Key Characteristics as of 12/31/11
| Top Ten Holdings1 | |||
|---|---|---|---|
| Coupon | Maturity Date | ||
| U.S. Treasury Notes | 0.250 | 12/15/2014 | 3.63% |
| U.S. Treasury Notes | 0.500 | 8/15/2014 | 2.12% |
| U.S. Treasury Notes | 0.125 | 12/31/2013 | 1.96% |
| U.S. Treasury Notes | 1.000 | 10/31/2016 | 1.62% |
| U.S. Treasury Notes | 0.375 | 11/15/2014 | 1.18% |
| Federal Home Loan Mortgage Corp. | 2.000 | 8/25/2016 | 1.11% |
| Morgan Stanley Capital | 5.230 | 9/15/2042 | 0.93% |
| Miramax LLC | 6.250 | 10/20/2021 | 0.90% |
| Ford Credit Auto Lease Trust | 1.050 | 10/15/2014 | 0.90% |
| Federal Home Loan Mortgage Corp. | 1.000 | 8/27/2014 | 0.83% |
| Total | 15.16% | ||
| View Full Quarterly Holdings |  | ||
| Characteristics | |
|---|---|
| Number of Positions | 332 |
| Average Maturity (Years) | 2.19 |
| Average Duration (Years) | 1.85 |
| R-Squared3 | 0.33 |
| Sector Allocations2 | |
|---|---|
| Corporate Notes/Bonds | 39.9% |
| CMBS | 20.7% |
| Asset Backed Securities | 13.6% |
| Treasury Notes/Bonds | 12.5% |
| CMOs | 7.8% |
| Government Agencies | 1.9% |
| Mortgage Backed Securities | 0.0% |
| Short-Term/Other Assets and Liabilities | 3.7% |
1 Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell individual securities.
2 Sector Allocations are subject to change.
3 Risk characteristics are relative to The Barclays Capital U.S. Government 1-3 Year Bond Index, and for the three-year period as of 12/31/11.