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Enhanced Core
(as of December 31, 2009)
Philosophy
The objective of our Enhanced Core 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. While up to 40% of the portfolio may be invested in high yield securities, the portfolio average quality is rated "BBB" or better.

Portfolio
Characteristics		PortfolioBarclays
Agg
Weighted Average Price102.30103.57
Coupon*5.50%4.68%
Yield to Maturity4.63%3.69%
Yield to Worst4.53%3.68%
Option Adjusted Duration4.654.57
Weighted Average Life6.026.80
Option Adjusted Spread144.0761.14
Moody's RatingA1Aa2
S&P RatingA+A+
Source: Barclays Capital
*Average coupon excludes cash equivalents

Top Ten
Credit Issuers in Portfolio		% of
Portfolio
General Electric Capital Corp1.5%
Prudential Financial Inc1.2%
JPMorgan Chase & Co1.1%
Dow Chemical Co/The0.9%
Citigroup Inc0.9%
Telefonica Emisiones SAU0.8%
Capital One Financial Corp0.8%
Comcast Corp0.8%
Kraft Foods Inc0.8%
Royal Bank of Scotland Group PLC0.8%
Percentages reflect only credit issues with maturity of one year or greater

Sector
Weightings		% of
Portfolio		Barclays
Agg
Treasury18.0%26.0%
Agency0.0%9.2%
Corporate Investment Grade 34.1%19.1%
Non-Corporate Investment Grade 0.2%4.2%
High Yield7.2%0.0%
Mortgage Backed Securities (MBS) 35.2%41.1%
Asset-Backed Securities (ABS) 0.4%0.4%
Collateralized Mortgage Obligations (CMO) 0.3%0.0%
Other0.4%0.0%
Cash & Cash Equivalents 4.3%0.0%
Source: Barclays Capital
Lehman Brothers indices were re-branded as Barclays Capital indices in November 2008.
Totals may not add up to 100% due to rounding.

Sector Weightings
Source: Barclays Capital
Lehman Brothers indices were re-branded as Barclays Capital indices in November 2008.
Totals may not add up to 100% due to rounding.

Quality
Breakdown		% of PortfolioBarclays
Agg
Aaa56.4%78.2%
Aa6.0%3.8%
A15.0%9.8%
Baa14.7%8.1%
Ba2.2%%0.0%
B3.6%0.0%
<B0.5%0.0%
NR1.7%0.0%
Source: Barclays Capital
SCM Composite Ratings
Lehman Brothers indices were re-branded as Barclays Capital indices in November 2008.
Totals may not add up to 100% due to rounding.
Quality Breakdown
© SCM Advisors LLC 2009.