VS Trust: securities offering (amended)

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ea153569-s1a3_vstrust.htm

PRE-EFFECTIVE AMENDMENT NO. 3 TO FORM S-1

fs12021a4_vstrust.htm

REGISTRATION STATEMENT

Filed with the U.S. Securities and Exchange Commission on January 6, 20 , 2022

Registration No. 333-248430

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PRE-EFFECTIVE AMENDMENT NO. 4

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(Exact name of registrant as specified in its charter)

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Securities Act of 1933 check the following box: ☒

"smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.

2000 PGA Boulevard, Suite 4440

Palm Beach Gardens, FL 33408

(Address, including zip code, and telephone number, including area code, of registrant's principal executive offices)

Volatility Shares LLC

2000 PGA Boulevard, Suite 4440

Palm Beach Gardens, FL 33408

(Name, address, including zip code, and telephone number, including area code, of agent for service)

c / o Chapman and Cutler LLP

1717 Rhode Island Avenue NW

Washington, DC 20036

c / o Chapman and Cutler LLP

111 West Monroe Street

Approximate date of commencement of proposed sale to the public:

As promptly as practicable after the effective date of this Registration Statement.

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: ☒

If this Form is filed to register additional securities for an offering pursuant to Rule 462(b) under the Securities Act, please check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering. ☐ this Form is a post-effective amendment filed pursuant to Rule 462(c) under the Securities Act, 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 post -effective amendment filed pursuant to Rule 462(d) 462(c) under the Securities Act, 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, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering. ☐

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 non -accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b -2 of the Exchange Act.

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If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act. ☐

CALCULATION OF REGISTRATION FEE

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Amount to be Registered

Proposed Maximum Offering Price Per Unit

Proposed Maximum Aggregate Offering Price

of Registration Fee (1)

under the Securities Act, when registration fees become due under Rule 456(d), the registration fee for the Shares will be partially offset by the registration fee associated with unsold securities registered pursuant to that certain registration statement on Form S-1 (File No. 333-248430) filed by VS Trust on August 26, 2020 (the "Prior Registration Statement"). A registration fee of $25,960 was paid in connection with the registration pursuant to the Prior Registration

Statement of $200,000 of value of unsold shares as of the date hereof and for which a filing fee of $25,960 was previously paid with respect to the unsold Shares. The filing fee for any remaining unsold Shares as of the date of effectiveness of this registration statement will be applied to partially offset filing fees when, and if, they become due under Rule 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 this Registration Statement shall become effective on such date as the Commission, acting pursuant to said Section 8(a), may determine.

-1x Short VIX Futures ETF (common units of beneficial interest)

(common units of beneficial interest)

An indeterminate amount of securities

2x Long VIX Futures ETF (common units of beneficial interest)

(common units of beneficial interest)

An indeterminate amount of securities

(1) The registrant is offering an indeterminate amount of securities of each of the two exchange-traded exchange -traded vehicles noted above. The registrant will calculate and pay registration fees, if any, in accordance with Rule 456(d) of the Securities Act of 1933. In accordance with Rules 456(d) and 457(u) under the Securities Act, the registrant is deferring payment of these registration fees and will pay these registration fees on an annual net basis no later than 90 days after the end of each fiscal year. Pursuant to Rule 457(p) under the Securities Act, when registration fees become due under Rule 456(d), the registration fee for the Shares will be partially offset by the registration fee associated with unsold securities registered pursuant to that certain registration statement on Form S -1 (File No. 333 -248430 ) filed by VS Trust on August 26, 2020 (the "Prior Registration Statement"). A registration fee of $25,960 was paid in connection with the registration pursuant to the Prior Registration Statement of $200,000 of value of unsold shares as of the date hereof and for which a filing fee of $25,960 was previously paid with respect to the unsold Shares. The filing fee for any remaining unsold Shares as of the date of effectiveness of this registration statement will be applied to partially offset filing fees when, and if, they become due under Rule 456(d).

This registration statement shall hereafter become effective in accordance with the provisions of section 8(a) of the Securities Act of 1933.

Common Units of Beneficial Interest

Title of Securities to be Registered (Ticker)

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Trust (the "Trust") is a Delaware statutory trust. The -1x Short VIX Futures ETF ("SVIX") and the 2x Long VIX

The Shares of the Funds are listed for trading on CBOE BZX Exchange, Inc. (the "Exchange") under the ticker symbol shown above next to each Fund's name.

seeks daily investment results, before fees and expenses, that correspond to the performance of the Short VIX Futures Index (the "Short

Transactions" for additional details on the NAV calculation time for the Funds. The Short Index measures the daily inverse (i.e., opposite) performance of a portfolio of first- and second-month futures contracts on the CBOE Volatility Index, commonly known as the "VIX." The Long Index measures the performance of a portfolio of first- and second-month futures contracts on the

VIX. Because the Funds' portfolios are rebalanced daily to meet their leveraged (or inverse) investment object, the Funds may not be suitable for investors who plan to hold them for periods longer than one day, particularly in volatile markets.

Funds continuously offer and redeem Shares in blocks of at least 10,000 Shares (each such block, a "Creation Unit") at an initial price per Share of $15. Only Authorized Participants (as defined herein) may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with the Trust and Volatility Shares LLC (the "Sponsor"). Shares are offered on a continuous basis to Authorized Participants in Creation

Bank of America/Merrill Lynch Professional Clearing is each Fund's initial Authorized Participant and is a statutory underwriter of Fund Shares.

FUNDS PRESENT SIGNIFICANT RISKS NOT APPLICABLE TO OTHER TYPES OF FUNDS, INCLUDING RISKS RELATING TO INVESTING IN AND SEEKING EXPOSURE

HE OR SHE UNDERSTANDS THE CONSEQUENCES OF SEEKING DAILY INVESTMENT RESULTS AND THE IMPACT OF COMPOUNDING ON FUND PERFORMANCE.

WILL DIFFER IN AMOUNT AND POSSIBLY EVEN DIRECTION FROM: I) IN THE CASE OF SVIX, EITHER THE INVERSE OF THE VIX, OR THE INVERSE OF A PORTFOLIO

OF SHORT-TERM VIX FUTURES CONTRACTS FOR THE SAME PERIOD; AND II) IN THE CASE OF UVIX, EITHER TWICE THE VIX OR TWICE A PORTFOLIO OF SHORT-TERM

VIX FUTURES CONRACTS FOR THE SAME PERIOD. THESE DIFFERENCES CAN BE SIGNIFICANT.

FUNDS' INVESTMENTS MAY BE ILLIQUID AND/OR HIGHLY VOLATILE AND A FUND MAY EXPERIENCE LARGE LOSSES FROM BUYING, SELLING OR HOLDING

MONITOR THEIR INVESTMENT, AS FREQUENTLY AS DAILY.

potential upside of an investment in a Fund may be limited. Gains, if any, may be subject to significant and unexpected reversals. The

"1940 ACT"), AND NEITHER IS SUBJECT TO REGULATION THEREUNDER. SHAREHOLDERS DO NOT HAVE THE PROTECTIONS ASSOCIATED WITH OWNERSHIP

OF SHARES IN AN INVESTMENT COMPANY REGISTERED UNDER THE 1940 ACT. SEE RISK FACTOR ENTITLED "SHAREHOLDERS DO NOT HAVE THE PROTECTIONS

ASSOCIATED WITH OWNERSHIP OF SHARES IN AN INVESTMENT COMPANY REGISTERED UNDER THE 1940 ACT IN PART ONE OF THIS PROSPECTUS FOR MORE INFORMATION.

Any representation to the contrary is a criminal offense.

ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.

VS Trust (the "Trust") is a Delaware statutory trust. The -1x Short VIX Futures ETF ("SVIX") and the 2x Long VIX Futures ETF ("UVIX") (SVIX and UVIX, each a "Fund" and together, the "Funds") are separate series of VS Trust. The Trust may from time to time offer to sell common units of beneficial interest ("Shares") of the Funds. Shares represent units of fractional undivided beneficial interest in and ownership of a Fund. Fund Shares will be offered on a continuous basis. The Shares of the Funds are listed for trading on CBOE BZX Exchange, Inc. (the "Exchange") under the ticker symbol shown above next to each Fund's name.

SVIX seeks daily investment results, before fees and expenses, that correspond to the performance of the Short VIX Futures Index (the "Short Index") for a single day, not for any other period. UVIX seeks daily investment results, before fees and expenses, that correspond to twice the performance of the Long VIX Futures Index (the "Long Index"). A "single day" is measured from the time a Fund calculates its net asset value ("NAV") to the time of the Fund's next NAV calculation. The NAV calculation time for a Fund typically is 4:00 p.m. (Eastern Time). Please see the section entitled "Summary — Creation and Redemption Transactions" for additional details on the NAV calculation time for the Funds. The Short Index measures the daily inverse (i.e., opposite) performance of a portfolio of first- and second -month futures contracts on the CBOE Volatility Index, commonly known as the "VIX." The Long Index measures the performance of a portfolio of first- and second -month futures contracts on the VIX. Because the Funds' portfolios are rebalanced daily to meet their leveraged (or inverse) investment object, the Funds may not be suitable for investors who plan to hold them for periods longer than one day, particularly in volatile markets.

The Funds seek to achieve their investment objective through the appropriate amount of exposure to the VIX futures contracts included in their respective index. The Funds also have the ability to engage in options transactions, swaps, forward contracts and other instruments in order to achieve their investment objective, in the manner and to the extent described herein.

SVIX is not benchmarked to the inverse of, and UVIX is not benchmarked to twice, the widely referenced VIX. The Short Index and the inverse of the VIX are separate measurements and can be expected to perform very differently. The Long Index and twice the VIX also are separate measurements and can be expected to perform very differently. As such, SVIX can be expected to perform very differently from the inverse ( -1x ) of the performance of the VIX over any period, and UVIX can be expected to perform very differently from twice (2x) of the performance of the VIX over any period.

The Funds continuously offer and redeem Shares in blocks of at least 10,000 Shares (each such block, a "Creation Unit") at an initial price per Share of $15. Only Authorized Participants (as defined herein) may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with the Trust and Volatility Shares LLC (the "Sponsor"). Shares are offered on a continuous basis to Authorized Participants in Creation Units at NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share per -Share market price. The form of Authorized Participant Agreement and the related Authorized Participant Procedures Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants will not receive from a Fund, the Sponsor, or any of their affiliates, any fee or other compensation in connection with their sale of Shares to the public. An Authorized Participant may receive commissions or fees from investors who purchase Shares through their commission or fee-based fee -based brokerage accounts. Bank of America/Merrill Lynch Professional Clearing is each Fund's initial Authorized Participant and is a statutory underwriter of Fund Shares.

INVESTING IN THE SHARES INVOLVES SIGNIFICANT RISKS. PLEASE REFER TO THE SECTION ENTITLED " "RISK FACTORS" " ON PAGES 20-40. 8 -27 .

THE FUNDS PRESENT SIGNIFICANT RISKS NOT APPLICABLE TO OTHER TYPES OF FUNDS, INCLUDING RISKS RELATING TO INVESTING IN AND SEEKING EXPOSURE TO VIX FUTURES CONTRACTS. THE FUNDS ARE NOT APPROPRIATE FOR ALL INVESTORS. AN INVESTOR SHOULD ONLY CONSIDER AN INVESTMENT IN A FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF SEEKING DAILY INVESTMENT RESULTS AND THE IMPACT OF COMPOUNDING ON FUND PERFORMANCE.

THE RETURN OF A FUND FOR A PERIOD LONGER THAN A SINGLE DAY IS THE RESULT OF ITS RETURN FOR EACH DAY COMPOUNDED OVER THE PERIOD AND USUALLY WILL DIFFER IN AMOUNT AND POSSIBLY EVEN DIRECTION FROM: I) IN THE CASE OF SVIX, EITHER THE INVERSE OF THE VIX, OR THE INVERSE OF A PORTFOLIO OF SHORT -TERM VIX FUTURES CONTRACTS FOR THE SAME PERIOD; AND II) IN THE CASE OF UVIX, EITHER TWICE THE VIX OR TWICE A PORTFOLIO OF SHORT -TERM VIX FUTURES CONRACTS FOR THE SAME PERIOD. THESE DIFFERENCES CAN BE SIGNIFICANT.

EACH POOL HAS NOT COMMENCED TRADING AND DOES NOT HAVE ANY PERFORMANCE HISTORY.

THE FUNDS' INVESTMENTS MAY BE ILLIQUID AND / OR HIGHLY VOLATILE AND A FUND MAY EXPERIENCE LARGE LOSSES FROM BUYING, SELLING OR HOLDING SUCH INVESTMENTS. AN INVESTOR IN A FUND COULD POTENTIALLY LOSE THE FULL PRINCIPAL VALUE OF HIS/HER HIS / HER INVESTMENT WITHIN A SINGLE DAY OR OVERNIGHT.

THE FUNDS GENERALLY ARE INTENDED TO BE USED ONLY FOR SHORT-TERM SHORT -TERM TIME HORIZONS. SHAREHOLDERS WHO INVEST IN A FUND SHOULD ACTIVELY MANAGE AND MONITOR THEIR INVESTMENT, AS FREQUENTLY AS DAILY.

The Short Index and the VIX (or its inverse) are two separate measurements and can be expected to perform very differently. The Long Index and the VIX also are two separate indices and can be expected to perform very differently. The VIX is a non-investable non -investable index that measures the implied volatility of the S&P 500. For these purposes, "implied volatility" is a measure of the expected volatility ( i.e. , the rate and magnitude of variations in performance) of the S&P 500 over the next 30 days. The VIX does not represent the actual volatility of the S&P 500. The VIX is calculated based on the prices of a constantly changing portfolio of S&P 500 put and call options. The Short Index, the Index used by SVIX, consists of short-term short -term VIX futures contracts. As such, the performance of the Short Index can be expected to be very different from an inverse of the actual volatility of the S&P 500 or an inverse of the actual performance of the VIX. The Long Index, the Index used by UVIX, consists of short-term short -term VIX futures contracts. As such, the performance of the Long Index can be expected to be very different from twice the actual volatility of the S&P 500 or twice the actual performance of the VIX.

The potential upside of an investment in a Fund may be limited. Gains, if any, may be subject to significant and unexpected reversals. The Funds are generally intended to be used only for short-term short -term investment horizons. Investors holding Shares of a Fund beyond short-term short -term periods have an increased risk of losing all or a substantial portion of their investment. Shareholders who invest in a Fund should actively manage and monitor their investments, as frequently as daily.

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and 49 more changes in the filing

Plan of distribution 161 changes

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Most investors buy and sell Shares in secondary

market transactions through brokers. Shares of each Fund trade on the Exchange under the ticker symbol listed in this Prospectus. Shares are bought and sold throughout the trading day like other publicly traded securities. When buying or selling Shares through a broker, most investors incur customary brokerage commissions and charges.

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Each Fund continuously offers Shares in Creation

Units to Authorized Participants. Shares of a Fund are to be offered to Authorized Participants in Creation Units at the Fund's NAV.

Authorized Participants may offer to the public,

from time to time, Shares of a Fund from any Creation Units they create. Shares of a Fund offered to the public by Authorized Participants are offered at a per Share market price that varies depending on, among other factors, the trading price of the Shares of a Fund on the Exchange, the NAV per Share and the supply of and demand for the Shares at the time of the offer. Shares initially comprising the same Creation Unit but offered by Authorized Participants to the public at different times may have different offering prices. Additionally, the price at which an Authorized Participant sells a Share may be higher or lower than the price paid by such Authorized Participant in connection with the creation of such Share in a Creation Unit.

Authorized Participants do not receive from a

Fund, the Sponsor or any of their affiliates, any fee or other compensation in connection with their sale of Shares to the public, although investors are expected to be charged a customary commission by their brokers in connection with the purchase and sale of Shares that varies from investor to investor. Investors are encouraged to review the terms of their brokerage accounts for applicable charges.

Bank of America/Merrill Lynch Professional Clearing

is each Fund's initial Authorized Participant and is a statutory underwriter of Fund Shares. Prior to a Fund's Shares being listed on the Exchange, the initial Authorized Participant will purchase two creation units of Fund Shares with a price per Share of $15.00.

As of the date of this Prospectus, Bank of America/Merrill

Lynch Professional Clearing, Citadel Securities LLC, Credit Suisse Securities (USA) LLC, and Mizuho Securities USA LLC have each executed an Authorized Participant Agreement and are the only Authorized Participants.

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Each Fund issues Shares in Creation Units to Authorized

Participants from time to time in exchange for cash. Because new Shares can be created and issued on an ongoing basis at any point during the life of a Fund, a "distribution," as such term is used in the 1933 Act, will be occurring. An Authorized Participant, other broker-dealer firm or its client could be deemed a statutory underwriter, and thus would be subject to the prospectus delivery and liability provisions of the 1933 Act, if it purchased a Creation Unit from a Fund, broke the Creation Unit down into the constituent Shares and sold the Shares to its customers; or if it chose 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 one 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 categorization as an underwriter. 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 which would render them statutory underwriters and subject them to the prospectus delivery and liability provisions of the 1933 Act.

Dealers who are neither Authorized Participants

nor "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 1933 Act, would be unable to take advantage of the prospectus delivery exemption provided by section 4(3) of the 1933 Act.

Retail investors may purchase and sell Shares

through traditional brokerage accounts. Investors who purchase or sell Shares through a commission/fee based brokerage account may pay commissions/fees charged by the brokerage account. Investors are encouraged to review the terms of their brokerage accounts for applicable charges.

The offering of Creation Units is being made in

compliance with FINRA Rule 2310. Accordingly, the Authorized Participants may not make any sales to any account over which they have discretionary authority without the prior written approval of a purchaser of Shares. In any event, the maximum amount of all items of value, including compensation paid from the offering proceeds and in the form of "trail commissions," to be paid to FINRA members, including to Foreside Fund Services, LLC, in connection with the offering of the Shares by a Fund will not exceed 10% of gross offering proceeds.

Chapman and Cutler LLP has advised the Sponsor

in connection with the Shares being offered. Chapman and Cutler LLP also advises the Sponsor with respect to its responsibilities as sponsor of, and with respect to matters relating to, the Trust and the Fund. Chapman and Cutler LLP has prepared the sections "Material U.S. Federal Income Tax Considerations" with respect to U.S. federal income tax laws and "Purchases By Employee Benefit Plans" with respect to ERISA. Chapman and Cutler LLP has not represented, nor will it represent, the Trust, the Fund or the shareholders in matters relating to the Trust or the Funds.

Richards, Layton & Finger, P. A. has represented

the Trust in connection with the legality of the Shares being offered hereby.

Certain opinions of counsel have been filed with

the SEC as exhibits to the Registration Statement of which this Prospectus is a part.

Tait, Weller & Baker, LLP, an independent

registered public accounting firm, is hereby named as an expert in auditing and accounting.

The Trust has filed a Registration Statement

on Form S-1 with the SEC under the 1933 Act. This Prospectus constitutes part of the Registration Statement filed by the Trust for itself and on behalf of the Funds. This Prospectus does not contain all of the information set forth in such Registration Statement, certain portions of which have been omitted pursuant to the rules and regulations of the SEC, including, without limitation, certain exhibits thereto (for example, the form of the Authorized Participant Agreement). The descriptions contained herein of agreements included as exhibits to the Registration Statement are necessarily summaries and may not be complete; the exhibits themselves may be inspected without charge at the Public Reference Room maintained by the SEC at 100 F Street, NE, Washington, DC 20549, and copies of all or part thereof may be obtained from the SEC upon payment of the prescribed fees.

Investors may obtain information on the operation of the Public Reference Room by calling the SEC at 1-800-SEC-0330. The SEC maintains a website that contains reports, proxy and information statements and other information regarding registrants that file electronically with the SEC. The address of such site is www.sec.gov .

WHERE INVESTORS CAN FIND MORE INFORMATION

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The Sponsor and the Trust are committed to respecting

the privacy of personal information investors entrust to the Trust in the course of doing business.

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The Sponsor, on behalf of the Trust, collects

non-public personal information from various sources. For instance, forms may include names, addresses, and social security numbers.

Each Fund receives information from transactions in investors' accounts, including account balances, and from correspondence between investors and a Fund or third parties, such as the Fund's service providers. The Sponsor, on behalf of the Fund, uses such information provided by investors or their representative to process transactions, to respond to inquiries from investors, to deliver reports, products, and services, and to fulfil legal and regulatory requirements.

The Sponsor does not disclose any non-public personal

information about investors to anyone unless permitted by law or approved by the affected investor. The Sponsor may share information about investors with certain third parties who are not affiliated with the Trust to process or service a transaction that investors have requested or as permitted by law. For example, sharing information with non-affiliated third parties that maintain or service investors' accounts for a Fund is essential.

The Sponsor may also share information with companies

that perform administrative or marketing services for a Fund including research firms. When the Fund enters into such a relationship, such third parties' use of customer's information is restricted and they are prohibited from sharing it or using it for any purposes other than those for which they were hired. The Sponsor also requires service providers to maintain physical, electronic and procedural safeguards that comply with federal standards to guard investors' non-public personal information.

The Sponsor maintains physical, electronic, and

procedural safeguards to protect investors' personal information. Within a Fund, access to personal information is restricted to those employees who require access to that information in order to provide products or services to customers such as processing transactions and handling inquiries. Use of customer information is restricted and customer information is required to be held in strict confidence.

The Sponsor will adhere to the policies and practices

described in this notice for both current and former customers of the Funds.

How the Trust Handles Investors' Personal Information

How the Trust Safeguards Investors' Personal Information

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Each Fund intends to use ADM Investor Services,

Inc. ("ADMIS"), StoneX Financial Inc. - FCM, Straits Financial LLC and E D & F Man Capital Markets Inc. each in its capacity as a registered FCM, as its FCM. Each serves as a clearing broker to the Trust and a Fund and as such arranges for the execution and clearing of a Fund's futures transactions. Each FCM acts as clearing broker for many other funds and individuals. A variety of executing brokers may execute futures transactions on behalf of the Funds. The executing brokers will give up all such transactions to an FCM.

Investors should be advised that no FCM is affiliated

with or acts as a supervisor of a Fund or the Fund's commodity pool operators, commodity trading advisors, investment managers, trustees, general partners, administrators, transfer agents, registrars or organizers, as applicable. Additionally, no FCM is acting as an underwriter or sponsor of the offering of any Shares or interests in a Fund or has passed upon the merits of participating in this offering.

No FCM has passed upon the adequacy of this Prospectus

or on the accuracy of the information contained herein. Additionally, no FCM provides any commodity trading advice regarding a Fund's trading activities. Investors should not rely upon any such FCM in deciding whether to invest in a Fund or retain their interests in the Fund. Investors should also note that a Fund may select additional clearing brokers or replace any FCM as the Fund's clearing broker.

ADM Investor Services, Inc.

ADM Investor Services, Inc. ("ADMIS")

is a registered futures commission merchant and is a member of the National Futures Association. Its main office is located at 141 W.

Jackson Blvd., Suite 2100A, Chicago, IL 60604. In the normal course of its business, ADMIS is involved in various legal actions incidental to its commodities business. None of these actions are expected either individually or in aggregate to have a material adverse impact on ADMIS.

Neither ADMIS nor any of its principals have been

the subject of any material administrative, civil or criminal actions within the past five years, except for the following matters.

In an Order entered on July 12, 2019 the CFTC

found that between December 1, 2014 and September 24, 2017 ADMIS failed to diligently supervise the handling by its employees and agents of commodity interest accounts as well as the activities of its employees and agents relating to its business as an FCM in violation of CFTC Regulation 166.3. The order imposed a civil monetary penalty of $250,000.

On January 28, 2020, a Commodity Exchange Business

Conduct Committee Panel ("Panel") found that between 2012 and 2018, ADMIS learned that one of its brokerage firm clients automatically offset omnibus account positions in futures contracts using the FIFO method and was misreporting its open positions. As a result, inaccurate open interest data was published to the market. The Panel found that ADMIS failed to require the client to provide accurate and timely owner and control information and continued to report inaccurate information regarding the ownership and control of the positions through May 2018 in violation of Exchange Rules 432.Q., 432.X., and 561.C. Additionally, on multiple occasions continuing through May 2018, ADMIS provided the Exchange with inaccurate audit trail data provided by the client. The Panel found that ADMIS violated Exchange Rule 536.B.2.

Finally, the Panel found that ADMIS failed to

take effective measures to ensure the accuracy of its client's purchase and sales data reporting and its responses to the Exchange, and failed to properly supervise employees. The Panel therefore found that ADMIS violated Exchange Rule 432.W. In accordance with an offer of settlement the Panel ordered ADMIS to pay a fine of $650,000.

StoneX Financial Inc. -- FCM

Below is a list of material, administrative, civil,

enforcement, or criminal complaints or actions filed against StoneX Financial Inc. - FCM (f/k/a INTL FCStone Financial Inc. - FCM Division) that are outstanding, and any enforcement actions or complaints filed against the StoneX Financial Inc. - FCM Division in the past five years which meet the materiality thresholds in CTFC regulations 4.24.(l) and 4.34(k).

November 14, 2017, INTL FCStone Financial Inc., without admission or denial or liability, entered into a settlement with the Commodity Futures Trading Commission ("CFTC").

The CFTC found that INTL FCStone Financial Inc. failed to have adequate compliance controls to identify trades improperly designated as EFRPs. According to the CFTC Order, the firm failed to determine that the EFPs at issue had the necessary corresponding and related cash or OTC derivative position required for EFRPs. The CFTC Order also found that the firm failed to ensure that the EFPs at issue were documented properly.

Finally, the firm failed to ensure that its employees involved in the execution, handling, and processing of EFRPs understood the requirements for executing, handing, and processing valid EFRPs. INTL FCStone Financial Inc., and its affiliate FCStone Merchant Services, jointly paid a $280,000 civil monetary penalty to the CFTC.

a historic move in the natural gas market in November of 2018, INTL FCStone Financial Inc. - FCM Division ("IFF") experienced a number of customer deficits.

IFF soon thereafter initiated NFA arbitrations, seeking to collect these debits, and has also been countersued and sued in a number of these arbitrations. These accounts were managed by Optionsellers.com, ("Optionsellers") who is a Commodity Trading Advisor ("CTA") authorized by investors to act as attorney-in-fact with exclusive trading authority over these investors' trading accounts. These accounts cleared through IFF. After this significant and historic natural gas market movement, the accounts declined below required maintenance margin levels. IFF's role in managing the accounts was limited. As a clearing firm, IFF did not provide any investment advice, trading advice, or recommendations to customers of Optionsellers who chose to clear with IFF. Instead, it simply executed and cleared trades placed by Optionsellers on behalf of Optionsellers' customers. Optionsellers is a CFTC registered CTA operating under a CFTC Rule 4.7 exemption from registration. Optionsellers engaged in a strategy that primarily involved selling options on futures products. The arbitrations between IFF, Optionsellers, and the Optionsellers customers are currently ongoing.

The Futures Commission Merchant ("FCM")

division of the INTL FCStone Financial, Inc. ("IFF") is subject to litigation and regulatory enforcement in the normal course of business. Except as discussed above, the current or pending civil litigation, administrative proceedings, or enforcement actions in which the firm is involved are not expected to have a material effect upon its condition, financial or otherwise. The firm vigorously defends, as a matter of policy, civil litigation, reparation, arbitration proceedings, and enforcement actions brought against it.

Straits Financial LLC

Straits Financial LLC is a Commodity Futures Trading

Commission licensed and registered Futures Commission Merchant, Swaps Firm, and a member of the National Futures Association, as well as a fully Clearing Member of the Chicago Mercantile Exchange, the Chicago Board of Trade, the Commodity Exchange, Clearport, the Cboe Futures Exchange, Nasdaq Futures Exchange and the Dubai Mercantile Exchange. All of Straits's assets and capital are devoted to its FCM business operations, which includes execution, brokerage and clearing of commodity futures and options contracts. Straits does not conduct any proprietary trading. Straits's Designated Self-Regulatory Organization is the CME Group, Inc. Straits is directly owned by US-based holding company Straits (USA) Inc., and is a subsidiary of Straits Financial Group Pte. Ltd., the brokering division of CwT International Limited, a publicly traded company located in Hong Kong. Straits is not involved in any material litigation.

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and 81 more changes in the filing

Risk factors 307 changes

The Funds may be highly volatile

Investing in the Funds involves

These risk factors may be amended,

The Funds may be highly volatile and generally are intended for short-term short -term investment purposes only.

Investing in the Funds involves significant risks not applicable to other types of investments. You could potentially lose the full principal value of your investment within a single day. Before you decide to purchase any Shares, you should consider carefully the risks described below together with all of the other information included in this Prospectus, as well as information found in documents incorporated by reference in this Prospectus.

These risk factors may be amended, supplemented or superseded from time to time by risk factors contained in any periodic report, prospectus supplement, post-effective post -effective amendment or in other reports filed with the SEC in the future.

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In addition to the risks described elsewhere in

In addition to the risks described elsewhere in this "Risk Factors" section, the following risks apply to the Funds.

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From time to time, global financial markets experience

In the past (between 2007 and 2009) and more recently

Recent market volatility, particularly from

Due to the compounding of daily returns, the Funds' returns

SVIX has an investment objective to seek daily

UVIX seeks daily investment results, before fees

Compounding is the cumulative effect of applying

Each Fund will lose money if its Index's

The Funds are not appropriate for all investors

In order to achieve a high degree of correlation

with its Benchmark, each Fund seeks to rebalance its portfolio daily to keep exposure consistent with its investment objective. Being materially under or overexposed to the Benchmark may prevent a Fund from achieving a high degree of correlation with that Benchmark.

opening market price.

Global and domestic, political, social or economic

impact trading in the underlying futures contracts.

Changes to an Index and daily rebalancing may

The intraday performance of Shares traded in the

From time to time, global financial markets experience periods of unprecedented turmoil. During these periods, the financial sector may result in reduced or altered liquidity in the markets and an unusually high degree of volatility, both domestically and internationally. In addition, events such as earthquakes, hurricanes, epidemics and pandemics and other unforeseen natural or human disasters, may have broad adverse social, political, and economic effects on the global economy, which could negatively impact the value of a Fund's investments. The potential for market turbulence may have an adverse effect on the value of a Fund's investments.

In the past (between 2007 and 2009) and more recently in 2020, instability in the financial markets led the United States and other governments to take a number of unprecedented actions designed to support certain financial and other institutions and certain segments of the financial markets. Federal, state, and foreign governments, regulatory agencies and self-regulatory self -regulatory organizations have taken, and could take in the future, actions that affect the regulation of the instruments in which a Fund invests, or the issuers of such instruments, in ways that are unforeseeable. Such legislation or regulation could limit a Fund's ability to achieve its investment objective.

Recent market volatility, particularly from January 2020 through May 2020, that is seemingly the result of the negative impacts of COVID-19 COVID -19 on global and domestic markets and the response thereto by governments and their central banks, has acutely affected the performance of the Index over those periods. The following chart shows the performance of the VIX and the Short Index from December 2019 (the first full calendar month of performance for the Short Index) through the quarter ended September 2021. The Short Index has an inception date of November 22, 2019. The Long Index has an inception date of October 8, 2021 and, accordingly, does not have any performance through the quarter ended September 2021.

Due to the compounding of daily returns, the Funds' returns over a period longer than a single day will likely differ in amount and possibly even direction from: i) in the case of SVIX, the inverse performance of the VIX or a portfolio of short VIX futures contracts over the same period; and ii) in the case of UVIX, twice the performance of the VIX or a portfolio of long VIX futures contracts over the same period.

SVIX has an investment objective to seek daily investment results, before fees and expenses, that track the Short Index, which is designed to express the daily inverse performance of a theoretical portfolio of first and second month VIX futures contracts. The Fund seeks investment results for a single day only, as measured from NAV calculation time to NAV calculation time, and not for any other period (see "Summary — Creation and Redemption Transactions" for the typical NAV calculation time of the Fund). The return of the Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from the return the inverse ( -1x ) performance of either the VIX or a portfolio of short positions in VIX futures contracts over the same period.

UVIX seeks daily investment results, before fees and expenses, that correspond to twice the performance of the Long Index, which measures the daily performance of long positions in a theoretical portfolio of first and second month VIX futures contracts. The Fund seeks investment results for a single day only, as measured from NAV calculation time to NAV calculation time, and not for any other period (see "Summary — Creation and Redemption Transactions" for the typical NAV calculation time of the Fund). The return of the Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from twice (2x) the return of either the VIX or a portfolio of long positions in VIX futures contracts over the same period.

Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period's returns are calculated. The effect of compounding becomes more pronounced as index volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Fund is held and the volatility of the Index during the holding period of an investment in Shares of the Fund.

Each Fund will lose money if its Index's performance is flat over time, and a Fund can lose money regardless of the performance of the Index, as a result of daily rebalancing, fees, the Index's volatility, compounding and other factors. Longer holding periods, higher index volatility, inverse exposure and leverage each affect the impact of compounding on a Fund's returns. Daily compounding of a Fund's investment returns can dramatically and adversely affect performance, especially during periods of high volatility. Volatility has a negative impact on a Fund's performance and the volatility of the Index may be at least as important to the Fund's return for a period as the return of an Index.

The Funds are not appropriate for all investors and presents significant risks not applicable to other types of funds. An investor should only consider an investment in a Fund if he or she understands the consequences of seeking investment results for a single day. Shareholders who invest in a Fund should actively manage and monitor their investments, as frequently as daily.

In order to achieve a high degree of correlation with its Benchmark, each Fund seeks to rebalance its portfolio daily to keep exposure consistent with its investment objective. Being materially under or overexposed to the Benchmark may prevent a Fund from achieving a high degree of correlation with that Benchmark. Market disruptions or closures, large movements of assets into or out of a Fund, large rebalances, regulatory restrictions, cash drag from uninvested cash, market volatility, accountability levels, position limits, margin requirements, and daily price fluctuation limits set by the exchanges and other factors will adversely affect a Fund's ability to adjust exposure to requisite levels. The target amount of portfolio exposure may be impacted by changes to the value of a Fund's Index each day. Other things being equal, more significant movement, up or down, will require more significant adjustments to a Fund's portfolio. Because of this, it is unlikely that a Fund will be perfectly exposed at the end of each day, and the likelihood of being materially under- or overexposed is higher on days when the index levels are volatile at or near the close of the trading day. These risks are particularly acute for a Fund due to the high degree of volatility in VIX futures contracts.

Risk of after-market or overnight events impacting the next opening market price.

Global and domestic, political, social or economic events that occur after the end of trading of Fund Shares on domestic Exchanges can have a significant impact on the market price of Fund Shares when the trading of Fund Shares resumes on the following day.

Changes to an Index and the daily rebalancing of a Fund may impact trading in the underlying futures contracts.

Changes to an Index and daily rebalancing may cause a Fund to adjust its portfolio positions. This trading activity will contribute to the trading volume of the underlying futures contracts and may adversely affect the market price of such underlying futures contracts.

The intraday performance of Shares traded in the secondary market generally will be different from the performance of a Fund when measured from one NAV calculation-time calculation -time to the next.

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Each Fund is not actively managed by traditional

returns that correlate to the returns of its Benchmark.

While each Fund seeks to meet its investment

objective, there is no guarantee it will do so. Factors that may affect a Fund's ability to meet its investment objective include:

and (13) the inability to fully access the VIX futures contract market because of the limitation described under "Summary - Fund Rebalancing" on p. 17.

Being materially under- or overexposed to a Fund's

Each Fund is not actively managed by traditional methods ( e.g. , by effecting changes in the composition of a portfolio on the basis of judgments relating to economic, financial and market considerations with a view toward obtaining positive results under all market conditions). Each Fund seeks to remain fully invested at all times in Financial Instruments and money market instruments that, in combination, provide exposure to the Benchmark consistent with each Fund's investment objective. This is the case even during periods in which an Index is flat or moving in a manner which causes the value of the Fund to decline. Each Fund can lose money regardless of the performance of its Benchmark, due to the effects of daily rebalancing, volatility, fees, compounding and other factors.

A number of factors may affect a Fund's ability to produce returns that correlate to the returns of its Benchmark.

While each Fund seeks to meet its investment objective, there is no guarantee it will do so. Factors that may affect a Fund's ability to meet its investment objective include: (1) the Sponsor's or Commodity Sub-Adviser's Sub -Adviser 's ability to purchase and sell Financial Instruments in a manner that correlates to the Fund's objective; (2) an imperfect correlation between the performance of the Financial Instruments held by the Fund and the performance of the Index; (3) bid-ask bid -ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs and margin requirements associated with the use of Financial Instruments and commission costs; (5) holding or trading Financial Instruments in a market that has become illiquid or disrupted; (6) the Fund's Share prices being rounded to the nearest cent and/or valuation methodologies; (7) changes to the Index that are not disseminated in advance; (8) the need to conform the Fund's portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of the Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by the Fund obtaining exposure to only a representative sample of the components of the Index, overweighting or underweighting certain components of the Index or obtaining exposure to assets that are not included in the Index; (12) the inability of the Fund to fully invest cash received in exchange for Creation Unit purchases, resulting in cash drag; and (13) the inability to fully access the VIX futures contract market because of the limitation described under "Summary — Fund Rebalancing" on p. 17.

Being materially under- or overexposed to a Fund's Benchmark may prevent a Fund from achieving a high degree of correlation with its Benchmark. Market disruptions or closures, large movements of assets into or out of a Fund, large rebalances, regulatory restrictions, or market volatility and other factors will adversely affect the Fund's ability to maintain a high degree of correlation.

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Financial Instruments cannot always be liquidated

Market illiquidity may cause losses for a Fund.

result in depletion of assets.

Each Fund is subject to the fees and expenses

The policies of S&P and the CBOE and changes that affect

The policies of S&P and the CBOE concerning

Calculation of an Index may not be possible or

Additionally, the Short Index is a relatively

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. Market disruptions or volatility can also make it difficult to liquidate a position or find a swap counterparty at a reasonable cost.

Market illiquidity may cause losses for a Fund. The large size of the positions which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that a Fund will typically invest in Financial Instruments related to a single benchmark, which in many cases is highly concentrated. Limits imposed by counterparties, exchanges or other regulatory organizations, such as accountability levels, position limits and daily price fluctuation limits, may contribute to a lack of liquidity with respect to some Financial Instruments.

Fees are charged regardless of a Fund's returns and may result in depletion of assets.

Each Fund is subject to the fees and expenses described herein which are payable irrespective of the Fund's returns, as well as the effects of commissions, trading spreads, and embedded financing, borrowing costs and fees associated with swaps, futures contracts, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality, short-term fixed-income short -term fixed -income or similar securities. These fees and expenses have a negative impact on Fund returns.

The policies of S&P and the CBOE and changes that affect the composition and valuation of the S&P 500, the VIX or an Index could affect the value of an investment in the Shares.

The policies of S&P and the CBOE concerning the calculation of the level of the S&P 500, the VIX and each Index, and any additions, deletions or substitutions of equity securities, options or futures contracts in the above indexes, respectively, and the manner in which changes affecting the equity securities, options contracts or futures contracts are reflected in the indexes outlined above, could affect the level of such indexes and, therefore, the value of the Shares. S&P can add, delete or substitute the equity securities underlying the S&P 500 or make other methodological changes that could change the level of the S&P 500. S&P and CBOE can also add, delete or substitute the futures contracts underlying the Index or make other methodological changes that could change the level of an Index. The changing of equity securities included in the S&P 500 may affect the S&P 500, as a newly added equity security may perform better or worse than the equity security or securities it replaces. Such a change may also affect the value of the put and call options used to calculate the level of the VIX. The changing of the futures contracts underlying the Index may affect the performance of an Index in similar ways. Additionally, S&P and CBOE may alter, discontinue or suspend calculation or dissemination of the S&P 500 or an Index. Any of these actions could adversely affect the value of the Shares. S&P and CBOE have no obligation to consider shareholder interests in calculating or revising the S&P 500 or an Index. The CBOE can make methodological changes to the calculation of the VIX that could affect the value of VIX futures contracts and, consequently, the value of the Shares. There can be no assurance that the CBOE will not change the VIX calculation methodology in a way which may affect the value of the Shares. Additionally, the CBOE may alter, discontinue or suspend calculation or dissemination of the VIX and/or the exercise settlement value. Any of these actions could adversely affect the value of the Shares.

Calculation of an Index may not be possible or feasible under certain events or circumstances that are beyond the reasonable control of the Sponsor, which in turn may adversely impact both the Index and/or the Shares, as applicable. Additionally, Index calculations may be disrupted by rollover disruptions, rebalancing disruptions and/or market emergencies, which may have an adverse effect on the value of the Shares.

Additionally, the Short Index is a relatively new index — with an inception date of November 22, 2019 — and no currently operating fund or account yet seeks to track the Short Index. The Long Index is a new index — with an inception date of October 8, 2021 and no currently operating fund or account yet seeks to track the Long Index or an inverse or leveraged version of it. There is the risk that, as a result of the limited operational history of each Index, a Fund may have more difficulty tracking the Index than an index that has had a long operational history.

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The Funds may use derivatives such as swap agreements

The Funds may use derivatives such as swap agreements and options (collectively referred to herein as "derivatives") in the manner described herein as a means to achieve its investment objective. The use of derivatives by the Funds exposes them to counterparty risks.

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Derivatives are generally traded in over-the-counter

Title VII of the Dodd-Frank Act (as defined below)

As noted, the CFTC rules do not apply to all of

Derivatives are generally traded in over -the -counter ("OTC") markets and have only recently become subject to comprehensive regulation in the United States. Cash-settled Cash -settled forwards are generally regulated as "swaps", whereas physically settled forwards are generally not subject to regulation or subject to the federal securities laws (in the case of securities).

Title VII of the Dodd -Frank Act (as defined below) ("Title VII") created a regulatory regime for derivatives, with the Commodity Futures Trading Commission (the "CFTC") responsible for the regulation of swaps and the SEC responsible for the regulation of "security-based "security -based swaps." The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading for certain categories of swaps, reporting, and margin for uncleared swaps. Title VII also created new categories of regulated market participants, such as "swap dealers," "security-based "security -based swap dealers," "major swap participants," and "major security-based security -based swap participants" who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could impact materially and adversely the Funds, the markets in which the Funds trade and the counterparties with which the Funds engage in transactions.

As noted, the CFTC rules do not apply to all of the physically settled forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodities Exchange Act of 1934 ("CEA") in connection with the Funds' physically settled forward contracts. 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.

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Each Fund will be subject to the credit risk of

Each Fund generally requires that the counterparties

OTC derivatives of the type that may be utilized

In addition, cleared derivatives benefit from

Each counterparty and/or any of its affiliates

The counterparty risk for cleared derivatives

Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.

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and 227 more changes in the filing

Forward-looking statements 246 changes

This Prospectus and the documents incorporated

This Prospectus and the documents incorporated by reference in this Prospectus contain "forward-looking "forward -looking statements" that are subject to risks and uncertainties. Investors can identify these forward-looking forward -looking statements by the use of expressions such as "may," "will," "expect," "anticipate," "believe," "intend," "plan," "project," "should," "estimate", "seek" or any negative or other variations on such expression. These forward-looking forward -looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in "Risk Factors" and elsewhere in this Prospectus and the documents incorporated by reference in this Prospectus, and unknown, that could cause the actual results, performance, prospects or opportunities of a Fund to differ materially from those expressed in, or implied by, these forward-looking forward -looking statements.

DESCRIPTION OF THE FUNDS' INDEXES

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The Short Index is an excess return index designed

to express the daily inverse performance of a theoretical portfolio of first and second month VIX futures contracts that are rolled daily.

The Short Index determines its daily settlement

The Short Index is calculated and maintained by

These rules and the formula may be changed from

The Short Index is an excess return index designed to express the daily inverse performance of a theoretical portfolio of first and second month VIX futures contracts that are rolled daily. The theoretical portfolio consists of the two nearest term monthly VIX futures contracts that are rolled daily so that the nearest month VIX futures contract is rolled to the second nearest month VIX futures contracts in equal daily fractional amounts. This portfolio rolling seeks to maintain a constant weighted average time to maturity of approximately one month.

The Short Index determines its daily settlement price from the Time Weighted Average Price (TWAP) of its theoretical portfolio of futures during the last 15 minutes of NYSE's regular trading session, rather than solely from the VIX futures' settlement price.

The Short Index is calculated and maintained by Cboe Global Indexes (the "Index Provider"). The Index Provider is not a registered broker-dealer, broker -dealer , but is affiliated with a broker-dealer. broker -dealer . The Index Provider has implemented and will maintain a fire wall with respect to its relevant personnel regarding access to information concerning the composition and/or changes to the Index. In addition, the Index Provider has implemented and will maintain procedures around the relevant personnel that are designed to prevent the use and dissemination of material, non-public non -public information regarding the Index.

These rules and the formula may be changed from time to time, and without notice by the Sponsor, S&P, and/or the CBOE.

The Index is calculated according to the following methodology:

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On any Business Day ( t ) when the Short

when the CFE market is open.

index t = The Index Settlement

PDR t = Portfolio Daily Return

CW m 1, t -1 = Contract Weight

RD rem = Roll Days Remaining and is determined

RD tot = Roll Days Total and is determined

Note - On each Business Day a fraction of the theoretical

CP m1, t = Contract Reference Price of the shortest

CRP m1, t -1 = Contract Reference Price

The Roll Period starts on the CBOE VIX Monthly Futures Settlement

On any Business Day ( t ) when the Short Index is calculated, the Index value is determined as follows:

Business Day ( t ) is defined as any day when the CFE market is open.

index t = The Index Settlement value on any Business Day (t) the Index is calculated.

index t – 1 = The Index Settlement value on the preceding Business Day (t-1). (t -1 ).

PDR t = Portfolio Daily Return on any Business Day (t) is determined as follows:

CW m 1, t –1 = Contract Weight and represents the weighting of the shortest dated monthly VIX Futures Contract ( m1 ) calculated on any Business Day ( t-1 t -1 ) as follows:

RD rem = Roll Days Remaining and is determined each Business Day as the number of remaining Business Days within a Roll Period beginning with, and including, the following Business Day, and ending with, but excluding, the following CBOE VIX monthly Futures Settlement Date (usually a Wednesday). The number of business days does not consider, and therefore continues to include as Business Days, any new holidays introduced intra-month, intra -month , or unscheduled market closures.

RD tot = Roll Days Total and is determined at the beginning of a new Roll Period as the total number of Business Days within a Roll Period beginning with, and including, the monthly CBOE VIX Futures Settlement Date (usually a Wednesday), and ending with, but excluding, the following CBOE VIX monthly Futures Settlement Date. The number of Business Days stays constant if a new holiday is introduced intra-month intra -month after the CBOE VIX Futures Settlement Date, or in the case of an unscheduled market closure.

Note — On each Business Day a fraction of the theoretical portfolio's m1 VIX futures holdings are sold and the longer dated m2 futures are bought. The fraction rolled each Business Day is therefore proportional to the number of m1 futures contracts held on Business Day t1 and inversely proportional to the number of days in the Roll Period RD tot .

CP m1, t = Contract Reference Price of the shortest dated monthly VIX Futures Contract (m1) on any business day (t) determined as the average of the 180 last prices for m1 during regular trading and the 180 last Trade At Settlement (TAS) prices for m1 both taken every 5 seconds beginning 14 minutes and 55 seconds before the closing time of the regular trading session on the NYSE and ending at the closing time of the NYSE — usually the average of every 5 seconds between 3.45.05 PM ET and 4.00.00 pm ET each business day.

CRP m1, t –1 = Contract Reference Price of the shortest dated monthly VIX Futures Contract (m1) on the previous business day (t-1) (t -1 ) determined as the average of the 180 last prices for m1 during regular trading and the 180 last Trade At Settlement (TAS) prices for m1 both taken every 5 seconds beginning 14 minutes and 55 seconds before the closing time of the regular trading session on the NYSE and ending at the closing time of the NYSE — usually the average of every 5 seconds between 3.45.05 PM ET and 4.00.00 pm ET each business day.

The Roll Period starts on the CBOE VIX Monthly Futures Settlement Date — usually the Wednesday falling 30 calendar days before the S&P 500 option expiration for the following month — and runs to the Tuesday prior to the subsequent month's CBOE VIX Monthly Futures Settlement Date. On the Business Day after the current roll period ends the following roll period begins.

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The Long Index is an excess return index designed

The Long Index determines its daily settlement

The Long Index is calculated and maintained by

These rules and the formula may be changed from

following methodology:

The Long Index is an excess return index designed to express the performance of a theoretical portfolio of long positions in first and second month VIX futures contracts that are rolled daily. The theoretical portfolio consists of the two nearest term monthly VIX futures contracts that are rolled daily so that the nearest month VIX futures contract is rolled to the second nearest month VIX futures contracts in equal daily fractional amounts. This portfolio rolling seeks to maintain a constant weighted average time to maturity of approximately one month.

The Long Index determines its daily settlement price from the Time Weighted Average Price (TWAP) of its theoretical portfolio of futures during the last 15 minutes of NYSE's regular trading session, rather than solely from the VIX futures' settlement price.

The Long Index is calculated and maintained by Cboe Global Indexes (the "Index Provider"). The Index Provider is not a registered broker-dealer, broker -dealer , but is affiliated with a broker-dealer. broker -dealer . The Index Provider has implemented and will maintain a fire wall with respect to its relevant personnel regarding access to information concerning the composition and/or changes to the Index. In addition, the Index Provider has implemented and will maintain procedures around the relevant personnel that are designed to prevent the use and dissemination of material, non-public non -public information regarding the Index.

These rules and the formula may be changed from time to time, and without notice by the Sponsor, S&P, and/or the CBOE.

The Long Index is calculated according to the following methodology:

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the index value is determined as follows:

On any business day ( t ) when the index is calculated, the index value is determined as follows:

Business Day ( t ) is defined as any day when the CFE market is open.

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*For clarity, because Contract Weight represents

*For clarity, because Contract Weight represents the notional dollar weighting of m1 and m2, the actual number of contracts of m1 and m2 will vary depending on their notional value.

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Each Index is comprised of VIX futures contracts.

While the VIX represents a measure of the current

An important consequence of the spot/forward

The VIX is an index designed to measure the implied

During periods of rising investor

During periods of declining

Volatility, and the level of the VIX, can increase

The S&P 500 is an index that measures large-cap

Each Index is comprised of VIX futures contracts. VIX futures contracts were first launched for trading by the CBOE in 2004. VIX futures contracts allow investors to invest based on their view of the forward implied market volatility of the S&P 500. Investors that believe the forward implied market volatility of the S&P 500 will increase may buy VIX futures contracts. Conversely, investors that believe that the forward implied market volatility of the S&P 500 will decline may sell VIX futures contracts.

While the VIX represents a measure of the current expected volatility of the S&P 500 over the next 30 days, the prices of VIX futures contracts are based on the current expectation of the expected 30-day 30 -day volatility of the S&P 500 on the expiration date of the futures contract. Since the VIX and VIX futures contracts are two distinctly different measures, the VIX and VIX futures contracts generally behave quite differently.

An important consequence of the spot / forward relationship between the VIX and VIX futures contracts (and therefore between the VIX and A Fund) that investors should understand is that the price of a VIX futures contract can be lower, equal to or higher than the VIX, depending on whether the market expects volatility to be lower, equal to or higher in the 30-day 30 -day forward period covered by the VIX futures contract than in the 30-day 30 -day spot period covered by the VIX. Therefore the performance of VIX Futures contracts should be expected to be very different than the performance of the VIX as there is no direct relationship between the two measures. As a result, since the performance of a Fund is linked to the performance of the VIX futures contracts included in the Index, a Fund should be expected to perform very differently from the VIX (or -1x or 2x thereof).

The VIX is an index designed to measure the implied volatility of the S&P 500 over 30 days in the future. The VIX is calculated based on the prices of certain put and call options on the S&P 500. The VIX is reflective of the premium paid by investors for certain options linked to the level of the S&P 500.

• During periods of rising investor uncertainty, including periods of market instability, the implied level of volatility of the S&P 500 typically increases and, consequently, the prices of options linked to the S&P 500 typically increase (assuming all other relevant factors remain constant or have negligible changes). This, in turn, causes the level of the VIX to increase.

• During periods of declining investor uncertainty, the implied level of volatility of the S&P 500 typically decreases and, consequently, the prices of options linked to the S&P 500 typically decrease (assuming all other relevant factors remain constant or have negligible changes). This, in turn, causes the level of the VIX to decrease.

Volatility, and the level of the VIX, can increase (or decrease) without warning. The VIX was developed by the CBOE and is calculated, maintained and published by the CBOE. The CBOE may change the methodology used to determine the VIX and has no obligation to continue to publish, and may discontinue the publication of, the VIX. The VIX is reported by Bloomberg Finance L.P. under the ticker symbol "VIX."

The S&P 500 is an index that measures large -cap U.S. stock market performance. It is a float-adjusted float -adjusted market capitalization weighted index of 500 U.S. operating companies and real estate investment trusts selected by the S&P U.S. Index Committee through a non-mechanical non -mechanical process that factors in criteria such as liquidity, price, market capitalization and financial viability. Reconstitution occurs both on a quarterly and ongoing basis. S&P publishes the S&P 500. The daily calculation of the current value of the S&P 500 is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average initial market value of the common stocks of 500 similar companies at the time of the inception of the S&P 500. The 500 companies are not the 500 largest publicly traded companies and not all 500 companies are listed on the Exchange. S&P chooses companies for inclusion in the S&P 500 with the objective of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the U.S. equity market. S&P may from time to time, in its sole discretion, add companies to, or delete companies from, the S&P 500 to achieve the objectives stated above. Relevant criteria employed by S&P include the viability of the particular company, the extent to which that company represents the industry group to which it is assigned, the extent to which the company's common stock is widely held and the market value and trading activity of the common stock of that company.

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EACH FUND IS NOT SPONSORED, ENDORSED, SOLD OR

NEITHER S&P, ITS AFFILIATES NOR THIRD PARTY

LICENSORS, INCLUDING CBOE, GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF AN INDEX OR ANY DATA INCLUDED THEREIN AND S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.

PRINCIPAL INVESTMENT STRATEGY

EACH FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY S&P AND ITS AFFILIATES OR CBOE. S&P AND CBOE MAKE NO REPRESENTATION, CONDITION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF A FUND OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN SECURITIES GENERALLY OR IN THE FUND PARTICULARLY OR THE ABILITY OF THE INDEX TO TRACK MARKET PERFORMANCE AND/OR OF GROUPS OF ASSETS OR ASSET CLASSES AND/OR TO ACHIEVE ITS STATED OBJECTIVE AND/OR TO FORM THE BASIS OF A SUCCESSFUL INVESTMENT STRATEGY, AS APPLICABLE. S&P'S AND CBOE'S ONLY RELATIONSHIP TO VS TRUST ON BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC IS THE LICENSING OF CERTAIN TRADEMARKS AND TRADE NAMES AND OF EACH INDEX WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY S&P AND CBOE WITHOUT REGARD TO VS TRUST ON BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC OR THE FUNDS. S&P AND CBOE HAVE NO OBLIGATION TO TAKE THE NEEDS OF VS TRUST ON BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC OR THE OWNERS OF THE FUNDS INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE INDEX. S&P AND CBOE ARE NOT ADVISORS TO THE FUNDS AND ARE NOT RESPONSIBLE FOR AND HAVE NOT PARTICIPATED IN THE DETERMINATION OF THE PRICES AND AMOUNT OF THE FUNDS OR THE TIMING OF THE ISSUANCE OR SALE OF A FUND OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH FUND SHARES ARE TO BE CONVERTED INTO CASH. S&P AND CBOE HAVE NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING, OR TRADING OF THE FUNDS.

NEITHER S&P, ITS AFFILIATES NOR THIRD PARTY LICENSORS, INCLUDING CBOE, GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF AN INDEX OR ANY DATA INCLUDED THEREIN AND S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P AND CBOE MAKE NO WARRANTY, CONDITION OR REPRESENTATION, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY VS TRUST ON BEHALF OF ITS APPLICABLE SERIES AND VOLATILITY SHARES LLC, SHAREHOLDERS OF THE FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF AN INDEX OR ANY DATA INCLUDED THEREIN. S&P AND CBOE MAKE NO EXPRESS OR IMPLIED WARRANTIES, REPRESENTATIONS OR CONDITIONS, AND EXPRESSLY DISCLAIM ALL WARRANTIES OR CONDITIONS OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE AND ANY OTHER EXPRESS OR IMPLIED WARRANTY OR CONDITION WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS, INCLUDING CBOE, HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS) RESULTING FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

INVESTMENT OBJECTIVE AND PRINCIPAL INVESTMENT STRATEGY

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SVIX seeks daily investment results, before fees

The Index measures the daily inverse performance

Historical performance of the Short Index and the VIX since the inception of the Index through the quarter ended September 2021 is set forth below:

If SVIX is successful in meeting its objective,

By way of example of the performance of the Short

The Long Index measures the daily performance

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MD&A 165 changes

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The projected twelve month breakeven

The Funds are newly formed and have no operating history.

The projected twelve month breakeven analysis for the Funds is set forth in the Breakeven Tables below. For purposes of calculating the amounts in the Breakeven Tables for the Funds, the analysis assumes that the constant NAV is equal to the amount shown. This amount is the expected NAV of the Shares on the first day of the Funds' operations.

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VIX Futures ETF (SVIX)

-1x Short VIX Futures

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Brokerage commissions and fees (2)

Variable create/redeem fees (3)

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The numbers provided in this chart have been rounded to the nearest 0.01. The breakeven analysis reflects all fees and expenses, including estimated rebalancing expenses that are anticipated to be incurred by the Fund during a year of an investor's investment.

cost of rolling futures positions and daily rebalancing.

Authorized Participants are generally required to pay

Other Fund Fees and Expenses are an estimate based

Based on applying the average three month Treasury

Investors may pay customary brokerage commissions

SVIX pays the Sponsor a management fee (the "Management

No other Management Fee is paid by the Funds.

Amount of trading income required for the NAV at the end of one year to equal the initial selling price per share (12-Month breakeven) (6) 0.30 1.98 2x Long VIX Futures ETF (UVIX) Expenses (1) $ % Selling price per share 15.00 Management fee 0.25 1.65 Brokerage commissions and fees (2) 0.15 1.01 Variable create/redeem fees (3) (0.03 ) (0.17 ) Other expenses (4) 0.04 0.29 Total fees and expenses 0.42 2.78 Interest income (5) 0.00 0.00 Amount of trading income required for the NAV at the end of one year to equal the initial selling price per share (12-Month breakeven) (6) 0.42 2.78 ____________ (1) The breakeven analysis set forth in this table assumes that the Shares have a constant NAV equal to the amount shown. This amount is the expected NAV of the Shares on the first day of Fund operations. The actual NAV of the Fund differs and is likely to change on a daily basis. The numbers provided in this chart have been rounded to the nearest 0.01. The breakeven analysis reflects all fees and expenses, including estimated rebalancing expenses that are anticipated to be incurred by the Fund during a year of an investor's investment.

(2) The expenses detailed in the table above include the cost of rolling futures positions and daily rebalancing.

(3) Authorized Participants are generally required to pay variable create and redeem fees of up to 0.20% of the value of each order they place. These variable transaction fees offset brokerage commissions incurred by the Fund and are reflected in "Brokerage commissions and fees." Please see "Creation and Redemption of Shares — Creation and Redemption Transaction Fee."

(4) Other Fund Fees and Expenses are an estimate based on an allocation to the Fund of the total estimated expenses anticipated to be incurred by the Trust on behalf of the Fund, net of any expenses or sponsor fee waived by the Sponsor, and include: Professional fees (primarily legal, auditing and tax-preparation tax -preparation related costs); Custodian and Administrator fees and expenses, Distribution and Marketing fees (primarily fees paid to the Marketing Agent, costs related to regulatory compliance activities and other costs related to the trading activities of the Fund); Business Permits and Licenses; General and Administrative expenses (primarily insurance and printing), and Other Expenses. The expenses presented are based on estimated expenses for the current fiscal year, and do not represent the maximum amounts payable under the contracts with third-party third -party service providers. The per-share per -share cost of these fixed or estimated fees has been calculated assuming that the Fund has $100 million in assets. The Sponsor has assumed an asset level of $100 million because: i) it believes that is an asset level where exchange traded investment products typically become viable over the long term; and ii) the Principals of the Sponsor have, based on their previous experience advising and monitoring exchange-traded exchange -traded funds, a reasonable expectation that the Fund will gather at least $100 million in its first year of operations. The Sponsor believes that this is a conservative assumption and larger AUM levels are expected to reduce the 12-Month 12 -Month Breakeven. The Sponsor can elect to pay (or waive reimbursement for) certain fees or expenses that would generally be paid by the Fund, although it has no contractual obligation to do so. Any election to pay or waive reimbursement for fees and expenses that would generally be paid by the Fund can be changed at the discretion of the Sponsor.

(5) Based on applying the average three month Treasury Bill rate for the quarter ended September 30, 2021.

(6) Investors may pay customary brokerage commissions in connection with purchases of the Shares. Because such brokerage commission rates will vary from investor to investor, such brokerage commissions have not been included in each Breakeven Table. Investors are encouraged to review the terms of their brokerage accounts for applicable charges. The breakeven amount reflected in the Breakeven Table reflects the breakeven amount for investors in the secondary market. The breakeven amount for each Authorized Participant is equal to the sum of the breakeven amount for the Fund plus the amount of transaction fees paid by each Authorized Participant for the Fund. This amount includes Fund organization and operating expenses that the Fund will accrue on an amortized, straight-line straight -line basis over the Fund's first 12 months of operations.

SVIX pays the Sponsor a management fee (the "Management Fee"), monthly in arrears, in an amount equal to 1.35 % per annum of its average daily net assets. UVIX pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 1.65 % per annum of its average daily net assets. "Average daily net assets" is calculated by dividing the month-end month -end net assets of each Fund by the number of calendar days in such month.

No other Management Fee is paid by the Funds. The Management Fee is paid in consideration of the Sponsor's trading advisory services and the other services provided to the Fund that the Sponsor pays directly.

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Each Fund pays CBOE a fee to calculate and maintain

Each Fund pays CBOE a fee to calculate and maintain the Index. Each Fund pays S&P a fee for the futures data that is based on the VIX and the use of third party licensor trademarks.

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recurring, non-recurring, routine and unusual fees and expenses.

Retail investors may purchase and sell Shares

Each Fund pays all of its fees and expenses, including recurring, non -recurring , routine and unusual fees and expenses.

Retail investors may purchase and sell Shares through traditional brokerage accounts. Investors are expected to be charged a customary commission by their brokers in connection with purchases of Shares that will vary from investor to investor. Investors are encouraged to review the terms of their brokerage accounts for applicable charges. The price at which an Authorized Participant sells a Share may be higher or lower than the price paid by such Authorized Participant in connection with the creation of such Share in a Creation Unit.

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Each Fund pays all of its respective brokerage

The following discussion describes the material

Each Fund pays all of its respective brokerage commissions, including applicable exchange fees, NFA fees and give-up give -up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for the Fund's investments in CFTC regulated investments. On average, total charges paid to FCMs are expected to be less than $7.00 per round-turn round -turn trade, although brokerage commissions and trading fees are determined on a contract-by-contract contract -by -contract basis. Each Fund bears other transaction costs including the effects of trading spreads and financing costs/fees, if any, associated with the use of Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income short -term fixed -income or similar securities (such as shares of money market funds).

MATERIAL U.S. FEDERAL INCOME TAX CONSIDERATIONS

The following discussion describes the material U.S. federal (and certain state and local) income tax considerations associated with the purchase, ownership and disposition of Shares as of the date hereof by U.S. Shareholders (as defined below) and non-U.S. non -U .S. Shareholders (as defined below). Except where noted, this discussion deals only with Shares held as capital assets by shareholders who acquired Shares by purchase and does not address special situations, such as those of:

• dealers in securities or commodities;

• financial institutions;

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partnerships and persons

• real estate investment trusts;

• partnerships and persons in their capacity as partners;

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persons holding Shares

accrual method taxpayers subject to special tax accounting

method of accounting for their securities holdings; or

persons liable for alternative

Furthermore, the discussion below is based upon

A "U.S. Shareholder" of Shares means

a corporation (or other entity taxable as a corporation)

an estate the income of which is subject to U.S. federal

income taxation regardless of its source; or

a trust if it (1) is subject to the primary supervision

A "non-U.S. Shareholder" of Shares

an individual that is a

• persons holding Shares as a part of a hedging, integrated or conversion transaction or a straddle;

• accrual method taxpayers subject to special tax accounting rules as a result of their use of financial statements;

• traders in securities that elect to use a mark-to-market mark -to-market method of accounting for their securities holdings; or • persons liable for alternative minimum tax.

Furthermore, the discussion below is based upon the provisions of the Code, the Regulations, and administrative and judicial interpretations thereof, all as of the date hereof, and such authorities may be repealed, revoked, modified or subject to differing interpretations, possibly on a retroactive basis, so as to result in U.S. federal income tax consequences different from those described below.

A "U.S. Shareholder" of Shares means a beneficial owner of Shares that is for U.S. federal income tax purposes:

• an individual that is a citizen or resident of the United States;

• a corporation (or other entity taxable as a corporation) created or organized in or under the laws of the United States, any state thereof or the District of Columbia;

• an estate the income of which is subject to U.S. federal income taxation regardless of its source; or • a trust if it (1) is subject to the primary supervision of a court within the United States and one or more U.S. persons have the authority to control all substantial decisions of such trust or (2) has a valid election in effect under applicable Regulations to be treated as a U.S. person.

A "non -U .S. Shareholder" of Shares means a beneficial owner of Shares that is for U.S. federal income tax purposes:

• an individual that is a non -resident alien;

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If a partnership or other entity or arrangement

No statutory, administrative or judicial authority

If an investor is considering the purchase

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.

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 a Fund's investments, possibly with retroactive effect. As a Fund passes through its items of income, gain and loss to shareholders, any change in the manner in which a Fund accounts for these items could have an adverse impact on the shareholders of the Fund.

described in more detail below, the U.S. tax rules that apply to partnerships are complex and their application is not always clear.

Additionally, the rules generally were not written for, and in some respects are difficult to apply to, publicly traded partnerships.

with the other allocations described above, a Fund generally uses a monthly convention for purposes of the reverse section 704(c) allocations.

An Authorized Participant's creation or redemption of a Creation Unit may also affect an investor's share of a Fund's tax basis in its assets, which could affect the amount of gain or loss allocated to an investor on the sale or disposition of portfolio assets by a Fund.

should consult their own tax advisors regarding the effect, if any, of this tax on their investment in a Fund.

U.S. Shareholders are urged to consult their tax advisors regarding the tax shelter disclosure rules and their possible application to them.

In making such a determination, for instance, a portion of losses from debt-financed securities (determined in the manner described above for evaluating the portion of any gain that would be treated as UBTI) would offset gains treated as UBTI. Any tax-exempt shareholder that recognizes UBTI will be required to compute such UBTI separately for each line of unrelated business if such shareholder has more than one unrelated trade or business. A charitable remainder trust is subject to a 100% federal excise tax on any UBTI that it earns;

in view of the potential for UBTI, the Shares may not be a suitable investment for a charitable remainder trust.

If a partnership or other entity or arrangement treated as a partnership for U.S. federal income tax purposes holds Shares, the tax treatment of a partner will generally depend upon the status of the partner and the activities of the partnership. If an investor is a partner of a partnership holding Shares, the Trust urges such investor to consult its own tax advisor.

No statutory, administrative or judicial authority directly addresses the treatment of Shares or instruments similar to Shares for U.S. federal income tax purposes. As a result, the Trust cannot assure investors that the IRS or the courts will agree with the tax consequences described herein. A different treatment from that described below could adversely affect the amount, timing and character of income, gain or loss in respect of an investment in the Shares.

If an investor is considering the purchase of Shares, the Trust urges investors to consult their own tax advisor concerning the particular U.S. federal income tax consequences to investors of the purchase, ownership and disposition of Shares, as well as any consequences to investors arising under the laws of any other taxing jurisdiction .

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 (1) interests in the partnership are traded on an established securities market or (2) interests in the partnership are readily tradable on a secondary market or the substantial equivalent thereof. Each Fund is 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 1940 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 includes dividends, interest, capital gains from the sale or other disposition of stocks and debt instruments and, in the case of a partnership a principal activity of which is the buying and selling of commodities or certain positions with respect to commodities, income and gains derived from certain swap agreements or regulated futures or forward contracts with respect to commodities. Each Fund anticipates that at least 90% of its gross income for each taxable year will constitute qualifying income within the meaning of Section 7704(d) of the Code.

Chapman and Cutler LLP has acted as counsel to the Trust in connection with this registration statement. Under current law and assuming full compliance with the terms of the Trust Agreement (and other relevant documents) and based on factual representations made by the Funds, in the opinion of Chapman and Cutler LLP, each Fund is classified as a partnership for U.S. federal income tax purposes. The factual representations upon which Chapman and Cutler LLP has relied are: (1) each Fund has not elected and will not elect to be treated as a corporation for U.S. federal income tax purposes; and (2) for each taxable year, 90% or more of the Fund's gross income has been and is expected to continue to be qualifying income. Shareholders 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. The Sponsor will use its best efforts to operate a Fund in such manner as is necessary for the Fund to continue to meet the qualifying income exception.

While it is expected that each Fund will operate so that it 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 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 a Fund is undertaking and the possibility of future changes in the Fund's circumstances, it is possible that the Fund will not so qualify for any particular year. Chapman and Cutler LLP has no obligation to advise the Fund or its shareholders of any subsequent change in the matters stated, represented or assumed, or of any subsequent change in the applicable law. Each Fund's taxation as a partnership depends on the Fund's ability to meet, on a continuing basis, through actual operating results, the qualifying income exception, the compliance of which will not be reviewed by Chapman and Cutler LLP. Accordingly, no assurance can be given that the actual results of the Fund's operations for any taxable year will satisfy the qualifying income exception.

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Use of proceeds 340 changes

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and 340 more changes in the filing

Notes to the financial statements 55 changes

and 55 more changes in the filing

Other Expenses of Issuance and Distribution 1 change

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Exhibits 11 changes

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Undertakings 39 changes

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