subject to the increased risk of an
issuer’s inability to meet principal and interest payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, negative perceptions
of the non-investment grade securities markets generally, real or perceived adverse economic and
competitive industry conditions and less secondary market liquidity. If the issuer of non-investment grade
securities defaults, the Fund may incur additional expenses to seek recovery.
Fixed-Income Securities Risk. Fixed-income securities are subject to interest rate risk and credit risk. Interest rate risk refers to fluctuations in the value of a fixed-income security
resulting from changes in the general level of interest rates. When the general level of interest rates goes up, the prices of most fixed-income securities go down. When the general level of interest rates goes down, the prices of most
fixed-income securities go up. Fixed-income securities with longer maturities typically are more sensitive to
changes in interest rates, making them more volatile than securities with shorter maturities. Credit risk
refers to the possibility that the issuer of a security will be unable and/or unwilling to make timely interest payments and/or repay the principal on its debt. Debt instruments are subject to varying degrees of credit risk, which may be
reflected in credit ratings. There is a possibility that the credit rating of a fixed-income security may be
downgraded after purchase, which may occur quickly and without advance warning following sudden market
downturns or unexpected developments involving an issuer, and which may adversely affect the liquidity and value of the security.
Foreign Fixed-Income Investment Risk. Investments in fixed-income securities of non-U.S. issuers are subject to the same risks as other debt securities, notably credit risk, market risk, interest rate risk and liquidity risk, while also facing risks beyond
those associated with investments in U.S. securities. For example, foreign securities may have relatively low market liquidity, greater market volatility, decreased publicly available information, and less reliable financial information
about issuers, and inconsistent and potentially less stringent accounting, auditing and financial reporting
requirements and standards of practice, including recordkeeping standards, comparable to those applicable
to domestic issuers. Foreign securities also are subject to the risks of expropriation, nationalization, political instability or other adverse political or economic developments and the difficulty of enforcing obligations in other countries.
Investments in foreign securities also may be subject to dividend withholding or confiscatory taxes, currency
blockage and/or transfer restrictions and higher transactional costs.
Emerging Markets Investment Risk. Investments in the securities of issuers in emerging market countries involve risks often not associated with investments in the securities of issuers in
developed countries. Securities in emerging markets may be subject to greater price fluctuations than
securities in more developed markets. Companies in emerging market countries generally may be subject to
less stringent regulatory, disclosure, financial reporting, accounting, auditing and recordkeeping standards than companies in more developed countries. In addition, information about such companies may be less available and reliable.
Emerging markets usually are subject to greater market volatility, political, social and economic instability, uncertainty regarding the existence of trading markets and more governmental limitations on foreign investment than are
more developed markets. Securities law in many emerging market countries is relatively new and unsettled.
Therefore, laws regarding foreign investment in emerging market securities, securities regulation, title to securities, and shareholder rights may change quickly and unpredictably, and the ability to bring and enforce actions, or to obtain information
needed to pursue or enforce such actions, may be limited. In addition, the enforcement of systems of taxation
at federal, regional and local levels in emerging market countries may be inconsistent and subject to
sudden change. Investments in emerging market securities may be subject to additional transaction costs, delays in settlement procedures, unexpected market closures, and lack of timely information. In addition, lack of relevant data
and reliable public information, including financial information, about securities in emerging markets may
contribute to incorrect weightings and data and
computational errors when the Index Provider selects securities for inclusion in the Underlying Index or
rebalances the Underlying Index.
Changing Fixed-Income Market Conditions Risk. Increases in the federal funds and equivalent foreign interest rates or other changes to monetary policy or regulatory actions may expose
fixed-income markets to heightened volatility and reduced liquidity for certain fixed-income investments,
particularly those with longer maturities. It is difficult to predict the impact of interest rate changes
on various markets. In addition, decreases in fixed-income dealer market-making capacity may also potentially lead to heightened volatility and reduced liquidity in the fixed-income markets. As a result, the value of the Fund's
investments and share price may decline. Changes in central bank policies could also result in higher than normal redemptions by APs (as defined herein), which could potentially increase the Fund’s portfolio turnover rate and
transaction costs.
Industry Concentration Risk. In following its methodology, the Underlying Index from time to time may be concentrated to a significant degree in
securities of issuers operating in a single industry or industry group. To the extent that the Underlying
Index concentrates in the securities of issuers in a particular industry or industry group, the Fund will also concentrate its investments to approximately the same extent. By concentrating its investments in an industry or industry group, the
Fund may face more risks than if it were diversified broadly over numerous industries or industry groups.
Such industry-based risks, any of which may adversely affect the companies in which the Fund invests, may include, but are not limited to, the following: general economic conditions or cyclical market patterns that could negatively affect supply and demand in
a particular industry; competition for resources; adverse labor relations; political or world events;
obsolescence of technologies; and increased competition or new product introductions that may affect the
profitability or viability of companies in an industry. In addition, at times, such industry or industry group may be out of favor and underperform other industries or the market as a whole.
Geographic Concentration Risk. The Fund may from time to time have a substantial amount of its assets invested in securities of issuers located in a single country or a limited number of
countries. Adverse economic, political or social conditions in those countries may therefore have a significant negative impact on the Fund’s investment performance. For example, a natural or other disaster could occur in a
country or geographic region in which the Fund invests, which could affect the economy or particular
business operations of companies in that specific country or geographic region and adversely impact the
Fund’s investments in the affected region.
Restricted Securities
Risk. The Fund may invest in restricted securities, including those that may be resold only in accordance
with Regulation S under the Securities Act of 1933 (the “Securities Act”), as amended.
Regulation S securities are securities of U.S. and non-U.S. issuers initially offered and sold outside the
United States without registration with the SEC. Accordingly, the liquidity of the market for specific Regulation S securities may vary. Delay or difficulty in selling such securities may result in a loss to the Fund.
Rule 144A Securities and Other Exempt Securities Risk. The market for Rule 144A and other securities exempt from certain registration requirements typically is less active than the market for publicly-traded securities. Rule 144A and other exempt
securities, which are also known as privately issued securities, carry the risk that their liquidity may become impaired and the Fund may be unable to dispose of the securities at a desirable time or price.
Call Risk.
If interest rates fall, it is possible that issuers of callable securities with high interest coupons will “call” (or prepay) their bonds before their maturity date. If an issuer exercises such a call during a period of declining interest rates, the Fund may
have to replace such called security with a lower yielding security. If that were to happen, the Fund’s net investment income could fall.
Reinvestment Risk. Reinvestment risk is the risk that the Fund will not be able to reinvest income or principal at the same return it is currently