisition of Shares, will be deemed to
agree to allow brokers and nominees to provide to the Trust its name and address and such other information and forms as may be reasonably requested by the Trust for purposes of complying with their tax reporting and withholding obligations (and to
waive any confidentiality rights with respect to such information and forms for such purpose) and to provide such information or forms upon request.
Foreign Account Tax Compliance
The Foreign
Account Tax Compliance provisions of the recently enacted U.S. Hiring Incentives to Restore Employment Act ("FATCA") generally impose a new reporting regime and potentially a 30% withholding tax with respect to certain U.S. source income
(including interest and dividends) and gross proceeds from the sale or other disposal of property that can produce U.S. source interest or dividends ("Withholdable Payments"). As a general matter, the new rules are designed to require U.S.
persons' direct and indirect ownership of non-U.S. accounts and non-U.S. entities to be reported to the IRS. The 30% withholding tax regime applies if there is a failure to provide required information regarding U.S. ownership. These new
withholding rules will apply to U.S. source income payments made after December 31, 2013, and to the disposition proceeds described above after December 31, 2014.
The Trust will be required to report to the IRS and to impose a 30% withholding of tax on the share of Withholdable Payments to (i) Shareholders that are non-U.S. financial entities that do not enter into an
agreement (a "FFI Agreement") with the IRS to provide information, representations and waivers of non-U.S. law as may be required to comply with the provisions of the new rules, including, information regarding its direct and indirect U.S.
Shareholders; (ii) Shareholders who fail to establish their non-U.S. status as required under the FFI Agreement; (iii) and other Shareholders that do not provide certifications or information regarding their U.S. ownership. The IRS has issued
proposed regulations regarding FATCA but not yet provided comprehensive guidance regarding FATCA or a form of FFI Agreement.
Although
the application of FATCA to a sale or other disposal of an interest in a partnership is unclear, it is possible that the gross proceeds of the sale or other disposal of your Shares will be subject to FATCA under the rules described above if such
proceeds are treated as an indirect disposal of your interest in assets that can produce U.S. source interest or dividends.
In certain
circumstances, the Trust may liquidate a non-compliant Shareholder's Shares or form and operate an investment vehicle organized in the United States that is treated as a "domestic partnership" under the Code and transfer such
Shareholder's Shares to such investment vehicle.
You should consult your own tax adviser regarding the requirements under FATCA
with respect to your own situation.
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Backup Withholding
The Trust will be required in certain circumstances to backup withhold on certain payments paid to non-corporate holders of Shares who do not furnish to the Trust their correct taxpayer identification number (in
the case of individuals, their social security number) and certain certifications, or who are otherwise subject to backup withholding. Backup withholding is not an additional tax. Any amounts withheld from payments made to you may be refunded or
credited against your U.S. federal income tax liability, if any, provided that the required information is timely furnished to the IRS.
Certain
State, Local and Foreign Income Tax Matters
In addition to the federal income tax consequences described above, prospective
investors should consider potential state and local tax consequences of an investment in the Trust. State and local laws often differ from federal income tax laws with respect to the treatment of specific items of income, gain, loss, deduction and
credit. A Shareholder's distributive share of the taxable income or loss of the Trust generally will be required to be included in determining its reportable income for state and local tax purposes in the jurisdiction in which it is a resident.
One or more states may impose reporting requirements on the Trust and/or the Shareholders. Investors should consult with their own advisors as to the applicability of such rules in jurisdictions which may require or impose a filing requirement.
The Trust's Sponsor is based in the State of Delaware and is wholly-owned by BlackRock California Holdings LLC, which is located
in the State of California. If the Trust is engaged in a trade or business in Delaware, California or elsewhere, each Shareholder may be required to file an income tax return each year in such jurisdictions and would be taxed based on its income
that is attributable to such jurisdictions.
Each Shareholder may be required to file returns and pay state and local tax on its share
of Trust income in the jurisdiction in which it is a resident and/or other jurisdictions in which income is earned by the Trust. The Trust may be required to withhold and remit payment of taxes to one or more state or local jurisdictions on behalf
of the Shareholders. Any amount withheld generally will be treated as a distribution to each particular Shareholder. However, an individual Shareholder may be entitled to a deduction or credit against tax owed to his or her state of residence for
income taxes paid to other state and local jurisdictions where the Shareholder is not a resident.
In general, where a tax (including,
without limitation, a state or local tax) is levied on the Trust, the amount of which is levied in whole or in part based on the status or identity of a Shareholder, such tax will be allocated as an expense attributable to that Shareholder and the
amount will be withheld from any distribution to such Shareholder.
State and local taxes may be significant. Prospective Shareholders
are urged to consult their tax advisors with respect to the state and local tax consequences of acquiring, holding and disposing of the Trust's Shares.
Foreign Taxes
It is possible that certain interest received by the Trust from sources within
foreign countries will be subject to withholding taxes imposed by such countries. In addition, the Trust may also be subject to capital gains taxes in some of the foreign countries where it purchases and sells foreign debt obligations. Tax treaties
between certain countries and the United States may reduce or eliminate such taxes. It is impossible to predict in advance the rate of foreign tax the Trust will pay since the amount of the Trust's assets to be invested in various countries is
not known.
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Shareholders will be informed by the Trust as to their proportionate share of any foreign taxes paid
by the Trust, which they will be required to include in their income. Shareholders generally will be entitled to claim either a credit (subject to the limitations discussed below) or, if they itemize their deductions, a deduction (subject to the
limitations generally applicable to deductions) for their share of such foreign taxes in computing their federal income taxes. A Shareholder that is tax-exempt will not ordinarily benefit from such credit or deduction.
Generally, a credit for foreign taxes is subject to the limitation that it may not exceed the Shareholder's federal tax (before the credit)
attributable to its total foreign source taxable income. A Shareholder's share of the Trust's interest from non-U.S. debt securities generally will qualify as foreign source income. Generally, the source of gain and loss realized upon the
sale of personal property, such as securities, will be based on the residence of the seller. In the case of a partnership, the determining factor is the residence of the partner. Thus, absent a tax treaty to the contrary, the gains and losses from
the sale of securities allocable to a Shareholder that is a U.S. resident generally will be treated as derived from U.S. sources (even though the securities are sold in foreign countries). Certain currency fluctuation gains, including fluctuation
gains from foreign currency denominated debt securities, receivables and payables, will also be treated as ordinary income derived from U.S. sources.
Prospective investors should note that the limitation on the foreign tax credit is applied separately to foreign source passive income, such as interest. In addition, for foreign tax credit limitation purposes, the
amount of a Shareholder's foreign source income is reduced by various deductions that are allocated and/or apportioned to such foreign source income. One such deduction is interest expense, a portion of which will generally reduce the foreign
source income of any Shareholder who owns (directly or indirectly) foreign assets. For these purposes, foreign assets owned by the Trust will be treated as owned by the investors in the Trust and indebtedness incurred by the Trust will be treated as
incurred by investors in the Trust.
Because of these limitations, Shareholders may be unable to claim a credit for the full amount of
their proportionate share of the foreign taxes paid by the Trust. The foregoing is only a general description of the foreign tax credit under current law. Moreover, since the availability of a credit or deduction depends on the particular
circumstances of each Shareholder, investors are advised to consult their own tax advisers.
New Legislation or Administrative or Judicial Action
The rules dealing with U.S. federal income taxation are constantly under review by persons involved in the legislative process, the
IRS and the U.S. Treasury Department, frequently resulting in unfavorable precedent or authority on issues for which there was previously no clear precedent or authority as well as revised interpretations of established concepts, statutory changes,
revisions to regulations and other modifications and interpretations. No assurance can be given as to whether, or in what form, any proposals affecting the Trust or the Trust's Shares will be enacted. The IRS pays close attention to the proper
application of tax laws to partnerships. The present U.S. federal income tax treatment of an investment in the Trust's Shares may be modified by administrative, legislative or judicial interpretation at any time, and any such action may affect
investments and commitments previously made. For example, changes to the U.S. federal income tax laws and interpretations thereof could make it more difficult or impossible to meet the qualifying income exception for the Trust to be treated as a
partnership that is not taxable as a corporation for U.S. federal income tax purposes. The Trust and its Shareholders could be adversely affected by any such change in, or any new, tax law, regulation or interpretation.
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ERISA AND RELATED CONSIDERATIONS
ERISA and/or Section 4975 of the Code impose certain requirements on employee benefit plans and certain other plans and arrangements,
including individual retirement accounts and annuities, Keogh plans, and certain collective investment funds or insurance company general or separate accounts in which such plan or arrangements are invested, that are subject to ERISA and/or the Code
(collectively, "Plans"), and on persons who are fiduciaries with respect to the investment of assets treated as "plan assets" of a Plan. Government plans and some church plans are not subject to the fiduciary responsibility
provisions of ERISA or the provisions of Section 4975 of the Code, but may be subject to substantially similar rules under state or other federal law.
In contemplating an investment of a portion of Plan assets in Shares, the Plan fiduciary responsible for making such investment should carefully consider, taking into account the facts and circumstances of the
Plan, the "Risk Factors" discussed above and whether such investment is consistent with its fiduciary responsibilities, including, but not limited to: (a) whether the fiduciary has the authority to make the investment under the
appropriate governing plan instrument; (b) whether the investment would constitute a direct or indirect non-exempt prohibited transaction with a party in interest; (c) the Plan's funding objectives; and (d) whether under the
general fiduciary standards of investment prudence and diversification the investment is appropriate for the Plan, taking into account the overall investment policy of the Plan, the composition of the Plan's investment portfolio and the
Plan's need for sufficient liquidity to pay benefits when due.
It is anticipated that the Shares will constitute
"publicly-held offered securities" as defined in Department of Labor Regulations § 2510.3-101(b)(2). Accordingly, Shares purchased by a Plan, and not the Plan's interest in the underlying assets held in the Trust, should be
treated as assets of the Plan, for purposes of applying the "fiduciary responsibility" and "prohibited transaction" rules of ERISA and the Code.
Because of the possibility that a prohibited transaction could occur as a result of the transfer of assets between a Plan and an Authorized Participant, no such transfer shall occur unless such transfer will not
constitute or result in a non-exempt prohibited transaction under ERISA or the Code. As a result, each Plan and its fiduciary will be deemed to have represented, in connection with a transfer of assets between the Plan and an Authorized Participant,
that such transfer will not constitute or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code.
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PLAN OF DISTRIBUTION
The Trust intends, on a continuous basis, to issue Baskets to Authorized Participants in exchange for a consideration per Share equal to the net
asset value per Share announced by the Trust on the first Business Day immediately following the day when the purchase order is received by the Trust. Because new Shares can be created and issued on an ongoing basis, at any point during the life of
the Trust a "distribution," as such term is used in the Securities Act, will be occurring. Authorized Participants, other broker-dealers and other persons are cautioned that some of their activities may result in their being deemed
participants in a distribution in a manner that would render them statutory underwriters and subject them to the prospectus-delivery and liability provisions of the Securities Act. For example, an Authorized Participant, other broker-dealer firm or
its client will be deemed a statutory underwriter if it purchases a Basket from the Trust, breaks the Basket down into the constituent Shares and sells the Shares to its customers; or if it chooses to couple the creation of a supply of new Shares
with an active selling effort involving solicitation of secondary market demand for the Shares. A determination of whether a particular market participant is an underwriter must take into account all the facts and circumstances pertaining to the
activities of the broker-dealer or its client in the particular case, and the examples mentioned above should not be considered a complete description of all the activities that would lead to designation as an underwriter and subject them to the
prospectus-delivery and liability provisions of the Securities Act.
By executing an Authorized Participant Agreement, an Authorized
Participant becomes part of the group of parties eligible to purchase Baskets from, and put Baskets for redemption to, the Trust. An Authorized Participant is under no obligation to create or redeem Baskets, and an Authorized Participant is under no
obligation to offer to the public Shares of any Baskets it creates.
Authorized Participants that offer Shares from the Baskets they
create to the public do so at a per-Share offering price that varies depending upon, among other factors, the trading price of the Shares on NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares initially
comprising the same Basket but offered by Authorized Participants to the public at different times may have different offering prices.
The Trust does not pay a selling commission or any other compensation to any Authorized Participant in connection with the creation of Baskets.
Investors that purchase Shares through a commission/fee-based brokerage account may, however, pay commissions/fees charged by the brokerage account. It is recommended that investors review the terms of their brokerage accounts for details on
applicable charges.
The Shares are listed for trading on NYSE Arca under the symbol "ALT."
Dealers that are not "underwriters" (including Authorized Participants that are not acting as underwriters) but are participating in a
distribution (as contrasted to ordinary secondary trading transactions), and thus dealing with Shares that are part of an "unsold allotment" within the meaning of Section 4(3)(C) of the Securities Act, would be unable to take
advantage of the prospectus-delivery exemption provided by Section 4(3) of the Securities Act.
The Sponsor intends that sales be
made through broker-dealers who are members of the FINRA. Investors intending to create or redeem Baskets through Authorized Participants in transactions not involving a broker-dealer registered in such investor's state of domicile or residence
should consult their legal advisor regarding applicable broker-dealer or securities regulatory requirements under the state securities laws prior to such creation or redemption.
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In connection with any offering of the Shares outside the United States, the Authorized Participants
are expected to comply with the following:
European Economic Area
In relation to each Member State of the European Economic Area that has implemented the Prospectus Directive, each of which is referred to in this prospectus as a Relevant Member State, with effect from and
including the date on which the Prospectus Directive is implemented in that Relevant Member State, which is referred to in this prospectus as the Relevant Implementation Date, Authorized Participants will not make an offer of the Shares to the
public in that Relevant Member State prior to the publication of a prospectus in relation to the Shares that has been approved by the competent authority in that Relevant Member State or, where appropriate, approved in another Relevant Member State
and notified to the competent authority in that Relevant Member State, all in accordance with the Prospectus Directive, except that Authorized Participants may, with effect from and including the Relevant Implementation Date, make an offer of Shares
to the public in that Relevant Member State at any time:
a) to any legal entity which is a qualified investor as defined
in the Prospectus Directive;
b) to fewer than 100 or, if the Relevant Member State has implemented the relevant
provision of the 2010 PD Amending Directive (as defined below), 150 natural or legal persons (other than qualified investors as defined in the Prospectus Directive), as permitted under the Prospectus Directive; or
c) in any other circumstances falling within Article 3(2) of the Prospectus Directive, provided that no such offer of Shares shall
result in a requirement for the publication by the Trust or any manager of a prospectus pursuant to Article 3 of the Prospectus Directive or supplement a prospectus pursuant to Article 16 of the Prospectus Directive.
For the purposes of this provision, an "offer of Shares to the public" in any Relevant Member State means the communication in any form
and by any means of sufficient information on the terms of the offer and the Shares to be offered so as to enable an investor to decide to purchase or subscribe for Shares, as the same may be varied in that Member State by any measure implementing
the Prospectus Directive in that Member State. The expression "Prospectus Directive" means Directive 2003/71/EC (and amendments thereto, including the 2010 PD Amending Directive, to the extent implemented in each member state) and includes
any relevant implementing measure in each Relevant Member State. The "2010 PD Amending Directive" means Directive 2010/73/EU. References to "
€
" are to euros.
The European Economic Area selling restriction stated above is in
addition to any other selling restrictions set out below.
United Kingdom
Authorized Participants will only communicate or cause to be communicated an invitation or inducement to engage in investment activity (within the
meaning of Section 21 of the FSMA) in connection with the issue or sale of the Shares in circumstances in which Section 21(1) of the FSMA does not apply to the Trust.
In addition, Authorized Participants will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to the
Shares in, from or otherwise involving the United Kingdom.
As the Trust may be a collective investment scheme as defined in the FSMA
and the Trust has not been authorized, or otherwise recognized or approved, by the Financial Services Authority which, as an unregulated scheme, accordingly cannot be promoted in the United Kingdom to the general public, Authorized Participants will
promote the Trust in the United Kingdom only in accordance with applicable law and regulation (1) if such promotion is carried out through an Authorized Person, (i) to persons who are
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investment professionals having professional experience in participating in unregulated schemes (only as defined in Article 14(5) of the FSMA (Promotion of Collective Investment Schemes)
(Exemptions) Order 2001 (as amended) (the "CIS Order")) or (ii) to persons who are within any of the categories of persons described in Article 22 of the CIS Order; (2) if such promotion is not carried out through an
Authorized Person, in circumstances permitted by the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (as amended); or (3) to persons to whom this prospectus may otherwise lawfully be communicated (such persons together
are referred to as "relevant persons").
This prospectus must not be acted upon or relied on by persons who are not relevant
persons. Any investment or investment activity to which this communication relates is available only to relevant persons and will be engaged in only with relevant persons. Persons of any other description in the United Kingdom may not receive and
should not act or rely on this document or any other marketing materials relating to the Trust or the Shares.
Potential investors in
the United Kingdom are advised that all or most of the protections afforded by the United Kingdom regulatory system will not apply to an investment in the Shares and that compensation will not be available under the United Kingdom's Financial
Services Compensation Scheme.
Canada
The offering of the Shares will be made on a private placement basis in Canada (in the provinces of British Columbia, Ontario and Québec) (1) through the Authorized Participants or their affiliates or
other persons who are permitted under applicable securities laws or have available exemptions to offer and sell the Shares in Canada; and (2) solely to purchasers who are entitled under applicable provincial securities laws to purchase the
Shares without the benefit of a prospectus qualified under the securities laws. This prospectus is not, and under no circumstances is to be construed as, an advertisement or a public offering of the Shares in Canada. No securities commission or
similar authority in Canada has reviewed or in any way passed upon this document or the merits of the Shares, and any representation to the contrary is an offence. No person has been authorized to give any information or to make any representation
other than those contained or incorporated by reference into this prospectus and any decision to purchase the Shares in Canada should be based solely on information contained or incorporated by reference in this prospectus.
Resale Restrictions
The Shares have not been nor will they be qualified for sale to the public under applicable Canadian securities laws and, accordingly, any offer and
sale of the Shares in Canada will be made on a basis which is exempt from the prospectus requirements of Canadian securities laws. Any resale of the Shares must be made in accordance with, or pursuant to an exemption from, or in a transaction not
subject to, the prospectus requirements of those laws. In addition, in order to comply with the dealer registration requirements of Canadian securities laws, any resale of the Shares must be made either by a person not required to register as a
dealer under applicable Canadian securities laws, or through an appropriately registered dealer or in accordance with an exemption from the dealer registration requirements. These Canadian resale restrictions may in some circumstances apply to
resales made outside of Canada. Canadian investors are advised to seek Canadian legal advice prior to any resale of the Shares.
Representations and Agreement by Canadian Purchasers
Each purchaser of the Shares in Canada will be deemed to have represented to the Trust and any dealer participating in the sale of the Shares that the purchaser: (a) is resident in one of the provinces of
British Columbia, Ontario or Québec and is entitled under applicable securities laws to purchase the Shares without the benefit of a prospectus qualified under those laws; (b) is basing its investment decision solely
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on this prospectus and not on any other information concerning the Trust or the offering of the Shares; (c) has reviewed and acknowledges the terms referred to above under the heading
"Resale Restrictions"; (d) is an "accredited investor" as defined in National Instrument 45-
106 Prospectus and Registration Exemptions
("NI 45-106") and, if relying on subsection (m) of the definition
of that term, is not a person created or being used solely to purchase or hold securities as an accredited investor; (e) is a "permitted client" as defined in National Instrument 31-
103 Registration Requirements, Exemptions and
Ongoing Registrant Obligations
, or as otherwise interpreted and applied by the Canadian Securities Administrators; and (f) is either purchasing the Shares as principal for its own account, or is deemed to be purchasing the Shares as
principal by applicable law.
Each purchaser of the Shares in Canada hereby agrees that it is the purchaser's express wish
that all documents evidencing or relating in any way to the sale of the Shares be drafted in the English language only.
Chaque acheteur au Canada des valeurs mobilières reconnaît que c'est sa volonté expresse que tous les
documents faisant foi ou se rapportant de quelque manière à la vente des valeurs mobilières soient rédigés uniquement en anglais.
Indirect Collection of Personal Information
By purchasing the Shares, each purchaser in
Canada acknowledges that its name and other specified information, including the number of Shares it has purchased, may be disclosed to Canadian securities regulatory authorities and become available to the public in accordance with the requirements
of applicable laws. The purchaser consents to the disclosure of that information. By purchasing the Shares, any Ontario purchaser acknowledges that personal information such as the purchaser's name will be delivered to the Ontario Securities
Commission (the "OSC") and that such personal information is being collected indirectly by the OSC under the authority granted to it in securities legislation for the purposes of the administration and enforcement of the securities
legislation of Ontario. By purchasing the Shares, any Ontario purchaser shall be deemed to have authorized such indirect collection of personal information by the OSC. Questions about such indirect collection of personal information should be
directed to the OSC's Administrative Support Clerk, Suite 1903, Box 55, 20 Queen Street West, Toronto, Ontario M5H 3S8 or to the following telephone number: (416) 593-3684.
Rights of Action (Ontario Purchasers)
Ontario Rule 45-501 provides that when an offering memorandum, such as this prospectus, is delivered to an investor to whom securities are distributed in reliance upon the "accredited investor" prospectus
exemption in Section 2.3 of NI 45-106, the right of action referred to in Section 130.1 of the
Securities Act
(Ontario) ("Section 130.1") is applicable unless the prospective purchaser is:
(a)
a Canadian financial institution, meaning either:
(i)
an association governed by the
Cooperative Credit Associations Act
(Canada) or a central cooperative credit society for which an order has been made under section 473(1)
of that Act;
(ii)
a bank, loan corporation, trust company, trust corporation, insurance company, treasury branch, credit union, caisse populaire, financial services cooperative, or league that, in
each case, is authorized by an enactment of Canada or a jurisdiction of Canada to carry on business in Canada or a jurisdiction in Canada;
(b)
a Schedule III bank, meaning an authorized foreign bank named in Schedule III of the
Bank Act
(Canada),
(c)
The Business Development Bank of Canada incorporated under the
Business Development Bank of Canada Act
(Canada), or
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(d)
a subsidiary of any person referred to in paragraphs (a), (b) or (c), if the person owns all of the voting securities of the subsidiary, except the voting securities
required by law to be owned by the directors of the subsidiary.
Section 130.1 provides purchasers who purchase
securities offered by an offering memorandum with a statutory right of action against the issuer of securities and any selling securityholder for rescission or damages in the event that the offering memorandum or any amendment to it contains a
"misrepresentation", without regard to whether the purchaser relied on the "misrepresentation". "Misrepresentation" means an untrue statement of a material fact or an omission to state a material fact that is required
to be stated or that is necessary to make any statement not misleading in light of the circumstances in which it was made.
In the event
that this prospectus, together with any amendment, is delivered to a prospective purchaser of the Shares in connection with a trade made in reliance on Section 2.3 of NI 45-106, and this prospectus contains a misrepresentation which was a
misrepresentation at the time of purchase of the Shares, the purchaser will have a statutory right of action against the Trust for damages or, while still the owner of the Shares, for rescission, in which case, if the purchaser elects to exercise
the right of rescission, the purchaser will have no right of action for damages, provided that:
(a)
no action shall be commenced more than, in the case of an action for rescission, 180 days after the date of the transaction that gave rise to the cause of action; or in the case
of any other action, the earlier of (i) 180 days after the plaintiff first had knowledge of the facts giving rise to the cause of action, or (ii) three years after the date of the transaction that gave rise to the cause of action;
(b)
the defendant will not be liable if it proves that the purchaser purchased the Shares with knowledge of the misrepresentation;
(c)
the defendant will not be liable for all or any portion of the damages that it proves do not represent the depreciation in value of the Shares as a result of the
misrepresentation relied upon;
(d)
in no case will the amount recoverable exceed the price at which the Shares were offered to the purchaser; and
(e)
the statutory right of action for rescission or damages is in addition to and does not derogate from any other rights or remedies the purchaser may have at law.
This summary is subject to the express provisions of the
Securities Act
(Ontario) and the regulations and rules
made under it, and you should refer to the complete text of those provisions.
Enforcement of Legal Rights
The Trust, the Sponsor, the Advisor, the Trustee and the Affiliates are likely to be located outside of Canada and, as a result, it may not be
possible for purchasers to effect service of process within Canada upon the Trust or those persons. All or a substantial portion of the assets of the Trust and those persons is likely to be located outside of Canada and, as a result, it may not be
possible to satisfy a judgment against the Trust or those persons in Canada or to enforce a judgment obtained in Canadian courts against the Trust or those persons outside of Canada.
Each purchaser acknowledges that it has been notified that: (i) the Authorized Participants may not be registered as securities dealers in any
province or territory of Canada; (ii) all or substantially all of the assets of the Authorized Participants may be situated outside of Canada; and (iii) there may be difficulty enforcing legal rights against the Authorized Participants for
these reasons.
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Japan
A securities registration statement has not been filed under Article 4, Paragraph 3 of the Financial Instruments and Exchange Law of Japan (Law No. 25 of 1948, as amended) in relation to the solicitations for offer
of the Shares since such solicitations constitute a private placement to qualified institutional investors under Article 2, Paragraph 3, Item 2
i
of the Financial Instruments and Exchange Law of Japan.
Acquirers of the Shares shall not transfer or resell them except where a transferee is a qualified institutional investor under Article 10 of the
Cabinet Office Ordinance concerning Definitions provided in Article 2 of the Financial Instruments and Exchange Law of Japan (the Ministry of Finance Ordinance No. 14, as amended).
The offering and sale of the Shares in Japan can only be effected through a licensed Type 1 Financial Instruments Dealing Firm (Type 1 FIDF)
(
Daiisshu kinyu shouhin torihiki gyosha
). The prospectus cannot be distributed in Japan other than to a licensed Type 1 FIDF.
Switzerland
The Trust has not been approved by the Swiss Financial Market Supervisory Authority FINMA as a foreign collective investment scheme
pursuant to Article 120 of the Swiss Collective Investment Scheme Act of June 23, 2006 (the "CISA"). Accordingly, the Shares may not be publicly offered in or from Switzerland and neither this prospectus nor any other offering materials
relating to the Trust and/or the Shares may be made available through a public offering in or from Switzerland. The Shares may only be offered and this prospectus may only be distributed in or from Switzerland to qualified investors (as defined in
the CISA and its implementing regulations) and/or to a limited circle of investors, without any public offering. This prospectus does not constitute a prospectus according to articles 652a or 1156 of the Swiss Federal Code of Obligations and has
been prepared without regard to the disclosure standards for issuance prospectuses under these provisions.
Singapore
The offer or invitation which is the subject of this prospectus is not allowed to be made to the retail public in Singapore. This prospectus is not
a "prospectus" as defined in the Securities and Futures Act, Chapter 289 of Singapore ("SFA"). Accordingly, statutory liability under the SFA in relation to the content of prospectuses would not apply. You should consider
carefully whether the investment is suitable for you. This prospectus has not been registered as a prospectus with the Monetary Authority of Singapore. Accordingly, this prospectus and any other document or material in connection with the offer or
sale, or invitation for subscription or purchase, of Shares may not be circulated or distributed, nor may Shares be offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to persons in
Singapore other than (i) to an institutional investor (as defined in Section 4A of the SFA) under Section 304 of the SFA, (ii) to a relevant person (as defined in Section 305(5) of the SFA), or any person pursuant to
Section 305(2), and in accordance with the conditions specified in Section 305 of the SFA or (iii) otherwise pursuant to, and in accordance with the conditions of any other applicable provision of the SFA.
Where Shares are subscribed or purchased under Section 304 of the SFA, such Shares may not be subsequently sold to any person other than another
institutional investor pursuant to Section 304 of the SFA.
Where Shares are subscribed or purchased under
Section 305 by a relevant person that is:
(a) a corporation (which is not an accredited investor (as defined in
Section 4A of the SFA)) the sole business of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited investor; or
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(b) a trust (where the trustee is not an accredited investor (as defined in Section 4A
of the SFA)) whose sole purpose is to hold investments and each beneficiary of the trust is an individual who is an accredited investor,
securities of that corporation or the beneficiaries' rights and interest (howsoever described) in that trust shall not be transferred within 6
months after that corporation or that trust has acquired the Shares pursuant to an offer made under Section 305 except:
(1) to an institutional investor (as defined under Section 4A of the SFA) or to a relevant person (as defined in Section 305(5) of the SFA), or which arises from an offer referred to in Section 275(IA) of the
SFA (in the case of that corporation) or Section 305A(3)(i)(B) of the SFA (in the case of that trust);
(2) where no
consideration is or will be given for the transfer; or
(3) where the transfer is by operation of law.
Germany
The Shares have not been notified
to, registered with or approved by the German Federal Financial Supervisory Authority (
Bundesanstalt für Finanzdienstleistungsaufsicht
–
BaFin) for public offer or public distribution under German law.
Accordingly, the Shares may not be offered or distributed to or within Germany by way of a public offer or distribution within the meaning of
applicable German laws, public advertisement or in any similar manner. This prospectus and any other document relating to the Shares, as well as information contained therein, may not be supplied to the public in Germany or used in connection with
any offer for subscription of the Shares to the public in Germany or any other means of public marketing.
This prospectus and any other
document relating to the offer of the Shares are strictly confidential and may not be distributed to any person or entity other than the recipient hereof to whom this prospectus is personally addressed.
The receipt of this prospectus by any person, as well as information contained therein or supplied herewith or subsequently communicated to any
person in connection with any offer for subscription is not to be taken as constituting the giving of investment advice to such person: Each such person should make its own independent assessment of the merits or otherwise of acquiring the Shares
and should take its own professional advice.
Spain
The Trust has not been registered with the Spanish Securities Market Commission (
Comisión Nacional del Mercado de Valores
or "CNMV"). Therefore, the Shares may not be sold, offered, or
distributed in Spain in circumstances which could constitute marketing of collective investment schemes as defined in the Spanish Law on Investment Collective Schemes (
Ley 35/2003, de 4 de Noviembre, de Instituciones de Inversión
Colectiva
) and the regulations approved thereunder.
Neither this Prospectus nor any other offering materials in relation to the
Trust have been registered with the CNMV and therefore they are not intended for the marketing of the Shares in Spain.
This Prospectus
and any other materials relating to the Shares are strictly confidential and may not be distributed to any person or entity other than its recipients.
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The Netherlands
The Shares described herein may not, directly or indirectly, be offered or acquired in The Netherlands, and this prospectus may not be circulated in The Netherlands as part of initial distribution or at any time
thereafter, except to qualified investors within the meaning of Section 1:1 of the Financial Markets Supervision Act (
Wet op het financieel toezicht
), as amended from time to time.
Italy
This prospectus is solely intended
for the individuals to whom it is delivered and may not be considered or used as an offering of Shares in the Trust within the meaning of, and for the purposes of, section 42 and section 93-bis and seq. of Legislative Decree No 58 of 24 February
1998, as subsequently amended.
In addition, any person who is in possession of this prospectus understands that the Trust has not been
and will not be authorized by the Bank of Italy to offer the Shares to Italian residents pursuant to section 42 of Legislative Decree No 58 of 24 February 1998. Accordingly, the Shares may not be offered, sold or delivered and neither this
prospectus nor any other offering material relating to the Shares may be distributed or made available to Italian residents. This prospectus cannot be construed as a solicitation by any person to investors in Italy to subscribe for the Shares.
Individual sales of the Shares to any person in Italy may only be made according to Italian securities, tax and other applicable laws
and regulations.
Hong Kong
This
prospectus and its contents have not been reviewed by any regulatory authority in Hong Kong. Accordingly, no person may issue any invitation, advertisement or other document relating to the Shares whether in Hong Kong or elsewhere, which is directed
at, or the contents of which are likely to be accessed or read by, the public in Hong Kong (except if permitted to do so under the securities laws of Hong Kong) other than with respect to the Shares which are or are intended to be disposed of only
to persons outside Hong Kong or only to professional investors within the meaning of the Securities and Futures Ordinance and the Securities and Futures (Professional Investor) Rules made thereunder.
You are advised to exercise caution in relation to the offer contained in this document. If you are on any doubt regarding the contents of this
document, you should obtain independent professional advice.
France
This Prospectus has not been approved by the French regulator, the
Autorité des marchés financiers
. Accordingly, the Shares may not be offered for subscription or sale and will not be offered
for subscription or sale in France.
Neither this Prospectus nor any other offering material relating to the offer of the Shares may be
distributed or caused to be distributed in France or used in connection with any offer for subscription or sale of the Shares in France.
*        *        *
Any Authorized Participant may make a market in the Shares. However, no Authorized Participant is obligated to do so, and any of them may stop
doing so at any time without notice. No assurance can be given as to the liquidity of the trading market for the Shares.
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LEGAL MATTERS
The validity of the Shares has been passed upon for the Sponsor by Richards, Layton & Finger, P.A., Wilmington, Delaware. Clifford Chance
US LLP, as special United States tax counsel to the Sponsor, has provided an opinion regarding certain federal income tax matters relating to the Trust and the Shares.
EXPERTS
The financial statements as of December 31, 2011 and
December 31, 2010 and for the years ended December 31, 2011, 2010 and for the period from October 6, 2009 (commencement of operations) through December 31, 2009 included in this Prospectus
have been so included in reliance on the report of
PricewaterhouseCoopers LLP, an independent registered public accounting firm, given on the authority of said firm as experts in auditing and accounting.
WHERE YOU CAN FIND MORE INFORMATION
The Sponsor has filed on
behalf of the Trust a registration statement on Form S-1 with the SEC under the Securities Act. This prospectus does not contain all of the information contained in the registration statement, including the exhibits to the registration statement,
parts of which have been omitted in accordance with the rules and regulations of the SEC. For further information about the Trust and the Shares, please refer to the registration statement, which you may inspect without charge at the public
reference facilities of the SEC at the below address or online at
www.sec.gov
, or obtain at prescribed rates from the public reference facilities of the SEC at the below address.
The current prospectus for the Trust, which may be updated from time to time pursuant to SEC and CFTC rules, is available online at
www.ishares.com
as well as at the SEC website referred to above.
The Trust is subject to the informational requirements of the
Exchange Act, and the Sponsor and the Trustee will, on behalf of the Trust, file certain reports and other information with the SEC. These reports and other information can be inspected at the public reference facilities of the SEC located at 100 F
Street, N.E., Washington, D.C. 20549 and online at
www.sec.gov
. You may also obtain copies of such material from the public reference facilities of the SEC at 100 F Street N.E., Washington, D.C. 20549, at prescribed rates. You may obtain more
information concerning the operation of the public reference facilities of the SEC by calling the SEC at 1-800-SEC-0330 or visiting online at
www.sec.gov
.
The Trustee will furnish you with annual reports as required by the rules and regulations of the SEC, as well as with those reports required by the CFTC and the NFA, including, but not limited to, an annual audited
financial statement certified by independent public accountants, and any other reports required by any other governmental authority that has jurisdiction over the activities of the Trust. The monthly Account Statements for the Trust that are
required to be prepared under the CFTC's rules will be published online at
www.ishares.com
. You also will be provided with appropriate information to permit you, on a timely basis, to file your U.S. federal and state income tax returns
with respect to your Shares. Additional reports may be posted online at
www.ishares.com
in the discretion of the Sponsor or the Trustee or as required by regulatory authorities.
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INDEX TO FINANCIAL STATEMENTS
Page
Audited Financial Statements
iShares
®
Diversified Alternatives Trust
Report of Independent Registered Public Accounting Firm
F-2
Statements of Financial Condition at December 31, 2011 and 2010
F-3
Statements of Operations for the years ended December 31, 2011, 2010 and the period from October 
6, 2009 (commencement of operations) through December 31, 2009
F-4
Statements of Changes in Shareholders' Capital for the years ended December 
31, 2011, 2010 and the period from October 6, 2009 (commencement of operations) through December 31, 2009
F-5
Statements of Cash Flows for the years ended December 31, 2011, 2010 and the period from October 
6, 2009 (commencement of operations) through December 31, 2009
F-6
Schedule of Investments at December 31, 2011
F-7
Notes to Financial Statements
F-10
Interim Unaudited Financial Statements
iShares
®
Diversified Alternatives Trust
Statements of Financial Condition at June 30, 2012 (Unaudited) and December 31, 2011
F-20
Statements of Operations (Unaudited) for the six months ended June 30, 2012 and 2011
F-21
Statements of Changes in Shareholders' Capital for the six months ended June 
30, 2012
(Unaudited) and the year ended December 31, 2011
F-22
Statements of Cash Flows (Unaudited) for the six months ended June 30, 2012 and 2011
F-23
Schedule of Investments at June 30, 2012
F-24
Notes to Financial Statements (Unaudited)
F-27
F-1
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Sponsor, Trustee and Shareholders of
iShares
®
Diversified Alternatives Trust:
In our opinion, the financial statements listed in the accompanying index present fairly, in all
material respects, the financial position of iShares
®
Diversified Alternatives Trust (the "Trust") at
December 31, 2011 and 2010, and the results of its operations and its cash flows for the years in the period ended December 31, 2011, 2010 and the period from October 6, 2009 (commencement of operations) through December 31, 2009
in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Sponsor's management. Our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
San Francisco, California
March 14, 2012
F-2
Table of Contents
iShares
®
Diversified Alternatives Trust
Statements of Financial Condition
At December 31, 2011 and 2010
December 31,
2011
2010
Assets
Current Assets
Cash and cash equivalents
$
3,686,978
$
3,309,973
Cash and cash equivalents held at brokers (restricted)
1,401,234
2,695,461
Foreign currencies held at brokers (restricted)
(a)
7,504,546
6,926,407
Short-term investments
74,597,056
100,261,940
Interest receivable
2,333
1,834
Unrealized appreciation on forward currency contracts (Note 9)
3,723,647
3,620,413
Net unrealized depreciation on futures contracts (Note 9)
(152,172
)
(2,043,296
)
Total Assets
$
90,763,622
$
114,772,732
Liabilities and Shareholders' Capital
Current Liabilities
Sponsor's fees payable
$
74,427
$
89,735
Due to brokers
100,000
—
Unrealized depreciation on forward currency contracts (Note 9)
2,695,336
3,744,316
Total Liabilities
2,869,763
3,834,051
Commitments and Contingent Liabilities (Note 7)
—
—
Shareholders' Capital
Redeemable capital Shares, no par value, unlimited amount authorized (at redemption value) – 1,800,000 issued and outstanding at
December 31, 2011 and 2,200,000 issued and outstanding at December 31, 2010
87,879,459
110,931,481
Additional paid-in capital
14,400
7,200
Total Shareholders' Capital
87,893,859
110,938,681
Total Liabilities and Shareholders' Capital
$
90,763,622
$
114,772,732
(
a)
Cost of foreign currencies at December 31, 2011 and 2010: $7,615,973 and
$6,830,250, respectively.
See notes to financial statements.
F-3
Table of Contents
iShares
®
Diversified Alternatives Trust
Statements of Operations
For the years ended December 31, 2011, 2010 and the period from October 6, 2009
(commencement of operations) through December 31, 2009
Years Ended December 31,
Period from October 6,
2009 (Commencement of
Operations)
through
December 31, 2009
2011
2010
Investment Income
Interest
$
125,182
$
111,049
$
2,444
Total investment income
125,182
111,049
2,444
Expenses
Sponsor's fees
1,146,228
634,698
26,019
Brokerage commissions and fees
87,185
41,174
1,933
Total expenses
1,233,413
675,872
27,952
Net investment loss
(1,108,231
)
(564,823
)
(25,508
)
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Short-term investments
13,430
199
—
Forward currency contracts
(3,234,749
)
699,926
435
Futures contracts
(2,748,162
)
3,045,389
(67,036
)
Net change in unrealized appreciation/depreciation on:
Foreign currency translations
(207,584
)
102,402
(6,245
)
Forward currency contracts
1,152,214
(175,836
)
51,933
Futures contracts
1,891,124
(1,917,712
)
(125,582
)
Net realized and unrealized gain (loss)
(3,133,727
)
1,754,368
(146,495
)
Net gain (loss)
$
(4,241,958
)
$
1,189,545
$
(172,003
)
Net gain (loss) per Share
$
(1.78
)
$
0.88
$
(0.74
)
Weighted-average Shares outstanding
2,388,493
1,346,575
232,184
See notes to financial statements.
F-4
Table of Contents
iShares
®
Diversified Alternatives Trust
Statements of Changes in Shareholders' Capital
For the years ended December 31, 2011, 2010 and the period from October 6, 2009
(commencement of operations) through December 31, 2009
Years Ended December 31,
Period from October 6,
2009 (Commencement of
Operations) through
December 31, 2009
2011
2010
Shareholders' Capital, Beginning of Period
$
110,938,681
$
14,855,197
$
—
Contributions
40,581,012
94,893,939
15,027,200
Redemptions
(59,383,876
)
—
—
Net investment loss
(1,108,231
)
(564,823
)
(25,508
)
Net realized gain (loss) on:
Short-term investments
13,430
199
—
Forward currency contracts
(3,234,749
)
699,926
435
Futures contracts
(2,748,162
)
3,045,389
(67,036
)
Net change in unrealized appreciation/depreciation on:
Foreign currency translations
(207,584
)
102,402
(6,245
)
Forward currency contracts
1,152,214
(175,836
)
51,933
Futures contracts
1,891,124
(1,917,712
)
(125,582
)
Shareholders' Capital, End of Period
$
87,893,859
$
110,938,681
$
14,855,197
Net Asset Value per Share, End of Period
$
48.83
$
50.43
$
49.52
See notes to financial statements.
F-5
Table of Contents
iShares
®
Diversified Alternatives Trust
Statements of Cash Flows
For the years ended December 31, 2011, 2010 and the period from October 6, 2009
(commencement of operations) through December 31, 2009
Years Ended December 31,
Period from October 6,
2009 (Commencement of
Operations) through
December 31, 2009
2011
2010
Cash Flows from Operating Activities
Net gain (loss)
$
(4,241,958
)
$
1,189,545
$
(172,003
)
Adjustments to reconcile net gain (loss) to net cash provided by (used in) operating activities:
Purchases of short-term investments
(350,098,480
)
(188,417,529
)
(22,496,236
)
Sales/maturities of short-term investments
375,878,478
101,756,444
9,000,000
Accretion of discount
(101,684
)
(102,982
)
(1,438
)
Net realized gain on short-term investments
(13,430
)
(199
)
—
Change in operating assets and liabilities:
Cash and cash equivalents held at brokers (restricted)
1,294,227
(1,978,071
)
(717,390
)
Foreign currencies held at brokers, at cost (restricted)
(785,723
)
(6,266,078
)
(564,172
)
Interest receivable
(499
)
(829
)
(1,005
)
Net unrealized appreciation (depreciation) on futures contracts
(1,907,734
)
1,906,344
123,565
Sponsor's fees payable
(15,308
)
78,083
11,652
Due to brokers
100,000
—
—
Net cash provided by (used in) operating activities
20,107,889
(91,835,272
)
(14,817,027
)
Cash Flows from Financing Activities
Contributions
40,581,012
94,893,939
15,027,200
Redemptions
(59,383,876
)
—
—
Net cash provided by (used in) financing activities
(18,802,864
)
94,893,939
15,027,200
Effect of exchange rate changes on cash
(928,020
)
84,707
(43,574
)
Net increase in cash and cash equivalents
377,005
3,143,374
166,599
Cash and Cash Equivalents
Beginning of period
3,309,973
166,599
—
End of period
$
3,686,978
$
3,309,973
$
166,599
See notes to financial statements.
F-6
Table of Contents
iShares
®
Diversified Alternatives Trust
Schedule of Investments
At December 31, 2011
Face Amount
Security Description
Fair Value
United States Treasury bills:
$  11,300,000
0.01%-0.07% due 1/12/12
$
11,299,766
3,000,000
0.01% due 2/16/12
2,999,870
18,500,000
0.01%-0.03% due 2/23/12
18,499,315
11,600,000
0.00%
(a
)
-0.04% due 3/08/12
11,599,443
14,200,000
0.01% due 3/12/12
14,198,827
16,000,000
0.01% due 3/15/12
15,999,835
Total United States Treasury bills - 84.87%
(b
)
$
74,597,056
(a)
Rounds to less than 0.01%.
(b)
Percentage is based on shareholders' capital.
F-7
Table of Contents
iShares
®
Diversified Alternatives Trust
Schedule of
Investments (Continued)
At December 31, 2011
•
As of December 31, 2011, open forward currency contracts held by the Trust were as follows:
Settlement
Date
Currency to be
Delivered
Amount to be
Delivered
Currency to be
Received
Amount to be
Received
Unrealized
Appreciation
(Depreciation)
1/5/2012
AUD
1,439,138
USD
1,479,591
$
4,353
1/5/2012
CAD
2,096,640
USD
2,067,818
8,846
1/5/2012
CHF
16,730,530
USD
18,176,949
284,981
1/5/2012
EUR
21,864,893
USD
29,237,645
853,562
1/5/2012
GBP
10,983,337
USD
17,296,467
227,406
1/5/2012
JPY
729,545,155
USD
9,498,847
16,846
1/5/2012
NOK
58,107,906
USD
10,119,159
382,808
1/5/2012
SEK
65,656,222
USD
9,776,734
199,783
1/5/2012
USD
13,003,122
AUD
13,862,019
1,206,611
1/5/2012
USD
17,811,000
CAD
18,166,135
28,765
1/5/2012
USD
11,881,579
CHF
11,121,056
11,504
1/5/2012
USD
554,560
EUR
427,894
914
1/5/2012
USD
15,915,634
GBP
10,333,893
144,134
1/5/2012
USD
5,033,720
JPY
391,029,463
48,545
1/5/2012
USD
23,350,443
SEK
162,165,275
303,809
4/4/2012
CAD
15,108,487
USD
14,808,032
421
4/4/2012
USD
6,834,790
GBP
4,402,019
359
3,723,647
1/5/2012
AUD
12,422,881
USD
12,683,089
(51,407
)
1/5/2012
CAD
22,916,759
USD
21,610,157
(894,883
)
1/5/2012
GBP
244,556
USD
376,856
(3,205
)
1/5/2012
JPY
409,525,308
USD
5,276,254
(46,404
)
1/5/2012
NOK
60,428,668
USD
10,121,978
(3,232
)
1/5/2012
SEK
119,994,053
USD
17,465,576
(37,367
)
1/5/2012
USD
6,750,444
CAD
6,847,264
(26,197
)
1/5/2012
USD
6,286,165
CHF
5,609,474
(287,279
)
1/5/2012
USD
28,786,266
EUR
21,436,999
(957,657
)
1/5/2012
USD
1,436,772
GBP
894,000
(47,419
)
1/5/2012
USD
9,735,908
JPY
748,041,000
(13,514
)
1/5/2012
USD
20,059,960
NOK
118,536,574
(198,398
)
1/5/2012
USD
3,551,668
SEK
23,485,000
(126,027
)
4/4/2012
CHF
10,535,738
USD
11,287,968
(484
)
4/4/2012
EUR
7,702,109
USD
10,006,672
(370
)
4/4/2012
USD
8,957,973
AUD
8,825,111
(658
)
4/4/2012
USD
5,659,651
JPY
434,673,658
(322
)
4/4/2012
USD
9,561,513
NOK
57,248,212
(161
)
4/4/2012
USD
14,754,666
SEK
101,553,209
(352
)
(2,695,336
)
Net Unrealized Appreciation
$
1,028,311
F-8
Table of Contents
iShares
®
Diversified Alternatives Trust
Schedule of
Investments (Continued)
At December 31, 2011
•
As of December 31, 2011, open futures contracts held by the Trust were as follows:
Contract Type
Number of
Contracts
Expiration
Date
Notional
Amount
Unrealized
Appreciation
(Depreciation)
Equity Contracts
AEX Index
(69
)
1/20/2012
$
(5,611,708
)
$
(263,343
)
CAC 40 10-Year Euro
164
1/20/2012
6,739,242
197,994
OMX 30 Index
(575
)
1/20/2012
(8,295,406
)
(280,987
)
Hang Seng Index
(40
)
1/30/2012
(4,752,659
)
34,507
MSCI Taiwan Index
175
1/30/2012
4,436,250
(35,000
)
TOPIX Index
(34
)
3/9/2012
(3,217,052
)
33,143
S&P/TSX 60 Index
(53
)
3/15/2012
(7,067,361
)
(68,186
)
SPI 200 Index
72
3/15/2012
7,416,505
(289,722
)
DAX Index
20
3/16/2012
3,829,543
77,889
FTSE 100 Index
44
3/16/2012
3,785,540
59,491
S&P 500 E-mini Index
21
3/16/2012
1,315,230
24,623
(509,591
)
Interest Rate Contracts
10-Year Mini JGB
(28
)
3/8/2012
(5,186,223
)
(30,569
)
Euro Bund
92
3/8/2012
16,605,519
484,340
Japan 10-Year Bond
(5
)
3/9/2012
(9,254,614
)
(51,989
)
Australian 10-Year Bond
(130
)
3/15/2012
(15,845,850
)
(176,665
)
Canada 10-Year Bond
(92
)
3/21/2012
(12,092,590
)
(161,071
)
US 10-Year Note
98
3/21/2012
12,850,250
96,469
Long Gilt
70
3/28/2012
12,722,644
196,904
357,419
Net Unrealized Depreciation
$
(152,172
)
See notes to financial statements.
F-9
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements
December 31, 2011
1 - Organization
The
iShares
®
Diversified Alternatives Trust (the "Trust") is a Delaware statutory trust organized under the laws of
the State of Delaware on July 30, 2009 and commenced operations on October 6, 2009. iShares
®
Delaware Trust
Sponsor LLC is the sponsor of the Trust (the "Sponsor"). The sole member and manager of the Sponsor is BlackRock Asset Management International Inc., a Delaware corporation. BlackRock Institutional Trust Company, N.A. is the
"Trustee" of the Trust. The Trust holds long and/or short positions in foreign currency forward contracts and exchange-traded futures contracts involving assets such as currencies, interest rates and certain eligible stock and/or bond
indices. Investments for the Trust's portfolio are selected by BlackRock Fund Advisors (the "Advisor"), following investment strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the
relative values or market prices of one or more assets.
The Trust is a commodity pool, as defined in the Commodity Exchange Act (the "CEA")
and the applicable regulations of the Commodity Futures Trading Commission (the "CFTC"), and is operated by the Sponsor, a commodity pool operator registered with the CFTC. The Sponsor is an indirect subsidiary of BlackRock, Inc. The
Advisor, an indirect subsidiary of BlackRock, Inc., serves as the commodity trading advisor of the Trust and is registered under the CEA.
The Trust is
not an investment company registered under the Investment Company Act of 1940, as amended.
2 - Summary of Significant Accounting Policies
A.
Basis of Accounting
The following is a summary of
significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"). The preparation of
financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates and these differences could be material.
Certain amounts in the financial statements for the prior years have been reclassified to conform to the current financial statement presentation.
B.
Investment in Forward and Futures Contracts
A forward
contract is an agreement between two parties, one of whom undertakes to purchase from or sell to the other, on a specified future date, a specified quantity of a specified asset at a specified location in exchange for a specified purchase price. The
types of assets involved may vary from foreign currencies to physical commodities and financial assets such as bonds or interest rates. Unlike futures contracts, forward contracts are usually the subject of negotiation between the parties involved.
As a result, forward contracts may have a variety of maturities and involve different amounts of the specified asset.
Futures contracts are
standardized forward contracts traded on an exchange. As such, futures contracts and the parties to a futures contract are subject to the regulations of the exchange where the contracts trade. Each exchange may impose certain margin requirements,
setting forth the minimum amount of funds
F-10
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements (Continued)
December 31, 2011
that must be deposited by a futures trader with the futures commission merchant in order to initiate futures trading or to maintain an open position in futures contracts.
Forward and futures contracts are derivative instruments and are valued at fair value. The Trust's derivatives are not designated as hedges, and all changes
in the fair value are reflected in the Statements of Operations. The current market value of all open futures contracts, whether traded on a United States exchange or a non-United States exchange, is determined by State Street Bank and Trust Company
(the "Trust Administrator"). Such current market value is based upon the settlement price for that particular futures contract traded on the applicable exchange on the date with respect to which net asset value is being determined;
provided, that if a futures contract could not be liquidated on such day, due to the operation of daily limits (if applicable) or other rules, procedures or actions of the exchange upon which that position is traded or otherwise, the settlement
price on the most recent day on which the position could have been liquidated is the primary basis for determining the market value of such position for such day.
The current market value of all open forward contracts is based upon the prices determined by the Trust Administrator utilizing data from an internationally recognized valuation service for assets of that nature.
The Trustee periodically assesses the appropriateness of the methodologies used by the valuation service provider in determining the price of forward contracts.
The Trustee may in its discretion (and, under extraordinary circumstances, will) value any asset of the Trust pursuant to other principles that it deems fair and equitable. In this context, "extraordinary
circumstances" includes, for example, periods during which a valuation price for a forward contract or a settlement price of a futures contract is not available due to events such as systems failure, natural or man-made disaster, act of God,
armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance or due to a trading or other restriction imposed by a relevant futures exchange.
The investment objective of the Trust is to maximize absolute returns from its investments in certain futures and/or forward contracts selected by the Advisor following strategies that utilize quantitative
methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more commodities, currencies, interest rates or certain eligible stock or bond indices, and seek to control the risks and volatility
inherent in these investments by taking long and short positions in historically correlated assets. In pursuing its investment objectives, the Trust is subject to equity price risk, interest rate risk and foreign currency exchange rate risk. The
return on assets in the Trust, if any, is not intended to track the performance of any index or other benchmark.
For futures contracts, counterparty
credit risk is minimized because futures contracts are exchange-traded and the exchange's clearing house acts as a central counterparty to all exchange-traded futures contracts (although customers continue to have credit exposure to the
clearing member who holds their account). Forward contracts are not exchange-traded, and are therefore subject to counterparty credit risk of The Royal Bank of Scotland plc, the prime broker of the Trust.
Please refer to Note 9 for additional disclosures regarding the Trust's investments in forward and futures contracts.
C.
Cash and Cash Equivalents
The Trust defines cash and cash
equivalents to be highly liquid investments with original maturities of three months or less.
F-11
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements (Continued)
December 31, 2011
As of December 31, 2011 and 2010, the Trust had cash and cash equivalents held at brokers of $1,401,234 and
$2,695,461, respectively, which were restricted and held as collateral against margin obligations for open forward and/or futures contracts.
D.
Foreign Currencies
The Trust may hold foreign currencies as
collateral for futures contracts traded on exchanges located outside the United States. Foreign currencies are translated into U.S. dollars at the prevailing spot exchange rate. Net realized gain or loss on foreign currencies, if any, arises from
the sale of such foreign currencies and is presented on the Statements of Operations. Net change in unrealized gain or loss on foreign currency translation on the Statements of Operations arises from changes in foreign currency values resulting from
changes in exchange rates during the period.
The Trust does not isolate the effect of fluctuations in foreign exchange rates from the effect of
fluctuations in the market prices of securities. Such fluctuations are reflected by the Trust as a component of realized and unrealized gains and losses from investments for financial reporting purposes.
As of December 31, 2011 and 2010, the Trust had foreign currencies held at brokers of $7,504,546 and $6,926,407, respectively, which were restricted and held
as collateral against margin obligations for open futures contracts.
E.
Short-Term Investments
Short-term investments on the
Statements of Financial Condition consist principally of short-term fixed income securities with original maturities of one year or less. These investments are valued at fair value.
F.
Securities Transactions, Income and Expense Recognition
Securities transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined using the specific identification
method. Other income and expenses are recognized on the accrual basis.
G.
Income Taxes
The Trust is not an association taxable as a
corporation and is treated as a partnership for federal, state and local income tax purposes.
No provision for federal, state, and local income taxes
has been made in the accompanying financial statements because the Trust is not subject to income taxes. Shareholders are individually responsible for their own tax payments on their proportionate share of income, gain, loss, deduction, expense and
credit.
H.
Calculation of Net Asset Value
On each business day on which
NYSE Arca, Inc. ("NYSE Arca") is open for regular trading, as soon as practicable after the close of regular trading of the Shares on NYSE Arca (normally 4:00 p.m., New York time), the Trustee determines the net asset value of the Trust.
Net asset value of the Trust means the total assets of the Trust including all cash and cash equivalents or other debt securities less total liabilities of
F-12
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements (Continued)
December 31, 2011
the Trust, each determined on the basis of U.S. GAAP, consistently applied under the accrual method of accounting. In particular, net asset value of the Trust includes any unrealized profit or
loss on open forward contracts and futures contracts, and any other credit or debit accruing to the Trust but unpaid or not received by the Trust.
I.
Recent Accounting Standard
In May 2011, the Financial
Accounting Standards Board ("FASB") issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about
the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair measurement to changes in unobservable inputs and the
interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal
years beginning after December 15, 2011, and interim periods within those fiscal years. The adoption of the additional disclosure requirements is not expected to materially impact the Trust's financial statements and disclosures.
In December 2011, the FASB issued guidance to enhance current disclosure requirements on offsetting of certain assets and liabilities and enable
financial statement users to compare financial statements prepared under U.S. GAAP and International Financial Reporting Standards (IFRS). The new disclosures are required for investments and derivative financial instruments subject to master
netting agreements or similar agreements and require an entity to disclose both gross and net information about such investments and transactions eligible for offset in the statement of assets and liabilities. In addition, the standard requires
disclosure of collateral received and posted in connection with master netting agreements or similar agreements. The guidance is effective for financial statements for fiscal years beginning after January 1, 2013, and interim periods within
those fiscal years. Management is evaluating the impact of this guidance on the Trust's financial statements and disclosures.
3 - Offering of
the Shares
The Trust offers Shares on a continuous basis. The Trust issues and redeems Shares only in one or more blocks of 100,000 Shares
("Baskets") for a consideration in cash equal to the net asset value per Basket announced by the Trust on the first business day after the purchase or redemption order is received by the Trust. These transactions take place only with
certain broker-dealers with whom the Trust has entered into written arrangements regarding the issuance and redemption of Shares (such authorized broker-dealers are the "Authorized Participants"). Only institutions that enter into an
agreement with the Trust to become Authorized Participants may purchase or redeem Baskets. The Trust will not redeem individual Shares or Baskets held by parties who are not Authorized Participants.
Redemptions of Shares in exchange for a consideration in cash are treated as sales for financial statement purposes.
4 - Trust Expenses
The Trust incurs all brokerage
commissions and other transaction related fees and expenses in connection with the trading activities of the Trust. These expenses are recorded as brokerage commissions and fees in the Statements of Operations as incurred.
F-13
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements (Continued)
December 31, 2011
The Sponsor pays the amounts that would otherwise be considered the ordinary operating expenses, if any, of the
Trust. In return, the Sponsor receives an allocation from the Trust that accrues daily at an annualized rate equal to 0.95% of the adjusted net asset value of the Trust.
The Sponsor is obligated under the trust agreement to pay the following administrative, operational and marketing expenses: (1) the fees of the Trustee, the Advisor, Wilmington Trust Company (the
"Delaware Trustee"), the Trust Administrator and SEI Investments Distribution Co. (the "Processing Agent"), (2) NYSE Arca listing fees, (3) printing and mailing costs, (4) audit fees, (5) fees for registration
of the Shares with the Securities and Exchange Commission ("SEC"), (6) tax reporting costs and (7) legal expenses up to $100,000 annually.
5 - Related Parties
iShares
®
Delaware Trust Sponsor LLC, is the Sponsor of the Trust, and BlackRock Fund Advisors is the Advisor of the Trust. The Sponsor and the Advisor are considered to be
related parties to the Trust.
6 - Indemnification
The trust agreement provides that the Sponsor and its shareholders, directors, officers, employees, affiliates (as such term is defined under the United States
Securities Act of 1933, as amended) and subsidiaries shall be indemnified from the Trust and held harmless against any loss, liability, cost, expense or judgment arising out of or in connection with the performance of their obligations under the
trust agreement or any actions taken in accordance with the provisions of the trust agreement incurred without their (1) negligence, bad faith, willful misconduct or willful malfeasance or (2) reckless disregard of their obligations and
duties under the trust agreement.
7 - Commitments and Contingent Liabilities
In the normal course of business, the Trust may enter into contracts with service providers that contain general indemnification clauses. The Trust's maximum exposure under these arrangements is unknown as
this would involve future claims that may be made against the Trust that have not yet occurred.
F-14
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements (Continued)
December 31, 2011
8 - Financial Highlights
The Trust is presenting the following financial highlights related to investment performance and operations for the years ended December 31, 2011, 2010 and the period from October 6, 2009 (commencement of
operations) through December 31, 2009. The net investment income (loss) and total expense ratios are calculated using average net assets. The net asset value presentation is calculated using daily Shares outstanding. The net investment income
(loss) and expense ratios for the period from October 6, 2009 through December 31, 2009 have been annualized. The total return is based on the change in the net asset value of a Share during the period.
Years Ended December 31,
Period from October 6,
2009 (Commencement of
Operations) through
December 31,
2009
2011
2010
Net asset value per Share, beginning of period
$
50.43
$
49.52
$
50.00
Net investment loss
(0.46
)
(0.42
)
(0.11
)
Net realized and unrealized gain (loss)
(1.14
)
1.33
(0.37
)
Net increase (decrease) in net assets from operations
(1.60
)
0.91
(0.48
)
Net asset value per Share, end of period
$
48.83
$
50.43
$
49.52
Ratio to average net assets:
Net investment loss
(0.92
)%
(0.84
)%
(0.92
)%
Expenses
1.02
%
1.01
%
1.01
%
Total return
(3.17
)%
1.84
%
(0.96
)%
9 - Investing in Forward and Futures Contracts
Substantially all of the Trust's assets are invested in forward and/or futures contracts. The return on assets in the portfolio, if any, is not intended to track the performance of any index or other
benchmark. There is no assurance the Trust will achieve its investment objectives.
For the years ended December 31, 2011 and 2010, the average
month-end notional amounts of open forward currency contracts were $244,031,041 and $133,811,286, respectively. For the years ended December 31, 2011 and 2010, the average month-end notional amounts of open futures contracts were $602,423,480
and $405,818,327, respectively.
F-15
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements (Continued)
December 31, 2011
The following table shows the fair values of the open forward currency and futures contracts, by risk exposure
category, on the Statements of Financial Condition as of December 31, 2011 and 2010:
Asset Derivatives
Fair Value
Liability Derivatives
Fair Value
December 31, 2011
Foreign exchange contracts
Unrealized appreciation on forward currency contracts
$
3,723,647
Unrealized depreciation on forward currency contracts
$
2,695,336
Equity contracts
Unrealized appreciation on futures contracts
427,647
Unrealized depreciation on futures contracts
937,238
Interest rate contracts
Unrealized appreciation on futures contracts
777,713
Unrealized depreciation on futures contracts
420,294
December 31, 2010
Foreign exchange contracts
Unrealized appreciation on forward currency contracts
$
3,620,413
Unrealized depreciation on forward currency contracts
$
3,744,316
Equity contracts
Unrealized appreciation on futures contracts
227,254
Unrealized depreciation on futures contracts
555,551
Interest rate contracts
Unrealized appreciation on futures contracts
85,806
Unrealized depreciation on futures contracts
1,800,805
The following table shows the effect of the forward currency and futures contracts, by risk exposure category, on the Statements of
Operations for the years ended December 31, 2011, 2010 and for the period from October 6, 2009 (commencement of operations) through December 31, 2009:
Statements of
Operations Location
Realized
Gain (Loss)
Change in Unrealized
Appreciation/
Depreciation
December 31, 2011
Foreign exchange contracts
Net realized gain (loss) on forward currency contracts
$
(3,234,749
)
$
—
Net change in unrealized appreciation/depreciation on forward currency contracts
—
1,152,214
Equity contracts
Net realized gain (loss) on futures contracts
(65,098
)
(a
)
—
Net change in unrealized appreciation/depreciation on futures contracts
—
(181,294
)
Interest rate contracts
Net realized gain (loss) on futures contracts
(2,770,249
)
(a
)
—
Net change in unrealized appreciation/depreciation on futures contracts
—
2,072,418
F-16
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements (Continued)
December 31, 2011
Statements of
Operations Location
Realized
Gain (Loss)
Change in Unrealized
Appreciation/
Depreciation
December 31, 2010
Foreign exchange contracts
Net realized gain (loss) on forward currency contracts
$
699,926
$
—
Net change in unrealized appreciation/depreciation on forward currency contracts
—
(175,836
)
Equity contracts
Net realized gain (loss) on futures contracts
873,834
(a
)
—
Net change in unrealized appreciation/depreciation on futures contracts
—
(345,880
)
(a
)
Interest rate contracts
Net realized gain (loss) on futures contracts
2,130,286
(a
)
—
Net change in unrealized appreciation/depreciation on futures contracts
—
(1,571,737
)
(a
)
Period from October 6, 2009
(Commencement of Operations)
through December 31,
2009
Foreign exchange contracts
Net realized gain (loss) on forward currency contracts
$
435
$
—
Net change in unrealized appreciation/depreciation on forward currency contracts
—
51,933
Equity contracts
Net realized gain (loss) on futures contracts
(34,582
)
(a
)
—
Net change in unrealized appreciation/depreciation on futures contracts
—
17,583
(a
)
Interest rate contracts
Net realized gain (loss) on futures contracts
(34,493
)
(a
)
—
Net change in unrealized appreciation/depreciation on futures contracts
—
(143,262
)
(a
)
(
a
)
Amounts do not reconcile to the Statements of Operations due to brokerage commissions and fees.
10 - Investment Valuation
In accordance with Financial
Accounting Standards Board Accounting Standards Codification Topic 820,
Fair Value Measurements and Disclosures
, the Trust values investments using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure
fair value. Inputs may be based on independent market data ("observable inputs") or they may be internally developed ("unobservable inputs"). The hierarchy gives the highest priority to unadjusted quoted prices in active markets
for identical
F-17
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements (Continued)
December 31, 2011
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows:
Level 1
–
Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Trust has the ability to access as of the measurement date;
Level 2
–
Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to
be active; and
Level 3
–
Inputs that are unobservable for the asset or liability.
U.S. Treasury bills are classified as Level 2 investments, as these trade in markets that are not considered active, but whose
values are based on inputs such as quoted market prices, dealer quotations or valuations provided by alternative pricing sources that are supported by observable inputs.
Forward currency contracts are not exchange-traded and do not have quoted prices for identical assets in active markets. These contracts are valued using pricing information obtained from third-party pricing
vendors who derive the value of these contracts from observable market inputs such as expiration dates of forward contracts, forward rates and spot exchange rates. Therefore, forward currency contracts are classified as Level 2 investments.
Futures contracts are valued using settlement prices for the particular futures contract traded on the applicable exchanges. Futures contracts are
classified as Level 1 investments, as quoted prices for identical assets in active markets are available.
The following table summarizes the valuation
of the Trust's investments by the fair value hierarchy levels as of December 31, 2011 and 2010:
Level 1
Level 2
Level 3
Total
December 31, 2011
U.S. Treasury bills
$
—
$
74,597,056
$
—
$
74,597,056
Forward currency contracts
—
1,028,311
—
1,028,311
Futures contracts
Equity contracts
(509,591
)
—
—
(509,591
)
Interest rate contracts
357,419
—
—
357,419
Total futures contracts
(152,172
)
—
—
(152,172
)
December 31, 2010
U.S. Treasury bills
$
—
$
100,261,940
$
—
$
100,261,940
Forward currency contracts
—
(123,903
)
—
(123,903
)
Futures contracts
Equity contracts
(328,297
)
—
—
(328,297
)
Interest rate contracts
(1,714,999
)
—
—
(1,714,999
)
Total futures contracts
(2,043,296
)
—
—
(2,043,296
)
F-18
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements (Continued)
December 31, 2011
11 - Subsequent Events
In connection with the preparation of the financial statements of the Trust as of and for the period ended December 31, 2011, management has evaluated the impact of all subsequent events on the Trust through
the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
F-19
Table of Contents
iShares
®
Diversified Alternatives Trust
Statements of Financial Condition
At June 30, 2012 (Unaudited) and December 31, 2011
June 30,
2012
December 31,
2011
Assets
Current Assets
Cash and cash equivalents
$
2,935,642
$
3,686,978
Cash and cash equivalents held at brokers (restricted)
1,395,340
1,401,234
Foreign currencies held at brokers (restricted)
(a)
5,198,271
7,504,546
Short-term investments
50,490,178
74,597,056
Receivable for investment securities sold
3,395,116
—
Interest receivable
1,020
2,333
Unrealized appreciation on forward currency contracts (Note 9)
2,911,141
3,723,647
Net unrealized depreciation on futures contracts (Note 9)
(691,436
)
(152,172
)
Total Assets
$
65,635,272
$
90,763,622
Liabilities and Shareholders' Capital
Current Liabilities
Payable for capital Shares redeemed
$
4,861,332
$
—
Sponsor's fees payable
49,558
74,427
Due to brokers
300,000
100,000
Unrealized depreciation on forward currency contracts (Note 9)
2,083,547
2,695,336
Total Liabilities
7,294,437
2,869,763
Commitments and Contingent Liabilities (Note 7)
—
—
Shareholders' Capital
Redeemable capital Shares, no par value, unlimited amount
authorized (at redemption value) – 1,200,000 issued and outstanding at
June 30, 2012 and 1,800,000 issued and
outstanding at December 31, 2011
58,324,035
87,879,459
Additional paid-in capital
16,800
14,400
Total Shareholders' Capital
58,340,835
87,893,859
Total Liabilities and Shareholders' Capital
$
65,635,272
$
90,763,622
(a)
Cost of foreign currencies at June 30, 2012 and December 31, 2011: $5,142,903 and $7,615,973, respectively.
See notes to financial statements.
F-20
Table of Contents
iShares
®
Diversified Alternatives Trust
Statements of Operations (Unaudited)
For the three and six months ended June 30, 2012 and 2011
Three Months Ended
June 30,
Six Months Ended
June 30,
2012
2011
2012
2011
Investment Income
Interest
$
19,360
$
41,035
$
31,902
$
86,215
Total investment income
19,360
41,035
31,902
86,215
Expenses
Sponsor's fees
150,230
297,360
331,440
570,172
Brokerage commissions and fees
15,801
17,410
34,618
35,457
Total expenses
166,031
314,770
366,058
605,629
Net investment loss
(146,671
)
(273,735
)
(334,156
)
(519,414
)
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Short-term investments
(25
)
2,762
(280
)
2,762
Forward currency contracts
(343,346
)
1,301,901
629,770
1,301,013
Futures contracts
(470,249
)
3,418,213
16,378
(433,358
)
Net change in unrealized appreciation/depreciation on:
Foreign currency translations
25,062
37,294
161,947
(9,955
)
Forward currency contracts
1,104,660
(2,134,784
)
(200,717
)
(770,858
)
Futures contracts
(379,793
)
(483,228
)
(539,264
)
3,388,908
Net realized and unrealized gain (loss)
(63,691
)
2,142,158
67,834
3,478,512
Net gain (loss)
$
(210,362
)
$
1,868,423
$
(266,322
)
$
2,959,098
Net gain (loss) per Share
$
(0.16
)
$
0.77
$
(0.19
)
$
1.25
Weighted-average Shares outstanding
1,296,703
2,434,066
1,423,626
2,361,326
See notes to financial statements.
F-21
Table of Contents
iShares
®
Diversified Alternatives Trust
Statements of Changes in Shareholders' Capital
For the six months ended June 30, 2012 (Unaudited) and the year ended December 31, 2011
Six Months
Ended
June 30, 2012
Year Ended
December 31, 2011
Shareholders' Capital, Beginning of Period
$
87,893,859
$
110,938,681
Contributions
2,400
40,581,012
Redemptions
(29,289,102
)
(59,383,876
)
Net investment loss
(334,156
)
(1,108,231
)
Net realized gain (loss) on:
Short-term investments
(280
)
13,430
Forward currency contracts
629,770
(3,234,749
)
Futures contracts
16,378
(2,748,162
)
Net change in unrealized appreciation/depreciation on:
Foreign currency translations
161,947
(207,584
)
Forward currency contracts
(200,717
)
1,152,214
Futures contracts
(539,264
)
1,891,124
Shareholders' Capital, End of Period
$
58,340,835
$
87,893,859
Net Asset Value per Share, End of Period
$
48.62
$
48.83
See notes to financial statements.
F-22
Table of Contents
iShares
®
Diversified Alternatives Trust
Statements of Cash Flows (Unaudited)
For the six months ended June 30, 2012 and 2011
Six Months Ended
June 30,
2012
2011
Cash Flows from Operating Activities
Net gain (loss)
$
(266,322)
$
2,959,098
Adjustments to reconcile net gain (loss) to net cash provided by (used in) operating activities:
Purchases of short-term investments
(58,767,969
)
(133,736,878
)
Sales/maturities of short-term investments
82,898,820
119,799,622
Accretion of discount
(24,253
)
(76,061
)
Net realized gain (loss) on short-term investments
280
(2,762
)
Change in operating assets and liabilities:
Cash and cash equivalents held at brokers (restricted)
5,894
(3,336,044
)
Foreign currencies held at brokers, at cost (restricted)
2,473,070
2,082,980
Receivable for investment securities sold
(3,399,964
)
—
Interest receivable
1,313
(809
)
Net unrealized appreciation (depreciation) on futures contracts
563,180
(3,356,780
)
Sponsor's fees payable
(24,869
)
11,086
Due to brokers
200,000
—
Net cash provided by (used in) operating activities
23,659,180
(15,656,548
)
Cash Flows from Financing Activities
Contributions
2,400
25,716,762
Redemptions
(24,427,770
)
(10,282,126
)
Net cash provided by (used in) financing activities
(24,425,370
)
15,434,636
Effect of exchange rate changes on cash
14,854
748,685
Net increase (decrease) in cash and cash equivalents
(751,336
)
526,773
Cash and Cash Equivalents
Beginning of period
3,686,978
3,309,973
End of period
$
2,935,642
$
3,836,746
See notes to financial statements.
F-23
Table of Contents
iShares
®
Diversified Alternatives Trust
Schedule of Investments (Unaudited)
At June 30, 2012
Face Amount
Security Description
Fair Value
United States Treasury bills:
$    27,300,000
0.00%
(a)
due
8/16/12
$
27,295,743
6,500,000
0.00%
(a)
due
8/30/12
6,498,657
16,000,000
0.00%
(a)
due
9/06/12
15,995,991
700,000
0.00%
(a)
due
9/20/12
699,787
Total United States Treasury bills - 86.54%
(b)
$
50,490,178
(a)
Rounds to less than 0.01%.
(b)
Percentage is based on shareholders' capital.
F-24
Table of Contents
iShares
®
Diversified Alternatives Trust
Schedule of
Investments (Unaudited) (Continued)
At June 30, 2012
•
As of June 30, 2012, open forward currency contracts held by the Trust were as follows:
Settlement
Date
Currency to be
Delivered
Amount to be
Delivered
Currency to be
Received
Amount to be
Received
Unrealized
Appreciation
(Depreciation)
7/5/2012
AUD
160,944
USD
164,944
$
—
7/5/2012
CAD
13,362,154
USD
13,424,848
318,202
7/5/2012
CHF
15,088,301
USD
16,662,796
720,894
7/5/2012
EUR
17,287,297
USD
22,907,751
968,960
7/5/2012
GBP
606,752
USD
951,657
1
7/5/2012
JPY
26,337,775
USD
330,100
2
7/5/2012
NOK
25,860,843
USD
4,453,301
103,195
7/5/2012
SEK
19,797,000
USD
2,926,602
58,682
7/5/2012
USD
2,146,441
AUD
2,178,000
85,694
7/5/2012
USD
600,856
CAD
620,000
7,289
7/5/2012
USD
2,945,261
CHF
2,810,561
24,304
7/5/2012
USD
2,191,486
EUR
1,758,000
39,539
7/5/2012
USD
1,447,517
GBP
939,000
25,251
7/5/2012
USD
8,058,144
JPY
663,900,000
262,685
7/5/2012
USD
824,045
NOK
5,027,000
21,557
7/5/2012
USD
6,174,132
SEK
44,517,000
274,886
2,911,141
7/5/2012
AUD
9,807,000
USD
9,699,097
(351,661
)
7/5/2012
CAD
388,000
USD
373,047
(7,534
)
7/5/2012
CHF
5,620,000
USD
5,835,111
(102,833
)
7/5/2012
GBP
3,103,000
USD
4,768,861
(98,018
)
7/5/2012
JPY
670,021,929
USD
8,174,374
(223,183
)
7/5/2012
NOK
3,533,000
USD
578,564
(15,729
)
7/5/2012
SEK
7,806,140
USD
1,130,839
(8
)
7/5/2012
USD
10,012,021
AUD
9,721,277
(49,117
)
7/5/2012
USD
6,088,179
CAD
6,060,165
(143,895
)
7/5/2012
USD
417,981
CHF
383,000
(13,313
)
7/5/2012
USD
2,514,728
EUR
1,951,484
(38,158
)
7/5/2012
USD
16,055,240
GBP
10,051,785
(289,586
)
7/5/2012
USD
4,378,919
JPY
348,513,000
(10,916
)
7/5/2012
USD
8,618,597
NOK
49,276,965
(329,616
)
7/5/2012
USD
11,529,901
SEK
76,759,829
(409,980
)
(2,083,547
)
Net Unrealized Appreciation
$
827,594
F-25
Table of Contents
iShares
®
Diversified Alternatives Trust
Schedule of
Investments (Unaudited) (Continued)
At June 30, 2012
•
As of June 30, 2012, open futures contracts held by the Trust were as follows:
Contract Type
Number of
Contracts
Expiration
Date
Notional
Amount
Unrealized
Appreciation
(Depreciation)
Equity Contracts
AEX Index
(65
)
7/20/2012
$
(5,068,903
)
$
(258,188
)
CAC 40 10-Year Euro
81
7/20/2012
3,281,154
175,776
OMX 30 Index
(166
)
7/20/2012
(2,474,103
)
(119,647
)
Hang Seng Index
(35
)
7/30/2012
(4,387,831
)
(62,268
)
MSCI Taiwan Index
(213
)
7/30/2012
(5,397,420
)
(117,150
)
TOPIX Index
(12
)
9/14/2012
(1,156,536
)
(78,205
)
S&P/TSX 60 Index
(49
)
9/20/2012
(6,358,056
)
(85,652
)
SPI 200 Index
104
9/20/2012
10,812,434
(90,614
)
DAX Index
11
9/21/2012
2,237,541
95,623
FTSE 100 Index
117
9/21/2012
10,135,185
168,828
S&P 500 E-mini Index
(20
)
9/21/2012
(1,356,400
)
(36,400
)
(407,897
)
Interest Rate Contracts
Euro Bund
57
9/6/2012
10,192,121
(198,924
)
10-Year Mini JGB
(10
)
9/7/2012
(1,800,978
)
(3,760
)
Japan 10-Year Bond
(4
)
9/10/2012
(7,203,409
)
(15,039
)
Australian 10-Year Bond
(78
)
9/17/2012
(10,030,839
)
(23,534
)
Canada 10-Year Bond
(133
)
9/19/2012
(18,062,534
)
(161,558
)
US 10-Year Note
93
9/19/2012
12,403,875
75,563
Long Gilt
82
9/26/2012
15,319,086
43,713
(283,539
)
Net Unrealized Depreciation
$
(691,436
)
See notes to financial statements.
F-26
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to Financial Statements (Unaudited)
June 30, 2012
1 - Organization
The
iShares
®
Diversified Alternatives Trust, (the "Trust") is a Delaware statutory trust organized under the laws of
the State of Delaware on July 30, 2009 and commenced operations on October 6, 2009. iShares
®
Delaware Trust
Sponsor LLC is the sponsor of the Trust (the "Sponsor"). The sole member and manager of the Sponsor is BlackRock Asset Management International Inc., a Delaware corporation. BlackRock Institutional Trust Company, N.A. is the
"Trustee" of the Trust. The Trust holds long and/or short positions in foreign currency forward contracts and exchange-traded futures contracts involving assets such as currencies, interest rates and certain eligible stock and/or bond
indices. Investments for the Trust's portfolio are selected by BlackRock Fund Advisors (the "Advisor"), following investment strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the
relative values or market prices of one or more assets.
The Trust is a commodity pool, as defined in the Commodity Exchange Act (the "CEA")
and the applicable regulations of the Commodity Futures Trading Commission (the "CFTC"), and is operated by the Sponsor, a commodity pool operator registered with the CFTC. The Sponsor is an indirect subsidiary of BlackRock, Inc. The
Advisor, an indirect subsidiary of BlackRock, Inc., serves as the commodity trading advisor of the Trust and is registered under the CEA.
The Trust is
not an investment company registered under the Investment Company Act of 1940, as amended.
The accompanying unaudited financial statements were
prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S.
Securities and Exchange Commission (the "SEC"). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements
have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust's financial statements included in its Annual
Report on Form 10-K for the year ended December 31, 2011 as filed with the SEC on March 14, 2012.
2 - Summary of Significant Accounting
Policies
A.
Basis of Accounting
The following is a summary of
significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain
estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates and these differences could be material.
B.
Investment in Forward and Futures Contracts
A forward
contract is an agreement between two parties, one of whom undertakes to purchase from or sell to the other, on a specified future date, a specified quantity of a specified asset at a specified location in exchange for a specified purchase price. The
types of assets involved may vary from foreign currencies to physical commodities and financial assets such as bonds or interest rates. Unlike futures contracts,
F-27
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to
Financial Statements (Unaudited) (Continued)
June 30, 2012
forward contracts are usually the subject of negotiation between the parties involved. As a result, forward contracts may have a variety of maturities and involve different amounts of the
specified asset.
Futures contracts are standardized forward contracts traded on an exchange. As such, futures contracts and the parties to a futures
contract are subject to the regulations of the exchange where the contracts trade. Each exchange may impose certain margin requirements, setting forth the minimum amount of funds that must be deposited by a futures trader with the futures commission
merchant in order to initiate futures trading or to maintain an open position in futures contracts.
Forward and futures contracts are derivative
instruments and are valued at fair value. The Trust's derivatives are not designated as hedges, and all changes in the fair value are reflected in the Statements of Operations. The current market value of all open futures contracts, whether
traded on a United States exchange or a non-United States exchange, is determined by State Street Bank and Trust Company (the "Trust Administrator"). Such current market value is based upon the settlement price for that particular futures
contract traded on the applicable exchange on the date with respect to which net asset value is being determined; provided that if a futures contract could not be liquidated on such day, due to the operation of daily limits (if applicable) or other
rules, procedures or actions of the exchange upon which that position is traded or otherwise, the settlement price on the most recent day on which the position could have been liquidated is the primary basis for determining the market value of such
position for such day.
The current market value of all open forward contracts is based upon the prices determined by the Trust Administrator utilizing
data from an internationally recognized valuation service for assets of that nature. The Trustee periodically assesses the appropriateness of the methodologies used by the valuation service provider in determining the price of forward contracts.
The Trustee may in its discretion (and, under extraordinary circumstances, will) value any asset of the Trust pursuant to other principles that it
deems fair and equitable. In this context, "extraordinary circumstances" includes, for example, periods during which a valuation price for a forward contract or a settlement price of a futures contract is not available due to events such
as systems failure, natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance or due to a trading or other restriction imposed by a relevant futures exchange.
The investment objective of the Trust is to maximize absolute returns from its investments in certain futures and/or forward contracts selected by the
Advisor following strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more commodities, currencies, interest rates or certain eligible stock or bond
indices, and seek to control the risks and volatility inherent in these investments by taking long and short positions in historically correlated assets. In pursuing its investment objectives, the Trust is subject to equity price risk, interest rate
risk and foreign currency exchange rate risk. The return on assets in the Trust, if any, is not intended to track the performance of any index or other benchmark.
For futures contracts, counterparty credit risk is minimized because futures contracts are exchange-traded and the exchange's clearing house acts as a central counterparty to all exchange-traded futures
contracts (although customers continue to have credit exposure to the clearing member who holds their account). Forward contracts are not exchange-traded, and are therefore subject to counterparty credit risk of The Royal Bank of Scotland plc, the
prime broker of the Trust.
F-28
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to
Financial Statements (Unaudited) (Continued)
June 30, 2012
Please refer to Note 9 for additional disclosures regarding the Trust's investments in forward and futures
contracts.
C.
Cash and Cash Equivalents
The Trust defines cash and cash
equivalents to be highly liquid investments with original maturities of three months or less.
As of June 30, 2012 and December 31, 2011, the
Trust had cash and cash equivalents held at brokers of $1,395,340 and $1,401,234, respectively, which were restricted and held as collateral against margin obligations for open forward and/or futures contracts.
D.
Foreign Currencies
The Trust may hold foreign currencies as
collateral for futures contracts traded on exchanges located outside the United States. Foreign currencies are translated into U.S. dollars at the prevailing spot exchange rate. Net realized gain or loss on foreign currencies, if any, arises from
the sale of such foreign currencies and is presented on the Statements of Operations. Net change in unrealized gain or loss on foreign currency translation on the Statements of Operations arises from changes in foreign currency values resulting from
changes in exchange rates during the period.
The Trust does not isolate the effect of fluctuations in foreign exchange rates from the effect of
fluctuations in the market prices of securities. Such fluctuations are reflected by the Trust as a component of realized and unrealized gains and losses from investments for financial reporting purposes.
As of June 30, 2012 and December 31, 2011, the Trust had foreign currencies held at brokers of $5,198,271 and $7,504,546, respectively, which were
restricted and held as collateral against margin obligations for open futures contracts.
E.
Short-Term Investments
Short-term investments on the
Statements of Financial Condition consist principally of short-term fixed income securities with original maturities of one year or less. These investments are valued at fair value.
F.
Securities Transactions, Income and Expense Recognition
Securities transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined using the specific identification
method. Other income and expenses are recognized on the accrual basis.
G.
Income Taxes
The Trust is not an association taxable as a
corporation and is treated as a partnership for federal, state and local income tax purposes.
No provision for federal, state, and local income taxes
has been made in the accompanying financial statements because the Trust is not subject to income taxes. Shareholders are individually responsible for their own tax payments on their proportionate share of income, gain, loss, deduction, expense and
credit.
H.
Calculation of Net Asset Value
On each business day on which
NYSE Arca, Inc. ("NYSE Arca") is open for regular trading, as soon as practicable after the close of regular trading of the Shares on NYSE Arca (normally 4:00 p.m., New York
F-29
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to
Financial Statements (Unaudited) (Continued)
June 30, 2012
time), the Trustee determines the net asset value of the Trust. Net asset value of the Trust means the total assets of the Trust including all cash and cash equivalents or other debt securities
less total liabilities of
the Trust, each determined on the basis of U.S. GAAP, consistently applied under the accrual method of accounting. In
particular, net asset value of the Trust includes any unrealized profit or loss on open forward contracts and futures contracts, and any other credit or debit accruing to the Trust but unpaid or not received by the Trust.
I.
Recent Accounting Standard
In December 2011, the Financial
Accounting Standards Board ("FASB") issued guidance to enhance current disclosure requirements on offsetting of certain assets and liabilities and enable financial statement users to compare financial statements prepared under U.S. GAAP
and International Financial Reporting Standards (IFRS). The new disclosures are required for investments and derivative financial instruments subject to master netting agreements or similar agreements and require an entity to disclose both gross and
net information about such investments and transactions eligible for offset in the statement of assets and liabilities. In addition, the standard requires disclosure of collateral received and posted in connection with master netting agreements or
similar agreements. The guidance is effective for financial statements for fiscal years beginning after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trust's
financial statements and disclosures.
3 - Offering of the Shares
The Trust offers Shares on a continuous basis. The Trust issues and redeems Shares only in one or more blocks of 100,000 Shares ("Baskets") for consideration in cash equal to the net asset value per
Basket announced by the Trust on the first business day after the purchase or redemption order is received by the Trust. These transactions take place only with certain broker-dealers with whom the Trust has entered into written arrangements
regarding the issuance and redemption of Shares (such authorized broker-dealers are the "Authorized Participants"). Only institutions that enter into an agreement with the Trust to become Authorized Participants may purchase or redeem
Baskets. The Trust will not redeem individual Shares or Baskets held by parties who are not Authorized Participants.
Redemptions of Shares in exchange
for a consideration in cash are treated as sales for financial statement purposes.
4 - Trust Expenses
The Trust incurs all brokerage commissions and other transaction related fees and expenses in connection with the trading activities of the Trust. These expenses
are recorded as brokerage commissions and fees in the Statements of Operations as incurred.
The Sponsor pays the amounts that would otherwise be
considered the ordinary operating expenses, if any, of the Trust. In return, the Sponsor receives an allocation from the Trust that accrues daily at an annualized rate equal to 0.95% of the adjusted net asset value of the Trust.
The Sponsor is obligated under the trust agreement to pay the following administrative, operational and marketing expenses: (1) the fees of the Trustee, the
Advisor, Wilmington Trust Company (the "Delaware Trustee"), the Trust Administrator and SEI Investments Distribution Co., (2) NYSE Arca listing fees,
F-30
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to
Financial Statements (Unaudited) (Continued)
June 30, 2012
(3) printing and mailing costs, (4) audit fees, (5) fees for registration of the Shares with the SEC, (6) tax reporting costs and (7) legal expenses up to $100,000
annually.
5 - Related Parties
iShares
®
Delaware
Trust Sponsor LLC, is the Sponsor of the Trust, and BlackRock Fund Advisors is the Advisor of the Trust. The Sponsor and the Advisor are considered to be related parties to the Trust.
6 - Indemnification
The trust agreement provides that the Sponsor and its shareholders, directors, officers,
employees, affiliates (as such term is defined under the United States Securities Act of 1933, as amended) and subsidiaries shall be indemnified from the Trust and held harmless against any loss, liability, cost, expense or judgment arising out of
or in connection with the performance of their obligations under the trust agreement or any actions taken in accordance with the provisions of the trust agreement incurred without their (1) negligence, bad faith, willful misconduct or willful
malfeasance or (2) reckless disregard of their obligations and duties under the trust agreement.
7 - Commitments and Contingent Liabilities
In the normal course of business, the Trust may enter into contracts with service providers that contain general indemnification clauses. The
Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
8 - Financial Highlights
The Trust is presenting the following financial highlights related to investment
performance and operations for the period from January 1, 2012 through June 30, 2012. The net investment income (loss) and total expense ratios are calculated using average net assets. The net asset value presentation is calculated using
daily Shares outstanding. The net investment income (loss) and expense ratios have been annualized. The total return is based on the change in the net asset value of a Share during the period.
Net asset value per Share, beginning of period
$
48.83
Net investment loss
(0.23
)
Net realized and unrealized gain
0.02
Net decrease in net assets from operations
(0.21
)
Net asset value per Share, end of period
$
48.62
Ratio to average net assets:
Net investment
loss
(a)
(0.96
)%
Expenses
(a)
1.05
%
Total
return
(b)
(0.43
)%
(a)
Percentage is annualized.
(b)
Percentage is not annualized.
9 -
Investing in Forward and Futures Contracts
Substantially all of the Trust's assets are invested in forward and/or futures contracts. The return
on assets in the portfolio, if any, is not intended to track the performance of any index or other benchmark. There is no assurance the Trust will achieve its investment objectives.
F-31
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to
Financial Statements (Unaudited) (Continued)
June 30, 2012
For the six months ended June 30, 2012 and the year ended December 31, 2011, the average month-end
notional amounts of open forward currency contracts were $184,773,414 and $244,031,041, respectively.
For the six months ended June 30, 2012 and
the year ended December 31, 2011, the average month-end notional amounts of open futures contracts were $131,856,613 and $602,423,480, respectively.
The following table shows the fair values of the open forward currency and futures contracts, by risk exposure category, on the Statements of Financial Condition
as of June 30, 2012 and December 31, 2011:
Asset Derivatives
Fair Value
Liability Derivatives
Fair Value
June 30, 2012
Foreign exchange contracts
Unrealized appreciation on forward currency contracts
$
2,911,141
Unrealized depreciation on forward currency contracts
$
2,083,547
Equity contracts
Unrealized appreciation on futures contracts
440,227
Unrealized depreciation on futures contracts
848,124
Interest rate contracts
Unrealized appreciation on futures contracts
119,276
Unrealized depreciation on futures contracts
402,815
December 31, 2011
Foreign exchange contracts
Unrealized appreciation on forward currency contracts
$
3,723,647
Unrealized depreciation on forward currency contracts
$
2,695,336
Equity contracts
Unrealized appreciation on futures contracts
427,647
Unrealized depreciation on futures contracts
937,238
Interest rate contracts
Unrealized appreciation on futures contracts
777,713
Unrealized depreciation on futures contracts
420,294
The following table shows the effect of the forward currency and futures contracts, by risk exposure category, on the Statements of
Operations for the six months ended June 30, 2012 and 2011:
Statements of
Operations Location
Realized
Gain (Loss)
Change in Unrealized
Appreciation/
Depreciation
Six Months Ended June 30, 2012
Foreign exchange contracts
Net realized gain (loss) on forward currency contracts
$
629,770
$
—
Net change in unrealized appreciation/depreciation on forward currency contracts
—
(200,717
)
Equity contracts
Net realized gain (loss) on futures contracts
(480,783
)
(a)
—
Net change in unrealized appreciation/depreciation on futures contracts
—
101,694
F-32
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to
Financial Statements (Unaudited) (Continued)
June 30, 2012
Statements of
Operations Location
Realized
Gain (Loss)
Change in Unrealized
Appreciation/
Depreciation
Six Months Ended June 30, 2012
Interest rate contracts
Net realized gain (loss) on futures contracts
$
462,543
(a)
$
—
Net change in unrealized appreciation/depreciation on futures contracts
—
(640,958
)
Six Months Ended June 30, 2011
Foreign exchange contracts
Net realized gain (loss) on forward currency contracts
1,301,013
—
Net change in unrealized appreciation/depreciation on forward currency contracts
—
(770,858
)
Equity contracts
Net realized gain (loss) on futures contracts
129,800
(a)
—
Net change in unrealized appreciation/depreciation on futures contracts
—
952,322
Interest rate contracts
Net realized gain (loss) on futures contracts
(598,615
)
(a)
—
Net change in unrealized appreciation/depreciation on futures contracts
—
2,436,586
(a)
Amounts do not reconcile to the Statements of Operations due to brokerage commissions and fees.
10 - Investment Valuation
FASB Accounting Standards
Codification Topic 820,
Fair Value Measurements and Disclosure
defines fair value as the price the Trust would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement
date. The Trust's policy is to value its investments at fair value.
U.S. Treasury bills are valued at the last available bid price received from
independent pricing services. In determining the value of a fixed income investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in
comparable investments, various relationships observed in the market between investments and calculated yield measures.
Forward currency contracts are
valued using the London close forward rate.
Futures contracts are valued using the last reported settlement price for the particular futures contract
traded on the applicable exchange.
Various inputs are used in determining the fair value of financial instruments. Inputs may be based on independent
market data ("observable inputs") or they may be internally developed ("unobservable inputs"). These inputs are categorized into a disclosure hierarchy consisting of three broad levels for
F-33
Table of Contents
iShares
®
Diversified Alternatives Trust
Notes to
Financial Statements (Unaudited) (Continued)
June 30, 2012
financial reporting purposes. The level of a value determined for a financial instrument within the fair value hierarchy is based on the lowest level of any input that is significant to the fair
value measurement in its entirety. The three levels of the fair value hierarchy are as follows:
Level 1
–
Unadjusted quoted prices in active markets for identical assets or liabilities;
Level 2
–
Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or
liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived
principally from or corroborated by observable market data by correlation or other means; and
Level 3
–
Unobservable inputs that are unobservable for the asset or liability, including the Trust's assumptions used in determining the fair value of investments.
The following table summarizes the valuation of the Trust's investments by the fair value hierarchy levels as of June 30,
2012 and December 31, 2011:
Level 1
Level 2
Level 3
Total
June 30, 2012
U.S. Treasury bills
$
—
$
50,490,178
$
—
$
50,490,178
Forward currency
contracts
(a)
—
827,594
—
827,594
Futures
contracts
(a)
Equity contracts
(407,897
)
—
—
(407,897
)
Interest rate contracts
(283,539
)
—
—
(283,539
)
Total futures contracts
(691,436
)
—
—
(691,436
)
December 31, 2011
U.S. Treasury bills
$
—
$
74,597,056
$
—
$
74,597,056
Forward currency
contracts
(a)
—
1,028,311
—
1,028,311
Futures
contracts
(a)
Equity contracts
(509,591
)
—
—
(509,591
)
Interest rate contracts
357,419
—
—
357,419
Total futures contracts
(152,172
)
—
—
(152,172
)
(a)
Futures contracts and forward currency contracts are valued at unrealized appreciation/depreciation.
11 - Subsequent Events
In connection with the preparation of the financial statements of the Trust as of and for the period ended June 30, 2012, management has
evaluated the impact of all subsequent events on the Trust through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
F-34
Table of Contents
PART 2
STATEMENT OF ADDITIONAL INFORMATION
iSHARES
®
DIVERSIFIED ALTERNATIVES TRUST
THIS STATEMENT OF ADDITIONAL INFORMATION IS THE SECOND PART OF A TWO-PART
DOCUMENT AND
SHOULD BE READ IN CONJUNCTION WITH THE DISCLOSURE DOCUMENT
DATED,
[                ], 2012. THE DISCLOSURE DOCUMENT AND THIS STATEMENT OF ADDITIONAL
INFORMATION ARE BOUND TOGETHER, AND BOTH CONTAIN IMPORTANT INFORMATION.
[                ], 2012
Table of Contents
TABLE OF CONTENTS
THE FUTURES MARKETS
2-1
GLOSSARY
2-4
Table of Contents
THE FUTURES MARKETS
Futures Contracts
Futures contracts are
standardized contracts made on United States or foreign exchanges that call for the future delivery of specified quantities of various agricultural and tropical commodities, industrial commodities, currencies, financial instruments or metals at a
specified time and place. The contractual obligations, depending upon whether one is a buyer or a seller, may be satisfied either by taking or making, as the case may be, physical delivery of an approved grade of commodity or by making an offsetting
sale or purchase of an equivalent but opposite futures contract on the same, or mutually off-setting, exchange prior to the designated date of delivery. A futures contract provides for a specified settlement month in which the cash settlement is
made or in which the commodity or financial instrument is to be delivered by the seller (whose position is described as "short") and acquired by the purchaser (whose position is described as "long").
Margin
"Initial" or
"original" margin is the minimum amount of funds that must be deposited by a futures trader with his commodity broker in order to initiate futures trading or to maintain an open position in futures contracts. The market participant
normally makes to, and receives from, the broker subsequent daily payments as the price of the futures contract fluctuates. These payments are called "variation margin" and are made as the existing positions in the futures contract become
more or less valuable, a process known as "marking to the market." By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market participant may be able to earn interest on its
margin funds, thereby increasing the total return that it may realize from an investment in futures contracts.
A margin deposit is like
a cash performance bond. It helps assure the futures trader's performance of his obligations under contracts he purchases or sells. Futures interests are customarily bought and sold on margins that represent a very small percentage (ranging
upward from less than 2% to 5%) of the purchase price of the underlying commodity being traded. Because of such low margins, price fluctuations occurring in the futures markets may create profits and losses that are greater, in relation to the
amount invested, than are customary in other forms of investment or speculation. The minimum amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which such contract is traded, and
may be modified from time to time by the exchange during the term of the contract.
Brokerage firms carrying accounts for traders in
futures contracts may not accept lower, and generally require higher, amounts of margin as a matter of policy in order to afford further protection for themselves.
Margin requirements are computed each day by a commodity broker. When the market value of a particular open futures position changes to a point where the margin on deposit does not satisfy maintenance margin
requirements, a margin call is made by the commodity broker. If the margin call is not met within a reasonable time, the broker may close out the trader's position. With respect to the Trust's trading, only the Trust and not its
Shareholders personally, will be subject to margin calls.
Futures Exchanges
Futures contracts are traded on organized exchanges known as "contract markets" in the United States. At any time prior to the expiration
of a futures contract, subject to the availability of a liquid secondary market, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the position. This operates to terminate the
position and fix the trader's profit or loss. Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a "futures commission merchant," which is a member of the clearing
2-1
Table of Contents
house. The clearing house guarantees the performance of each clearing member that is a party to a futures contract by, in effect, taking the opposite side of the transaction. Clearing houses do
not guarantee the performance by clearing members of their obligations to their customers.
Unlike equity securities, futures contracts,
by their terms, have stated expirations and, at a specified point in time prior to expiration, trading in a futures contract for the current delivery month will cease. As a result, a market participant wishing to maintain its exposure to a futures
contract on a particular commodity with the nearest expiration must close out its position in the expiring contract and establish a new position in the contract for the next delivery month, a process referred to as "rolling." For example,
a market participant with a long position in November crude oil futures that wishes to maintain a position in the nearest delivery month will, as the November contract nears expiration, sell November futures, which serves to close out the existing
long position, and buy December futures. This will "roll" the November position into a December position, and, when the November contract expires, the market participant will still have a long position in the nearest delivery month.
Regulations
Futures exchanges
and clearing houses in the United States are subject to regulation by the CFTC. Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits, maximum price fluctuations and trading halts and
suspensions and requiring liquidation of contracts in certain circumstances. See "Risk Factors—Risk Factors Relating to Regulatory Requirements—Regulatory and exchange position limits may restrict the creation of Baskets and the
operation of the Trust."
Foreign futures exchanges differ in certain respects from their U.S. counterparts. (Investors should be
aware that no governmental U.S. agency regulates the foreign exchange markets.) In contrast to U.S. exchanges, certain foreign exchanges are "principals' markets," where trades remain the liability of the traders involved, and the
exchange clearing house does not become substituted for any party. See "Risk Factors—Risks Relating to Derivative Contracts—Trading on futures exchanges outside the United States is not subject to U.S. regulation."
Position Limits
The CFTC and U.S. futures
exchanges have established limits, referred to as "speculative position limits" or "position limits" on the maximum net long or net short speculative position that any person or group of persons (or "accountability
levels") may hold, own or control in certain futures interests contracts. Among the purposes of speculative position limits is the desire to prevent a "corner" on a market or undue influence on prices by any single trader or group of
traders. The CFTC has jurisdiction to establish position limits with respect to all commodities futures and has established position limits for all agricultural commodities. Most U.S. futures exchanges have established accountability levels for all
derivative contracts traded on these exchanges.
In addition, the CFTC requires each United States exchange to submit position limits
for all commodities traded on such exchange for approval by the CFTC. Position limits do not apply to forward contract trading or generally to trading on foreign exchanges.
Daily Limits
Most U.S. futures exchanges (but generally not foreign exchanges or banks or
dealers in the case of forward contracts) limit the amount of fluctuation in futures interests contract prices during a single trading day by regulation. These regulations specify what are referred to as "daily price fluctuation limits" or
more commonly "daily limits." The daily limits establish the maximum amount that the price of a futures
2-2
Table of Contents
interests contract may vary either up or down from the previous day's settlement price. Once the daily limit has been reached in a particular futures interest, no trades may be made at a
price beyond the limit. See "Risk Factors—Risks Relating to Commodities Markets—Commodity futures trading may be illiquid. In addition, suspensions or disruptions of market trading in the commodities markets and related derivatives
markets may adversely affect the value of your Shares."
Hedgers and Speculators
The two broad classes of persons who trade futures contracts are "hedgers" and "speculators." Commercial interests, including
farmers, that market or process commodities, and financial institutions that market or deal in commodities, including interest rate sensitive instruments, foreign currencies and stocks, and which are exposed to currency, interest rate and stock
market risks, may use the futures markets for hedging. Hedging is a protective procedure designed to minimize losses that may occur because of price fluctuations occurring, for example, between the time a processor makes a contract to buy or sell a
raw or processed commodity at a certain price and the time he must perform the contract. The futures markets enable the hedger to shift the risk of price fluctuations to the speculator. The speculator, such as the Trust, risks his capital with the
hope of making profits from price fluctuations in futures interests contracts. Speculators, unlike hedgers, rarely take physical delivery of commodities, but rather close out their positions by entering into offsetting purchases or sales of futures
contracts. The Trust does not anticipate taking or making delivery of any physical commodities or financial instruments underlying the futures contracts. Since the speculator may take either a long or short position in the futures markets, it is
possible for him to make profits or incur losses regardless of whether prices go up or down.
2-3
Table of Contents
GLOSSARY
In this prospectus, each of the following terms has the meaning set forth below:
"Advisor"—BlackRock Fund Advisors, a California corporation, when acting in its capacity as commodity trading advisor of the Trust.
"Adjusted Net Asset Value"—with respect to the Trust, as of any date, the value of the Trust's assets as of such
date minus all Trust's accrued fees (other than fees computed by reference to the value of the Trust or its assets), expenses and other liabilities on that date.
"Advisory Agreement"—the Investment Advisory Agreement between the Trust and the Advisor.
"Authorized Participant"—A person who, at the time of submitting to the Trust a purchase or a redemption order (1) is a registered broker-dealer and, if required in connection with its
activities, a registered futures commission merchant, (2) is a DTC Participant, and (3) has in effect a valid Authorized Participant Agreement.
"Authorized Participant Agreement"—An agreement among the Authorized Participant, the Trustee and the Sponsor that provides the procedures for the creation and redemption of Baskets.
"Basket"—A block of 100,000 Shares (as such number may be increased or decreased pursuant to the Trust Agreement).
"Basket Amount"—As of any date, an amount equal to the product of the NAV on such date and the number of Shares constituting a
Basket on such date.
"Business Day"—Any day other than: (a) a Saturday or a Sunday; or (b) a day on which NYSE Arca
is closed for regular trading.
"CFTC"—Commodity Futures Trading Commission, an independent agency with the mandate to
regulate commodity futures and option markets in the United States, or any successor governmental agency in the United States.
"Clearing FCM"—Barclays Capital Inc., or any other futures commission merchant appointed by the Sponsor as clearing futures
commission merchant for the Portfolio.
"Code"—The United States Internal Revenue Code of 1986, as amended.
"Commodity Exchange Act" or "CEA"—The United States Commodity Exchange Act, as amended.
"Delaware Trustee"—Wilmington Trust Company, a Delaware corporation with trust powers.
"DTC"—The Depository Trust Company, or its successor.
"DTC Participant"—An entity that has an account with DTC.
"Eligible Business
Day"—Any Business Day other than a Business Day which immediately precedes two or more days on which there is no scheduled exchange trading session for one or more of the futures contracts purchased or sold, or that may be purchased or
sold, by the Trust on such day.
"ERISA"—The Employee Retirement Income Security Act of 1974, as amended.
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Table of Contents
"Exchange Act"—The United States Securities Exchange Act of 1934, as amended.
"FINRA"—The Financial Industry Regulatory Authority.
"Indirect Participant"—An entity that has access to the DTC clearing system by clearing securities through, or maintaining a
custodial relationship with, a DTC Participant.
"Investment Company Act"—The United States Investment Company Act of
1940, as amended.
"NAV"—The net asset value per Share.
"NFA"—National Futures Association.
"Portfolio"—At any time, the portfolio of futures and/or forward contracts, cash and other investments owned by the Trust at such time.
"Processing Agent"—SEI Investments Distribution Co., a Pennsylvania corporation, when acting in its capacity as processing agent of
the Trust or any successor thereto.
"Qualified Bank"—A bank, trust company, corporation or national banking association
organized and doing business under the laws of the United States or any State of the United States that is authorized under those laws to exercise corporate trust powers and that, unless counsel to the Sponsor determines that the following
requirement is not necessary for the exception under Section 408(m) of the Code to apply, is a banking institution as defined in Section 408(n) of the Code.
"SEC"—The Securities and Exchange Commission of the United States, or any successor governmental agency in the United States.
"Securities Act"—The United States Securities Act of 1933, as amended.
"Shareholders"—Owners of beneficial interests in the Shares.
"Shares"—Units of fractional undivided beneficial interest in the net assets of the Trust that are issued by the Trust.
"Short-Term Securities"—U.S. Treasury Securities or other short-term securities, in each case that are eligible as margin deposits
under the rules of the relevant exchange.
"Sponsor"—iShares
®
Delaware Trust Sponsor LLC, a Delaware limited liability company, in its capacity as the sponsor under the Trust Agreement, or any successor thereto in such capacity.
"Sponsor's Fee"—An allocation to be paid by the Trust to the Sponsor monthly in arrears and will accrue daily at an
annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust.
"Tax Administrator"—PricewaterhouseCoopers
LLP, when acting in its capacity as tax administrator of the Trust.
"T-Bill"—U.S. Treasury bill.
"Trust"—The iShares
®
Diversified Alternatives Trust, a Delaware statutory trust governed pursuant to the Trust Agreement.
2-5
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"Trust Administrator"—An administrator appointed by the Trustee pursuant to the Trust
Agreement. The Trustee has initially appointed as Trust Administrator State Street Bank and Trust Company, a banking corporation organized under the laws of Massachusetts.
"Trust Agreement"—The Trust Agreement among the Sponsor, the Trustee and the Delaware Trustee.
"Trustee"—BlackRock Institutional Trust Company, N.A., a national banking association, when acting in its capacity as trustee of the
Trust.
2-6
Table of Contents
iShares
®
Diversified Alternatives Trust
[            ] Shares
PROSPECTUS
[                ], 2012
IS-P-ALT-
Table of Contents
PART II—INFORMATION NOT REQUIRED IN PROSPECTUS
Item 13. Other Expenses of Issuance and Distribution.
The Trust does not and will not bear any expenses incurred in connection with the issuance and distribution of the securities being registered. These expenses are paid by the Sponsor.
Item 14. Indemnification of Directors and Officers.
The Trust Agreement provides that the Sponsor and its shareholders, directors, officers, employees, affiliates (as such term is defined under the Securities Act) and subsidiaries shall be indemnified from
the Trust and held harmless against any loss, liability or expense arising out of or in connection with the performance of its obligations under the Trust Agreement or any actions taken in accordance with the provisions of the Trust Agreement
incurred without their (1) negligence, bad faith, willful misconduct or willful malfeasance or (2) reckless disregard of their obligations and duties under the Trust Agreement.
Item 16. Exhibits and Financial Statement Schedules.
(a) Exhibits.
Exhibit
Number
Description
4.1
First Amended and Restated Trust Agreement*
4.2
Creation and Redemption Procedures*
4.3
Standard Terms of Authorized Participant Agreement*
5.1
Opinion of Richards, Layton & Finger, P.A. as to legality**
8.1
Form of Opinion of Clifford Chance US LLP as to tax matters**
10.1
Investment Advisory Agreement*
10.2
Futures Commission Merchant Agreement*
10.3
Foreign Exchange Prime Brokerage Agency Agreement†
23.1
Consent of Richards, Layton & Finger, P.A.***
23.2
Consent of Clifford Chance US LLP****
23.3
Consent of Independent Registered Public Accounting Firm**
24.1
Powers of Attorney*****
101.INS
XBRL Instance Document.#
101.SCH
XBRL Taxonomy Extension Schema Document. #
101.CAL
XBRL Taxonomy Extension Calculation Linkbase Document. #
101.DEF
XBRL Taxonomy Extension Definition Linkbase Document. #
101.LAB
XBRL Taxonomy Extension Label Linkbase Document. #
101.PRE
XBRL Taxonomy Extension Presentation Linkbase Document. #
*
Incorporated by reference to the exhibit with the same number filed with Amendment No. 5 to the Registration Statement No. 333-153099 on October 13,
2009.
**
Filed herewith.
***
Included in Exhibit 5.1
****
Included in Exhibit 8.1
*****
Included on the signature page to this Registration Statement
†
Incorporated by reference to Exhibit 10.3 filed with Post-Effective Amendment No. 2 to the Registration Statement 333-153099 on October 12, 2010. Confidential
portions of this document have been filed separately with the Securities and Exchange Commission pursuant to Rule 406 under the Securities Act.
(b) Financial Statement schedules: Not applicable.
#
Pursuant to Rule 406T of Regulation S-T, these interactive data files are deemed not filed or part of a registration statement or prospectus for purposes of Sections 11
or 12 of the Securities Act of 1933, as amended, are deemed not filed for the purposes of Section 18 of the Securities and Exchange Act of 1934, as amended, and otherwise are not subject to liability under those sections.
II-1
Table of Contents
Item 17. Undertakings.
(a) The registrant hereby undertakes:
(1) To file, during any
period in which offers or sales are being made, a post-effective amendment to this registration statement;
(i)
To include any prospectus required by section 10(a)(3) of the Securities Act;
(ii) To reflect in the
prospectus any facts or events arising after the effective date of the registration statement (or the most recent post-effective amendment thereof) which, individually or in the aggregate, represent a fundamental change in the information set forth
in the registration statement. Notwithstanding the foregoing, any increase or decrease in volume of securities offered (if the total dollar value of securities offered would not exceed that which was registered) and any deviation from the low or
high end of the estimated maximum offering range may be reflected in the form of prospectus filed with the Commission pursuant to Rule 424(b) if, in the aggregate, the changes in volume and price represent no more than a 20 per cent change
in the maximum aggregate offering price set forth in the "Calculation of Registration Fee" table in the effective registration statement;
(iii) To include any material information with respect to the plan of distribution not previously disclosed in the registration statement or any material change to such information in the registration
statement;
Provided
,
however
, that:
(A) Paragraphs (a)(1)(i) and (a)(1)(ii) of this section do not apply if the registration statement is on
Form S-8, and the information required to be included in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by each of the registrant pursuant to section 13 or
section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the registration statement; and
(B) Paragraphs (a)(1)(i), (a)(1)(ii) and (a)(1)(iii) of this section do not apply if the registration statement is on Form S-3 or Form F-3 and the information required to be included in a
post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by each of the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934 that are incorporated
by reference in the registration statement, or is contained in a form of prospectus filed pursuant to Rule 424(b) that is part of the registration statement.
(C)
Provided, further, however
, that paragraphs (a)(1)(i) and (a)(1)(ii) do not apply if the registration
statement is for an offering of asset-backed securities on Form S-1 or Form S-3, and the information required to be included in a post-effective amendment is provided pursuant to Item 1100(c) of Regulation AB.
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(2) That, for the purpose of determining any liability under the Securities
Act, each such post-effective amendment shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such securities at that time shall be deemed to be the
bona fide
offering thereof.
(3) To remove from registration by means of a post-effective amendment any of the securities being registered
which remain unsold at the termination of the offering.
(4) If the registrant is a foreign private issuer, to
file a post-effective amendment to the registration statement to include any financial statements required by Item 8.A. of Form 20-F at the start of any delayed offering or throughout a continuous offering. Financial statements and information
otherwise required by Section 10(a)(3) of the Act need not be furnished, provided, that the registrant includes in the prospectus, by means of a post-effective amendment, financial statements required pursuant to this paragraph (4) and
other information necessary to ensure that all other information in the prospectus is at least as current as the date of those financial statements. Notwithstanding the foregoing, with respect to registration statements on Form F-3, a post-effective
amendment need not be filed to include financial statements and information required by Section 10(a)(3) of the Act or Rule 3-19 of this chapter if such financial statements and information are contained in periodic reports filed with or
furnished to the Commission by the registrant pursuant to Section 13 or Section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the Form F-3.
(5) That, for the purpose of determining liability under the Securities Act to any purchaser:
(i) If the registrant is relying on Rule 430B:
(A) Each prospectus filed by the registrant pursuant to Rule 424(b)(3) (§230.424(b)(3) of this chapter) shall be
deemed to be part of the registration statement as of the date the filed prospectus was deemed part of and included in the registration statement; and
(B) Each prospectus required to be filed pursuant to Rule 424(b)(2), (b)(5), or (b)(7) (§230.424(b)(2), (b)(5), or (b)(7) of this chapter) as part of a registration statement in reliance or Rule 430B
relating to an offering made pursuant to Rule 415(a)(1)(i), (vii), or (x) (§230.415(a)(1)(i), (vii), or (x) of this chapter) for the purpose of providing the information required by section 10(a) of the Securities Act shall be deemed
to be part of an included in the registration statement as of the earlier of the date such form of prospectus is first used after effectiveness or the date of the first contract of sale of securities in the offering described in the prospectus. As
provided in Rule 430B, for liability proposes of the issuer and any person that is at that date an underwriter such date shall be deemed to be a new effective date of the registration statement relating to the securities in the registration
statement to which that prospectus relates, and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof. Provided, however, that no statement made in a registration statement or prospectus that is
part of the registration statement or made in a document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration statement will, as to a purchase with a time of contract of sale
prior to such effective date, supersede or modify any statement that was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately prior to such effective date; or
(ii) If the registrant is subject to Rule 430C (§230.430C of this chapter), each prospectus filed
pursuant to Rule 424(b) as part of a registration statement relating to an offering, other than registration statements relying on Rule 430B or other than prospectuses filed in reliance on Rule 430A (§230.430A of this chapter), shall be deemed
to be part of and included in the registration statement as of the date it is first used after effectiveness. Provided, however, that no statement made in a registration statement or prospectus that is part of the registration statement or made in a
document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration statement will, as to a purchaser with a time of contract of sale prior to such first use, supersede or modify
any statement that was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately prior to such date of first use.
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(6) That, for the purpose of determining liability of the registrant under
the Securities Act to any purchaser in the initial distribution of the securities:
The undersigned registrant undertakes that
in a primary offering of securities of the undersigned registrant pursuant to this registration statement, regardless of the underwriting method used to sell the securities to the purchaser, if the securities are offered or sold to such purchaser by
means of any of the following communications, the undersigned registrant will be a seller to the purchaser and will be considered to offer or sell such securities to such purchaser:
(i) Any preliminary prospectus or prospectus of the undersigned registrant relating to the offering required to be filed
pursuant to Rule 424;
(ii) Any free writing prospectus relating to the offering prepared by or on behalf
of the undersigned registrant or used or referred to by the undersigned registrant;
(iii) The portion of any
other free writing prospectus relating to the offering containing material information about the undersigned registrant or its securities provided by or on behalf of the undersigned registrant; and
(iv) Any other communication that is an offer in the offering made by the undersigned registrant to the purchaser.
(b) The undersigned registrant hereby undertakes to provide to the underwriter at the closing specified in the underwriting
agreement, certificates in such denominations and registered in such names as required by the underwriter to permit prompt delivery to each purchaser.
(c) Insofar as indemnification for liabilities under the Securities Act may be permitted to directors, officers or persons controlling the registrant pursuant to the provisions described in Item 14
above, or otherwise, the registrant has been informed that in the opinion of the Securities and Exchange Commission such indemnification is against public policy as expressed in the Act and is, therefore, unenforceable. In the event that a claim for
indemnification against such liabilities (other than the payment by the registrant of expenses incurred or paid by a director, officer or controlling person of the registrant in the successful defense of any such action, suit or proceeding) is
asserted by such director, officer or controlling person in connection with the securities being registered, the registrant will, unless in the opinion of its counsel the matter has been settled by controlling precedent, submit to a court of
appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the Act and will be governed by the final adjudication of such issue.
II-4
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, the Registrant has duly caused the registration statement to be signed on its behalf by the undersigned, thereunto duly authorized, in the City
of San Francisco, California, on September 27, 2012.
iShares Diversified Alternatives Trust
By:
iShares
®
Delaware
Trust Sponsor LLC
as sponsor
By:
/s/    Patrick Dunne
Patrick Dunne
By:
/s/    Jack Gee
Jack Gee
POWER OF ATTORNEY
Each person whose signature appears below hereby constitutes Patrick Dunne, Jack Gee, Manish Mehta, Philip Jensen, Peter F. Landini and Kimun Lee, and each of them singly, his true and lawful
attorneys-in-fact with full power to sign on behalf of such person, in the capacities indicated below, any and all amendments to this registration statement and any subsequent related registration statement filed pursuant to Rule 462(b) under the
Securities Act of 1933, and generally to do all such things in the name and on behalf of such person, in the capacities indicated below, to enable the Registrant to comply with the provisions of the Securities Act of 1933 and all requirements of the
Securities and Exchange Commission thereunder, hereby ratifying and confirming the signature of such person as it may be signed by said attorneys-in-fact, or any of them, on any and all amendments to this registration statement or any such
subsequent related registration statement.
Pursuant to the requirements of the Securities Act of 1933, this registration
statement has been signed by the following persons in the capacities* and on the dates indicated.
Signature
Capacity
Date
/
S
/    P
ATRICK
D
UNNE
Patrick Dunne
Director, Chief Executive Officer, President
September 27, 2012
/
S
/    J
ACK
G
EE
Jack Gee
Chief Financial Officer, Principal Accounting Officer
September 27, 2012
/
S
/    M
ANISH
M
EHTA
Manish Mehta
Director
September 27, 2012
/
S
/    P
HILIP
J
ENSEN
Philip Jensen
Director
September 27, 2012
/
S
/    P
ETER
F.
L
ANDINI
Peter F. Landini
Director
September 27, 2012
/
S
/    K
IMUN
L
EE
Kimun Lee
Director
September 27, 2012
*
The Registrant is a trust and the persons are signing in their capacities as officers or directors of iShares
®
Delaware Trust Sponsor LLC, the sponsor of the Registrant.
Table of Contents
EXHIBIT INDEX
Exhibit
Number
Description
4.1
First Amended and Restated Trust Agreement*
4.2
Creation and Redemption Procedures*
4.3
Standard Terms of Authorized Participant Agreement*
5.1
Opinion of Richards, Layton & Finger, P.A. as to legality**
8.1
Form of Opinion of Clifford Chance US LLP as to tax matters**
10.1
Investment Advisory Agreement*
10.2
Futures Commission Merchant Agreement*
10.3
Foreign Exchange Prime Brokerage Agency Agreement†
23.1
Consent of Richards, Layton & Finger, P.A.***
23.2
Consent of Clifford Chance US LLP****
23.3
Consent of Independent Registered Public Accounting Firm**
24.1
Powers of Attorney*****
101.INS
XBRL Instance Document.#
101.SCH
XBRL Taxonomy Extension Schema Document. #
101.CAL
XBRL Taxonomy Extension Calculation Linkbase Document. #
101.DEF
XBRL Taxonomy Extension Definition Linkbase Document. #
101.LAB
XBRL Taxonomy Extension Label Linkbase Document. #
101.PRE
XBRL Taxonomy Extension Presentation Linkbase Document. #
*
Incorporated by reference to the exhibit with the same number filed with Amendment No. 5 to the Registration Statement No. 333-153099 on October 13,
2009.
**
Filed herewith.
***
Included in Exhibit 5.1
****
Included in Exhibit 8.1
*****
Included on the signature page to this Registration Statement
†
Incorporated by reference to Exhibit 10.3 filed with Post-Effective Amendment No. 2 to the Registration Statement 333-153099 on October 12, 2010.
Confidential portions of this document have been filed separately with the Securities and Exchange Commission pursuant to Rule 406 under the Securities Act.
(b) Financial Statement schedules: Not applicable.
#
Pursuant to Rule 406T of Regulation S-T, these interactive data files are deemed not filed or part of a registration statement or prospectus for purposes of Sections 11
or 12 of the Securities Act of 1933, as amended, are deemed not filed for the purposes of Section 18 of the Securities and Exchange Act of 1934, as amended, and otherwise are not subject to liability under those sections.