Key Characteristics as of 12/31/11
| Top Ten Holdings1 | |||
|---|---|---|---|
| Coupon | Maturity Date | ||
| U.S. Treasury Notes | 0.880 | 11/30/2016 | 4.10% |
| FNMA MBS | 3.500 | 12/1/2041 | 3.97% |
| FNMA MBS | 4.000 | 12/1/2041 | 3.62% |
| FNMA MBS | 4.000 | 9/1/2040 | 2.81% |
| U.S. Treasury Bonds | 4.380 | 5/15/2041 | 2.72% |
| FHLMC MBS | 4.000 | 12/1/2040 | 2.69% |
| FNMA MBS | 5.000 | 11/1/2039 | 2.47% |
| FNMA MBS | 5.500 | 1/1/2038 | 1.86% |
| FNMA MBS | 4.500 | 12/1/2041 | 1.53% |
| U.S. Treasury Notes | 2.130 | 8/15/2021 | 1.35% |
| Total | 27.12% | ||
| View Full Quarterly Holdings |  | ||
| Characteristics | |
|---|---|
| Number of Positions | 285 |
| Average Maturity (Years) | 6.78 |
| Average Duration (Years) | 4.97 |
| R-Squared3 | 0.81 |
| Sector Allocations2 | |
|---|---|
| Corporate Notes/Bonds | 28.6% |
| Mortgage Backed Securities | 21.0% |
| CMBS | 18.2% |
| CMOs | 13.6% |
| Treasury Notes/Bonds | 11.5% |
| Asset Backed Securities | 2.2% |
| Taxable Municipals | 1.0% |
| Tax Exempt Municipals | 0.7% |
| Government Agencies | 0.0% |
| Short-Term/ Other Assets and Liabilities | 3.1% |
1 Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell individual securities.
2 Sector holdings are subject to change.
3 Risk characteristics are relative to Barclays Capital Aggregate Bond Index, and for the three-year period as of 12/31/11.
Portfolio holdings and sector weightings are subject to change and should not be considered a recommendation to buy or sell individual securities.