U.S. High Yield BB-B Constrained Index Strategy

The Strategy seeks an investment return that approximates as closely as practicable, before expenses, the performance of its benchmark index (the "Index") over the long term.

BENCHMARK: ICE BofA BB-B US High Yield Constrained Index

The Strategy is managed using an "indexing" investment approach, by which SSGA attempts to approximate, before expenses, the performance of the Index over the long term. The Strategy will not necessarily own all of the securities included in the Index.

The Strategy may attempt to invest in the securities comprising the Index, in the same proportions as they are represented in the Index, in limited cases where we believe it is practical to do so. However, due to the diverse composition of securities in the Index and the fact that many of the securities comprising the Index may be unavailable for purchase, it may not be possible for the Strategy to purchase some of the securities comprising the Index. In such a case, SSGA will select securities for the Portfolio that SSGA expects will provide a return comparable to that of the Index.

SSGA expects that it will typically seek to replicate Index returns for the Portfolio through investments in the "cash" bond markets - actual holdings of debt securities and other instruments - rather than through "notional" or "synthetic" positions achieved through the use of derivatives, such as futures contracts or swap transactions. The Strategy may at times use derivatives, including credit default swaps and futures, in lieu of investment directly in the securities making up the Index. The Strategy might do so, for example, in order to increase its investment exposure pending investment of cash in securities or otherwise as part of an index replication strategy.

Alternatively, the Strategy might use such instruments to reduce its investment exposure in situations where it intends to sell a portion of the securities in its portfolio but the sale has not yet been completed.

The Strategy's return may not match the return of the Index. There may be an increased variance between the return of the Strategy and the return of the Index due to differences between the Index pricing source and the source utilized to price the Strategy.

Note:

Source ICE BofA, used with permission. ICE BofA does not guarantee the suitability, quality, accuracy, timeless, and/or completeness of the ICE BofA indices, and does not sponsor, endorse, or recommend SSGA or its products or services. Prior to 12/1/2022, the benchmark was Bloomberg U.S. High Yield Custom BB/B ex-144A Index.

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.