CCP 11-28-1994 - Laserfiche WebLink

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Portfolio Composition IN S TITUTI 0 N AL ils t.l jJercentu.ge of tot.ll .Issets GOVERNMENT INCOME PORTFOLIO October 31,1994 U S Agcnc... Interest-Only 'iO!" Institutional Gouemment Incume Po rtlo!io '$ im'cstment oh;i!CtiL'(' is a Receiv:lble for high feud oj" current incnme ClillS/$!t'llt with !Jresen'atio!l o{ (.IpItd!. Securities Sold * U.S. Agency Principal-Only [30" Since early 1994, we haye been modifying the composition of the Shorr-Term 16'% portfolio as we have implemenreda three~part strategy for the fund: u.s_ Tre.1SUfY 19",;, I. Rebalance the portfolio with an emphasis on ". Added to sf)()yt-term position of fimd in earl~' November short-term U.S. Treasuries in an effort to reduce net asset value (NAV) volatility. Fund Performance The potential for further rate incre3.ses in the remainder of 1994 remains high, and our clients are dearly concerned about continued erosion to Fund performance calculations are through the fund's NA V. Therefore, we have taken the following steps to October 31, 1994. and reflect the reinvestment of aJl rebalance the portfolio. which have reduced the fund's volatility. We dividend and capital gains distributions. plan to continue rebalancing the fund through the middle of ","ovember One-Year Total Return in an attempt to further reduce volatility. .Does not reflect the fund's 1.5% sales charge. . We have increased the U.S. Treasury component of the fund. By early November, approximately 45% of portfolio holdings ($220 million) Institutional Go....ernment Income Pon:folio.....~28.96% Merrill Lynch 3-5 Year Treasury Index.........~2.37% will be in cash and one- and t\vo-year Treasury securities. Average Annual Total Returns . During most of the period since June, the Institutional Government Reflects the fund's 1.50/0 sales charge. Income Portfolio has been a net seller of morrgJge derivative One~ Year ....................................................-30.020/0 securities. As we have sold these securities, we have made adjustments Five~ Year .....................__................................4.020/0 in the composition of that portion of the portfolio, concentrated in Since Inception (7/11/881 ,.,............................5.21 % two areas: We are selling securities that have long. term recovery potential in favor of securities that \ve believe ~lre likely to recover in Fund Statistics a shorter time frame; and we are generally selling more principal-only securities (POs) and in-verse floarers while buying interesr-only securities (IOs) ,lnd U.S. Treasury securities. Currendy, 87% of the Net Assets 5487 million securities in the portfolio ha ve a par value [hat is issued or guaranteed Net Asset Value $7.67 at maturity by the U.S. government or an agenLY of the U.S. Inception Date JulV 1988 government. These securities remain severely discounted with their Fiscal Year End Sep[ember 30 average price at 573 for $100 of par value, This is down from 92~,-o, Ticker Symbol PJIGX primarily resulting from our sale of POs and our slightly increased purchase of lOs, which may have income earning cJpabilities and Initial Investment Fund closed to may act as a hedge against the PO component of the portfolio. new mveswrs . Over the past several months the sale-forward (dollar-roll) program Subsequent Investments $2.500 was reduced. In October, it WJS discontinued pending more favorable 12-Month Distribution $1.18 market conditions. . Colltinued f)/l back page