Key Characteristics as of 3/31/12
| Top Ten Holdings1 | |||
|---|---|---|---|
| Coupon | Maturity Date | ||
| U.S. Treasury Notes | 0.380 | 3/15/2015 | 3.07% |
| U.S. Treasury Notes | 0.380 | 11/15/2014 | 2.66% |
| Federal Home Loan Mortgage Corp. | 2.000 | 8/25/2016 | 1.00% |
| Bear Stearns Commercial Mortgage Securities | 5.410 | 12/11/2040 | 0.95% |
| Morgan Stanley Capital | 5.230 | 9/15/2042 | 0.86% |
| CS First Boston Mortgage Securities Corp. | 5.420 | 5/15/2036 | 0.86% |
| U.S. Treasury Notes | 0.880 | 2/28/2017 | 0.84% |
| Ford Credit Auto Lease Trust | 1.050 | 10/15/2014 | 0.82% |
| U.S. Treasury Notes | 0.250 | 12/15/2014 | 0.81% |
| Morgan Stanley Capital I | 5.420 | 3/12/2044 | 0.78% |
| Total | 12.65% | ||
| View Full Quarterly Holdings |  | ||
| Characteristics | |
|---|---|
| Number of Positions | 354 |
| Average Maturity (Years) | 2.31 |
| Average Duration (Years) | 1.89 |
| R-Squared3 | 0.32 |
| Sector Allocations2 | |
|---|---|
| Corporate Notes/Bonds | 40.5% |
| CMBS | 21.3% |
| Asset Backed Securities | 14.0% |
| Treasury Notes/Bonds | 9.9% |
| CMOs | 9.6% |
| Government Agencies | 1.8% |
| Taxable Municipals | 0.3% |
| Mortgage Backed Securities | 0.0% |
| Short-Term/Other Assets and Liabilities | 2.7% |
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 3/31/12.