objective

The funds/portfolios pursue the income, return, and term objectives by purchasing certain eligible asset backed securities using capital and financing obtained from the Federal Reserve Bank of New York through TALF.

TALF-eligible asset backed securities currently include U.S. dollar denominated cash asset backed securities that have credit ratings in the highest long or short term investment grade category, and are restricted to specific underlying collateral types - in most cases, to securities issued during 2009. Depending on the sector and tenor of each asset backed security, currently TALF permits borrowers to leverage their investment 5 to 20 times and therefore the leverage used by the funds/portfolios under this composite is substantial allowing these funds/portfolios to earn levered returns well in excess of the yields on their un-levered asset backed security investments. Given the restrictions on eligible collateral under TALF, these funds/portfolios are relatively non-diversified, having relatively high issuer and investment sector concentrations. The funds/portfolios in this composite target absolute returns in the range of 8-12%.There is no external benchmark for this composite as portfolios included in this composite are focused on absolute return as opposed to relative return.

quality