- 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 is 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 Bloomberg 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 March 31, 2023
The Bloomberg U.S. MBS Index contains exclusively agency mortgage-backed pass-through securities issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). Index returns include the reinvestment of income and dividends but do not include management fees and transactions costs. Indices are included for comparison purposes only. 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.
“Bloomberg®” and The Bloomberg U.S. MBS Index are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have ben licensed for use for certain purposes by DBF. Bloomberg is not affiliated with DBF, and Bloomberg does not approve, endorse, review, or recommend The Commercial Mortgage & MBS Strategy Composite. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to The Commercial Mortgage & MBS Strategy Composite.
DB Fitzpatrick (DBF) is an independent investment management firm established in 1984 and is registered with the U.S. Securities and Exchange Commission and licensed with the Idaho Department of Finance. Registration does not imply a certain level of skill or training. DBF manages a variety of equity, balanced, fixed income, and commercial mortgage assets for institutional and individual clients.
- The composite returns are based on the “market value” of commercial mortgage loans in the composite. Because these are not liquid securities the firm utilizes a proprietary valuation process based on the U.S. Treasury yield curve to arrive at a hypothetical market value. Given the nature of these assets, the whole loan portfolio is valued using subjective unobservable inputs. Returns based on cost differ from returns based on market value. For questions, please contact Tammie Gonzalez at email@example.com or call (208) 342-2280.
- Valuations and returns are computed and stated in U.S. Dollars.
- All account returns are net of transaction costs and reflect the reinvestment of dividends and other earnings. Gross returns do not reflect the deduction of the management fees. Net returns are net of model management fees in effect for the respective time period and are derived using the maximum rate of the fee schedule. Actual returns may vary.
- The minimum portfolio size for inclusion in this composite is $50,000,000.
- 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.
- D.B. Fitzpatrick & Co., Inc. is the full legal name of the investment management firm.