- The Commercial Mortgage & MBS Strategy composite is comprised of those client accounts that contain two sub accounts – one containing whole loan commercial mortgages and one containing government agency mortgage-backed securities (MBS).
- The whole loan commercial mortgages are underwritten and originated by D.B. Fitzpatrick and are not liquid securities.
- The MBS account is utilized as a source of funds for loan origination and also the destination for loan payments and payoffs from the commercial mortgage account.
- Performance for the commercial mortgages is tracked using both cost basis returns and market returns. Market value of commercial loans is calculated based on the duration of the loan and a yield spread above the U.S. Treasury Curve.
- Portfolio manager attempts to generate excess returns relative to the Barclays U.S. MBS Index by originating and holding commercial loans in a variety of property types. Cash is not held as a tactical allocation. No derivatives are used. Minimum account value for inclusion in this composite is $50 million.
Composition as of December 31, 2017
The Barclays U.S. MBS Index contains exclusively agency mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). Both DBF returns and index returns reflect the reinvestment of dividends and other earnings. Indices are included for comparison purposes only and do not include transaction costs. Volatility, number of issues, capitalization size, year-to-year return history, and other security attributes of the indices differ from the attributes of the DBF portfolios.
D.B. Fitzpatrick (DBF) is an independent investment management firm established in 1984 and is registered with the U.S. Securities and Exchange Commission and the Idaho Department of Finance. Registration does not imply a certain level of skill or training. DBF manages a variety of equity, fixed-income, and balanced assets for institutional and individual clients. DBF also manages the Idaho Commercial Mortgage Program which offers local funding to institutional grade Idaho commercial properties.
- Future returns will depend on future allocation decisions. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that when redeemed, investments may be worth more or less than the original cost.
- Any investment, including DBF’s portfolios, has the potential of generating losses as well as profits.