Enhanced U.S. Dollar 3-Month LIBOR Strategy


Investment Objective

Investment Objective

The Strategy seeks to provide a total investment return that exceeds the return of its benchmark index (the "Index") over the long term.

The Strategy is not a "money market fund" registered with the U.S. Securities and Exchange Commission, and is not subject to the various rules and limitations that apply to such funds. This Strategy should not be used for daily liquidity because of the potential for volatility in net asset value over short time horizons.

BENCHMARK: J.P. Morgan Three-Month U.S. Dollar LIBOR Index


Investment Strategy

Investment Strategy

The Strategy may invest in a variety of securities, including, but not limited to: (a) U.S. Treasury securities, (b) the debt of agencies of the United States Government including, but not limited to, the debt of government sponsored enterprises, (c) repurchase agreements, (d) corporate debt (including, medium term notes, Rule l44a and other types of corporate issuance), (e) asset-backed securities, (f) commercial mortgage-backed securities, (g) derivative securities, including, but not limited to, financial futures contracts, options and swaps, (h) deposits and other debt instruments of domestic banks for both their U.S. and non-U.S. branches (including time deposits, certificates of deposit and banker's acceptances) and (i) registered and non-registered investment pools that have investment guidelines consistent with the overall investment objective. All securities held by the Strategy shall be U.S. dollar denominated.  The Strategy seeks to outperform the Index by 25 basis points (on an annualized basis) over the long term.  There can of course be no assurance that the Strategy will outperform the Index.

Credit Quality - At the time of purchase: (i) all securities with maturities of 13 months or less will hold a rating of P-2 or higher by Moody's and (ii) all securities with maturities in excess of 13 months will be rated at least Baa3 by Moody's.  If a Moody's rating is not available, the equivalent Standard and Poor's rating will be used.  If neither Moody's nor Standard and Poor's rates the security, the equivalent Fitch Investor's Service rating is used.  No rating is required for the debt of the U.S. Government and its agencies.

Duration - The maximum modified duration of the Strategy shall not exceed one (1) year at the time of purchase of a security, nor shall it fall below one (1) day.  The maximum legal final maturity of any corporate debt obligation or weighted average life for any asset-backed security purchased by the Strategy shall be ten years.

Asset-Backed Securities - Up to 100% of the Strategy's holdings at the time of purchase may be invested in asset-backed securities.

Issuer Limit - The maximum exposure to any one single issuer and its affiliates (other than repurchase agreements, securities issued or guaranteed by the U.S. Treasury or guaranteed by the U.S. government) will be limited to 5% of the market value of the overall Strategy at the time of purchase.

Note:

All information provided herein regarding JPMorgan Index products (referred to herein as "Index" or "Indices"), including without limitation, the levels of the Indices, is provided for informational purposes only and nothing herein constitutes, or forms part of, an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction, or a valuation or price for any product referencing the Indices.  Nor should anything herein be construed as a recommendation to adopt any investment strategy or as legal, tax of accounting advice.

There are risks involved with investing, including possible loss of principal. You should refer to the Strategy's Disclosure Document (SDD) for a complete description of the risks of investing in the Strategy. Please contact SSGA's relationship management team for a copy of the SDD.