Benchmark Descriptions

Barclays Capital U.S. Aggregate Bond Index

The Barclays Capital U.S. Aggregate Bond Index covers the USD-denominated, investment grade, fixed-rate or step up, taxable bond market of SEC-registered securities and includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS sectors. Securities included in the Index must have at least one year until final maturity and be rated investment grade (Baa3/BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.

Barclays Capital U.S. Corporate Index

The Barclays Capital U.S. Corporate Index covers USD-denominated, investment grade, fixed-rate or step up, taxable securities sold by industrial, utility, and financial issuers. It includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. Securities included in the index must have at least one year until final maturity and be rated investment grade (Baa3/BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.

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iBoxx EUR Corporate Bond Index

The iBoxx EUR benchmark is made up of only fixed-rate bonds or step ups whose cash flow can be determined in advance. The indices are composed solely of bonds. Treasury Bills and other money market instruments are not eligible. The iBoxx EUR indices include only Euro and legacy currency denominated bonds. Securities must be rated investment grade (Baa3/BBB-/BBB-) or above by at least one of the following rating agencies: Standard & Poor’s, Moody’s, or Fitch and have at least one year until final maturity at the rebalancing date.

Barclays Capital U.S. Corporate High Yield Bond Index

The Barclays Capital U.S. Corporate High Yield Index covers the USD-denominated, non-investment-grade, fixed-rate or step up, taxable corporate bond market. The index excludes emerging markets debt. Securities must be rated below investment grade (Ba1/BB+/BB+ or below) using the middle rating of Moody’s, S&P, and Fitch, and have at least one year until final maturity.

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JP Morgan EMBI Global Diversified

The Emerging Markets Bond Index Global Diversified (EMBI Global) tracks total returns for USD-denominated debt instruments issued by emerging markets sovereign and quasi-sovereign entities: Brady bonds, loans, and Eurobonds. It limits the weights of those index countries with larger debt stocks by including only specified portions of these countries’ eligible current face amounts of debt outstanding. To be deemed an emerging market by the EMBI Global Diversified Index, a country must be rated Baa1/BBB+ or below by Moody’s/S&P rating agencies.

Barclays Capital U.S. High Yield Loan Index

The Barclays Capital U.S. High Yield Loan Index provides broad and comprehensive total return metrics of the universe of syndicated term loans. To be included in the index, a bank loan must be USD-denominated and have at least at least one year until final maturity. Credit quality must either be rated high yield (BB+ or below) or not rated (NR) by S&P.

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Barclays Capital Global Aggregate Index

The Barclays Capital Global Aggregate Index provides a broad-based measure of the global investment grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes eurodollar and euro-yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities. Securities included in the index must have at least one year until final maturity and be rated investment grade (Baa3/BBB-/BBB) or better using the middle rating of Moody’s, S&P, and Fitch.

Barclays Capital U.S. Long Government/Credit Index

The Barclays Capital U.S. Government/Credit Index covers USD-denominated and non-convertible, publicly issued U.S. Government or investment-grade securities that are fixed rate or step ups. Securities must have a maturity of 10 years or greater and be rated investment grade (Baa3/BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.

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Barclays U.S. Long Corporate Bond Index

The Barclays Capital U.S. Long Corporate Bond Index covers USD-denominated and non-convertible, publicly issued securities that are fixed-rate or step ups. Securities must have a maturity of 10 years and be rated investment grade (Baa3/BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.

Barclays Capital U.S. Intermediate Aggregate Index

Barclays Capital Intermediate U.S. Aggregate Index is a subset of the Barclays Capital U.S. Aggregate Index with maturities of 1-10 years. The U.S. Aggregate Index covers the USD-denominated, investment grade, fixed-rate or step up, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS sectors. Securities must be rated investment grade (Baa3/BBB-/BBB-) or above using the middle rating of Moody’s, S&P, and Fitch and at least one year until final maturity.

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Barclays Capital U.S. Intermediate Government/Credit Bond Index

The Barclays U.S. Intermediate Government/Credit Bond Index covers USD-denominated and non-convertible, publicly issued U.S. Government or investment grade securities that are fixed-rate or step ups. Securities must have maturities from one year up to (but not including) 10 years and be rated investment grade (Baa3/BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.

Barclays Capital U.S. 1-5 Year Credit Index

Barclays Capital U.S. 1-5 Year Credit Index is a subset of the Barclays Capital Credit Index with maturities of 1-5 years. The U.S. Credit Index is composed of the U.S. Corporate Index and the non-native currency subcomponent of the U.S. Government-Related Index. The U.S. Credit Index includes publicly issued U.S. corporates, specified foreign debentures and secured notes denominated in USD. Securities must be rated investment grade (Baa3/BBB-/BBB-) or above using the middle rating of Moody’s, S&P, and Fitch.

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