Strategic Asset Allocation

This Strategy Disclosure Document describes core characteristics, attributes, and risks associated with a number of related strategies, including pooled investment vehicles and funds. 1

Table of Contents I. Product Profile II. Overview III. Selected Risk Factors IV. Individual Strategy Overviews yconservative Strategic Balanced Strategy ymoderate Strategic Balanced Strategy yaggressive Strategic Balanced Strategy The Portfolios are not insured by the FDIC or by another governmental agency; they are not obligations of the FDIC nor are they deposits or obligations of or guaranteed by State Street Bank and Trust Company. 2

I. Product Profile Investment Philosophy Several core principles guide our investment decision process and shape the solutions we recommend for our clients and prospects. These common philosophies permeate in various ways across the broad variety of Strategic Asset Allocation strategies (each, a "Strategy") and solutions that we offer. The central tenets of our philosophy are as follows. First, liabilities matter. All investors have liabilities, some more clearly defined than others. The development of a portfolio solution should reflect a thorough understanding of these liabilities and their associated risks. Second, we believe that portfolio diversification is beneficial. Benefits associated with a well-diversified portfolio include potential limits to volatility, as well as creating opportunities to seek enhanced, risk adjusted returns. It is our belief, supported by empirical evidence, that the core asset mix coupled with risk budgeting are the most important decisions investors need to make. Third, expenses diminish net returns to investors. The implications of management fees, transaction costs, and manager transitions erode wealth and require diligent oversight. The ability to minimize fees and other associated costs may offer a direct, positive impact to a portfolio s bottom line in the form of improved returns. Fourth, passive and active management each have a role dependent on market regime and asset class efficiency. For example, passive management is an effective way to gain broad exposure. Alternatively, active management may add value in less efficient markets, and may help achieve return targets. There is no guarantee, however, that a certain return target will be achieved. We focus on selecting Strategies with the objective of ensuring that any active risk is compensated with an appropriate level of excess return. Finally, general concepts must be brought to specific needs. Investors tend to have needs and preferences that are unique and must be considered and incorporated in the development of a portfolio solution. Investment Approach Our approach to managing our Strategic Asset Allocation Strategies encompasses three principles: 1. We seek to achieve broad diversification across asset classes by structuring a balanced solution - designing a custom, strategic benchmark - that typically includes a mixture of equity, fixed income, cash and/or alternative strategies. 2. We seek to ensure that each Strategy maintains appropriate asset weights by rebalancing back to the strategic benchmark on a regular basis. 3. We may attempt to seek returns in excess of the strategic benchmark by investing in active and enhanced underlying strategies. State Street Global Advisors ("SSgA") offers a suite of Strategic Asset Allocation Strategies designed for investors with differing risk profiles. Each Strategy is managed to provide a return that either approximates, as closely as practicable, the return of the Strategy's custom benchmark index over the long term or seeks to exceed the return of the Strategy's custom benchmark index over the long term. Each Strategy is implemented through a fund-of-funds structure, achieving its asset allocations by investing primarily in other investment pools (which may be passive, enhanced index or more actively managed investment pools) managed by SSgA or its affiliates or through exchange traded funds. In some cases, the underlying investments may be managed by outside investment managers. Each Strategy is designed to provide investors with a single investment vehicle providing balanced exposure to a variety of different asset classes, the potential for returns, and risks, in a highly controlled environment. Investment Process Portfolio Construction - We select the appropriate asset allocation for each Strategy based on the Strategy's investment targets, risk budget, and the appropriateness for a given asset class. In developing our strategic allocations, we utilize a mean-variance optimization framework to calculate portfolio mixes that offer the highest return for each level of risk. The key inputs into our optimization process are our proprietary long-term asset class forecasts for risk, return and correlation. Our risk and correlation estimates rely heavily on analyzing long windows of historical data, spanning over numerous market environments. Historical findings and relationships are further adjusted for any sustainable changes observed within current market environments. Our forward-looking total return estimates are generated through a combined assessment of current valuation measures, income, economic growth, and inflation forecasts, as well as historical risk premia. When combining various assets classes, we use optimization software to help develop efficient portfolios within a mean variance framework. These portfolios are "stress tested" using Monte Carlo software that performs scenario analysis so that we can review the potential impact of various asset allocation options. The efficiency of each asset class combined with the Strategy's return and risk objectives determines whether we implement through passive, enhanced index, or active strategies. Generally speaking, we use passive or enhanced indexing in the more efficient asset classes such as U.S. large cap equity and fixed income, and will use active strategies in less efficient asset classes such as international equity or commodities. Implementation - We implement the asset allocation strategy for a portfolio through a fund-of-funds structure - with the ability to invest in investment pools managed by SSgA or its affiliates or exchange-traded funds. In some cases, the underlying investments may be managed by outside investment managers. In designing each Strategy's benchmark, SSgA performs due diligence on potential underlying investments and seeks to select those that will be appropriate for each Strategy based on its risk and return objectives. 3

I. Product Profile (continued) Portfolio managers regularly evaluate and review the opportunity set of underlying strategies to determine if any changes in the strategy implementation are warranted. SSgA may add a new asset class or replace an existing underlying investment over time. In the case of new asset classes, we would review the impact on return, volatility, and risk adjusted return to ensure that the additions are beneficial in terms of meeting the Strategy's goals and objectives. Once the new asset class is approved, we will recommend an underlying investment. Our first criterion is to select between a passive, enhanced index or active implementation. This decision would be based on the efficiency of the asset class and likelihood that active management can add consistent value. If an active strategy is appropriate, we will identify alternatives for the Strategy and implement the underlying investment that we believe offers the best risk adjusted return opportunities. In addition, we may also replace an underlying investment if a new strategy has been developed that offers better return potential and is appropriate for the Strategy. Monitoring & Rebalancing - We will regularly monitor the variables of return requirements, risk aversion, and our view on capital markets to determine if a change to a Strategy's asset allocation targets or underlying investment line up is necessary. As our views of capital markets change relative to the ability of the portfolio to meet objectives, we will look at potential new investment options. The portfolio management team regularly reviews the various underlying investment strategies for applicability to our Strategy portfolios. Our first qualitative screen is to eliminate narrowly focused strategies that may not be appropriate. From the remaining list of applicable strategies we apply a quantitative review of historical returns and risk levels to rank the various funds. We review data such as rolling and calendar year returns, standard deviation, Sharpe ratio, information ratio, tracking error, up and down market capture and returns based style analysis. underlying strategy level. Each portfolio will undergo regular rebalancing. This important step seeks to ensure that the risk/return targets of the portfolio are maintained over time. The rebalancing frequency will be specific to each portfolio and may occur on a calendar basis (either monthly or quarterly, as outlined in the individual strategy overview for the Strategy) or more frequently if we determine that the portfolio has moved too far away from its benchmark. Rebalancing may be done on a percentage basis or may be coordinated with cash flows. We also seek to invest periodic cash flows in a manner that we consider consistent with each portfolio's asset allocation strategy. Because a portfolio will not be rebalanced every day, its performance will likely differ from that of the benchmark. Risk Management SSgA monitors each Portfolio on an ongoing basis to minimize variances from its benchmark exposures, and initiates trades as part of the strategy's rebalancing process or to accommodate periodic cash flows. SSgA continually monitors the variations in investments and risk between the Portfolio and its benchmark Index including external review by SSgA's independent risk management team. In addition, we have regular meetings with the underlying investment management teams to review their strategies, understand their investment process, and discuss any management turnover. We may also request ad hoc meetings intra-quarter to discuss positions and performance. This level of interaction gives us insight into the philosophy of each fund and an understanding of how a specific strategy may be impacted by various market environments. For each portfolio, we measure our performance at two levels. First, we review how the entire portfolio has done relative to a weighted, custom benchmark. This custom benchmark is a weighted average of each of the asset class indices blended at their target weight within the portfolio. Our second level of review is to compare each of the underlying strategies against their respective benchmark indexes. For example, U.S. Large Cap is typically measured against the S&P 500 Index, U.S. Small Cap against the Russell 2000 Index, etc. This allows us to measure both our performance as a whole, and to identify the drivers of performance at the * "Determinants of Portfolio Performance" by Gary Brinson, Randolph Hood, and Gilbert Beebower. Published in the Financial Analysts Journal in July/August 1986, it is widely cited for its conclusion that 93.6 percent of the variation of returns is explained by asset allocation policy. 4

II. Overview SSgA implements each of the Strategies included in this Strategy Disclosure Document in various client portfolios (each of those is referred to herein as a "Portfolio"). The actual investments held in a Portfolio at any time may differ from those held in other Portfolios managed using the same Strategy, based on a number of factors, such as cash flows or individual investment requirements or limitations applicable to a Portfolio. References to "the Portfolio" are to each Portfolio separately; the description of a Strategy in this Strategy Disclosure Document is qualified by reference to any investment requirements or limitations that may apply to a particular Portfolio. SSgA may manage certain Portfolios in its capacity as trustee of those Portfolios. This Strategy Disclosure Document includes a separate individual strategy overview for each Strategy (and for certain Portfolios), containing more detailed information about the Strategy. You should review the Individual Strategy Overview for a Strategy in connection with the more general information provided below. SSgA generally delegates commodities management for separately managed accounts to SSgA FM, a wholly owned subsidiary of State Street and an affiliate of SSgA. SSgA FM is registered as a commodity trading advisor ("CTA") with the Commodity Futures Trading Commission and National Futures Association. An investment in a Strategy is subject to a number of risks, including, but not limited to, those which are summarized in the "Selected Risk Factors" section. You should review those risks carefully. Investment Objective The Portfolio seeks an investment return that either approximates as closely as practicable, before expenses, the performance of an Index over the long term or seeks to exceed the return of the Strategy's Index over the long term. Please refer to a Portfolio's individual strategy overview for more information on its Index. Principal Investment Strategies The Portfolio seeks capital appreciation or a combination of capital appreciation and current income, depending on the Portfolio's risk profile. Although, there can be no guarantee as to the amount of capital appreciation or income. The Portfolio is managed against an Index designed by SSgA to provide a measure of investment return across different asset classes in light of the Portfolio's risk profile. SSgA seeks to achieve a Portfolio's investment objective through passive asset allocation and passive or active management within the underlying investments, as specified in the individual strategy overview. SSgA allocates the Portfolio's assets among the asset classes represented in the Portfolio's benchmark, rebalancing the Portfolio's exposures at regular intervals specified in the Portfolio's individual strategy overview. SSgA will typically implement its asset allocation decisions for a Portfolio through investments in other investment pools (which may be passive, enhanced index or more actively managed investment pools) managed by SSgA or its affiliates or exchange traded funds. In some cases, the underlying investments may be managed by outside investment managers. SSgA reserves the ability to implement all or any portion of a Portfolio's strategy through investments directly in equity and fixed income securities and other investments. Typically, the Portfolio, and each of the pools in which it invests will be passively managed. Because a passive strategy seeks to approximate an index return, it differs from "active" investment management where an investment manager buys and sells securities based on its own economic, financial, and market analysis and investment judgment. A passively managed pool in which the Portfolio invests will typically attempt to invest in the securities comprising the Index, in the same proportions as they are represented in the Index. In some cases, it may not be possible or practicable to purchase all of the securities comprising the Index, or to hold them in the same weightings as they represent in the Index. (That might be the case, for example, if the investment strategy were relatively small, or if securities comprising the Index were unavailable for purchase or were generally illiquid.) In those circumstances, SSgA may manage an investment pool by employing a sampling or optimization technique to construct the Strategy's portfolio. From time to time securities are added to or removed from an index. SSgA may sell securities for an investment pool that are represented in the index, or purchase securities that are not yet represented in the index, in anticipation of their removal from or addition to the Index. In instances where the Portfolio is implemented within underlying investments which are actively managed and seeks to outperform their Index, its security holdings will differ from the Index and its return will typically differ from (and may underperform) the Index's return. Because the Portfolio may not be rebalanced every day, its performance will likely differ from that of the Index. In addition, the Portfolio's return may not match that of the Index, or the return of a passive pool in which the Portfolio invests may not match that of its Index, for a number of reasons. For example, the return on the securities and other investments selected by SSgA may not precisely match the return on its Index due to misweights, active management and the substitution of securities. The Portfolio and such pools incur a number of operating expenses not applicable to their indexes, and incur costs in buying and selling securities and margin costs in connection with their derivatives investments. The Portfolio or a pool may not be fully invested at times, as a result of cash flows into or out of the Portfolio or the pool. The return on the sample of securities purchased by SSgA, or futures or other derivative positions taken by a pool, to approximate the performance of its Index may not correlate precisely with the return on its index. PURSUANT TO AN EXCLUSION FROM THE COMMODITY FUTURES TRADING COMMISSION UPON WHICH SSGA FUNDS MANAGEMENT, INC. WILL RELY IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT. 5

II. Overview (continued) The Portfolio or any of the underlying investment pools in which it invests may hold a portion of their assets in cash and cash instruments, including short-term investment vehicles managed by SSgA or an affiliate. (In the case of a Portfolio whose assets constitute "plan assets" of any investor subject to the U.S. Employee Retirement Income Security Act of 1974, as amended, ("ERISA") or Section 4975 of the Internal Revenue Code (an "ERISA Portfolio"), investments in vehicles managed by SSgA or an affiliate will be made consistent with ERISA rules and regulations, including any applicable prohibited transaction exemptions.) SSgA will not normally enter into foreign currency exchange transactions for the Portfolio. If, for a particular Portfolio, SSgA expects normally to use derivatives more actively in replicating index returns - for example, in order to increase its investment exposure pending investment of cash or to reduce its investment exposure in situations where it intends to sell a portion of the securities in its portfolio - that will be reflected in the individual strategy overview relating to the Portfolio. Although SSgA may consider the factors described above in purchasing or selling investments for the Portfolio, SSgA may purchase, sell, or continue to hold an investment for the Portfolio whenever it believes that doing so may benefit the Portfolio, on the basis of any of the factors described above or any other factors. Principal Investments The Portfolio normally invests most of its assets in other investment pools or exchange traded funds, including without limitation registered investment companies, private investment pools, and collective and common trust funds, including entities sponsored, managed, or otherwise affiliated with SSgA. SSgA expects these underlying pools or exchange traded funds to provide passive exposures to asset classes selected by SSgA. There may also be enhanced index or more actively managed investment pools as described in the applicable Individual Strategy Overview. These will typically include investment pools managed or sponsored by SSgA or its affiliates or in some cases, the underlying investments may be managed by outside investment managers (which may, but will not necessarily, be registered under the U.S. Investment Company Act of 1940, as amended). (In the case of an ERISA Portfolio, such investments and transactions will be effected in a manner consistent with ERISA, including any applicable prohibited transaction exemptions.) See "Selected Risk Factors - Conflicts of Interest Risk" and "ERISA Disclosure." The Portfolio reserves the right to implement asset allocation decisions by direct investments and not through investment in other investment pools. structured notes, and options. An investment pool in which the Portfolio invests may also use derivatives. The Portfolio may but will not necessarily enter into foreign currency exchange transactions, including transactions involving foreign currency forward contracts, futures contracts, and options. Although certain of the investments described above may exhibit characteristics of leverage transactions, SSgA will not borrow money or use derivatives for the Portfolio in a manner that SSgA considers to have the purpose of creating investment leverage. (Investments made by SSgA with the intention to hedge or reduce risk will not be considered to have been made for the purpose of creating investment leverage; SSgA generally will determine whether an investment has the effect of creating investment leverage by evaluating the effect of the investment on the exposure and risk profile of the Portfolio as a whole.) It is possible that an investment pool in which the Portfolio invests will make use of leverage, either by borrowing money or through the use of derivatives. SSgA will take into account the amount of leverage expected to be existing at any time in such a pool in making its asset allocation decisions. Certain investment pools in which the Portfolio invests may lend their portfolio securities, and may compensate SSgA or an affiliate for services provided in connection with effecting securities loans and investing related collateral. Such investment pools may enter into repurchase agreements and other investment transactions in connection with the investment of securities lending collateral, including repurchase agreement transactions with SSgA or an affiliate. Please refer to the governing documents for each Portfolio for more information about the Portfolio's authority to lend its securities. See "Selected Risk Factors - Securities Lending Risk." The Portfolio may pay SSgA or an affiliate fees and expenses related to the provision of custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services that SSgA may from time to time consider necessary or appropriate. Risk Management SSgA monitors each Portfolio on an ongoing basis to minimize variances from its benchmark exposures, and initiates trades as part of the Portfolio's rebalancing process or to accommodate periodic cash flows. SSgA continually monitors the variations in investments and risk between the Portfolio and its benchmark Index including external review by SSgA's independent risk management team. The Portfolio may also obtain exposure to one or more asset classes by entering into transactions involving exchange-traded or over-the-counter derivatives, such as futures contracts, swaps (including total return swaps, excess return swaps, interest rate swaps and credit default swaps), Compliance by any investment with the requirements of any investment guideline, strategy, or limitation applicable to the Portfolio will apply only at the time of investment. The investment objective, principal investment strategies, and principal investments of the Portfolio may be changed at any time by SSgA, in its discretion. Under normal circumstances, existing investors in the Portfolio will receive notice in advance of any change SSgA considers to be material, unless, in SSgA's judgment, it would be in the interests of the Portfolio or its investors to implement a change immediately and prior to its providing such notice. SSgA is excluded from registration and regulation under the Commodity Exchange Act as a commodity pool operator in connection with certain Portfolios. 6

III. Selected Risk Factors The Portfolio is designed as a long-term investment. The Portfolio may not constitute a complete investment program. Due to the uncertainty in all investments, there can be no assurance that the Portfolio will achieve its investment objective. The Portfolio may lose money. The risks of investing in the Portfolio are closely related to the risks associated with investing in the Portfolio's underlying investment pools. As such, references to the "Portfolio" in this section include both the Portfolio and its underlying investment pools. Asset Allocation Risk The Portfolio's investment performance depends upon how its assets are allocated and reallocated among asset classes, geographical regions, industry sectors, and specific issuers and investments. SSgA's judgments about optimal asset allocation decisions generally and its asset allocation decisions among different asset classes or sub-classes may be incorrect, and there is no guarantee that SSgA's allocation techniques will produce the desired results. It is possible to lose money on an investment in the Portfolio as a result of these allocation decisions. Call Risk Call risk is the risk that an issuer will exercise its right to pay principal on an obligation held by the Portfolio earlier than expected. This may happen, for example, when there is a decline in interest rates, and an issuer of bonds or preferred stock redeems the bonds or stock in order to replace them with obligations paying a lower interest rate. If an obligation held by the Portfolio is prepaid, the Portfolio may be forced to invest the proceeds in lower yielding investments. Cash Position Risk The Portfolio may hold a significant portion of its assets in cash or cash equivalents in SSgA's discretion. If the Portfolio holds a significant cash position for an extended period of time, its investment returns may be adversely affected, and the Portfolio may not achieve its investment objective. Commodities Risk Because the Portfolio invests in commodities or investments affected by changes in commodities prices, the value of its holdings or shares, as applicable, is affected by factors particular to the commodities markets. Commodity prices can be extremely volatile and are affected by a wide range of factors, including, for example, overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, international economic, political, and regulatory developments, and developments affecting a particular region, industry or commodity, such as drought, floods, or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand, and tariffs. Legal, regulatory, exchange, or other restrictions (including position limits) may limit the ability of the Portfolio to open or close transactions in commodities or to conduct its investment program as anticipated. If the Portfolio has taken a long or short position in one or more commodities using futures contracts, then it might be required to take or make delivery of the underlying commodities under circumstances where it might not otherwise wish to do so (such as where it is unable to terminate its position in the futures contracts prior to expiration). The Portfolio would incur a number of related costs and expenses, including, for example, transaction costs, transfer expenses, potentially adverse tax expense, storage costs, and, in the case of a delivery requirement, the cost of purchasing the commodity for delivery at the current market rate; it would also bear any costs related to the ultimate disposition of the commodity. The Portfolio would be exposed to the risk of adverse changes in the value of the commodity for any period when it might hold the commodity. Regulations recently adopted or proposed by regulators in the U.S. and other countries may affect substantially the markets in which commodity derivatives are entered into, including by requiring the central clearing and reporting of transactions that may not previously have been required to be reported or cleared. It is not clear how these regulations may affect such transactions or the commodities markets generally. Concentration Risk The Portfolio may concentrate its investments in companies or issuers in a particular industry, market, or economic sector. When the Portfolio concentrates its investments in a particular industry or sector, financial, economic, business, and other developments affecting issuers in that industry, market, or economic sector will have a greater effect on the Portfolio than if it had not concentrated its assets in that industry, market, or economic sector, which may increase the volatility of the Portfolio. Any such concentration may also limit the liquidity of the Portfolio. In addition, investors may buy or sell substantial amounts of the Portfolio's shares in response to factors affecting or expected to affect an industry, market, or economic sector in which the Portfolio concentrates its investments, resulting in extreme inflows or outflows of cash into and out of the Portfolio. Such extreme cash inflows or outflows might affect management of the Portfolio adversely. The Portfolio may establish or terminate a concentration in an industry or sector at any time in SSgA's discretion and without notice to investors. 7

Conflicts of Interest Risk An investment in the Portfolio may be subject to a number of actual or potential conflicts of interest. For example: yssga or its affiliates may provide services to the Portfolio, such as securities lending agency services, custodial, administrative, bookkeeping, and accounting services, transfer agency and shareholder servicing, and other services for which the Portfolio would compensate SSgA and/or such affiliates. ythe Portfolio may enter into securities transactions with SSgA or an affiliate, where SSgA or the affiliate acts as agent for the Portfolio in connection with the purchase or sale of securities, or as principal, where SSgA or an affiliate sells securities to the Portfolio or buys securities from the Portfolio for its own account. yssga on behalf of the Portfolio may enter into repurchase agreements and derivatives transactions with or through SSgA or one of its affiliates. ythe Portfolio may invest in other pooled investment vehicles sponsored, managed, or otherwise affiliated with SSgA in which event the Portfolio may not be charged subscription or redemption fees on account of such investment, but will bear a share of the expenses of those other pooled investment vehicles; those investment vehicles may pay fees and other amounts to SSgA or its affiliates, which might have the effect of increasing the expenses of the Portfolio. yit is possible that other clients of SSgA will purchase or sell interests in such other pooled investments at prices and at times more favorable than those at which the Portfolio does so. There is no assurance that the rates at which the Portfolio pays fees or expenses to SSgA or its affiliates, or the terms on which it enters into transactions with SSgA or its affiliates or on which it invests in any such other investment vehicles will be the most favorable available in the market generally or as favorable as the rates SSgA makes available to other clients. There will be no independent oversight of prices, fees, or expenses paid to, or services provided by, those entities. Because of its financial interest, SSgA may have an incentive to enter into transactions or arrangements on behalf of the Portfolio with itself or its affiliates in circumstances where it might not have done so in the absence of that interest. SSgA and its affiliates serve as investment adviser to other clients and may make investment decisions for their own accounts and for the accounts of others, including other funds, that may be different from those that will be made by SSgA on behalf of the Portfolio. For example, SSgA may provide asset allocation advice to some clients that may include a recommendation to invest or redeem from a particular issuer or Portfolio while not providing that same recommendation to all clients invested in the same or similar Portfolios. Other conflicts may arise, for example, when clients of SSgA invest in different parts of an issuer's capital structure, so that one or more clients own senior debt obligations of an issuer and other clients own junior debt of the same issuer, as well as circumstances in which clients invest in different tranches of the same structured financing vehicle. In such circumstances, decisions over whether to trigger an event of default or over the terms of any workout may result in conflicts of interest. When making investment decisions where a conflict of interest may arise, SSgA will endeavor to act in a fair and equitable manner over time, in accordance with its conflicts of interest policy, as between the Portfolio and other clients. Subject to the foregoing, (i) SSgA and its affiliates may invest for their own accounts and for the accounts of clients in various securities that are senior, pari passu or junior to, or have interests different from or adverse to, the securities that are owned by the Portfolio; and (ii) SSgA may (subject to applicable law) be simultaneously seeking to purchase (or sell) investments for the Portfolio and to sell (or purchase) the same investment for accounts, funds or structured products for which it serves as asset manager now or in the future, or for other clients or affiliates, and may enter into cross trades in such circumstances. In addition, SSgA and its affiliates may buy securities from or sell securities to the Portfolio, if permitted by applicable law. These relationships or transactions between the Portfolio and SSgA and its affiliates may result in securities laws restrictions on transactions by the Portfolio and otherwise create potential conflicts of interest for SSgA. SSgA, in connection with its other business activities, may acquire material non-public confidential information that may restrict SSgA from purchasing securities or selling securities for itself or its clients (including the Portfolio) or otherwise using such information for the benefit of its clients or itself. The foregoing does not purport to be a comprehensive list or complete explanation of all potential conflicts of interests which may affect the Portfolio. The Portfolio may encounter circumstances, or enter into transactions, in which conflicts of interest that are not listed or discussed above may arise. Counterparty Risk The Portfolio will be subject to credit risk with respect to the counterparties with which SSgA on behalf of the Portfolio enters into derivatives contracts, foreign currency forward contracts, other transactions such as repurchase agreements or reverse repurchase agreements and securities lending transactions. If a counterparty becomes insolvent or otherwise fails to perform its obligations, the Portfolio may experience significant delays in obtaining any recovery in an insolvency, bankruptcy, or other reorganization proceeding (including recovery of any collateral posted by it) and may obtain only a limited recovery or may obtain no recovery in such circumstances. When a counterparty's obligations are not fully 8

secured by collateral, the Portfolio is generally an unsecured creditor of the counterparty. If the counterparty defaults, the Portfolio will have contractual remedies, but there is no assurance that the counterparty will be willing or able to meet its obligations pursuant to such contracts or that the Portfolio will succeed in enforcing contractual remedies. The Portfolio may be delayed or prevented from realizing on collateral held by it if regulators are able to invoke automatic stays upon counterparty insolvency, which usually are exempted for many transaction types. If the credit standing of a derivatives counterparty or potential derivatives counterparty declines, SSgA may decide to terminate outstanding transactions with that counterparty before it might otherwise do so, and it may decide not to enter into transactions with that counterparty under circumstances where it might otherwise be desirable to do so. If SSgA determines on behalf of the Portfolio to maintain the Portfolio's transactions in place with a counterparty whose credit standing has declined or to enter into new transactions with such counterparty, the Portfolio would be subject to any increased credit risk associated with that counterparty. Certain derivatives transactions entered into by the Portfolio will be required to be centrally cleared. In a cleared derivatives transaction, the Portfolio's counterparty to the transaction is a central derivatives clearing organization, or clearing house, rather than a bank or dealer. A party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivative transaction. The Portfolio will typically clear derivatives transactions through clearing members that are futures commission merchants and members of the clearing houses. The clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives. If a clearing member does not comply with the applicable regulations or its agreement with the Portfolio, or in the event of fraud or misappropriation of customer assets by a clearing member, the Portfolio could have only an unsecured claim in an insolvency of the clearing member with respect to the margin held by the clearing member (whether or not the clearing member was required to transfer the margin to a clearing house). It is also possible that a clearing house itself will become insolvent or bankrupt, in which event the Portfolio and its clearing broker may be delayed or prevented from recovering margin from the clearing house and may incur losses. The Portfolio will make and receive payments owed under cleared derivatives transactions (including margin payments) through its accounts at clearing members. The Portfolio's clearing members guarantee the Portfolio's performance of its obligations to the clearing house. In contrast to bilateral derivatives transactions, clearing members can generally require termination of existing cleared derivatives transactions at any time or increase the amount of margin required to be provided by the Portfolio to the clearing member for any new or existing cleared derivatives transaction above the amount of margin required by the clearing house or clearing member. Any such termination or increase could result in losses to the Portfolio on its cleared derivatives position. Also, the Portfolio is subject to execution risk in respect of cleared derivatives transactions, because it is possible that no clearing member will be willing to clear a particular transaction on the Portfolio's behalf. In that case, the transaction might have to be terminated, and the Portfolio could lose some or all of the benefit of any increase in the value of the transaction after the time of the trade. In addition, the documentation governing the relationship between a Portfolio and a clearing member that is drafted by the clearing members is generally not negotiable and therefore less favorable to the Portfolio than typical bilateral derivatives documentation. Credit Risk The ability, or perceived ability, of a debt security's issuer to make timely payments of interest and principal on the security will affect the value of such security. It is possible that the ability of an issuer to meet its obligations will decline substantially during the period when the Portfolio owns securities of that issuer or that the issuer will default on its obligations or that the obligations of the issuer on a security held by the Portfolio will be limited or restructured. An actual or perceived deterioration of the ability of an issuer to meet its obligations will likely have an adverse effect on the value of the issuer's securities. With certain exceptions, credit risk is generally greater for investments issued at less than their face value requiring their issuers to make interest payments only at maturity rather than at intervals during the life of the investment. Credit rating agencies base their ratings on, among other things, the issuer's historical financial condition and the rating agencies' investment analysis at the time of rating. The rating assigned to any particular investment does not necessarily reflect the issuer's current financial condition and does not reflect an assessment of an investment's volatility or liquidity. Although investmentgrade investments generally present less credit risk than investments rated below investment grade, they may share some of the risks of lower-rated investments, including the possibility that the issuers may be unable to make timely payments of interest and principal and thus may default. Securities rated in the lowest category of investment grade are considered to have speculative characteristics. In addition, below investment-grade investment securities (i.e., "junk bonds") involve greater credit risk, are more volatile, involve greater risk of price declines and may be more susceptible to economic downturn than investment-grade securities. If a security held by the Portfolio loses its rating or its rating is downgraded, the Portfolio may nonetheless continue to hold the security in the discretion of SSgA. In the case of asset-backed or mortgage-related securities, changes in the actual or perceived ability of the obligors on the underlying assets or mortgages may similarly affect the values of those securities. 9

Currency Risk Investments in issuers in different countries are often denominated in currencies different from the Portfolio's base currency. Changes in the values of those currencies relative to the Portfolio's base currency may have a positive or negative effect on the values of the Portfolio's investments denominated in those currencies. The Portfolio may, but will not necessarily, invest in currency exchange contracts or other currencyrelated transactions (including derivatives transactions) to manage exposure to different currencies. Also, these contracts may reduce or eliminate some or all of the benefit that the Portfolio may experience from favorable currency fluctuations. The values of other currencies relative to the Portfolio's base currency may fluctuate in response to, among other factors, interest rate changes, intervention (or failure to intervene) by national governments, central banks, or supranational entities such as the International Monetary Fund, the imposition of currency controls, and other political or regulatory developments. Currency values can decrease significantly both in the short term and over the long term in response to these and other developments. Continuing uncertainty as to the status of the Euro and the European Monetary Union (the "EMU") has created significant volatility in currency and financial markets generally. Any partial or complete dissolution of the EMU, or any continued uncertainty as to its status, could have significant adverse effects on currency and financial markets, and on the values of the Portfolio's portfolio investments. Debt Securities Risk Fixed-income securities and other income-producing securities are obligations of their issuers to make payments of principal and/or interest on future dates. Income-producing securities may also include preferred stocks, instruments with characteristics of both equity and debt instruments (such as convertible preferred stocks or equity-linked notes), or interests in income-producing trusts, such as income or royalty trusts. As interest rates rise, the values of a Portfolio's debt securities or other income-producing investments are likely to fall. This risk is generally greater for obligations with longer maturities. Some debt securities also are subject to unscheduled prepayment, and a Portfolio may be required to reinvest the prepaid amounts at less favorable yields than the yields on the securities being prepaid. When interest rates rise, these securities also may be repaid more slowly than anticipated, which could cause the market price of the Portfolio's investment to decrease and the effective duration of the securities to lengthen (increasing the interest-rate sensitivity of the debt securities). Debt securities and other income-producing securities also carry the risk that the issuer or the guarantor of a security will be unable or unwilling to make timely principal and/or interest payments or otherwise to honor its obligations. This risk is particularly pronounced for lower-quality, high-yielding debt securities. Such below investment-grade securities (commonly known as "high-yield" securities or "junk bonds") are considered to be of poor standing and predominantly speculative in nature. Custodial Risk There are risks involved in dealing with the custodians or brokers who hold the Portfolio's investments or settle the Portfolio's trades. It is possible that, in the event of the insolvency or bankruptcy of a custodian or broker, the Portfolio would be delayed or prevented from recovering its assets from the custodian or broker, or its estate, and may have only a general unsecured claim against the custodian or broker for those assets. In recent insolvencies of brokers or other financial institutions, the ability of certain customers to recover their assets from the insolvent's estate has been delayed, limited, or prevented, often unpredictably, and there is no assurance that any assets held by the Portfolio with a custodian or broker will be readily recoverable by the Portfolio. In addition, there may be limited recourse against foreign sub-custodians in those situations in which the Portfolio invests in markets where custodial and/or settlement systems and regulations are not fully developed, including emerging markets, and the assets of the Portfolio have been entrusted to such sub-custodians. SSgA or an affiliate may serve as the custodian of the Portfolio. See "Conflicts of Interest Risk." Defensive Investing Risk In response to market, economic, political, or other conditions, the Portfolio may, but will not necessarily, depart from its principal investment strategies by temporarily investing for defensive purposes. If the Portfolio invests for defensive purposes, it may not achieve its investment objective. In addition, the defensive strategy may not work as intended. Depositary Receipts Risk American Depositary Receipts are typically trust receipts issued by a U.S. bank or trust company that evidence an indirect interest in underlying securities issued by a foreign entity. Global Depositary Receipts, European Depositary Receipts, and other types of depositary receipts are typically issued by non-u.s. banks or financial institutions to evidence an interest in underlying securities issued by either a U.S. or a non-u.s. entity. Investments in non-u.s. issuers through depositary receipts generally involve risks applicable to other types of investments in non-u.s. issuers. See "Non-U.S. Securities Risk." Depositary receipts may not necessarily be denominated in the same currency as their underlying securities, and the Portfolio may be subject to the currency risk of the investment in the depositary receipt itself, as well as the underlying security. There may not be as much publicly available information regarding the issuer of the 10

securities underlying a depositary receipt as if the underlying securities were traded directly in U.S. securities markets. Some depositary receipts are sponsored by the issuers of the underlying securities, while others are not. Information regarding issuers of securities underlying unsponsored depositary receipts may be even more limited than for sponsored depositary receipts. It is possible that the value of a depository receipts may decline for a number of reasons which relate to the issuers or sponsors of the depository receipts, including, but not limited to, if such issuer or sponsor becomes insolvent. Holders of depositary rights may have limited, if any, rights to take action with respect to the underlying securities or to compel the issuer of the receipts to take action. Derivatives Risk Each Strategy's individual strategy overview will indicate whether such Strategy intends to use derivative instruments. A Portfolio's use of derivative instruments involves risks different from, and possibly greater than, the risks associated with investing directly in securities. These risks include, by way of example: ypotential changes in value in response to interest rate changes or other market developments or as a result of the counterparty's credit quality; ythe potential for the derivative transaction not to have the effect SSgA anticipated or a different effect or less favorable effect than SSgA anticipated; ythe failure of the counterparty to the derivative transaction to perform its obligations under the transaction or to settle a trade (see also "Counterparty Risk"); ypossible mispricing or improper valuation of the derivative instrument; yimperfect correlation in the value of a derivative with the asset, rate, or index underlying the derivative; ythe risk that the Portfolio may be required to post collateral or margin with its counterparty, and will not be able to recover the collateral or margin in the event of the counterparty's insolvency or bankruptcy; ythe risk that the Portfolio will experience losses on its derivatives investments and on its other portfolio investments, even when the derivatives investments may be intended in part or entirely to hedge those portfolio investments; ythe risks specific to the asset underlying the derivative instrument; ylack of liquidity for the derivative instrument, including without limitation absence of a secondary trading market; ylegal risks arising from the documentation relating to the derivative transaction. When a Portfolio invests in certain derivative instruments, it could lose more than the stated amount of the instrument. In addition, some derivative transactions can create investment leverage and may be highly volatile and speculative in nature. Certain derivatives transactions entered into by the Portfolio will be required to be centrally cleared. In a cleared derivatives transaction, the Portfolio's counterparty to the transaction is a central derivatives clearing organization, or clearing house, rather than a bank or dealer. The Portfolio will typically clear derivatives transactions through clearing members that are futures commission merchants and members of the clearing houses. The Portfolio will make and receive payments owed under cleared derivatives transactions (including margin payments) through its accounts at clearing members. The Portfolio's clearing members guarantee the Portfolio's performance of its obligations to the clearing house. In contrast to bilateral derivatives transactions, clearing members can generally require termination of existing cleared derivatives transactions at any time or increase the amount of margin required to be provided by the Portfolio to the clearing member for any new or existing cleared derivatives transaction above the amount of margin required by the clearing house or clearing member. Any such termination or increase could result in losses to the Portfolio on its cleared derivatives position. Also, the Portfolio is subject to execution risk in respect of cleared derivatives transactions, because it is possible that no clearing member will be willing to clear a particular transaction on the Portfolio's behalf. In that case, the transaction might have to be terminated, and the Portfolio could lose some or all of the benefit of any increase in the value of the transaction after the time of the trade. In addition, the documentation governing the relationship between a Portfolio and a clearing member that is drafted by the clearing members is generally not negotiable and therefore less favorable to the Portfolio than typical bilateral derivatives documentation. These and other new rules and regulations could, among other things, restrict a Portfolio's ability to engage in, or increase the cost to the Portfolio of, derivatives transactions and could make the use of derivatives by the Portfolio impractical or generally undesirable. These regulations are new and evolving, so their potential impact on the Portfolios and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk, there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Portfolios to new kinds of risks and costs. ythe potential for reduced returns to the Portfolio due to losses on the transaction and an increase in volatility; and 11