TRAKRS PIMCO SPTR

PIMCO StocksPLUS Total Return TRAKRS (PIMCO SPTR TRAKRS) are non-traditional futures contracts that seek to outperform the Standard & Poor's 500 Index by combining passive equity index exposure with exposure to an actively managed total return fixed-income portfolio. They also enable you to:

• Track the performance of the PIMCO StocksPLUS Total Return TRAKRS Index which in turn tracks the PIMCO StocksPLUS Total Return Master Index (the PIMCO Master Index)

 
Things to know:

• The PIMCO Master Index is a total return index that represents the performance of a portfolio with a target allocation of 100 percent notional exposure to each of the total return of the S&P 500 and the PIMCO Total Return Collateral Index, subject to the Financing Rate Component (as defined below).
  • The PIMCO Master Index will be calculated based on the total return value of the S&P 500 and the value of the PIMCO Total Return Collateral Index less the Financing Rate Component, as described in more detail under "Description of the PIMCO StocksPLUS Total Return Master Index" in the Disclosure Document
  • The notional exposure to the S&P 500 and the PIMCO Total Return Collateral Index will be rebalanced monthly in order to maintain full exposure to each component index.
  • The notional amount underlying the Financing Rate Component will be reset accordingly. Both the Index and the PIMCO Master Index will be subject to certain fees and expenses, as described in the Disclosure Document
• The S&P 500 is a market-capitalization weighted index of common stocks which reflects price changes in the component stocks. The total return of the S&P 500 includes the dividend yield on the underlying stocks.
• The PIMCO Total Return Collateral Index is an index that represents the performance of one or more qualified separate accounts actively managed by Pacific Investment Management Company LLC (PIMCO).
  • At present, only one Account is expected to satisfy the criteria for inclusion in the PIMCO Total Return Collateral Index
  • However, additional separate accounts managed by PIMCO may be added in the future, if other accounts satisfy these criteria
• The PIMCO Separately Managed Accounts will consist of Exempt Securities and other Permissible Instruments (each defined in the Disclosure Document).
  • The Financing Rate Component is a structural cost component that reflects the assumed financing cost associated with obtaining full exposure to each component index of the PIMCO Master Index.
  • Please see the more detailed description under "Description of the Financing Rate Component" in the Disclosure Document
• For additional details on the Index methodology, visit www.trakrs.com
• One contract is currently listed, with an expiration date of October 26, 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.