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18.88. When-Issued, Forward Commitment and Delayed Delivery Transactions Risk

The Investment Compartment may purchase securities on a when-issued basis (including on a forward commitment or “TBA” (to be announced) basis) and may purchase or sell securities for delayed delivery. When-issued and delayed delivery transactions occur when securities are purchased or sold by the Investment Compartment with payment and delivery taking place in the future to secure an advantageous yield or price. Securities purchased on a when-issued or delayed delivery basis may expose the Investment Compartment to counterparty risk of default as well as the risk that securities may experience fluctuations in value prior to their actual delivery. The Investment Compartment will not accrue income with respect to a when-issued or delayed delivery security prior to its stated delivery date. Purchasing securities on a when-issued or delayed delivery basis can involve the additional risk that the price or yield available in the market when the delivery takes place may not be as favorable as that obtained in the transaction itself