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Investment Grade
(as of December 31, 2009)
Philosophy
The objective of our Investment Grade fixed income discipline is to enhance portfolio return over time without incurring interest rate or credit risk that is significantly greater than that of the market. SCM blends top down macro-economic analysis with bottom up issue and structure research to build portfolios. The portfolio average quality is typically rated "A" or better.

Portfolio
Characteristics		PortfolioBarclays
Agg
Weighted Average Price103.10103.57
Coupon*4.82%4.68%
Yield to Maturity3.84%3.69%
Yield to Worst3.65%3.68%
Option Adjusted Duration4.584.57
Weighted Average Life6.126.80
Option Adjusted Spread91.8361.14
Moody's RatingAa3Aa2
S&P RatingAAA+
Source: Barclays Captial
*Average coupon excludes cash equivalents

Top Ten
Credit Issuers in Portfolio		% of
Portfolio
Morgan Stanley1.7%
General Electric Capital Corp1.3%
Prudential Financial Inc1.1%
Capital One Financial Corp1.1%
Kraft Foods Inc1.1%
Citigroup Inc1.0%
Comcast Corp1.0%
Dow Chemical Co/The1.0%
Pfizer Inc0.9%
JPMorgan Chase & Co0.9%
Percentages reflect only credit issues with maturity of one year or greater

Sector
Weightings		% of
Portfolio		Barclays
Agg
Treasury21.5%27.7%
Agency0.0%9.0%
Corporate Investment Grade 38.8%18.8%
Non-Corporate Investment Grade0.2%4.3%
Mortgage Backed Securities (MBS) 36.9%40.0%
Asset-Backed Securities (ABS) 0.0%0.4%
Collateralized Mortgage Obligations (CMO) 1.8%0.0%
Cash & Cash Equivalents 0.9%0.0%
Source: Barclays Capital
Totals may not add up to 100% due to rounding.

Sector Weightings
Source: Barclays Capital
Totals may not add up to 100% due to rounding.

Quality
Breakdown		% of
Portfolio		Barclays
Agg
Aaa59.1%78.1%
Aa7.8%4.1%
A15.0%9.7%
Baa116.5%8.1%
Ba0.0% 0.0%
B0.0%0.0%
<B0.0% 0.0%
NR1.6%0.0%
Source: Barclays Capital
SCM Composite Ratings
Totals may not add up to 100% due to rounding.
Quality Breakdown
© SCM Advisors LLC 2009.