TRAKRS PIMCO CRR

PIMCO CommodityRealReturn TRAKRS (PIMCO CRR TRAKRS) are non-traditional futures contracts that provide a way to obtain 100 percent exposure to the Dow Jones AIG Commodity Total Return Index and the return on a PIMCO-managed real return bond portfolio. They also enable you to:

• Track the PIMCO CommodityRealReturn TRAKRS Index

Things to know:

• The DJ AIG Commodity Index is an excess return index that tracks the performance of exchange-traded futures contracts on physical commodities, including energy, metal and agricultural products
  • It is enhanced by an index of one or more qualified separate accounts invested in exempt securities, and in certain other financial instruments excluding non-exempt securities
  • It is actively managed by Pacific Investment Management Company LLC (PIMCO)
• PIMCO CRR TRAKRS are designed to track the performance of the PIMCO CommodityRealReturn DJ-AIGCI TRAKRS Index, which, in turn, tracks the PIMCO CommodityRealReturn DJ-AIGCI Master Index (PIMCO Master Index).
  • The PIMCO Master Index is a total return index that represents the performance of a portfolio with a target allocation of 100% notional exposure to the Dow Jones-AIG Commodity Index (DJ-AIGCI) and an equivalent target allocation to a hypothetical investment in the PIMCO Real Return Collateral Index
• The PIMCO Real Return Collateral Index is an index that represents the performance of one or more qualified separate accounts actively managed by PIMCO (the PIMCO Separately Managed Accounts).
  • The PIMCO Separately Managed Accounts will consist of inflation-indexed Exempt Securities and other Permissible Instruments and will be subject to certain fees and expenses, as described in the disclosure document.
• The PIMCO Master Index is able to obtain a 100% allocation to each of its component indices through the inherent leverage associated with the underlying futures in the DJ-AIGCI.
  • The two component indices of the PIMCO Master Index will be rebalanced monthly in order to maintain exposure of approximately 100% to each component as describe in the disclosure document.
• At present, only one account is expected to satisfy the criteria for inclusion in the PIMCO Real Return Collateral Index.
  • However, additional separate accounts managed by PIMCO may be added in the future, if other accounts satisfy these criteria.
• For additional details on the Index methodology, visit www.trakrs.com
• One contract is currently listed, with an expiration date of June 29, 2011
• Contracts trade electronically on the CME Globex platform, Monday through Friday,  8:30 a.m. to 3:00 p.m. Central time
• You can get free live quotes on TRAKRS through CME DataSuite

©2008 CME Group, Inc.