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Frequently Asked Questions
These answers to frequently asked questions are excerpts from the Disclosure Document.

What are TRAKRS?
TRAKRS are unique, non-traditional futures contracts designed to provide investors with a simple, efficient, cost-effective way to invest in a broad-based, dynamic index of stocks, bonds, currencies or other financial instruments.

How are TRAKRS different from other investments?
Traditional diversified investments are based upon the actual ownership of stocks, bonds, or other instruments. Stock index funds, for example, seek to deliver the performance of a particular index by building a portfolio of substantially all of the stocks included in that index and passively managing that portfolio to match most changes to the index. This process requires a portfolio manager to buy and sell actual securities, incurring commissions and costs associated with the payment of bid-ask spreads, as well as subjecting investors to potentially significant tax consequences. TRAKRS are designed to provide similar investment performance characteristics, while minimizing the inefficiencies associated with stock index funds.

How do TRAKRS minimize inefficiencies?
TRAKRS minimize the inefficiencies associated with traditional, securities investing because they do not require a fund or other investment vehicle to purchase and sell stocks, bonds, currencies or other financial instruments.

TRAKRS are able to accomplish this because they are structured as a unique form of futures contracts instead of as securities. TRAKRS are cash-settled, electronically traded futures contracts designed to track the performance of particular TRAKRS Indexes. Unlike a fund or other traditional investment portfolio, changes to a TRAKRS Index do not trigger purchases or sales in the underlying components of the TRAKRS Index. This means that TRAKRS eliminate the commissions, bid-ask spreads, and potential tax consequences that result from turnover in traditional investment portfolios. Similarly, because dividends on the underlying TRAKRS Index components are reflected directly in the value of a TRAKRS Index, TRAKRS will not make taxable dividend distributions to investors.

Are TRAKRS like traditional futures contracts?
Many non-institutional customers have avoided using futures contracts because of their perceived complexity, the need for special futures accounts, and the fact that they could incur losses in excess of their initial investment amounts as a result of the leverage inherent in futures. Long TRAKRS positions, however, are not leveraged investments for non-institutional customers, and short TRAKRS positions are investments with a lesser degree of leverage for non-institutional customers than positions in traditional short futures contracts. Because they are not leveraged investments for long non-institutional customers (or in the case of short TRAKRS, they are reduced leverage investments for non-institutional customers), TRAKRS reduce some of the perceived complexities associated with traditional futures contracts. In particular, non-institutional long customers, because they post 100% of the TRAKRS market value at the time of purchase, will not be subject to margin calls or any requirement to make any additional payments throughout the life of their TRAKRS ownership. Non-institutional customers will be permitted to own TRAKRS in their regular brokerage accounts and trade TRAKRS through a securities broker-dealer that is also notice registered as a futures commission merchant. See "Description of TRAKRS-Non-Institutional Customers."

What are the TRAKRS Indexes?
Each TRAKRS Index will be constructed as a broad-based, dynamic index of stocks, bonds, currencies or other financial instruments. TRAKRS may be designed to reflect a particular segment or a specific investment strategy. For example, certain TRAKRS may represent the common stocks of the largest, most liquid companies in a particular industry or market sector, or may be designed to replicate a specific investment discipline like value investing. The underlying indexes upon which TRAKRS will be based will be calculated on a total return basis (i.e., the value reflects price fluctuations plus dividends declared on the underlying TRAKRS Index components). Each TRAKRS Index will be rebalanced on a regular basis to reflect changes in the market that it is designed to represent. For more information on a specific TRAKRS Index, you should review the Disclosure Document Supplement for that Index.

So how do TRAKRS work?
Non-institutional customers may buy and sell TRAKRS through a securities account with a broker-dealer that is notice registered as a futures commission merchant or through a separate futures account with a futures commission merchant or introducing broker. TRAKRS are designed to track the value of specific TRAKRS Indexes. Buying TRAKRS gives investors "long exposure" to the TRAKRS Index and those investors benefit when the index goes up. Selling TRAKRS gives investors "short exposure" to the TRAKRS Index and those investors benefit when the index goes down. TRAKRS will have a stated expiration, as specified in the Disclosure Document Supplement for the applicable TRAKRS Index, and will be cash-settled at the closing price of the applicable TRAKRS Index on the expiration date.

Are there any costs associated with owning or holding TRAKRS?
Customers buying and selling TRAKRS in traditional brokerage accounts should expect to pay their broker-dealers the transaction-based charges typically charged in their brokerage account. In addition, customers buying and selling TRAKRS in brokerage accounts that charge asset-based fees should expect to pay the applicable fees associated with other products offering similar market exposure.

There are no traditional "fees" associated with TRAKRS. It is expected, however, that TRAKRS will be offered at a premium to the Index, and that the amount of this premium will be a function of the interest "Spread" disclosed in the "Summary of Contractual Terms" appearing in the TRAKRS Disclosure Supplement that will accompany each specific TRAKRS. Non-institutional customers should view this Spread as an economic "cost" of holding TRAKRS, and should consider this cost as they evaluate an investment in TRAKRS. See "Implicit Costs of Holding a TRAKRS Position".

Do I need to hold TRAKRS until maturity?
No. As with any traded investment, an investor holding a long position in TRAKRS may sell the position in the market to close out their open long position. Similarly, investors holding a short position in TRAKRS may purchase TRAKRS in the market to close out their open short position. An investor's ability to purchase or sell TRAKRS will be subject to, among other things, market conditions and liquidity. See "Risk Factors."

What is the tax treatment of TRAKRS?
A non-institutional customer holding either a long or short TRAKRS contract will not be treated for U.S. federal income tax purposes as owning a "regulated futures contract." Any gain or loss recognized by a non-institutional customer will be capital gain or loss regardless of whether the contract is held to maturity or terminated prior to maturity. Furthermore, a non-institutional customer holding a long TRAKRS position for more than 6 months will be subject to long-term capital gain or loss treatment (unlike the 12-month holding period required for long-term capital gain or loss treatment for securities investments). Accordingly, a non-institutional customer holding a TRAKRS position will not be subject to interim taxation as a result of component changes to the applicable TRAKRS Index or as a result of dividend distributions for component stocks in the applicable index. See "Federal Income Tax Considerations."

Institutional customers will be subject to the standard futures daily marked to market tax regime under Internal Revenue Code section 1256.

How do TRAKRS work for institutional customers?
Institutional customers will trade TRAKRS with leverage. TRAKRS can be fungibly traded by non-institutional and institutional customers alike and, because of their features, allow each type of investor to trade in an environment commensurate with their particular needs. Qualified institutions have traditionally relied on the futures market, and they will trade TRAKRS with leverage as they would with other stock index futures contracts.

For institutional customers, TRAKRS differ from stock index futures contracts in two important respects. First, each TRAKRS Index is computed on a total return basis. Thus, TRAKRS include declared dividends in the calculation of the value of a TRAKRS Index. Second, TRAKRS have a unique interest rate pass-through feature. Each trading day after the determination of the daily settlement price, each institutional customer holding long TRAKRS positions must pay its long clearing FCM, and each institutional customer holding short TRAKRS positions will receive from its short clearing FCM, a daily market rate of interest equal to the Federal Funds Effective Rate less an amount specified in the Disclosure Document Supplement pertaining to the applicable TRAKRS Index. The CME Clearing House will determine all such interest rate pass-through amounts. See "Summary of Significant Terms." Non-institutional customers are not responsible for paying this interest rate pass-through; the long clearing FCM is responsible for paying the interest payment, which is passed-though the CME Clearing House to the short clearing FCM.

Where are TRAKRS traded?
TRAKRS are electronically traded on the GLOBEX®2 system operated by Chicago Mercantile Exchange Inc. ("CME"). CME clears and settles all transactions in TRAKRS and provides facilities for private bilateral negotiation of transactions in TRAKRS.