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18.87. Dollar Roll Transactions Risk

Dollar roll transactions involve the risk that the market value of the securities the Investment Compartment is required to purchase may decline below the agreed upon repurchase price of those securities. If the broker/dealer to which the Investment Compartment sells securities becomes insolvent, the Investment Compartment’s right to purchase or repurchase securities may be restricted. Successful use of dollar rolls may depend upon the Manager’s ability to predict correctly interest rates and prepayments. There is no assurance that dollar rolls can be successfully employed. These transactions may involve leverage.