CCP 11-28-1994 - Laserfiche WebLink

Home Browse Search

Portfolio Composition INSTITUTIONAL As ,;1 perantage ur tutai d$sets GOVERNMENT INCOME .s. Ag,ncy verse Floaters 21 % PORTFOLIO u.s. Agency Inverse Interest-Only 8% U.s. Agency October 31,1994 Z-bonds 6O/', u.s. Agency Interest-Only S'Y" l11Stit1itioll~zl GOl'ernmellt Income Portj()/jo '5 investment nhieail'c is <.l Receivable for ~ high lel,eI of current income co1tsistent with prcserl'~ltj()1I o{ (.Iplt.?l. SCl..:urities Sold'" 12 'X, U.S. Agency I Since early 1994, we have been modifying the composition of the Principal-Only 13 % Short-Term 16'Yo I portfolio as we have implemented a three-part strategy for the fund: u.s. Treasury 19'Y" I. Rebalance the portfolio with an emphasis on "Added to short-term position of fund in early November short-term U.S. Treasuries in an effort to reduce net asset value (NAV) volatility. Fund Performance The potential for further rate increases in the remainder of 1994 remains high, and our clients are clearly concerned about continued erosion to Fund performance calculations are through ,he fund's NA V. Therefore, we have taken the following steps ro October 31, 1994, and reflect the reinvestment of all rebalance the portfolio, which have reduced the fund's volatilitv. We dividend and capital gains distributions. plan ro continue rebalancing the fund through the middle of ~ovember One-Year Total Return in an attempt to furrher reduce volatility. .Does not ref/ect 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) Instinttionai Government Income PortfoHo.....~28.96% lvlerrill Lynch 3.5 Year Treasury Index.........-2.37% will be in cash and one- and two-year Treasury securities. Average Annual Total Returns . During most of the period since June, the Institutional Government Ref/ects the fund's 1.5% sales charge. Income Portfolio has been a net seller of mortgage derivatiYe One- Y ear ....................................................~30.02 ~,~) securities. As we have sold these securities, we have made adjustments Five- Year .......................................................4.02 S/o in the composition of that porrion of the portfolio, concentrated in Since Inception (7/11/88) ...............................5.21 % two areas: We are selling securities that have long~term recovery potential in favor of securities that we believe are likely to recover in Fund Statistics a shorter time frame; and we are generally selling more principaJ~only securiries (POs) and inverse f10arers while buying interest~only securities (IOs) and U.S. Treasury securities. Currendy, 870-0 of the Net Assets $487 million securities in the portfolio have a par value thar is issued or guaranteed Net Asset Value $7.67 at maturity by the U.S. government or an agenL!, of the U.S. Inception Date July 1988 government. These securities remain severely discounted with their Fiscal Year End September 30 average price at $73 fot $100 of par value. This is down ftom 92 %, primarily resulting from our sale of POs and our slightly increased Ticker Symbol PJ1GX purchase of lOs, which may have income earning capabilities and Initial Investment Fund closed to may act as a hedge against the PO component of the portfolio. new investors Over the past several months the sale-forward (dollar-roll) program . Subsequent Investments $2,500 was reduced. In October, it was discontinued pending more favorable 12-Month Distribution $1.18 market conditions. . Contil1ltr:.'d rm back page --------- ------