NPORT-EX 2 2B21SCQualityIncome.htm

 

Sterling Capital Quality Income Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

 

Principal Amount      Fair Value 
ASSET BACKED SECURITIES — 20.0%    
$366,752   Aegis Asset Backed Securities Trust, Series 2005-5, Class 1A4, 0.535%, (LIBOR USD 1-Month plus 0.35%), 12/25/35(a)  $359,387 
 300,000   AmeriCredit Automobile Receivables Trust, Series 2017-1, Class C, 2.710%, 8/18/22   303,267 
 275,000   AmeriCredit Automobile Receivables Trust, Series 2018-1, Class B, 3.260%, 1/18/24   281,609 
 230,000   AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/24   236,472 
 168,000   AmeriCredit Automobile Receivables Trust, Series 2019-1, Class B, 3.130%, 2/18/25   174,442 
 63,772   Argent Securities, Inc. Asset-Backed Pass Through Certificates, Series 2005-W3, Class A2D, 0.525%, (LIBOR USD 1-Month plus 0.34%), 11/25/35(a)   63,484 
 350,000   ARI Fleet Lease Trust, Series 2018-A, Class A3, 2.840%, 10/15/26(b)   354,959 
 500,000   Avis Budget Rental Car Funding AESOP, LLC, Series 2017-1A, Class A, 3.070%, 9/20/23(b)   501,718 
 300,000   Avis Budget Rental Car Funding AESOP, LLC, Series 2017-2A, Class A, 2.970%, 3/20/24(b)   300,948 
 62,784   Bear Stearns Asset Backed Securities I Trust, Series 2004-HE11, Class M2, 1.760%, (LIBOR USD 1-Month plus 1.58%), 12/25/34(a)   62,698 
 355,000   Capital Auto Receivables Asset Trust, Series 2018-1, Class B, 3.090%, 8/22/22(b)   362,901 
 68,333   Chesapeake Funding II, LLC, Series 2018-3A, Class A1, 3.390%, 1/15/31(b)   70,371 
 450,000   Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 6/15/39   671,044 
 18,671   Citicorp Residential Mortgage Trust, STEP, Series 2007-2, Class A6, 5.010%, 6/25/37   18,966 
 223,296   Encore Credit Receivables Trust, Series 2005-4, Class M2, 0.845%, (LIBOR USD 1-Month plus 0.66%), 1/25/36(a)   222,421 
 459,094   Enterprise Fleet Financing, LLC, Series 2019-2, Class A2, 2.290%, 2/20/25(b)   466,951 
 300,000   Ford Credit Auto Owner Trust, Series 2017-1, Class A, 2.620%, 8/15/28(b)   308,401 
 350,000   Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/31(b)   374,792 
 115,877   GSAMP Trust, Series 2006-SEA1, Class M1, 0.685%, (LIBOR USD 1-Month plus 0.50%), 5/25/36(a)(b)   115,143 
 215,875   Home Equity Asset Trust, Series 2005-7, Class M1, 0.635%, (LIBOR USD 1-Month plus 0.45%), 1/25/36(a)   214,682 
 75,376   Home Equity Asset Trust, Series 2005-8, Class M1, 0.615%, (LIBOR USD 1-Month plus 0.43%), 2/25/36(a)   75,034 
 187,648   JP Morgan Mortgage Acquisition Corp., Series 2005-OPT1, Class M2, 0.890%, (LIBOR USD 1-Month plus 0.71%), 6/25/35(a)   187,278 
 120,926   New Century Home Equity Loan Trust, Series 2005-4, Class M2, 0.695%, (LIBOR USD 1-Month plus 0.51%), 9/25/35(a)   120,667 
 208,561   Park Place Securities, Inc. Asset-Backed Pass Through Certificates, Series 2005-WHQ2, Class M2, 0.875%, (LIBOR USD 1-Month plus 0.69%), 5/25/35(a)   207,416 

 

Principal Amount      Fair Value 
ASSET BACKED SECURITIES — (continued)    
$172,280   Park Place Securities, Inc. Asset-Backed Pass Through Certificates, Series 2005-WCW3, Class M1, 0.665%, (LIBOR USD 1-Month plus 0.48%), 8/25/35(a)  $171,071 
 103,952   RAMP Trust, Series 2005-RZ4, Class M2, 0.685%, (LIBOR USD 1-Month plus 0.50%), 11/25/35(a)   103,681 
 117,367   Santander Drive Auto Receivables Trust, Series 2018-4, Class B, 3.270%, 1/17/23   117,766 
 221,111   Saxon Asset Securities Trust, Series 2004-3, Class M1, 1.085%, (LIBOR USD 1-Month plus 0.90%), 12/26/34(a)   209,906 
 500,000   SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.540%, 5/15/46(b)   518,124 
 108,410   United States Small Business Administration, Series 2010-20D, Class 1, 4.360%, 4/1/30   118,802 
     Total Asset Backed Securities      
     (Cost $6,986,309)   7,294,401 
           
COLLATERALIZED MORTGAGE OBLIGATIONS — 19.6%     
 92,664   Alternative Loan Trust, Series 2004-22CB, Class 1A1, 6.000%, 10/25/34   96,249 
 47,013   Banc of America Mortgage Trust, Series 2005-3, Class 1A24, 5.500%, 4/25/35   48,121 
 54,026   Citicorp Mortgage Securities, Inc., Series 2005-1, Class 1A4, 5.500%, 2/25/35   56,030 
 10,027   Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 3CB2, 6.500%, 8/25/19   10,018 
 61,606   Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-3, Class A4, 5.750%, 4/25/34   64,281 
 107,292   Credit Suisse First Boston Mortgage Securities Corp., Series 2004-1, Class 2A1, 6.500%, 2/25/34   111,595 
 192,600   Fannie Mae, Series 2003-21, Class OW, 4.000%, 3/25/33   217,485 
 60,446   Fannie Mae, Series 2003-19, Class AR, 5.500%, 3/25/33   70,417 
 380,000   Fannie Mae, Series 2011-131, Class PB, 4.500%, 12/25/41   454,072 
 585,000   Fannie Mae, Series 2013-30, Class PY, 3.000%, 4/25/43   631,842 
 81,467   FirstKey Mortgage Trust, Series 2014-1, Class A12, 3.500%, 11/25/44(b)(c)   83,838 
 23,481   Freddie Mac, Series 4079, Class WV, 3.500%, 3/15/27   24,737 
 195,000   Freddie Mac, Series 4097, Class CU, 1.500%, 8/15/27   199,904 
 370,186   Freddie Mac, Series 4136, Class HZ, 3.500%, 11/15/27   414,190 
 180,000   Freddie Mac, Series 4230, Class VB, 2.500%, 12/15/31   187,415 
 130,859   Freddie Mac, Series 2485, Class WG, 6.000%, 8/15/32   153,151 
 400,000   Freddie Mac, Series 4160, Class HH, 2.500%, 12/15/32   406,976 
 189,204   Freddie Mac, Series 3440, Class EM, 5.000%, 4/15/38   214,840 
 344,258   Freddie Mac, Series 3816, Class HM, 4.500%, 5/15/40   381,799 

 

See accompanying Notes to the Schedule of Portfolio Investments. 

1

 

Sterling Capital Quality Income Fund

Schedule of Portfolio Investments — (continued)

June 30, 2020 (Unaudited)

 

 

Principal Amount      Fair Value 
COLLATERALIZED MORTGAGE OBLIGATIONS — (continued)    
$500,000   Freddie Mac, Series 3714, Class PB, 4.750%, 8/15/40  $623,452 
 55,863   Freddie Mac, Series 3803, Class PJ, 4.250%, 1/15/41   58,269 
 200,000   Freddie Mac, Series 3815, Class TB, 4.500%, 2/15/41   240,464 
 106,053   Freddie Mac, Series 4293, Class MH, 3.000%, 12/15/41   113,703 
 400,000   Freddie Mac, Series 3989, Class JW, 3.500%, 1/15/42   447,979 
 500,000   Freddie Mac, Series 4650, Class BC, 3.500%, 5/15/43   538,279 
 573,387   Freddie Mac, Series 4508, Class UZ, 3.000%, 7/15/43   577,756 
 73,643   Galton Funding Mortgage Trust, Series 2018-1, Class A43, 3.500%, 11/25/57(b)(c)   74,380 
 147,531   Galton Funding Mortgage Trust, Series 2018-2, Class A41, 4.500%, 10/25/58(b)(c)   151,017 
 99,090   Ginnie Mae, Series 2004-69, Class GC, 5.500%, 4/20/34   115,338 
 39,453   Ginnie Mae, Series 2010-85, Class DQ, 3.000%, 12/20/39   40,715 
 213,800   MASTR Alternative Loan Trust, Series 2003-5, Class 8A1, 5.500%, 6/25/33   225,419 
 42,587   MASTR Alternative Loan Trust, Series 2004-13, Class 3A1, 6.500%, 1/25/35   41,900 
 46,307   RBSGC Mortgage Loan Trust, Series 2007-B, Class 3A1, 4.628%, 7/25/35(c)   47,212 
     Total Collateralized Mortgage Obligations     
     (Cost $6,595,652)   7,122,843 
           
COMMERCIAL MORTGAGE-BACKED SECURITIES — 26.6%     
 500,000   CD Mortgage Trust, Series 2016-CD2, Class A4, 3.526%, 11/10/49(c)   553,954 
 300,000   Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class AS, 4.544%, 11/10/46   319,576 
 492,148   COMM 2012-CCRE1 Mortgage Trust, Series 2012-CR1, Class A3, 3.391%, 5/15/45   502,625 
 75,000   COMM 2013-CCRE11 Mortgage Trust, Series 2013-CR11, Class A4, 4.258%, 8/10/50   81,468 
 250,000   COMM Mortgage Trust, Series 2017-COR2, Class A3, 3.510%, 9/10/50   276,997 
 500,000   CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4, 3.718%, 8/15/48   547,227 
 200,000   DBUBS Mortgage Trust, Series 2011-LC1A, Class C, 5.876%, 11/10/46(b)(c)   201,185 
 486,625   FRESB Mortgage Trust, Series 2017-SB36, Class A10F, 2.880%, 7/25/27(c)   510,631 
 175,000   GS Mortgage Securities Trust, Series 2010-C1, Class B, 5.148%, 8/10/43(b)   175,536 
 550,000   GS Mortgage Securities Trust, Series 2012-GCJ7, Class AS, 4.085%, 5/10/45   564,291 
 85,000   GS Mortgage Securities Trust, Series 2014-GC24, Class A5, 3.931%, 9/10/47   92,555 
 500,000   GS Mortgage Securities Trust, Series 2016-GS4, Class A4, 3.442%, 11/10/49(c)   551,417 
 272,000   GS Mortgage Securities Trust, Series 2020-GC47, Class A5, 2.377%, 5/12/53   286,665 

 

Principal Amount      Fair Value 
COMMERCIAL MORTGAGE-BACKED SECURITIES — (continued)    
$250,000   JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class B, 5.013%, 2/15/46(b)(c)  $243,656 
 100,000   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class A4, 3.923%, 10/15/47   107,634 
 500,000   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class A4, 3.720%, 12/15/49   559,246 
 95,300   Morgan Stanley Capital I Trust, Series 2011-C2, Class A4, 4.661%, 6/15/44(b)   97,770 
 760,000   Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class B, 5.276%, 11/15/43(b)(c)   761,988 
 300,000   Wells Fargo Commercial Mortgage Trust, Series 2015-P2, Class A4, 3.809%, 12/15/48   334,304 
 572,569   WFRBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 3/15/44(b)   578,332 
 536,000   WFRBS Commercial Mortgage Trust, Series 2011-C4, Class A4, 4.902%, 6/15/44(b)(c)   544,300 
 179,612   WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.667%, 11/15/44   182,885 
 350,000   WFRBS Commercial Mortgage Trust, Series 2012-C7, Class A2, 3.431%, 6/15/45   358,227 
 200,000   WFRBS Commercial Mortgage Trust, Series 2012-C8, Class AS, 3.660%, 8/15/45   205,641 
 85,000   WFRBS Commercial Mortgage Trust, Series 2013-UBS1, Class A4, 4.079%, 3/15/46(c)   91,945 
 164,000   WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5, 3.917%, 10/15/57   178,095 
 122,751   WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A4, 4.869%, 2/15/44(b)(c)   124,262 
 575,000   WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class B, 5.174%, 2/15/44(b)(c)   576,262 
 100,000   WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class C, 5.392%, 2/15/44(b)(c)   99,100 
     Total Commercial Mortgage-Backed Securities     
     (Cost $9,655,038)   9,707,774 
           
CORPORATE BONDS — 1.8%     
     Diversified Telecommunication Services — 1.1%     
 350,000   Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC, 4.738%, 3/20/25(b)   379,827 
     Equity Real Estate Investment Trusts (REITS) — 0.7%     
 250,000   American Tower Trust, 3.652%, 3/23/28(b)   269,905 
     Total Corporate Bonds      
     (Cost $620,531)   649,732 
           
MORTGAGE-BACKED SECURITIES — 30.6%     
     Fannie Mae — 18.4%     
 281,297   3.000%, 1/1/31, Pool #BA6574   296,281 
 107,664   5.500%, 6/1/38, Pool #984277   123,442 
 57,945   5.500%, 8/1/38, Pool #995072   66,360 
 88,541   4.500%, 9/1/39, Pool #AC1830   98,422 
 72,418   4.500%, 10/1/40, Pool #AE4855   80,604 
 138,398   3.500%, 2/1/41, Pool #AH5646   152,739 
 245,832   4.000%, 3/1/41, Pool #AH4008   269,782 

 

Continued 

2

 

Sterling Capital Quality Income Fund

Schedule of Portfolio Investments — (continued)

June 30, 2020 (Unaudited)

 

 

Principal Amount      Fair Value 
MORTGAGE-BACKED SECURITIES — (continued)    
    Fannie Mae — (continued)    
$75,308   4.500%, 6/1/41, Pool #AC9298  $83,837 
 184,442   5.000%, 7/1/41, Pool #AI5595   210,933 
 248,246   4.000%, 9/1/41, Pool #AJ1717   272,723 
 289,971   3.500%, 6/1/42, Pool #AB5373   313,898 
 76,218   4.500%, 10/1/44, Pool #MA2066   83,866 
 260,792   4.000%, 12/1/44, Pool #MA2127   282,788 
 359,123   3.500%, 1/1/45, Pool #Q30876   390,231 
 268,120   4.500%, 1/1/45, Pool #MA2158   293,330 
 298,566   3.500%, 3/1/45, Pool #AS4552   324,538 
 415,685   4.000%, 10/1/45, Pool #AL7487   448,107 
 220,143   4.000%, 11/1/46, Pool #MA2808   236,138 
 222,145   3.000%, 2/1/47, Pool #BE2329   235,253 
 206,850   4.000%, 5/1/47, Pool #BE9598   221,256 
 362,369   3.500%, 6/1/47, Pool #BE3695   380,637 
 185,295   4.500%, 11/1/47, Pool #BM3286   199,828 
 410,173   3.500%, 12/1/47, Pool #CA0833   434,656 
 243,399   4.500%, 5/1/48, Pool #CA1711   261,796 
 368,026   3.500%, 9/1/49, Pool #BJ9608   386,954 
 530,000   2.500%, 7/1/50, Pool #CA6307   553,807 
         6,702,206 
     Freddie Mac — 12.2%     
 91,458   4.000%, 11/1/32, Pool #ZS8993   98,483 
 425,763   3.500%, 5/1/35, Pool #C91829   455,623 
 316,006   4.000%, 5/1/37, Pool #C91938   340,208 
 39,861   5.500%, 10/1/39, Pool #A89387   45,569 
 64,947   5.000%, 4/1/40, Pool #A91812   72,981 
 126,766   5.500%, 4/1/40, Pool #C03467   144,423 
 58,820   5.000%, 8/1/40, Pool #C03491   67,585 
 140,050   4.000%, 11/1/40, Pool #A94742   154,537 
 158,059   4.000%, 12/1/40, Pool #A95447   174,267 
 331,773   3.500%, 8/1/42, Pool #Q10324   359,673 
 437,614   3.500%, 3/1/43, Pool #U99045   472,681 
 290,044   3.500%, 3/1/45, Pool #U99124   313,386 
 263,482   3.000%, 1/1/46, Pool #G08686   279,215 
 302,258   4.000%, 4/1/46, Pool #Q40048   325,265 
 268,318   3.500%, 12/1/47, Pool #Q52955   284,403 
 477,043   2.500%, 11/1/49, Pool #QA4396   497,740 
 338,508   3.000%, 1/1/50, Pool #QA6230   356,876 
         4,442,915 
     Ginnie Mae — 0.0%     
 15,582   4.000%, 12/20/40, Pool #755678   17,235 
     Total Mortgage-Backed Securities     
     (Cost $10,713,261)   11,162,356 

 

Shares       Fair Value 
MONEY MARKET FUND — 2.4%    
879,248    Federated Treasury Obligations Fund, Institutional Shares, 0.10%(d)  $879,248 
     Total Money Market Fund      
     (Cost $879,248)   879,248 
Total Investments — 101.0%      
(Cost $35,450,039)   36,816,354 
Net Other Assets (Liabilities) — (1.0)%   (362,157)
NET ASSETS—100.0%  $36,454,197 

 

 

(a)

The interest rate for this floating rate note, which will change periodically, is based either on the prime rate or an index of market rates. The reflected rate is in effect as of June 30, 2020. The maturity date reflected is the final maturity date.

(b)Rule 144A, Section 4(2) or other security that is restricted as to resale to qualified institutional investors. TheAdvisor, using Board approved procedures, has deemed these securities or a portion of these securities to be liquid.

(c)The interest rate for this variable rate note, which will change periodically, is based either on the prime rate or an index of market rates. The reflected rate is in effect as of June 30, 2020. The maturity date reflected is the final maturity date.

(d)Represents the current yield as of report date.

 

STEP — Step Coupon Bond

 

Continued 

3

 

Sterling Capital Funds

Notes to Schedule of Portfolio Investments - Sterling Capital Quality Income Fund

June 30, 2020 (Unaudited)

 

 

1.Organization:

 

Sterling Capital Funds (the “Trust”) commenced operations on October 5, 1992 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end investment company established as a Massachusetts business trust.

 

The Trust offers shares of Sterling Capital Quality Income Fund (formerly Sterling Capital Securitized Opportunities Fund), among other series of the Trust.

 

The Fund is a “diversified” fund as defined in the 1940 Act.

 

2.Significant Accounting Policies:

 

The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following is a summary of significant accounting policies followed by the Fund. The policies are in conformity with United States generally accepted accounting principles (“U.S. GAAP”). The preparation of this schedule requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the schedule and the reported amounts of income and expenses for the reporting period. Actual results could differ from those estimates.

 

Securities Valuation — Investments of the Fund in securities traded on a national securities exchange or in the over-the-counter market are valued at the closing price on the principal exchange or market (including the NASDAQ Closing Price for securities traded on NASDAQ), typically 4:00 PM ET or, absent such a price, by reference to the latest available bid prices in the principal market in which such securities are normally traded. The Fund may also use an independent pricing service approved by the Board of Trustees (the “Board”) to value certain securities, including the use of electronic and matrix techniques. Investments in open-end investment companies are valued at their respective net asset values as reported by such companies. Investments in closed-end investment companies and exchange-traded funds are valued at their market values based upon the latest available sale price or, absent such a price, by reference to the latest available bid prices in the principal market in which such securities are normally traded. The differences between cost and fair value of investments are reflected as either unrealized appreciation or depreciation. Securities for which market quotations are not readily available or deemed unreliable (e.g., an approved pricing service does not provide a price, a furnished price is in error, certain stale prices, or an event occurs that materially affects the furnished price) will be fair valued in accordance with procedures established in good faith under the general supervision of the Board.

 

Fair Value Measurements — The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described as follows:

 

● Level 1 – quoted prices in active markets for identical securities

● Level 2 – based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

● Level 3 – based on significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. During the period ended June 30, 2020, there were no significant changes to the valuation policies and procedures.

4

 

Sterling Capital Funds

Notes to Schedule of Portfolio Investments - Sterling Capital Quality Income Fund — (continued)

June 30, 2020 (Unaudited)

 

 

The summary of inputs used to determine the fair value of the Fund’s investments as of June 30, 2020 is as follows:

 

   Level 1 – Quoted Prices   Level 2 – Other Significant Observable Inputs   Level 3 – Significant Unobservable Inputs   Total 
Assets:                
Investments in Securities                
Sterling Capital Quality Income Fund  $879,248(a)  $35,937,106(b)  $—   $36,816,354 

 

 

(a)Represents money market funds and/or certain preferred stocks.

(b)Industries, counties or security types are disclosed in the Schedule of Portfolio Investments.

 

Cash and Cash Equivalents — The Fund considers liquid assets deposited with a bank, and certain short term debt instruments with original maturities of three months or less to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or investments. The Fund may invest its excess cash in the Federated Treasury Obligations Fund or a similar money market fund or other short-term investment.

 

Credit Enhancements — Certain obligations held in the Fund have credit enhancement or liquidity features that may, under certain circumstances, provide for repayment of principal and interest on the obligation upon demand date, interest rate reset date or final maturity. These enhancements may include: letters of credit; liquidity guarantees; security purchase agreements; tender option purchase agreements; and third party insurance (i.e., AMBAC).

 

Mortgage Dollar Rolls — The Fund may sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed-upon price. The market value of the securities that a Fund is required to purchase may decline below the agreed upon repurchase price of those securities. Pools of mortgages collateralizing those securities may have different prepayment histories than those sold. During the period between the sale and repurchase, a Fund will not be entitled to receive interest and principal payments on the securities sold. Proceeds of the sale will be invested in additional instruments for a Fund, and the income from these investments will generate income for a Fund. If such income does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will diminish the investment performance of a Fund compared with what the performance would have been without the use of dollar rolls. The Fund accounts for mortgage dollar roll transactions as purchases and sales. The Fund did not hold any mortgage dollar rolls during the period.

 

Risks Associated with Foreign Securities and Currencies — Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those countries. Certain foreign investments may also be subject to foreign withholding taxes.

 

When-Issued — The Fund may purchase securities on a “when-issued” basis. The Fund records when-issued securities on the trade date and pledge assets with a value at least equal to the purchase commitment for payment of the securities purchased. The value of the securities underlying when-issued to purchase securities, and any subsequent fluctuation in their value, is taken into account when determining the net asset value of the Fund commencing with the date the Fund agrees to purchase the securities. The Fund does not accrue interest or dividends on “when-issued” securities until the underlying securities are received.

5