Pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended (the 1940 Act), the Board of Trustees (the Board)
has designated authority to a Valuation Designee, the funds’ investment adviser, to make fair valuation determinations under adopted procedures, subject to Board oversight. The investment adviser has formed a Pricing Committee to administer the pricing and
valuation of portfolio securities and other assets and liabilities as well as to ensure that prices used for internal purposes
or provided by third parties reasonably reflect fair value. The Valuation Designee may utilize independent pricing services, quotations
from securities and financial instrument dealers and other market sources to determine fair value.
Securities held in the funds’ portfolio are valued every business day. The following valuation policies and procedures are used by the Valuation Designee to value various types of securities:
• Securities traded on an exchange or over-the-counter: Traded securities are valued at the closing value for the day, or, on days when no closing value has been reported, at the mean of the most recent bid and ask quotes. Securities that are primarily
traded on foreign exchanges are valued at the official closing price or the last sales price on the exchange where the securities
are principally traded with these values then translated into U.S. dollars at the current exchange rate, unless these securities
are fair valued as discussed below.
• Futures contracts: Futures contracts are valued at their settlement prices as of the close of their exchanges.
• Mutual funds: Mutual funds are valued at their respective net asset values (NAVs).
• Securities for which no quoted value is available: The Valuation Designee has adopted procedures to fair value a fund’s securities when market prices are not “readily available” or are unreliable. For example, a security may be fair valued when it’s de-listed or its trading is halted or suspended; when a security’s primary pricing source is unable or unwilling to provide a price; or when a security’s primary trading market is closed during regular market hours. Fair value determinations are made in good faith in accordance with adopted valuation procedures. The Valuation Designee considers a number of factors, including unobservable market inputs, when arriving at fair value. The Valuation Designee may employ methods such as the review of related or comparable assets or liabilities, related market activities, recent transactions, market multiples, book values,
transactional back-testing, disposition analysis and other relevant information. Due to the subjective and variable nature
of fair value pricing, there can be no assurance that a fund could obtain the fair value assigned to the security upon the sale of
such security.
In accordance with the authoritative guidance on fair value measurements and disclosures under generally accepted accounting
principles in the United States of America (GAAP), the funds disclose the fair value of their investments in a hierarchy that
prioritizes the significant inputs to valuation methods used to measure the fair value. The hierarchy gives the highest priority to valuations
based upon unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest
priority to valuations based upon unobservable inputs that are significant to the valuation (Level 3 measurements). If inputs used to
measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input
that is significant to the valuation. If it is determined that either the volume and/or level of activity for an asset or liability
has significantly decreased (from normal conditions for that asset or liability) or price quotations or observable inputs are not associated
with orderly transactions, increased analysis and the Valuation Designee’s judgment will be required to estimate fair value.
The three levels of the fair value hierarchy are as follows:
• Level 1 — quoted prices in active markets for identical investments — Investments whose values are based on quoted market prices in active markets. These generally include active listed equities, mutual funds, exchange-traded funds (ETFs) and futures
contracts. Mutual funds and ETFs are classified as Level 1 prices, without consideration to the classification level of the
underlying securities held.
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) — Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs
are classified as Level 2 prices. These generally include U.S. government and sovereign obligations, most government agency
securities, investment-grade corporate bonds, certain mortgage products, less liquid listed equities, and state, municipal
and provincial obligations.
• Level 3 — significant unobservable inputs (including the Valuation Designee’s assumptions in determining the fair value of investments) — Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not readily available for these securities, one or more valuation
methods are used for which sufficient and reliable data is available. The inputs used in estimating the value of Level 3 prices
may include the original transaction price, quoted prices for similar securities or assets in active markets, completed or
pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows.
Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated
in the absence of market information. Assumptions used due to the lack of observable inputs may significantly impact the resulting
fair value and therefore a fund’s results of operations.
