● RISKS ASSOCIATED WITH THE UTILITIES SECTOR WITH RESPECT TO THE UTILITIES SELECT SECTOR SPDR
®
FUND —
All or substantially all of the equity securities held by the Utilities Select Sector SPDR
®
Fund are issued by companies whose
primary line of business is directly associated with the utilities sector. As a result, the value of the notes may be subject to greater
volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a
different investment linked to securities of a more broadly diversified group of issuers. Utility companies are affected by supply and
demand, operating costs, government regulation, environmental factors, liabilities for environmental damage and general civil
liabilities and rate caps or rate changes. Although rate changes of a regulated utility usually fluctuate in approximate correlation
with financing costs, due to political and regulatory factors, rate changes ordinarily occur only following a delay after the changes in
financing costs. This factor will tend to favorably affect a regulated utility company’s earnings and dividends in times of decreasing
costs, but conversely, will tend to adversely affect earnings and dividends when costs are rising. The value of regulated utility
equity securities may tend to have an inverse relationship to the movement of interest rates. Certain utility companies have
experienced full or partial deregulation in recent years. These utility companies are frequently more similar to industrial companies
in that they are subject to greater competition and have been permitted by regulators to diversify outside of their original
geographic regions and their traditional lines of business. These opportunities may permit certain utility companies to earn more
than their traditional regulated rates of return. Some companies, however, may be forced to defend their core business and may
be less profitable. In addition, natural disasters, terrorist attacks, government intervention or other factors may render a utility
company’s equipment unusable or obsolete and negatively impact profitability. Among the risks that may affect utility companies
are the following: risks of increases in fuel and other operating costs; the high cost of borrowing to finance capital construction
during inflationary periods; restrictions on operations and increased costs and delays associated with compliance with
environmental and nuclear safety regulations; and the difficulties involved in obtaining natural gas for resale or fuel for generating
electricity at reasonable prices. Other risks include those related to the construction and operation of nuclear power plants, the
effects of energy conservation and the effects of regulatory changes. These factors could affect the utilities sector and could affect
the value of the equity securities held by the Utilities Select Sector SPDR
®
Fund and the price of the Utilities Select Sector SPDR
®
Fund during the term of the notes, which may adversely affect the value of your notes.
● RISKS ASSOCIATED WITH THE CONSUMER STAPLES SECTOR WITH RESPECT TO THE CONSUMER STAPLES SELECT
SECTOR SPDR
®
FUND —
All or substantially all of the equity securities held by the Consumer Staples Select Sector SPDR
®
Fund are issued by companies
whose primary line of business is directly associated with the consumer staples sector. As a result, the value of the notes may be
subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this
sector than a different investment linked to securities of a more broadly diversified group of issuers. Consumer staples companies
are subject to government regulation affecting their products, which may negatively impact these companies’ performance. For
instance, government regulations may affect the permissibility of using various food additives and production methods of
companies that make food products, which could affect company profitability. Tobacco companies may be adversely affected by
the adoption of proposed legislation and/or by litigation. Also, the success of food, beverage, household and personal product
companies may be strongly affected by consumer interest, marketing campaigns and other factors affecting supply and demand,
including performance of the overall domestic and global economy, interest rates, competition and consumer confidence and
spending. These factors could affect the consumer staples sector and could affect the value of the equity securities held by the
Consumer Staples Select Sector SPDR
®
Fund and the price of the Consumer Staples Select Sector SPDR
®
Fund during the term
of the notes, which may adversely affect the value of your notes.
● RISKS ASSOCIATED WITH THE INDUSTRIALS SECTOR WITH RESPECT TO THE INDUSTRIAL SELECT SECTOR SPDR
®
FUND —
All or substantially all of the equity securities held by the Industrial Select Sector SPDR
®
Fund are issued by companies whose
primary line of business is directly associated with the industrials sector. As a result, the value of the notes may be subject to
greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a
different investment linked to securities of a more broadly diversified group of issuers. Industrial companies are affected by supply
and demand both for their specific product or service and for industrial sector products in general. Government regulation, world
events, exchange rates and economic conditions, technological developments and liabilities for environmental damage and
general civil liabilities will likewise affect the performance of these companies. Aerospace and defense companies, a component of
the industrials sector, can be significantly affected by government spending policies because companies involved in this industry
rely, to a significant extent, on U.S. and foreign government demand for their products and services. Thus, the financial condition
of, and investor interest in, aerospace and defense companies are heavily influenced by governmental defense spending policies,
which are typically under pressure from efforts to control the U.S. (and other) government budgets. Transportation securities, a
component of the industrials sector, are cyclical and have occasional sharp price movements, which may result from changes in
the economy, fuel prices, labor agreements and insurance costs. These factors could affect the industrials sector and could affect
the value of the equity securities held by the Industrial Select Sector SPDR
®
Fund and the price of the Industrial Select Sector
SPDR
®
Fund during the term of the notes, which may adversely affect the value of your notes.
● YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH FUND—
Payments on the notes are not linked to a basket composed of the Funds and are contingent upon the performance of each
individual Fund. Poor performance by any of the Funds over the term of the notes may result in the notes not being automatically
called on a Review Date, may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment
Date and your payment at maturity and will not be offset or mitigated by positive performance by any other Fund.
● YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING FUND.
● THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE—
If the Final Value of one share of any Fund is less than its Trigger Value and the notes have not been automatically called, the
benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation of the Least Performing Fund.