ABSOLUTE RETURN PRODUCTS


DMR Mortgage Opportunity Strategy


Inception Date 5/15/2008
Benchmark High Absolute Return
Credit Quality Stressed & Distressed
Primary Sectors Senior Class RMBS

Short Tenor Strategies


Inception Date 11/1/2007 and later
Benchmark Merrill Lynch 3 Month Libor
Credit Quality Senior Class Securities
Primary Sectors MBS, Non-Agency RMBS, Consumer ABS, and CMBS

TALF and ABS Strategy


Inception Date 7/27/2009
Benchmark Moderate / High Absolute Return
Credit Quality AAA
Primary Sectors Short Tenor CMBS