Benchmark Descriptions

The financial indices referenced herein are provided for informational purposes only. The use of benchmarks has limitations because strategy characteristics and related holdings will differ from those of the benchmark(s), and such differences may be material. In addition, certain factors affecting strategy performance do not affect benchmark performance, including portfolio rebalancing, the timing of cash flows, credit quality, diversification and differences in volatility. Financial indices reflect the reinvestment of income, if any, but do not reflect the impact of fees, applicable taxes or trading costs which may reduce the returns shown. You cannot invest directly in an index. The statistical data regarding such indices has been obtained from sources believed to be reliable but has not been independently verified.

Barclays U.S. Aggregate Bond Index

(Barclays U.S. Aggregate Index)
The Barclays 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 Treasury, Government-Related, Corporate, MBS (agency fixed-rate & hybrid ARM passthroughs), ABS, & CMBS sectors. Securities included in the index must have at least 1 year until final maturity & be rated investment-grade (Baa3/ BBB-/BBB-) or better using middle rating of Moody's, S&P, & Fitch.

Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index

(ML 3-Month LIBOR Index)
The Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index tracks the performance of a synthetic asset paying Libor to a stated maturity. The index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day's fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument.

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Barclays U.S. Credit Bond Index

(Barclays U.S. Credit Index)
The Index is comprised 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. corporate, specified foreign debentures and secured notes denominated in USD. Securities included in the index must have at least 1 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.

Credit Suisse Leveraged Loan Index

CS Leveraged Loan Index)
Credit Suisse Leveraged Loan Index is a representative, unmanaged index of tradable, U.S. dollar denominated floating rate senior secured loans and is designed to mirror the investable universe of the U.S. dollar denominated leveraged loan market. The Index return does not reflect the impact of principal repayments in the current month.

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Barclays U.S. Long Corporate Bond Index

(Barclays U.S. Long Corporate Index)
Barclays 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.

Long Duration Custom Benchmark

(Client-Directed Liability Based Benchmark).
The customized benchmark for this composite is an asset weighted average of each composite member's benchmark return rebalanced monthly. As of December 31, 2011, each portfolio's benchmark is based on the portfolio's liability returns. The liability return is the change in present value of the liability over a given period. The present value of the liability is calculated by discounting each cash flow by the discount rate in the treasury strip market for the timing of the cash flow.

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Barclays Global Aggregate Corporate Index Unhedged

(Barclays Global Corporate Index (Unhedged))
Barclays Global Aggregate Corporate Index Unhedged is a component of the Global Aggregate Index that includes the global investment-grade, fixed-rate or step up, taxable securities sold by industrial, utility and financial issuers. The three major components of this index are the U.S. Aggregate Corporate, the Pan-European Aggregate Corporate, and the Asian-Pacific Aggregate Corporate indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian corporate securities, and USD investment-grade 144A securities. Securities included in the index must have at least 1 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 Global Aggregate Bond Index USD Unhedged

(Barclays Global Aggregate Index)
The 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 1 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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JP Morgan Emerging Markets Bond Index Global Diversified

(JPM EMBI Global Diversified Index)
The index tracks total returns for USD-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, and Eurobonds. It limits the weights of those index countries with larger debt stocks by only including 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.

Custom Emerging Market Debt (50/50 Blend) Benchmark

(Blend of JPM EMBI Global Diversified & GBI-EM Global Diversified)
The index is an even blend of the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index and the JPMorgan Emerging Markets Bond Index Global Diversified Index. The Government Bond Index-Emerging Markets Global Diversified Index (GBI-EM Global) tracks total returns for local currency bonds issued by emerging market governments while the Emerging Markets Bond Index Global Diversified (EMBI Global) tracks total returns for USD-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, and Eurobonds. It limits the weights of those index countries with larger debt stocks by only including specified portions of these countries' eligible current face amounts of debt outstanding.

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JPMorgan Government Bond Index-Emerging Markets Global Diversified Index

JPM GBI-EM Global Diversified Index)
The index tracks total returns for local currency bonds issued by emerging market governments.

3 Month U.S. Dollar LIBOR (London Interbank Offered Rate)

(3 Month LIBOR)
Rate is the stated rate of interest at which banks in the London wholesale money markets may borrow funds from one another for three months. The daily rate set by the British Bankers' Association set on the last day of each calendar month is used to derive the return for the upcoming month. Reset monthly for Emerging Markets Long/Short Composite and reset quarterly for U.S. Government/Agency Long Short Composite.

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