Investing outside the U.S. — Securities of issuers domiciled outside the U.S. or with significant operations or revenues outside the U.S., and securities tied economically to countries outside the U.S., may lose value
because of adverse political, social, economic or market developments (including social instability, regional conflicts, terrorism and
war) in the countries or regions in which the issuers are domiciled, operate or generate revenue or to which the securities are tied economically.
These securities may also lose value due to changes in foreign currency exchange rates against the U.S. dollar and/or currencies
of other countries. Issuers of these securities may be more susceptible to actions of foreign governments, such as nationalization,
currency blockage or the imposition of price controls, sanctions, or punitive taxes, each of which could adversely impact the value
of these securities. Securities markets in certain countries may be more volatile and/or less liquid than those in the U.S. Investments
outside the U.S. may also be subject to different regulatory, legal, accounting, auditing, financial reporting and recordkeeping requirements,
and may be more difficult to value, than those in the U.S. In addition, the value of investments outside the U.S. may be reduced
by foreign taxes, including foreign withholding taxes on interest and dividends. Further, there may be increased risks
of delayed settlement of securities purchased or sold by an underlying fund, which could impact the liquidity of each fund’s portfolio. The risks of investing outside the U.S. may be heightened in connection with investments in emerging markets.
Investing in emerging markets — Investing in emerging markets may involve risks in addition to and greater than those generally associated with investing in the securities markets of developed countries. For instance,
emerging market countries tend to have less developed political, economic and legal systems than those in developed countries.
Accordingly, the governments of these countries may be less stable and more likely to intervene in the market economy, for
example, by imposing capital controls, nationalizing a company or industry, placing restrictions on foreign ownership and
on withdrawing sale proceeds of securities from the country, and/or imposing punitive taxes that could adversely affect the prices
of securities. Information regarding issuers in emerging markets may be limited, incomplete or inaccurate, and such issuers may not
be subject to regulatory, accounting, auditing, and financial reporting and recordkeeping standards comparable to those to which issuers
in more developed markets are subject. The underlying fund’s rights with respect to its investments in emerging markets, if any, will generally be governed by local law, which may make it difficult or impossible for the underlying fund to pursue legal remedies
or to obtain and enforce judgments in local courts. In addition, the economies of these countries may be dependent on relatively
few industries, may have limited access to capital and may be more susceptible to changes in local and global trade conditions
and downturns in the world economy. Securities markets in these countries can also be relatively small and have substantially
lower trading volumes. As a result, securities issued in these countries may be more volatile and less liquid, more vulnerable to
market manipulation, and more difficult to value, than securities issued in countries with more developed economies and/or markets.
Less certainty with respect to security valuations may lead to additional challenges and risks in calculating the underlying fund’s net asset value. Additionally, emerging markets are more likely to experience problems with the clearing and settling of trades and the
holding of securities by banks, agents and depositories that are less established than those in developed countries.
Investing in securities backed by the U.S. government — Securities backed by the U.S. Treasury or the full faith and credit of the U.S. government are guaranteed only as to the timely payment of interest and principal
when held to maturity. Accordingly, the current market values for these securities will fluctuate with changes in interest rates and
the credit rating of the U.S. government. Notwithstanding that these securities are backed by the full faith and credit of the
U.S. government, circumstances could arise that would prevent or delay the payment of interest or principal on these securities, which
could adversely affect their value and cause the fund to suffer losses. Such an event could lead to significant disruptions in U.S.
and global markets. Securities issued by U.S. government-sponsored entities and federal agencies and instrumentalities that are
not backed by the full faith and credit of the U.S. government are neither issued nor guaranteed by the U.S. government. U.S. government
securities are subject to market risk, interest rate risk and credit risk.
Investing in mortgage-related and other asset-backed securities — Mortgage-related securities, such as mortgage-backed securities, and other asset-backed securities, include debt obligations that represent interests
in pools of mortgages or other income-bearing assets, such as consumer loans or receivables. While such securities are subject to
the risks associated with investments in debt instruments generally (for example, credit, extension and interest rate risks), they
are also subject to other and different risks. Mortgage-backed and other asset-backed securities are subject to changes in the payment
patterns of borrowers of the underlying debt, potentially increasing the volatility of the securities and an underlying fund’s net asset value. When interest rates fall, borrowers are more likely to refinance or prepay their debt before its stated maturity. This
may result in an underlying fund having to reinvest the proceeds in lower yielding securities, effectively reducing the underlying fund’s income. Conversely, if interest rates rise and borrowers repay their debt more slowly than expected, the time in which the mortgage-backed
and other asset-backed securities are paid off could be extended, reducing an underlying fund’s cash available for reinvestment in higher yielding securities. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable
to meet their obligations and the value of property that secures the mortgages may decline in value and be insufficient, upon
foreclosure, to repay the associated loans. Investments in asset-backed securities are subject to similar risks.
