Strategy. The Fund generally will invest at least 80% of its total assets in securities that comprise the Underlying Index. Strictly in accordance with its guidelines and mandated procedures, Bloomberg Index Services Limited (the Index Provider) compiles, maintains and calculates the Underlying Index, which is designed to track the performance of U.S. dollar denominated fixed-rate corporate bonds that were previously rated investment grade and have been downgraded to high yield based on ratings of Moodys Ratings (Moodys), S&P Global Ratings (S&P) and Fitch Ratings, Inc. (Fitch). The downgrade from investment grade to high yield connotes that the bonds that comprise the Underlying Index are fallen angels. High yield bonds are also known as junk bonds. To be eligible for inclusion in … Show more… The Fund generally will invest at least 80% of its total assets in securities that comprise the Underlying Index. Strictly in accordance with its guidelines and mandated procedures, Bloomberg Index Services Limited (the Index Provider) compiles, maintains and calculates the Underlying Index, which is designed to track the performance of U.S. dollar denominated fixed-rate corporate bonds that were previously rated investment grade and have been downgraded to high yield based on ratings of Moodys Ratings (Moodys), S&P Global Ratings (S&P) and Fitch Ratings, Inc. (Fitch). The downgrade from investment grade to high yield connotes that the bonds that comprise the Underlying Index are fallen angels. High yield bonds are also known as junk bonds. To be eligible for inclusion in the Underlying Index, a bond must be a U.S. dollar-denominated corporate bond that: ? is registered with the U.S. Securities & Exchange Commission (SEC), is a Section 3(a)(2) security under the Securities Act of 1933 (Securities Act) (which is a bond that is exempt from registration with the SEC), or is a Rule 144A security under the Securities Act (which is a privately placed security that is not registered with the SEC); ? is issued by companies domiciled in countries classified as developed markets by the Index Provider; ? previously had a rating of investment grade (as determined by the Index Provider based on ratings from Moody's, S&P and Fitch); ? currently is rated high yield by the Index Provider and therefore has a Moodys, S&P or Fitch rating of B1/B+/B+ or higher (up to the maximum rating of Ba1/BB+/BB+); ? has at least $300 million of outstanding face value; ? has a fixed-rate coupon; and ? has at least one year to final maturity. The Index Provider reviews bonds' average ratings in order to assess whether they are investment grade or high yield. In determining whether a bond has an average rating of investment grade or high yield, ratings from Moody's, S&P and Fitch are considered. When a rating from only two agencies is available, the lower rating is used. When a rating from only one agency is available, that rating is used to determine eligibility in the Underlying Index. If an issue is unrated, the Index Provider may consider expected ratings and/or issuer-level ratings adopted by a ratings agency. As of the date of this prospectus, the Index Provider considers the following to be developed market countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Switzerland, Sweden, the United Kingdom and the United States. There is no limit to the number of constituents in the Underlying Index. Bonds that meet the Index Providers criteria for inclusion in the Underlying Index are weighted based on the time since a bonds rating was downgraded to high yield. This means that bonds that have been downgraded within the last 12 months have the highest relative weighting in the Underlying Index, while bonds that were downgraded more than 12 months ago have lower relative weightings in the Underlying Index. Bonds that were downgraded 24 or more months ago have the lowest relative weightings in the Underlying Index. Individual issuers with weights of 4.75% or greater are capped at 24% of the total index market value. Any excess above the cap is redistributed pro rata to other issuers. As of December 31, 2025, the Underlying Index was comprised of 96 constituents. The Fund does not purchase all of the securities in the Underlying Index; instead, the Fund utilizes a sampling methodology to seek to achieve its investment objective. Concentration Policy. The Fund will concentrate its investments (i.e., invest 25% or more of the value of its total assets) in securities of issuers in any one industry or group of industries only to the extent that the Underlying Index reflects a concentration in that industry or group of industries. The Fund will not otherwise concentrate its investments in securities of issuers in any one industry or group of industries. As of December 31, 2025, the Underlying Index had significant exposure to the industrials sector. The Fund's portfolio holdings, and the extent to which it concentrates its investments, are likely to change over time. Show less