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From the UnrealScript perspective, a native-only class is a class that does not have any UnrealScript source code associated to it. Not only its behavior, but even its declaration resides in native code. Such a class is not to be confused with UnrealScript classes that have had their source code stripped from the package file for various reasons. The latter had been declared and implemented in UnrealScript, while the former never had any UnrealScript code associated.
An examples for a native-only class is Sound in UT. You can use it as a variable, parameter or function return type and when referencing sounds with object literals, but there's no UnrealScript declaration for the class Sound itself in UT. Note that starting with UT2003 the class Sound no longer is native-only, but an UnrealScript class declared with the class modifier native.