[LOGO] ASTRA
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUSTS ANNUAL REPORT
December 20, 1995
Dear Shareholder:
The performance of the Trusts during the past fiscal year was influenced by many
factors. In late November 1994, long term interest rates began to fall as
inflation failed to accelerate and investors began to anticipate a slowdown in
economic growth. In fact, despite an increase in the Fed Funds rate in February
1995, yields on short and intermediate maturities began to decrease.
Subsequently, over the past six months, economic data has indeed displayed a
slowing economy and few inflationary pressures, prompting the Federal Reserve to
decrease the Fed Funds rate in July 1995.
While the U.S. interest rate environment was generally supportive, the
California real estate market failed to show signs of improvement. As the
investment prospectus outlines, the portfolio in which the Trusts are invested
may purchase subordinated mortgage securities which have generally provided
higher yields than U.S. Government securities. However, the risk of loss due to
default on such instruments is higher since they are not guaranteed by the U.S.
Government. If real estate values hold stable or rise, subordinated mortgages
generally provide attractive returns; however, if real estate values fall or
remain at depressed levels, subordinated mortgages can fall sharply in price.
The Trusts were hampered by credit and default risk on a number of subordinated
mortgage securities in the portfolio primarily backed by Southern California
real estate.
During the second calendar quarter of 1995, a new management team was assembled
led by a new Chief Executive Officer and Chief Financial Officer. The Investment
Committee completed an exhaustive review of all subordinated mortgage securities
held in the portfolio. Upon identifying those particular securities which the
Investment Committee believed might cause additional credit and or default
problems in the future, the Investment Committee has implemented a liquidation
process designed to maximize retention of shareholder value. On October 31,
1995, the portfolio held securities issued or guaranteed by the U.S. Government,
its agencies or instrumentalities totaling 90 percent.
Looking forward into 1996, if credit fundamentals for the remaining subordinated
mortgages held in the portfolio improve or remain stable, U.S. interest rates
decline or remain stable, and the overall environment for Agency adjustable-rate
mortgage securities improves, this can contribute to a general positive backdrop
for the Trusts.
Sincerely,
Astra Management Corporation
<PAGE>
- ---------------
Astra Adjustable U.S. Government Securities Trusts invest all investable assets
in the Astra Institutional Adjustable U.S. Government Securities Portfolio. The
Portfolio seeks to achieve its investment objective by investing at least 65% of
its assets in adjustable-rate mortgage (ARM) securities which are issued or
guaranteed by the U.S. Government, its agencies or instrumentalities ("U.S.
Government Mortgage Securities"). The Portfolio invests the remainder of its
assets generally in mortgage securities that are issued or sponsored by
commercial banks, savings and loan associations, mortgage bankers or other
financial institutions, that have no government guarantee and that are senior or
subordinated to other mortgage securities arising out of the same pool of
mortgages ("Multi-Class Residential Mortgage Securities"). The portion of assets
invested in Subordinated Residential Mortgage Securities may entail greater risk
than the portion invested in senior Mortgage Securities or U.S. Government
Mortgage Securities.
PERFORMANCE DATA REPRESENTS PAST PERFORMANCE. INVESTMENT RETURN AND THE
PRINCIPAL VALUE OF AN INVESTMENT IN THE TRUST WILL FLUCTUATE. SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
2
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS
- --------------------
GENERAL ECONOMIC AND MARKET ENVIRONMENT
The performance of the Trusts during the past fiscal year was influenced by many
factors. The Trusts' fiscal year began in the midst of the Federal Reserve's
attempt to dampen inflationary pressures by slowing the economy through
persistent increases in the Fed Funds rate. As a result, both short-term and
long-term interest rates rose. However, beginning in late November 1994,
long-term interest rates began to fall as inflation failed to accelerate and
investors began to anticipate a slowdown in economic growth. In fact, despite
another Federal Reserve increase in the Fed Funds rate in February 1995, yields
on short and intermediate maturities began to decrease. Subsequently, over the
past six months economic data has indeed displayed a slowing U.S. economy with
little inflationary pressures prompting the Federal Reserve to decrease the Fed
Funds rate in July 1995.
While the U.S. interest rate environment was generally supportive, the
California real estate market failed to show signs of improvement. Despite
improvements in housing starts and housing completions in the Western United
States, a favorable interest rate environment, and little or no inflation,
Southern California real estate prices continued to decline for most of 1995.
ADJUSTABLE RATE MORTGAGE (ARM) MARKET
The market for adjustable rate mortgage securities was very bearish for the
first part of the fiscal year due to primary dealers' relatively large inventory
positions, net redemptions on adjustable rate mortgage funds, and investors
reaction to increased volatility and poor performance of ARMs in a rising
interest rate environment. Most adjustable rate mortgage funds became net
sellers during the first half of the fiscal year, thus, the markets became
saturated with high quality ARM securities at attractive prices.
In the second half of the fiscal year, adjustable rate mortgage securities, in
general, stabilized from the effects of the Federal Reserve's increasing
interest rates during 1994 and the beginning of 1995. This had the desirable
effect of reducing the interest rate risk associated with adjustable rate
mortgage securities.
The credit risks associated with subordinated mortgage backed securities,
however, did not decrease. The recession was much deeper in California than
expected. This resulted in greater than expected default frequencies and
severities. A default generally requires a combination of loss of income and
loss of property equity. California job losses and declining real estate values
continued from late 1989 through mid 1994. The effects of this combination,
however, continued through October 31, 1995. Delinquency rates on Adjustable
Rate Mortgages, as reported by the Mortgage Bankers Association, continued to
increase throughout 1995. The increased defaults at many lending institutions
created a work-out bottleneck that increased the time it took to liquidate a
mortgage. This lengthening increased the costs associated with the foreclosure
process which in turn results in higher future default severities.
ANALYSIS OF THE ASTRA ADJUSTABLE RATE SECURITIES TRUSTS
As the prospectus outlines, the portfolio in which the Trusts are invested may
purchase subordinated mortgage securities which have generally provided higher
historical yields than U.S. Government securities. However, the risk of loss due
to default on such instruments is higher since they are not guaranteed by the
U.S. Government. If real estate values hold stable or rise, subordinated
mortgages generally provide attractive returns; however, if real estate values
fall or remain at depressed levels, subordinated mortgages can fall
3
<PAGE>
sharply in price. Consequently, performance was significantly hampered by credit
and default risk on a number of subordinated mortgage securities primarily
backed by real estate located in Southern California.
Given the previously described scenarios in both the U.S. fixed income and
subordinated mortgage markets, the major focus was to cautiously decrease
exposure in subordinated mortgage securities with the potential for increases in
defaults and delinquencies and selectively add U.S. Government Agency adjustable
rate mortgages. The Investment Committee completed an exhaustive review of all
subordinated mortgage securities held in the portfolio. Upon identifying those
particular securities which the Investment Committee believed might cause
additional credit and or default problems in the future, the Investment
Committee has implemented a liquidation process designed to maximize retention
of shareholder value.
4
<PAGE>
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ASTRA
ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I AND THE LEHMAN BROTHERS MUTUAL
FUND SHORT (1-3) U.S. GOVERNMENT INDEX AND THE LEHMAN BROTHERS ARM INDEX
Based on a $10,000 initial investment, the graph below illustrates that the
total return of the Astra Adjustable U.S. Government Securities Trust I Shares
underperformed the total return of the Lehman Brothers Mutual Fund Short (1-3)
U.S. Government Index as well as the Lehman Brothers ARM Index. Note, however,
that Lehman Indices have inherent performance advantages over any fund, since
they have no cash in their portfolio, impose no sales charges and incur no
operating expenses. Of course, one cannot invest in an index.
----GRAPHICAL REPRESENTATION OF DATA TABLE BELOW----
Average Annual Total Returns
October 31, 1995
1 Year Since Inception**
-11.78% .34%
<TABLE>
<CAPTION>
Inception 10/31/91 01/01/92 10/31/92 10/31/93 10/31/94 10/31/95
--------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Adjustable U.S. Government Securities Trust I $10,000 $10,601 $10,772 $11,294 $11,786 $11,028 $10,159
Lehman Brothers ARM Index* 0 0 10,772 11,191 11,932 11,962 13,180
Lehman Brothers Mutual Fund Short (1-3) U.S. Government Index 10,000 10,683 10,930 11,496 12,088 12,227 13,307
</TABLE>
Inception date of the Trust was February 21, 1991
NOTE: INCLUDES ALL SALES CHARGES
Performance data represents past performance. Past performance is not predictive
of future performance. Investment return and principal value of an investment in
the Trust will fluctuate. Shares, when redeemed, may be worth more or less than
their original cost.
* The Lehman Brothers ARM Index commenced on January 1, 1992. For comparison
purposes, the initial amount applied to the ARM Index on its commencement
date is equal to the value of the hypothetical Trust I account on such
date. All securities in the ARM Index are government agency guaranteed.
** In the past, the Trust's manager has voluntarily waived all or a portion of
its management fees or assumed responsibility for other expenses, which
reduced operating expenses and increased total return to shareholders.
Without these reductions, the total return would have been lower.
5
<PAGE>
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ASTRA
ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I-A AND THE LEHMAN BROTHERS MUTUAL
FUND SHORT (1-3) U.S. GOVERNMENT INDEX AND THE LEHMAN BROTHERS ARM INDEX
Based on a $10,000 initial investment, the graph below illustrates that the
total return of the Astra Adjustable U.S. Government Securities Trust I-A Shares
underperformed the total return of the Lehman Brothers Mutual Fund Short (1-3)
U.S. Government Index as well as the Lehman Brothers ARM Index. Note, however,
that the Lehman Indices have inherent performance advantages over any fund,
since they have no cash in their portfolio, impose no sales charge and incur no
operating expenses. Of course, one cannot invest in an index.
----GRAPHICAL REPRESENTATION OF DATA TABLE BELOW----
Average Annual Total Returns
October 31, 1995
1 Year Since Inception**
-12.10% -2.54%
<TABLE>
<CAPTION>
Inception 10/31/92 10/31/93 10/31/94 10/31/95
--------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Adjustable U.S. Government Securities Trust I-A $10,000 $10,279 $10,732 $10,005 $ 9,149
Lehman Brothers ARM Index* 10,000 10,297 10,980 11,007 12,127
Lehman Brothers Mutual Fund Short (1-3) U.S. Government Index 10,000 10,386 10,921 11,047 12,023
</TABLE>
Inception date of the Trust was May 19, 1992
NOTE: INCLUDES ALL SALES CHARGES
Performance data represents past performance. Past performance is not predictive
of future performance. Investment return and principal value of an investment in
the Trust will fluctuate. Shares, when redeemed, may be worth more or less than
their original cost.
* All securities in the ARM Index are government agency guaranteed.
** In the past, the Trust's manager has voluntarily waived all or a portion of
its management fees or assumed responsibility for other expenses, which
reduced operating expenses and increased total return to shareholders.
Without these reductions, the total return would have been lower.
6
<PAGE>
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ASTRA
ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST II AND THE LEHMAN BROTHERS MUTUAL
FUND SHORT (1-3) U.S. GOVERNMENT INDEX AND THE LEHMAN BROTHERS ARM INDEX
Based on a $10,000 initial investment, the graph below illustrates that the
total return of the Astra Adjustable U.S. Government Securities Trust II
underperformed the total return of the Lehman Brothers Mutual Fund Short (1-3)
U.S. Government Index as well as the Lehman Brothers ARM Index. Note, however,
that the Lehman Indices have inherent performance advantages over any fund,
since they have no cash in their portfolio, impose no sales charge and incur no
operating expenses. Of course, onecannot invest in an index.
----GRAPHICAL REPRESENTATION OF DATA TABLE BELOW----
Average Annual Total Returns
October 31, 1994
1 Year Since Inception**
-10.50% -1.56%
<TABLE>
<CAPTION>
10/01/92 10/31/92 10/31/93 10/31/94 10/31/95
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Adjustable U.S. Government Securities Trust II $ 9,810 $10,338 $10,870 $10,191 $ 9,403
Lehman Brothers ARM Index* 10,000 10,389 11,077 11,104 12,235
Lehman Brothers Mutual Fund Short (1-3) U.S. Government Index 10,000 10,518 11,059 11,187 12,175
</TABLE>
Inception date of the Trust was November 27, 1991*
NOTE: INCLUDES ALL SALES CHARGES
Performance data represents past performance. Past performance is not predictive
of future performance. Investment return and principal value of an investment in
the Trust will fluctuate. Shares, when redeemed, may be worth more or less than
their original cost.
* The Lehman Brothers ARM Index commenced January 1, 1992, six weeks after
commencement of the Trust. Accordingly, the first six weeks of Trust
performance is not shown above and the hypothetical comparison commence on
January 1, 1992. All securities in the ARM Index are government agency
guaranteed.
** In the past, the Trust's manager has voluntarily waived all or a portion of
its management fees or assumed responsibility for other expenses, which
reduced operating expenses and increased total return to shareholders.
Without these reductions, the total return would have been lower.
7
<PAGE>
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ASTRA
ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST III AND THE LEHMAN BROTHERS MUTUAL
FUND SHORT (1-3) U.S. GOVERNMENT INDEX AND THE LEHMAN BROTHERS ARM INDEX
Based on a $10,000 initial investment, the graph below illustrates that the
total return of the Astra Adjustable U.S. Government Securities Trust III Shares
underperformed the total return of the Lehman Brothers Mutual Fund Short (1-3)
U.S. Government Index as well as the Lehman Brothers ARM Index. Note, however,
that the Lehman Indices have inherent performance advantages over any fund,
since they have no cash in their portfolio, impose no sales charge and incur no
operating expenses. Of course, one cannot invest in an index.
----GRAPHICAL REPRESENTATION OF DATA TABLE BELOW----
Average Annual Total Returns
October 31, 1995
1 Year Since Inception**
-12.15% -1.90%
<TABLE>
<CAPTION>
1/1/92 10/31/92 10/31/93 10/31/94 10/31/95
------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Adjustable U.S. Government Securities Trust III $ 9,584 $10,122 $10,661 $10,031 $ 9,275
Lehman Brothers ARM Index* 10,000 10,389 11,077 11,104 12,235
Lehman Brothers Mutual Fund Short (1-3) U.S. Government Index 10,000 10,518 11,059 11,187 12,175
</TABLE>
Inception date of the Trust was May 19, 1992
NOTE: INCLUDES ALL SALES CHARGES
Performance data represents past performance. Past performance is not predictive
of future performance. Investment return and principal value of an investment in
the Trust will fluctuate. Shares, when redeemed, may be worth more or less than
their original cost.
* The Lehman Brothers ARM Index commenced on January 1, 1992, six weeks after
commencement of the Trust. Accordingly, the first six weeks of Trust
performance is not shown above and the hypothetical comparison commences on
January 1, 1992. All securities in the ARM Index are government agency
guaranteed.
** In the past, the Trust's manager has voluntarily waived all or a portion of
its management fees or assumed responsibility for other expenses, which
reduced operating expenses and increased total return to shareholders.
Without these reductions, the total return would have been lower.
8
<PAGE>
COMPARISON OF THE CHANGE IN VALUE OF A $50,000 INVESTMENT IN THE ASTRA
ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST IV AND THE LEHMAN BROTHERS MUTUAL
FUND SHORT (1-3) U.S. GOVERNMENT INDEX AND THE LEHMAN BROTHERS ARM INDEX
Based on a $50,000 initial investment, the graph below illustrates that the
total return of the Astra Adjustable U.S. Government Securities Trust IV Shares
underperformed the total return of the Lehman Brothers Mutual Fund Short (1-3)
U.S. Government Index as well as the Lehman Brothers ARM Index. Note, however,
that the Lehman Indices have inherent performance advantages over any fund,
since they have no cash in their portfolio, impose no sales charge and incur no
operating expenses. Of course, one can not invest in an index.
----GRAPHICAL REPRESENTATION OF DATA TABLE BELOW----
Average Annual Total Returns
October 31, 1995
1 Year Since Inception**
-8.75% -5.47%
<TABLE>
<CAPTION>
Inception 10/31/93 10/31/94 10/31/95
--------- -------- -------- --------
<S> <C> <C> <C> <C>
Adjustable U.S. Government Securities Trust IV $50,000 $51,002 $47,650 $43,482
Lehman Brothers ARM Index* 50,000 51,210 51,336 56,563
Lehman Brothers Mutual Fund Short (1-3) U.S. Government Index 50,000 50,931 51,519 56,068
</TABLE>
Inception date of the Trust was May 7, 1993
NOTE: INCLUDES ALL SALES CHARGES
Performance data represents past performance. Past performance is not predictive
of future performance. Investment return and principal value of an investment in
the Trust will fluctuate. Shares, when redeemed, may be worth more or less than
their original cost.
* All securities in the Lehman Brothers ARM Index are government agency
guaranteed.
** In the past, the Trust's manager has voluntarily waived all or a portion of
its management fees or assumed responsibility for other expenses, which
reduced operating expenses and increased total return to shareholders.
Without these reductions, the total return would have been lower.
9
<PAGE>
TABLE OF CONTENTS
- ------------
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I
Statement of Assets and Liabilities ............................... 11
Statement of Operations ........................................... 11
Statement of Changes in Net Assets ................................ 12
Financial Highlights .............................................. 13
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I-A
Statement of Assets and Liabilities ............................... 14
Statement of Operations ........................................... 14
Statement of Changes in Net Assets ................................ 15
Financial Highlights .............................................. 16
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST II
Statement of Assets and Liabilities ............................... 17
Statement of Operations ........................................... 17
Statement of Changes in Net Assets ................................ 18
Financial Highlights .............................................. 19
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST III
Statement of Assets and Liabilities ............................... 20
Statement of Operations ........................................... 20
Statement of Changes in Net Assets ................................ 21
Financial Highlights .............................................. 22
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST IV
Statement of Assets and Liabilities ............................... 23
Statement of Operations ........................................... 23
Statement of Changes in Net Assets ................................ 24
Financial Highlights .............................................. 25
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUSTS
Notes to Financial Statements ..................................... 26
Report of Independent Certified Public Accountants ................ 31
ASTRA INSTITUTIONAL ADJUSTABLE U.S. GOVERNMENT SECURITIES PORTFOLIO
Portfolio of Investments .......................................... 32
Statement of Assets and Liabilities ............................... 34
Statement of Operations ........................................... 34
Statement of Changes in Net Assets ................................ 35
Financial Highlights .............................................. 36
Notes to Financial Statements ..................................... 37
Report of Independent Certified Public Accountants ................ 40
10
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities at value* (identified cost $116,709,496) (Notes 1, 2A and 3) ...... $ 95,249,562
Dividends receivable from Portfolio ......................................................... 407,450
Deferred organization expense (net of accumulated amortization of $310,123) (Note 2D) ....... 17,099
Prepaid expenses ............................................................................ 79,548
Other assets ................................................................................ 46,082
------------
Total Assets .............................................................................. 95,799,741
------------
LIABILITIES:
Payable for capital stock redeemed .......................................................... 679,211
Accrued expenses ............................................................................ 206,656
------------
Total Liabilities ......................................................................... 885,867
------------
NET ASSETS ................................................................................... $ 94,913,874
============
Net asset value per share ($94,913,874 / 17,008,720 shares) (Note 6) ......................... $5.58
============
At October 31, 1995 the components of net assets were as follows:
Paid-in capital ............................................................................. $173,549,470
Accumulated net realized loss on investments ................................................ (57,175,662)
Net unrealized depreciation of investments .................................................. (21,459,934)
------------
Net Assets ................................................................................ $ 94,913,874
============
</TABLE>
- ----------
* Investments of Astra Adjustable U.S. Government Securities Trust I consist
entirely of 1,213,318 shares of Astra Institutional Adjustable U.S.
Government Securities Portfolio. Cost for Federal income tax purposes is
$116,709,496. See Notes 1 and 2A.
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
INCOME:
Dividends from Portfolio ................................................................... $ 9,371,660
------------
EXPENSES:
Distribution expenses (Note 4A) ............................................................ 1,607,046
Shareholder servicing costs ................................................................ 324,532
Administrative servicing costs (Note 5) .................................................... 160,705
Professional fees .......................................................................... 116,798
Amortization of organization expense (Note 2D) ............................................. 66,496
Trustees' fees ............................................................................. 44,084
Reports to shareholders .................................................................... 43,241
Miscellaneous expense ...................................................................... 42,753
Insurance expense .......................................................................... 40,511
Registration fees .......................................................................... 33,379
Recordkeeping fees ......................................................................... 8,975
------------
Total expenses ............................................................................ 2,488,520
------------
Net investment income ................................................................... 6,883,140
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments ............................................................ (40,720,703)
Net change in unrealized depreciation of investments ........................................ 13,232,526
------------
Net loss on investments ................................................................... (27,488,177)
------------
Net decrease in net assets resulting from operations .................................... $(20,605,037)
============
</TABLE>
See Notes to Trusts' Financial Statements
11
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31,
- ------------
<TABLE>
<CAPTION>
1995 1994
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income ..................................................... $ 6,883,140 $ 19,293,800
Net realized loss on investments .......................................... (40,720,703) (15,425,860)
Net change in unrealized depreciation of investments ...................... 13,232,526 (30,639,354)
------------ ------------
Net decrease in net assets resulting from operations ...................... (20,605,037) (26,771,414)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ($0.254 and $0.321
per share, respectively) ................................................. (7,287,333) (23,049,272)
Distributions from paid-in capital ($0.037 and $0.014 per share,
respectively) ............................................................ (1,050,656) (1,014,546)
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from the net change in
the number of outstanding shares (a) ..................................... (185,528,148) (315,589,968)
------------ ------------
Total decrease in net assets ............................................ (214,471,174) (366,425,200)
Net assets at the beginning of the period ................................. 309,385,048 675,810,248
------------ ------------
NET ASSETS at end of period ............................................... $ 94,913,874 $309,385,048
============ ============
</TABLE>
- ----------
(a) A summary of capital share transactions is as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
October 31, 1995 October 31, 1994
----------------------------- -----------------------------
Shares Value Shares Value
----------- ------------- ----------- -------------
<S> <C> <C> <C> <C>
Shares sold ................................. 168,878 $ 965,700 181,826 $ 1,265,910
Shares issued in reinvestment of
distributions to shareholders .............. 755,068 4,387,623 1,984,454 13,634,888
Shares repurchased .......................... (32,491,157) (190,881,471) (48,086,353) (330,490,766)
----------- ------------- ----------- -------------
Net decrease ............................... (31,567,211) $(185,528,148) (45,920,073) $(315,589,968)
=========== ============= =========== =============
</TABLE>
See Notes to Trusts' Financial Statements
12
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------
<TABLE>
<CAPTION>
February 21,
Year Ended October 31, 1991* to
--------------------------------------------------------- October 31,
1995 1994 1993 1992 1991
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE
Net asset value, beginning
of period ............................. $ 6.370 $ 7.150 $ 7.290 $ 7.370 $ 7.350
------- ------- ------- ------- -------
Income (loss) from invest-
ment operations--
Net investment income .................. 0.246(c) 0.270 0.364 0.850 0.400
Net realized and unreal-
ized gain (loss) on
investments ........................... (0.745)(c) (0.715) (0.055) 0.007 0.030
------- ------- ------- ------- -------
Total from investment
operations .......................... (0.499) (0.445) 0.309 0.857 0.430
------- ------- ------- ------- -------
Less distributions--
Distributions from net
investment income ..................... 0.254 0.321 0.418 0.850 0.400
Distributions from paid-in
capital ............................... 0.037 0.014 0.031 0.087 0.010
------- ------- ------- ------- -------
Total distributions .................. 0.291 0.335 0.449 0.937 0.410
------- ------- ------- ------- -------
Net asset value, end of
period ................................. $ 5.580 $ 6.370 $ 7.150 $ 7.290 $ 7.370
======= ======= ======= ======= =======
TOTAL RETURN (D) ........................ (8.28%) (6.43%) 4.34% 6.55% 8.79%(a)
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(in thousands) ......................... $94,914 $309,385 $675,810 $783,527 $385,195
Ratio to average net assets--
Expenses ............................... 1.55%(b) 1.22%(b) 1.29%(b) 1.32%(b) 1.88%(a)
Net investment income .................. 4.28% 3.92% 4.91% 6.57% 7.43%(a)
Portfolio turnover rate ................. 3% 3% 3% 8% 107%
</TABLE>
- ----------
* Commencement of operations.
(a) Annualized.
(b) Ratio of expenses to average net assets excludes 0.86%, 0.62%, 0.61% and
0.64%(a), respectively, of expenses of the Portfolio, which reduced
dividends paid to Trust I.
(c) Based upon average shares outstanding throughout the period.
(d) Calculated without the deduction of sales charges.
See Notes to Trusts' Financial Statements
13
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST IA
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities at value* (identified cost $81,677,615) (Notes 1, 2A and 3) ....... $ 66,040,754
Dividends receivable from Portfolio ......................................................... 282,506
Receivable for capital stock sold ........................................................... 93
Deferred organization expense (net of accumulated amortization of $69,976) (Note 2D) ........ 17,341
Prepaid expenses ............................................................................ 53,875
------------
Total Assets ............................................................................. 66,394,569
------------
LIABILITIES:
Payable for capital stock redeemed .......................................................... 326,881
Accrued expenses ............................................................................ 187,064
------------
Total Liabilities ........................................................................ 513,945
------------
NET ASSETS ................................................................................... $ 65,880,624
============
Net asset value per share ($65,880,624 / 11,754,025 shares) (Note 6) ........................ $5.60
============
At October 31, 1995 the components of net assets were as follows:
Paid-in capital ............................................................................ $113,887,999
Accumulated net realized loss on investments ............................................... (32,370,514)
Net unrealized depreciation of investments ................................................. (15,636,861)
------------
Net Assets ............................................................................... $ 65,880,624
============
</TABLE>
- ----------
* Investments of Astra Adjustable U.S. Government Securities Trust I-A
consist entirely of 841,247 shares of Astra Institutional Adjustable U.S.
Government Securities Portfolio. Cost for Federal income tax purposes is
$81,677,615. See Notes 1 and 2A.
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
INCOME:
Dividends from Portfolio ................................................................... $ 5,895,907
------------
EXPENSES:
Distribution expenses (Note 4A) ............................................................ 1,006,203
Shareholder servicing costs 218,764
Administrative servicing costs (Note 5) .................................................... 100,620
Professional fees .......................................................................... 94,685
Reports to shareholders .................................................................... 36,306
Miscellaneous expense ...................................................................... 34,276
Registration fees .......................................................................... 27,158
Trustees' fees ............................................................................. 26,856
Insurance expense .......................................................................... 26,421
Amortization of organization expense (Note 2D) ............................................. 17,462
Recordkeeping fees ......................................................................... 5,837
------------
Total expenses ........................................................................... 1,594,588
------------
Net investment income ................................................................... 4,301,319
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments ........................................................... (22,801,404)
Net change in unrealized depreciation of investments ....................................... 6,044,252
------------
Net loss on investments .................................................................. (16,757,152)
------------
Net decrease in net assets resulting from operations ..................................... $(12,455,833)
============
</TABLE>
See Notes to Trusts' Financial Statements
14
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST IA
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31,
- ------------
<TABLE>
<CAPTION>
1995 1994
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income .................................................... $ 4,301,319 $ 10,853,118
Net realized loss on investments ......................................... (22,801,404) (9,530,624)
Net change in unrealized depreciation of investments ..................... 6,044,252 (18,413,828)
------------ ------------
Net decrease in net assets resulting from operations ..................... (12,455,833) (17,091,334)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ($0.252 and $0.308
per share, respectively) ................................................ (4,521,595) (13,081,589)
Distributions from paid-in capital ($0.033 and $0.022 per share,
respectively) ........................................................... (590,146) (918,418)
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from the net change in
the number of outstanding shares (a) .................................... (104,061,756) (160,310,266)
------------ ------------
Total decrease in net assets ............................................. (121,629,330) (191,401,607)
Net assets at the beginning of the period ................................ 187,509,954 378,911,561
------------ ------------
NET ASSETS at the end of the period ...................................... $ 65,880,624 $187,509,954
============ ============
</TABLE>
- ----------
(a) A summary of capital share transactions is as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
October 31, 1995 October 31, 1994
----------------------------- -----------------------------
Shares Value Shares Value
----------- ------------- ----------- -------------
<S> <C> <C> <C> <C>
Shares sold ................................. 519,411 $ 3,050,567 2,198,521 $ 15,433,435
Shares issued in reinvestment of
distributions to shareholders .............. 446,584 2,597,827 1,150,890 7,931,401
Shares repurchased .......................... (18,589,063) (190,710,150) (26,755,225) (183,675,102)
----------- ------------- ----------- -------------
Net decrease ............................... (17,623,068) $(104,061,756) (23,405,814) $(160,310,266)
=========== ============= =========== =============
</TABLE>
See Notes to Trusts' Financial Statements
15
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I-A
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------
<TABLE>
<CAPTION>
May 19, 1992
(commencement of
Year Ended October 31, operations) to
-------------------------------------------------- October 31,
1995 1994 1993 1992
------- ------- ------- -------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ........... $6.380 $ 7.180 $ 7.310 $ 7.340
------- ------- ------- -------
Income (loss) from investment
operations--
Net investment income ......................... 0.246(e) 0.256 0.355 0.207
Net realized and unrealized loss
on investments ............................... (0.741)(e) (0.726) (0.041) (0.004)
------- ------- ------- -------
Total from investment
operations ................................. (0.495) (0.470) 0.314 0.203
------- ------- ------- -------
Less distributions--
Distributions from net investment
income ....................................... 0.252 0.308 0.410 0.207
Distributions from paid-in capital ............ 0.033 0.022 0.034 0.026
------- ------- ------- -------
Total distributions ......................... 0.285 0.330 0.444 0.233
------- ------- ------- -------
Net asset value, end of period ................. $5.6000 $ 6.380 $ 7.180 $ 7.310
======= ======= ======= =======
TOTAL RETURN (F) ............................... (7.79)% (6.77)% 4.53% 6.16%(a)
RATIO/SUPPLEMENTAL DATA
Net assets, end of period
(in thousands) ................................ $65,881 $187,510 $378,912 $220,256
Ratio to average net assets--
Expenses ...................................... 1.58%(b) 1.42%(b) 1.21%(b) 1.36%(a)(b)(c)
Net investment income ......................... 4.27% 3.68% 4.81% 5.59%(a)(d)
Portfolio turnover rate ........................ 3% 3% 1% 0%
</TABLE>
- ----------
(a) Annualized.
(b) Ratio of expenses to average net assets excludes 0.86%, 0.62%, 0.61% and
0.64%(a), respectively, of expenses of the Portfolio, which reduced
dividends paid to Trust I-A.
(c) Ratio of expenses to average net assets prior to expense waivers was
1.39%(a).
(d) Ratio of net investment income to average net assets prior to expense
waivers was 5.56%(a).
(e) Based upon average shares outstanding throughout the period.
(f) Calculated without the deduction of sales charges.
See Notes to Trusts' Financial Statements.
16
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST II
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities at value* (identified cost $6,005,693) (Notes 1, 2A and 3) ......... $ 5,143,932
Dividends receivable from Portfolio .......................................................... 22,201
Deferred organization expense (net of accumulated amortization of $72,165) (Note 2D) ......... 20,270
Prepaid expenses ............................................................................. 4,406
-----------
Total Assets ............................................................................... 5,190,809
-----------
LIABILITIES:
Payable for capital stock redeemed ........................................................... 31,287
Accrued expenses ............................................................................. 25,949
-----------
Total Liabilities ......................................................................... 57,236
-----------
NET ASSET ..................................................................................... $ 5,133,573
===========
COMPUTATION OF OFFERING PRICE:
Net asset value and redemption price per share ($5,133,573/904,298 shares) ................... $ 5.67
===========
Offering price per share (100/97 of $5.67)(a) ................................................ $ 5.85
===========
(a) On investments of $100,000 or more the offering price is reduced.
At October 1, 1995 the components of net assets were as follows:
Paid-in capital .............................................................................. $ 9,926,326
Accumulated net realized loss on investments ................................................. (3,930,992)
Net unrealized depreciation of investments ................................................... (861,761)
-----------
Net Assets ................................................................................ $ 5,133,573
===========
</TABLE>
- ----------
* Investments of Astra Adjustable U.S. Government Securities Trust II consist
entirely of 42,880 shares of Astra Institutional Adjustable U.S. Government
Securities Portfolio. Cost for Federal income tax purposes is $6,005,693.
See Notes 1 and 2A.
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
INCOME:
Dividends from Portfolio .................................................................... $ 438,243
-----------
EXPENSES:
Registration fees ........................................................................... 23,354
Shareholder servicing costs ................................................................. 22,989
Distribution expenses (Note 4B) ............................................................. 18,750
Amortization of organization expense (Note 2D) .............................................. 18,381
Professional fees ........................................................................... 12,350
Administrative servicing costs (Note 5) ..................................................... 7,500
Miscellaneous expense ....................................................................... 6,900
Trustees' fees .............................................................................. 2,230
Reports to shareholders ..................................................................... 2,222
Insurance expense ........................................................................... 2,115
Recordkeeping fees .......................................................................... 828
-----------
Total expenses ............................................................................ 117,619
-----------
Net investment income .................................................................... 320,624
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments ............................................................ (1,281,838)
Net change in unrealized depreciation of investments ........................................ 139,950
-----------
Net loss on investments ................................................................... (1,141,888)
-----------
Net decrease in net assets resulting from operations ..................................... $ (821,264)
===========
</TABLE>
See Notes to Trusts' Financial Statements.
17
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST II
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31,
- ------------
<TABLE>
<CAPTION>
1995 1994
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income ..................................................... $ 320,624 $ 1,565,749
Net realized loss on investments .......................................... (1,281,838) (2,322,304)
Net change in unrealized depreciation of investments ...................... 139,950 (457,646)
------------ ------------
Net decrease in net assets resulting from operations ...................... (821,264) (1,214,201)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ($0.260 and $0.303
per share, respectively) ................................................. (339,005) (1,584,130)
Distributions from paid-in capital ($0.042 and $0.030
per share, respectively) ................................................. (55,052) (157,003)
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from the net change in
the number of outstanding shares (a) ..................................... (6,009,841) (84,573,630)
------------ ------------
Total decrease in net assets ........................................... (7,225,162) (87,528,964)
Net assets at the beginning of period ...................................... 12,358,735 99,887,699
------------ ------------
NET ASSETS at the end of period ............................................ $ 5,133,573 $ 12,358,735
============ ============
</TABLE>
- ----------
(a) A summary of capital share transactions is as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
October 31, 1995 October 31, 1994
--------------------------- ----------------------------
Shares Value Shares Value
---------- ------------ ----------- -------------
<S> <C> <C> <C> <C>
Shares sold ................................... 68,732 $ 404,493 565,002 $ 4,057,487
Shares issued in reinvestment of
distributions to shareholders ................ 45,988 270,443 176,909 1,247,716
Shares repurchased ............................ (1,119,210) (6,684,777) (12,624,628) (89,878,833)
---------- ------------ ----------- -------------
Net decrease ................................ (1,004,490) $ (6,009,841) (11,882,717) $ (84,573,630)
========== ============ =========== =============
</TABLE>
See Notes to Trusts' Financial Statements
18
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST II
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------
<TABLE>
<CAPTION>
November 27, 1991
(commencement of
Year Ended October 31, operations) to
--------------------------------------- October 31,
1995 1994 1993 1992
------- ------- ------- -------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ...... $ 6.470 $ 7.240 $ 7.320 $ 7.350
------- ------- ------- -------
Income (loss) from investment
operations--
Net investment income .................... 0.251(e) 0.293 0.410 0.505
Net realized and unrealized loss
on investments .......................... (0.749)(e) (0.730) (0.044) (0.033)
------- ------- ------- -------
Total from investment
operations ............................ (0.498) (0.437) 0.366 0.472
------- ------- ------- -------
Less distributions--
Distributions from net investment
income .................................. 0.260 0.303 0.415 0.502
Distributions from realized gains
on investments .......................... -- -- 0.003 --
------- ------- ------- -------
Distributions from paid-in capital ....... 0.042 0.030 0.028 --
------- ------- ------- -------
Total distributions .................... 0.302 0.333 0.446 0.502
------- ------- ------- -------
Net asset value, end of period ............ $ 5.670 $ 6.470 $ 7.240 $ 7.320
======= ======= ======= =======
TOTAL RETURN (F) .......................... (7.74)% (6.25)% 5.12% 7.13%(a)
RATIO/SUPPLEMENTAL DATA
Net assets, end of period
(in thousands) ........................... $5,134 $12,359 $99,888 $88,901
Ratio to average net assets--
Expenses ................................. 1.57%(b) 0.76%(b) 0.51%(b) 0.57%(a)(b)(c)
Net investment income .................... 4.27% 4.27% 5.57% 7.09%(a)(d)
Portfolio turnover rate ................... 7% 12% 79% 97%
</TABLE>
- ----------
(a) Annualized.
(b) Ratio of expenses to average net assets excludes 0.86%, 0.62%, 0.61% and
0.64%(a), respectively, of expenses of the Portfolio, which reduced
dividends paid to Trust II.
(c) Ratio of expenses to average net assets prior to expense waivers was
0.59%(a).
(d) Ratio of net investment income to average net assets prior to expense
waivers was 7.07%(a).
(e) Based upon average shares outstanding throughout the period.
(f) Calculated without the deduction of sales charges.
See Notes to Trusts' Financial Statements.
19
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST III
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities at value* (identified cost $3,708,083) (Notes 1, 2A and 3) ........ $ 3,165,689
Dividends receivable from Portfolio ......................................................... 13,240
Deferred organization expense (net of accumulated amortization of $47,729) (Note 2D) ........ 34,543
Prepaid expenses ............................................................................ 2,450
-----------
Total Assets ............................................................................ 3,215,922
-----------
LIABILITIES:
Accrued expenses ............................................................................ 25,942
-----------
NET ASSETS ................................................................................... $ 3,189,980
===========
COMPUTATION OF OFFERING PRICE:
Net asset value and redemption price per share ($3,189,980 / 560,530 shares) ................ $ 5.69
===========
Offering price per share (100/95 of $5.69) (a) .............................................. $ 5.99
===========
At October 31, 1995 the components of net assets were as follows:
Paid-in capital ............................................................................. $ 5,731,791
Accumulated net realized loss on investments ................................................ (1,999,417)
Net unrealized depreciation of investments .................................................. (542,394)
-----------
Net Assets ................................................................................ $ 3,189,980
===========
</TABLE>
- ----------
* Investments of Astra Adjustable U.S. Government Securities Trust III
consist entirely of 40,326 shares of Astra Institutional Adjustable U.S.
Government Securities Portfolio. Cost for Federal income tax purposes is
$3,708,083. See Notes 1 and 2A.
(a) On investments of $25,000 or more the offering price is reduced.
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
INCOME:
Dividends from Portfolio ................................................................... $ 260,617
-----------
EXPENSES:
Registration fees .......................................................................... 19,592
Amortization of organization expense (Note 2D) ............................................. 12,154
Professional fees .......................................................................... 7,833
Shareholder servicing costs ................................................................ 7,154
Reports to shareholders .................................................................... 7,033
Miscellaneous expense ...................................................................... 6,568
Administrative servicing costs (Note 5) .................................................... 4,487
Trustees' fees ............................................................................. 1,316
Insurance expense .......................................................................... 1,053
Recordkeeping fees ......................................................................... 498
-----------
Total expenses ........................................................................... 67,688
-----------
Net investment income ................................................................... 192,929
-----------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS:
Net realized loss on investments ........................................................... (647,101)
Net increase in unrealized depreciation of investments ..................................... (22,854)
-----------
Net loss on investments .................................................................. (669,955)
-----------
Net decrease in net assets resulting from operations .................................... $ (477,026)
===========
</TABLE>
See Notes to Trusts' Financial Statements
20
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST III
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31,
- ------------
<TABLE>
<CAPTION>
1995 1994
----------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income ................................................... $ 192,929 $ 719,242
Net realized loss on investments ........................................ (647,101) (984,136)
Net increase in unrealized depreciation of investments .................. (22,854) (310,967)
----------- -----------
Net decrease in net assets resulting from operations .................... (477,026) (575,861)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ($0.263 and $0.310
per share, respectively) ............................................... (205,083) (731,396)
Distributions from paid-in capital
($0.041 and $0.023 per share, respectively) ............................ (31,627) (55,275)
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from the net change
in the number of outstanding shares(a) ................................. (2,597,123) (37,190,083)
----------- -----------
Total decrease in net assets .......................................... (3,310,859) (38,552,615)
Net assets at the beginning of the period ............................... 6,500,839 45,053,454
----------- -----------
NET ASSETS at the end of the period ..................................... $ 3,189,980 $ 6,500,839
=========== ===========
</TABLE>
- ----------
(a) A summary of capital share transactions is as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
October 31, 1995 October 31, 1994
-------------------------- ---------------------------
Shares Value Shares Value
-------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Shares sold 27,857 $ 166,603 179,367 $ 1,289,221
Shares issued in reinvestment of
distributions to shareholders 14,344 85,148 53,458 373,581
Shares repurchased (484,185) (2,848,874) (5,460,567) (38,852,885)
-------- ----------- ---------- ------------
Net decrease (441,984) $(2,597,123) (5,227,742) $(37,190,083)
======== =========== ========== ============
</TABLE>
See Notes to Trusts' Financial Statements.
21
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST III
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------
<TABLE>
<CAPTION>
November 27, 1991
(commencement of
Year Ended October 31, operations) to
------------------------------------------------ October 31,
1995 1994 1993 1992
------- ------- ------- -------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ........ $ 6.480 $ 7.230 $ 7.310 $ 7.350
------- ------- ------- -------
Income (loss) from investment
operations--
Net investment income ...................... 0.257(e) 0.294 0.416 0.514
Net realized and unrealized loss
on investments ............................ (0.743)(e) (0.711) (0.038) (0.045)
------- ------- ------- -------
Total from investment
operations .............................. (0.486) (0.417) 0.378 0.469
------- ------- ------- -------
Less distributions--
Distributions from net investment
income .................................... 0.263 0.310 0.423 0.509
Distributions from realized gains
on investments ............................ -- -- 0.015 --
Distributions from paid-in capital ......... 0.041 0.023 0.020 --
------- ------- ------- -------
Total distributions ...................... 0.304 0.333 0.458 0.509
------- ------- ------- -------
Net asset value, end of period .............. $ 5.690 $ 6.480 $ 7.230 $ 7.310
======= ======= ======= =======
TOTAL RETURN (F) ............................ (7.54)% (5.97)% 5.30% 7.14%(a)
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(in thousands) ............................. $ 3,190 $ 6,501 $45,053 $21,806
Ratio to average net assets--
Expenses ................................... 1.51%(b) 0.62%(b) 0.30%(b) 0.34%(a)(b)(c)
Net investment income ...................... 4.30% 4.33% 5.61% 7.39%(a)(d)
Portfolio turnover rate ..................... 6% 11% 103% 199%
</TABLE>
- ----------
(a) Annualized.
(b) Ratio of expenses to average net assets excludes 0.86%, 0.62%, 0.61% and
0.64%(a), respectively, of expenses of the Portfolio, which reduced
dividends paid to Trust III.
(c) Ratio of expenses to average net assets prior to expense waivers was
0.39%(a).
(d) Ratio of net investment income to average net assets prior to expense
waivers was 7.34%(a).
(e) Based upon average shares outstanding throughout the period.
(f) Calculated without the deduction of sales charges.
See Notes to Trusts' Financial Statements.
22
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST IV
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities at value* (identified cost $3,562,675) (Notes 1, 2A and 3) ........ $ 2,944,374
Dividends receivable from Portfolio ......................................................... 13,042
Deferred organization expense (net of accumulated amortization of $26,285) (Note 2D) ........ 26,460
Prepaid expenses ............................................................................ 2,713
-----------
Total Assets .............................................................................. 2,986,589
-----------
LIABILITIES:
Payable for capital stock redeemed .......................................................... 85,410
Accrued expenses ............................................................................ 30,535
-----------
Total Liabilities ......................................................................... 115,945
-----------
NET ASSETS ................................................................................... $ 2,870,644
===========
Net asset value per share ($2,870,644/508,776 shares) (Note 6) .............................. $ 5.64
===========
At October 31, 1995 the components of net assets were as follows:
Paid-in capital ............................................................................. $ 7,427,790
Accumulated net realized loss on investments ................................................ (3,938,845)
Net unrealized depreciation of investments .................................................. (618,301)
-----------
Net Assets ................................................................................ $ 2,870,644
===========
</TABLE>
- ----------
* Investments of Astra Adjustable U.S. Government Securities Trust IV consist
entirely of 37,506 shares of Astra Institutional Adjustable U.S. Government
Securities Portfolio. Cost for Federal income tax purposes was $3,542,675.
See Notes 1 and 2A.
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
INCOME:
Dividends from Portfolio ................................................................... $ 316,759
-----------
EXPENSES:
Distribution expenses (Note 4B) ............................................................ 32,575
Registration fees .......................................................................... 26,584
Professional fees .......................................................................... 15,827
Amortization of organization expense (Note 2D) ............................................. 10,534
Shareholder servicing costs ................................................................ 9,162
Miscellaneous expense ...................................................................... 9,070
Reports to shareholders .................................................................... 7,404
Administrative servicing costs (Note 5) .................................................... 5,429
Insurance expense .......................................................................... 2,040
Trustees' fees ............................................................................. 1,677
Recordkeeping fees ......................................................................... 340
-----------
Total expenses ........................................................................... 120,642
Expenses waived (Note 5) ................................................................... (1,738)
-----------
Net expenses ............................................................................ 118,904
-----------
Net investment income .................................................................. 197,855
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments ........................................................... (1,626,315)
Net change in unrealized depreciation of investments ....................................... 691,045
-----------
Net loss on investments .................................................................. (935,270)
-----------
Net decrease in net assets resulting from operations .................................... $ (737,415)
===========
</TABLE>
See Notes to Trusts' Financial Statements.
23
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST IV
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31,
- ------------
<TABLE>
<CAPTION>
1995 1994
----------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income .................................................. $ 197,855 $ 1,783,356
Net realized loss on investments ....................................... (1,626,315) (2,309,813)
Net change in unrealized depreciation of investments ................... 691,045 (1,034,185)
----------- -----------
Net decrease in net assets resulting from operations ................... (737,415) (1,560,642)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ($0.218 and $0.302
per share, respectively) .............................................. (208,389) (1,793,890)
Distributions from paid-in capital
($0.087 and $0.034 per share, respectively) ........................... (82,655) (199,771)
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from the net change
in the number of outstanding shares(a) ................................ (8,666,396) (62,024,752)
----------- -----------
Total decrease in net assets ......................................... (9,694,855) (65,579,055)
Net assets at the beginning of the period .............................. 12,565,499 78,144,554
----------- -----------
NET ASSETS at the end of the period .................................... $ 2,870,644 $12,565,499
=========== ===========
</TABLE>
- ----------
(a) A summary of capital share transactions is as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
October 31, 1995 October 31, 1994
---------------------------- ---------------------------
Shares Value Shares Value
---------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Shares sold .................................. 28,558 $ 169,566 2,395,547 $ 17,353,149
Shares issued in reinvestment of
distributions to shareholders ............... 30,623 181,378 188,589 1,341,193
Shares repurchased ........................... (1,481,273) (9,017,340) (11,337,922) (80,719,094)
---------- ----------- ---------- ------------
Net decrease ................................ (1,422,092) $(8,666,396) (8,753,786) $(62,024,752)
========== =========== ========== ============
</TABLE>
See Notes to Trusts' Financial Statements.
24
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST IV
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------
<TABLE>
<CAPTION>
May 7, 1993
(commencement of
Year Ended October 31, operations) to
------------------------------- October 31,
1995 1994 1993
------- ------- -------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ..................... $ 6.510 $ 7.310 $ 7.350
------- ------- -------
Income (loss) from investment operations--
Net investment income ................................... 0.211(e) 0.300 0.171
Net realized and unrealized loss on investments ......... (0.776)(e) (0.764) (0.025)
------- ------- -------
Total from investment operations ...................... (0.565) (0.464) 0.146
------- ------- -------
Less distributions--
Distributions from net investment income ................ 0.218 0.302 0.172
Distributions from paid-in capital ...................... 0.087 0.034 0.014
------- ------- -------
Total distributions ................................... 0.305 0.336 0.186
------- ------- -------
Net asset value, end of period ........................... $ 5.640 $ 6.510 $ 7.310
======= ======= =======
TOTAL RETURN (F) ......................................... (8.75)% (6.57)% 4.11%(a)
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in thousands) ................. $2,871 $12,565 $78,145
Ratio to average net assets--
Expenses ................................................ 2.19%(b)(c) 0.85%(b)(c) 0.45%(a)(b)(c)
Net investment income ................................... 3.64%(d) 4.23%(d) 4.71%(a)(d)
Portfolio turnover rate .................................. 6% 21% 3%
</TABLE>
- ----------
(a) Annualized.
(b) Ratio of expenses to average net assets excludes 0.86%, 0.62%, 0.61%,
respectively, of expenses of the Portfolio, which reduced dividends paid to
Trust IV.
(c) Ratio of expenses to average net assets prior to expense waivers were
2.22%, 1.06% and 0.76%(a), respectively.
(d) Ratio of net investment income to average net assets prior to expense
waivers were 3.61%, 4.02% and 4.40%(a), respectively.
(e) Based upon average shares outstanding throughout the period.
(f) Calculated without the deduction of sales charges.
See Notes to Trusts' Financial Statements
25
<PAGE>
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUSTS
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1995
- ----------------------
NOTE 1--ORGANIZATION
Astra (formerly Pilgrim) Strategic Investment Series (the "Company") is
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company. On September 15, 1994 the Company's shareholders
approved a change in the Company's Declaration of Trust to permit the creation
of additional classes of shares of each of the Trust's series. Currently, the
Company has authorized an unlimited number of shares of beneficial interest
without par value and at October 31, 1995 offered a single class of shares in
ten series: Astra (formerly Pilgrim) Adjustable Rate Securities Trust I, I-A,
II, III and IV (collectively, the "Astra Adjustable Rate Securities Trusts"),
Astra (formerly Pilgrim) Adjustable U.S. Government Securities Trust I, I-A, II,
III and IV (collectively, the "Astra Adjustable U.S. Government Securities
Trusts" or the "Trusts"), all of which are non-diversified series.
The value of the Trusts' investment in shares of Astra (formerly Pilgrim)
Institutional Adjustable U.S. Government Securities Portfolio (the "Portfolio"),
a non-diversified series of Astra (formerly Pilgrim) Institutional Securities
Trust ("AIST"), reflects their proportionate interest in the net assets of the
Portfolio. The financial statements of the Portfolio, including the portfolio of
investments, are included in this report and should be read in conjunction with
the financial statements of the Trusts.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION. The investment policy of the Trusts is to invest in
shares of the Portfolio. Shares of the Portfolio held by the Trusts are
valued at the net asset value then determined by the Portfolio. A valuation
committee of the Board of Trustees of AIST is responsible for establishing
security valuation policies, reviewing the valuation of portfolio
securities, monitoring the level of illiquid securities and reviewing
liquidity determinations for securities held by the Portfolio. AIST
considers to be illiquid all securities which cannot be disposed of within
seven days in the ordinary course of business at approximately the amount
at which the Portfolio values the security. Additionally, interest rate
swap contracts, interest-only and principal-only mortgage backed
securities, and special hazard certificates are treated as illiquid
securities in accordance with Securities and Exchange Commission policy.
Liquid securities are valued primarily using prices provided by independent
pricing services which use prices provided by market-makers or estimates of
market values obtained from yield and other data relating to instruments or
securities with similar characteristics, and secondarily based upon market
quotations and/or other available information. Securities for which
reliable market information or pricing service quotes are not readily
available, including illiquid securities, are valued at fair value as
determined in good faith by, or under procedures established by, the Board
of Trustees of AIST, which procedures may include the delegation of certain
responsibilities regarding valuation to Astra (formerly Pilgrim) Management
Corporation (the "Manager"). The Manager reports, as necessary, to the
Trustees of AIST regarding portfolio valuation determinations.
Short-term securities with less than sixty days remaining to maturity when
acquired by the Portfolio are valued on an amortized cost basis by the
Portfolio when the Trustees of AIST have determined that amortized cost is
fair value.
B. FEDERAL INCOME TAXES. The Trusts intend to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and
to distribute all of their taxable income to their shareholders.
Therefore, no Federal income tax provision is required.
26
<PAGE>
C. SECURITY TRANSACTIONS, INCOME AND DISTRIBUTIONS. As is common in the
industry, security transactions of the Portfolio and Trusts are accounted
for on the trade date. Interest income on adjustable rate mortgage
securities is recorded on the accrual basis at current interest rates.
Dividends to shareholders of the Portfolio from net investment income are
declared daily and paid or reinvested monthly. Dividends to Shareholders of
the Trusts from net investment income are declared and paid or reinvested
monthly. Prior to May 1, 1995 dividends to shareholders of the Trusts from
net investment income were declared daily and paid or reinvested monthly.
Discounts and premiums on Portfolio debt securities are amortized in
accordance with the provisions of the Internal Revenue Code.
D. DEFERRED ORGANIZATION EXPENSES. All of the expenses incurred in connection
with the organization of the Trusts are being borne ratably by the Trusts
and are being amortized on a straight-line basis over periods of five years
from the date of commencement of operations.
NOTE 3--INVESTMENTS
At October 31, 1995 the Portfolio held subordinated residential and derivative
mortgage securities which the Valuation Committee of the Board of Trustees of
AIST has determined to be illiquid. These securities are valued at $7,007,359
(representing 4.1% of the Portfolio's net assets). The fair value of these
securities is determined under procedures approved by the Board of Trustees of
AIST in the absence of readily ascertainable market values.
For the year ended October 31, 1995 the cost of purchases and the proceeds from
sales of investments in the Portfolio were as follows:
Purchases Sales
---------- -----------
Trust I .......... $5,279,232 $195,464,209
Trust I-A ........ 3,186,340 111,185,139
Trust II ......... 559,914 6,762,708
Trust III ........ 287,175 2,930,885
Trust IV ......... 325,159 9,058,196
At October 31, 1995 the Trusts had capital loss carryforwards for federal income
tax purposes as follows:
Capital loss Expires
Carryforward October 31,
------------ -----------
Trust I $ 534,000 1999
14,000 2000
7,926,000 2002
48,702,000 2003
-----------
$57,176,000
===========
Trust I-A $ 4,253,000 2002
28,118,000 2003
-----------
$32,371,000
===========
Trust II $ 2,284,000 2002
1,647,000 2003
-----------
$ 3,931,000
===========
Trust III $ 1,135,000 2002
864,000 2003
-----------
$ 1,999,000
===========
Trust IV $ 1,896,000 2002
2,043,000 2003
-----------
$ 3,939,000
===========
NOTE 4--DISTRIBUTION PLANS
A. TRUST I AND TRUST I-A DISTRIBUTION PLANS. Trust I and Trust I-A have
adopted distribution plans pursuant to Rule 12b-1 under the 1940 Act (the
"Distribution Plans"), whereby they will provide daily compensation to
Astra Fund (formerly Pilgrim) Distributors Corp., the Trusts' principal
underwriter (the "Principal Underwriter") in the form of sales commissions
equal to 4% of the amount received by Trust I for each share sold and 5%
(4.50% prior to August 5, 1994) of the amount received by Trust I-A for
each share sold (excluding reinvestment of dividends and distributions)
plus an interest fee calculated by applying the rate of 1% over prime rate
to the outstanding balance of Uncovered Distribution Charges. Daily
compensation payments will be made monthly and are limited to an annual
rate of 0.75% of each Trust's daily net assets. During the year ended
October 31,
27
<PAGE>
1995 the Principal Underwriter earned daily compensation of $1,205,284 from
Trust I and $754,652 from Trust I-A. At October 31, 1995 Uncovered
Distribution Charges (cumulative sales commissions and interest fees
reduced by cumulative daily compensation and contingent deferred sales
charges paid to the Principal Underwriter) were $11,143,216 for Trust I and
$9,485,628 for Trust I-A.
On August 5, 1994 the shareholders of Trust I and Trust I-A approved
changes to their respective distribution plans to provide a method by which
a proportionate amount of Uncovered Distribution Charges will be
transferred from the Trusts upon exchanges to other mutual funds for which
Astra Fund Distributions Corp. serves as Principal Underwriter and which
have substantially the same contingent deferred sales charge structure and
distribution plan.
Pursuant to the requirements of the Securities and Exchange Commission the
daily compensation (sales commission) payments to the Principal Underwriter
pursuant to the Distribution Plan must be reflected as operating expenses
of Trust I and Trust I-A. For periods through December 31, 1994 these
payments were treated as capital transactions and were not deducted for
Federal income tax purposes.
The Distribution Plans also provide for monthly payments to the Principal
Underwriter of a trail or maintenance fee in an amount equal to an annual
rate of 0.25% of the daily net assets of Trust I and Trust I-A. During the
year ended October 31, 1995 the Principal Underwriter earned maintenance
fees of $401,762 from Trust I and $251,551 from Trust 1-A.
B. TRUST II AND TRUST IV DISTRIBUTION PLANS. Trust II and Trust IV have
adopted distribution plans pursuant to rule 12b-1 under the 1940 Act (the
"Distribution Plans"), whereby Trust II may pay up to a maximum annual rate
of 0.25% of its average daily net assets and Trust IV may pay up to a
maximum annual rate of 0.60% of its average daily net assets to the
Principal Underwriter as reimbursement for expenses incurred in the
distribution of the shares of Trust II and Trust IV. Pursuant to the
Distribution Plans, the Principal Underwriter is entitled to reimbursement
each month (up to a maximum of 0.25% of Trust II's daily net assets and
0.60% of Trust IV's daily net assets) for its actual expenses incurred in
the distribution and promotion of Trust II's and Trust IV's shares,
including the printing of prospectuses used for sales purposes,
advertisements, expenses of preparation and printing of sales literature,
and other distribution related expenses, including any distribution or
service fees paid to security dealers and others who have executed a
distribution or service agreement with the Principal Underwriter. The
Distribution Plans provide that the Principal Underwriter may include as
distribution expenses a portion of its overhead expenses directly
attributable to the Distribution of Trust II's and Trust IV's shares,
including personnel and out-of-pocket costs. The Distribution Plans permit
the Principal Underwriter to carryforward for a maximum of three years
(without carrying charges) distribution expenses covered by the
Distribution Plans for which it has not yet received reimbursement. At
October 31, 1995, the Principal Underwriter had incurred $1,199,108 of
distribution expenses in excess of amounts currently reimbursable by Trust
II and $669,256 of distribution expenses in excess of amounts currently
reimbursable by Trust IV. During the year ended October 31, 1995, the
Principal Underwriter received distribution expense reimbursements of
$18,750 from Trust II and $32,575 from Trust IV. Distribution expenses
incurred by the Principal Underwriter included $8,283 and $7,673 for the
salaries and related costs of certain of its employees involved in the
sales of Trust II's and Trust IV's shares, respectively.
NOTE 5--INVESTMENT MANAGEMENT FEE AND
OTHER TRANSACTIONS WITH AFFILIATES
The Trusts invest substantially all of their assets in the Portfolio, which has
the same investment objective
28
<PAGE>
as each of the Trusts. The Trustees of AIST establish the Portfolio's investment
policies and supervise and review the operations and management of the
Portfolio. For furnishing the Portfolio with investment advice and investment
management and administrative services with respect to the Portfolio's assets,
including making specific recommendations as to the purchase and sale of
portfolio securities, furnishing requisite office space and personnel, and in
general supervising and managing the Portfolio's investments subject to the
ultimate supervision and direction of AIST's Trustees, the Manager is paid
monthly a fee equal to 0.55% per annum of the first $500 million of average
daily net assets of the Portfolio. The annual rate is reduced to 0.50% on net
assets from $500 million to $1 billion and to 0.45% on net assets over $1
billion. The management fees paid by the Portfolio to the Manager are expenses
of the Portfolio and reduce the net investment income available for distribution
by the Portfolio to the Trusts. The Manager has agreed to reimburse the
Portfolio and Trusts to the extent required so that the aggregate expenses do
not exceed the expense limitations applicable under the securities laws or
regulations of those states or jurisdictions in which the Trusts' shares are
registered or qualified for sale. Currently, the most restrictive of such
expense limitations would require the Manager to reimburse the Portfolio and
Trusts to the extent required so that the Portfolio's and Trust's expenses, as
described above, for any fiscal year do not exceed 2.50% of the first $30
million of average net assets, 2.00% of the next $70 million of average net
assets and 1.50% of the remaining average net assets. The amount of any such
required reimbursement, however, is limited to the management fees paid by the
Portfolio to the Manager. Expenses for purposes of these expenses limitations
include the management fee, but exclude distribution expenses, brokerage
commissions and fees, taxes, interest and extraordinary expenses such as
litigation paid or incurred by the Trusts or the Portfolio. During the year
ended October 31, 1995, the Manager subsidized the expenses of Trust IV
resulting in an expense waiver of $1,738.
The Trusts have retained Atlas Holdings (formerly Pilgrim) Group Inc. (the
"Administrator") to provide administration for the Trusts pursuant to an
administration agreement. These administrative services include supervising the
preparation and filing of all documents required for compliance by the Trusts
with applicable laws and regulations, supervising the maintenance of books and
records and other general and administrative responsibilities. For providing
these services the Administrator receives a fee equal to 0.10% of each Trust's
average daily net assets.
During the year ended October 31, 1995 the Principal Underwriter received
commissions of $-0- from the sale of shares of Trust II and $99 from the sale of
shares of Trust III. The Principal Underwriter is an affiliate of the
Administrator and the Manager.
Certain officers and trustees of the Company are also officers and/or
directors/trustees of AIST, the Administrator, the Manager, and the Principal
Underwriter.
NOTE 6--EARLY WITHDRAWAL CHARGES
Shares of Trust I, Trust I-A and Trust IV which are redeemed may be subject to a
contingent deferred sales charge. The contingent deferred sales charge is not
imposed on shares acquired through the reinvestment of dividends and
distributions or on the appreciation of the value of shares acquired over their
purchase price. Redemption proceeds are applied first against shares not subject
to the contingent deferred sales charge for purposes of calculating such charge.
The contingent deferred sales charges are paid by the redeeming shareholder to
the Principal Underwriter at the time of redemption. The contingent deferred
sales charges for Trust I and Trust I-A are imposed at the rate of 4% for
redemptions in the first year after purchase, declining to 3%, 2%, and 1% in the
second, third and fourth years, respectively. The contingent deferred sales
charges for Trust IV are imposed at the rate of 0.25% of redemptions within 3
months of the date of purchase. During the year ended October 31, 1995 the
Principal Underwriter received contingent deferred sales charges of $2,053,485
from redemptions of Trust I shares, $2,725,445 from redemptions of Trust I-A
shares, and $209 from redemptions of Trust IV shares.
29
<PAGE>
NOTE 7--LEGAL MATTERS
Between December 1994 and July 1995, various complaints have been filed by
certain shareholders of the Astra Adjustable U.S. Government Securities Trusts
and the Astra Adjustable Rate Securities Trusts (collectively, the "Astra
Trusts") in the United States District Court for the Central District of
California and in the Superior Court for the State of California against the
Company and certain of its officers and trustees, AIST and certain of its
officers and trustees, Astra Management Corporation, Astra Fund Distributors
Corporation, and, Atlas Holdings Group Inc. and its principal stockholder and
certain of its employees. These complaints have been consolidated in the United
States District Court for the Central District of California in the matter
referred to as "In re Pilgrim Securities Litigation."
The complaints allege violations of the Securities Act of 1993 and the
Investment Company Act of 1940 relating principally to disclosure concerning
pricing and liquidity of portfolio securities held by the Portfolios of AIST.
The complaints seek relief measured by the consideration each shareholder paid
for shares of the Astra Trusts with interest thereon, less the amount of income
received thereon, or in the event the shareholder no longer owns such shares,
for damages, plus interest. Management of the Company believes the complaints
are without merit and intents, and has been advised that each of the other
defendants intends, to vigorously defend these actions. The ultimate outcome of
these matters, however, cannot presently be determined and accordingly the Astra
Trusts have made no provision for any losses which may result from settlement of
these complaints.
30
<PAGE>
REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS
- ------------------
To the Shareholders of Astra Adjustable U.S. Government Securities
Trust I, I-A, II, III and IV, and the Trustees of Astra Strategic Investment
Series
San Diego, California
We have audited the statements of assets and liabilities of Astra (formerly
Pilgrim) Adjustable U.S. Government Securities Trust I, I-A, II, III and IV
(each a series of shares of beneficial interest of Astra (formerly Pilgrim)
Strategic Investment Series), as of October 31, 1995, and the related statements
of operations for the year then ended, and the statements of changes in net
assets for the each of the two years in the period then ended and the financial
highlights for each of the periods indicated thereon. These financial statements
and financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements and financial
highlights are free from material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
October 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Astra
Adjustable U.S. Government Securities Trust I, I-A, II, III and IV as of October
31, 1995, and the results of their operations for the year then ended, and the
changes in their net assets for each of the two years in the period then ended
and the financial highlights for each of the periods indicated thereon, in
conformity with generally accepted accounting principles.
As discussed in Note 7 to the accompanying financial statements Astra Adjustable
U.S. Government Securities Trusts I, I-A, II, III, and IV have been named as
defendants in various complaints alleging violations of the Securities Act of
1933 and the Investment Company Act of 1940 and seeking substantial relief. The
outcome of these matters cannot presently be determined and accordingly no
provision for any losses which may result from settlement of these matters has
been made in the accompanying financial statements.
TAIT, WELLER & BAKER
Philadelphia, Pennsylvania
December 7, 1995
31
<PAGE>
ASTRA INSTITUTIONAL ADJUSTABLE U.S. GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 1995
- ----------------------
<TABLE>
<CAPTION>
Market
Principal Interest Value
Amount Rate* Maturity (Note 2A)
- --------- -------- -------- -------------
<S> <C> <C> <C> <C>
ADJUSTABLE RATE MORTGAGE SECURITIES: 85.5%
U.S. GOVERNMENT AGENCIES: 81.3%
$ 5,186,964 Federal Home Loan Mtge. Corp., Pool 775487 .......... 6.133% 09/01/18 $ 5,164,271
5,618,142 Federal National Mtge. Assoc., Pool 60680 ........... 6.429% 02/01/28 5,628,676
4,895,959 Federal National Mtge. Assoc., Pool 65579 ........... 6.391% 07/01/28 4,905,139
9,096,717 Federal National Mtge. Assoc., Pool 70229 ........... 7.765% 05/01/19 9,386,675
3,582,331 Federal National Mtge. Assoc., Pool 220328 .......... 7.877% 03/01/17 3,707,712
2,374,071 Federal National Mtge. Assoc., Pool 292846 .......... 6.570% 09/01/24 2,423,037
3,989,012 Federal National Mtge. Assoc., Pool 303503 .......... 6.690% 11/01/01 4,032,652
8,562,146 Government National Mtge. Assoc., Pool 8157 ......... 6.500% 03/20/23 8,669,173
8,616,212 Government National Mtge. Assoc., Pool 8288 ......... 6.500% 09/20/23 8,740,070
4,973,171 Government National Mtge. Assoc., Pool 8660 ......... 6.500% 07/20/25 5,032,228
26,511,960 Government National Mtge. Assoc., Pool 8717 ......... 6.000% 10/25/25 26,561,670
9,800,000 Government National Mtge. Assoc., Pool 8720. ........ 6.500% 10/25/25 9,916,375
5,000,000 Government National Mtge. Assoc., Pool 8722 ......... 7.000% 10/01/25 5,109,375
35,500,000 Government National Mtge. Assoc., November TBA ...... 6.500% TBA 35,921,563
5,000,000 Government National Mtge. Assoc., November TBA ...... 7.000% TBA 5,109,375
------------
Total U.S. Government Agencies .................... 140,307,991
------------
SUBORDINATED RESIDENTIAL MORTGAGE SECURITIES: 4.2%
11,675,216 (R)(I)Coast Federal Savings Bank 1991-1 ................... 2.424% 06/01/20 1,364,833
5,193,709 (R) Coast Federal Savings Bank 1991-2, Class B-1 ........ 3.090% 11/25/21 57,707
15,987,737 (R) Paine Webber Acceptance Corp 1991-1, Class B ........ 1.502% 02/21/21 143,138
19,138,236 (R)(I)Ryland Mortgage Securities Corp. 1993-6A, Class C-1 . 7.490% 12/29/31 5,642,526
------------
Total Subordinated Residential Mortgage
Securities 7,208,204
------------
Total Adjustable Rate Mortgage Securities 147,516,195
------------
FIXED RATE MORTGAGE SECURITIES: 7.0%
SUBORDINATED RESIDENTIAL MORTGAGE SECURITIES: 7.0%
7,968,857 (R) Citibank NA Multifamily 1992-1, Class B ............. 8.625% 04/20/00 4,781,314
1,687,100 (R) DLJ Mortgage Acceptance Corp 1992-1, Class B ........ 7.925% 08/01/21 1,555,391
7,764,997 (R) USGI Capital Markets Group Inc, Multi Family
1992-1 ............................................. 8.500% 09/30/07 5,711,341
------------
Total Fixed Rate Mortgage Securities .............. 12,048,046
------------
</TABLE>
32
<PAGE>
<TABLE>
<CAPTION>
Market
Principal Interest Value
Amount Rate* Maturity (Note 2A)
- --------- -------- -------- -------------
<S> <C> <C> <C> <C>
SHORT-TERM SECURITIES: 17.6%
U.S. GOVERNMENT AGENCY DISCOUNT NOTES: 17.6%
$20,515,000 Federal Home Loan Mtge. Corp. .......................... 5.850% 11/01/95 $20,515,000
10,000,000 Federal Home Loan Mtge. Corp. .......................... 5.640% 11/20/95 9,970,233
------------
Total Short-Term Investments 30,485,233
------------
Total Investments in Securities
(Cost $232,605,884) .............................. 110.1% 190,049,474
Liabilities in Excess of Other Assets--Net ........ (10.1)% (17,457,013)
----- ------------
Total Net Assets .................................. 100.0% $172,592,461
===== ============
- -------------
<FN>
(R) Restricted securities (See Note 3).
(I) Illiquid securities (See Note 3).
* Rates shown are as of October 31, 1995. Interest rates on adjustable rate
mortgage securities reset periodically.
** Cost for Federal income tax purposes is $232,605,884 and net unrealized
depreciation consists of:
Gross Unrealized Appreciation ..................... $ 361,145
Gross Unrealized Depreciation ..................... (42,917,555)
------------
Net Unrealized Depreciation ....................... ($42,556,410)
============
</FN>
</TABLE>
See Notes to Financial Statements
33
<PAGE>
<TABLE>
<CAPTION>
ASTRA INSTITUTIONAL ADJUSTABLE U.S. GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- ----------------------
<S> <C>
ASSETS:
Investments in securities at value (identified cost $232,605,884) (Notes 2A and 3) . $ 190,049,474
Cash ............................................................................... 175,828
Receivables:
Interest .......................................................................... 1,356,873
Principal repayments .............................................................. 32,932
Securities sold ................................................................... 28,122,324
Deferred organization expense (net of accumulated amortization of $67,107) (Note 2E) 16,096
Other assets ....................................................................... 19,526
-------------
Total Assets .................................................................... 219,773,053
-------------
LIABILITIES:
Payable for securities purchased ................................................... 46,209,665
Accrued expenses ................................................................... 232,277
Distributions payable to Trusts .................................................... 738,650
-------------
Total Liabilities ............................................................... 47,180,592
NET ASSETS .......................................................................... $ 172,592,461
=============
Net asset value per share ($172,592,461 / 2,198,563 shares) ......................... $ 78.50
=============
At October 31, 1995 the components of net assets were as follows:
Paid-in capital .................................................................... $ 310,164,972
Accumulated net realized loss on investments ....................................... (95,030,989)
Undistributed net investment income ................................................ 14,888
Net unrealized depreciation of investments ......................................... (42,556,410)
-------------
Net Assets ........................................................................ $ 172,592,461
=============
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
- ----------------------
INVESTMENT INCOME:
INCOME:
Interest .......................................................................... $ 22,554,011
-------------
EXPENSES:
Investment management fee (Note 4) ................................................ 1,550,152
Recordkeeping fees ................................................................ 512,856
Professional fees ................................................................. 228,225
Custody fees ...................................................................... 51,260
Miscellaneous ..................................................................... 45,928
Amortization of organization expense (Note 2E) .................................... 15,783
Trustees' fees .................................................................... 7,349
Shareholder servicing costs ....................................................... 6,947
-------------
Total expenses .................................................................. 2,418,500
-------------
Net investment income .......................................................... 20,135,511
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments .................................................. (62,035,769)
Net change in unrealized depreciation of investments .............................. 10,936,142
-------------
Net loss on investments .......................................................... (51,099,627)
-------------
Net decrease in net assets resulting from operations ............................ $ (30,964,116)
=============
</TABLE>
See Notes to Financial Statements
34
<PAGE>
<TABLE>
<CAPTION>
ASTRA INSTITUTIONAL ADJUSTABLE U.S. GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31,
- ----------------------
1995 1994
------------ -------------
<S> <C> <C>
OPERATIONS:
Net investment income ..................................................... $ 20,135,511 $ 55,439,118
Net realized loss on investments .......................................... (62,035,769) (36,149,068)
Net change in unrealized depreciation of investments ...................... 10,936,142 (55,270,698)
------------ -------------
Net decrease in net assets resulting from operations ...................... (30,964,116) (35,980,648)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ($4.828 and $4.786
per share, respectively) ................................................. (16,286,136) (45,148,450)
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from the net change in
the number of outstanding shares (a) ..................................... (315,510,221) (677,765,844)
------------ -------------
Total decrease in net assets ........................................... (362,760,473) (758,894,942)
Net assets at the beginning of period ...................................... 535,352,934 1,294,247,876
------------ -------------
NET ASSETS at the end of period (including undistributed
net investment income of $14,888 and $-0-, respectively) .................. $172,592,461 $ 535,352,934
============ =============
- ----------
</TABLE>
(a) A summary of capital share transactions is as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
October 31, 1995 October 31, 1994
--------------------------- ---------------------------
Shares Value Shares Value
---------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Shares sold ................................... 12,991 $ 1,294,478 155,249 $ 15,049,299
Shares issued in payment of
distributions to shareholders ................ 105,611 8,569,781 257,920 24,531,711
---------- ------------- ---------- -------------
Shares repurchased ............................ (3,958,690) (325,374,480) (7,526,415) (717,346,854)
---------- ------------- ---------- -------------
Net decrease ................................ (3,840,088) $(315,510,221) (7,113,246) $(677,765,844)
========== ============= ========== =============
</TABLE>
See Notes to Financial Statements
35
<PAGE>
<TABLE>
<CAPTION>
ASTRA INSTITUTIONAL ADJUSTABLE U.S. GOVERNMENT SECURITIES PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ----------------------
November 27, 1991
(commencement of
Year Ended October 31, operations) to
------------------------------------------- October 31,
1995 1994 1993 1992
------- -------- ------- --------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ............. $88.650 $ 98.410 $99.600 $100.000
------- -------- ------- --------
Income (loss) from investment
operations--
Net investment income ........................... 5.750(b) 5.890 6.040 7.539
Net realized and unrealized loss
on investments ................................. (11.072)(b) (10.864) (0.601) (0.419)
------- -------- ------- --------
Total from investment
operations ................................... (5.322) (4.974) 5.439 7.120
------- -------- ------- --------
Less distributions--
Distributions from net investment
income ......................................... 4.828 4.786 6.061 7.520
Distributions from paid-in capital -- -- 0.568
------- -------- ------- --------
Total distributions ........................... 4.828 4.786 6.629 7.520
------- -------- ------- --------
Net asset value, end of period ................... $78.500 $ 88.650 $98.410 $ 99.600
======= ======== ======= ========
TOTAL RETURN ..................................... (6.00)% (5.25)% 5.62% 7.80%(a)
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(in thousands) .................................. $172,592 $535,353 $1,294,248 $1,111,565
Ratio to average net assets--
Expenses ........................................ 0.86% 0.62% 0.61% 0.64%(a)
Net investment income ........................... 7.14% 6.17% 6.66% 7.09%(a)
Portfolio turnover rate .......................... 108% 83% 87% 152%
</TABLE>
- ----------
(a) Annualized.
(b) Based upon average shares outstanding throughout the period.
See Notes to Financial Statements.
36
<PAGE>
ASTRA INSTITUTIONAL ADJUSTABLE U.S. GOVERNMENT SECURITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1995
- ------------------
NOTE 1--ORGANIZATION
Astra (formerly Pilgrim) Institutional Securities Trust (the "Company") is
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company. The Company was organized as a Massachusetts
Business Trust on September 4, 1991 with an unlimited number of shares of
beneficial interest without par value. The Company offers shares in two
non-diversified series, Astra (formerly Pilgrim) Institutional Adjustable U.S.
Government Securities Portfolio (the "Portfolio") and Astra (formerly Pilgrim)
Institutional Adjustable Rate Securities Portfolio. The Portfolio was structured
to serve as the investment vehicle for five affiliated open-end management
investment companies: Astra (formerly Pilgrim) Adjustable U.S. Government
Securities Trust I, I-A, II, III and IV (collectively, the "Trusts"). The Trusts
invest substantially all of their net assets in the Portfolio, which has the
same investment objective as that of the Trusts.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION. A valuation committee of the Board of Trustees is
responsible for establishing security valuation policies, reviewing the
valuation of portfolio securities, monitoring the level of illiquid
securities and reviewing liquidity determinations. The Company considers to
be illiquid all securities which cannot be disposed of within seven days in
the ordinary course of business at approximately the amount at which the
Portfolio values the security. Additionally, interest rate swap contracts,
interest-only and principal-only mortgage backed securities, and special
hazard certificates are treated as illiquid securities in accordance with
Securities and Exchange Commission policy. Liquid securities are valued
primarily using prices provided by independent pricing services which use
prices provided by market-makers or estimates of market values obtained
from yield and other data relating to instruments or securities with
similar characteristics, and secondarily based upon market quotations
and/or other available information. Securities for which reliable market
information or pricing service quotes are not readily available, including
illiquid securities, are valued at fair value as determined in good faith
by, or under procedures established by, the Board of Trustees, which
procedures may include the delegation of certain responsibilities regarding
valuation to Astra (formerly Pilgrim) Management Corporation (the
"Manager"). The Manager reports, as necessary, to the Trustees of the
Company regarding portfolio valuation determinations. Short-term securities
with less than sixty days remaining to maturity when acquired by the
Portfolio will be valued on an amortized cost basis by the Portfolio when
the Board of Trustees has determined that amortized cost is fair value.
B. FEDERAL INCOME TAXES. The Portfolio intends to comply with the requirements
of the Internal Revenue Code applicable to regulated investment companies
and to distribute all of its taxable income to its shareholders. Therefore,
no Federal income tax provision is required.
C. SECURITY TRANSACTIONS, INCOME AND DISTRIBUTIONS. As is common in the
industry, security transactions are accounted for on the trade date.
Interest income on adjustable rate mortgage securities is recorded on the
accrual basis at current
37
<PAGE>
interest rates. Dividends to shareholders from net investment income are
declared daily and paid or reinvested monthly. Discounts and premiums on
debt securities are amortized in accordance with the provisions of the
Internal Revenue Code.
D. INTEREST RATE SWAP CONTRACTS. The Portfolio may enter into interest rate
swap contracts as a hedging technique. Interest rate swap contracts are
marked-to-market daily using market quotations or independent pricing
services. The change in market value is recorded by the Portfolio as an
unrealized gain or loss. Interest income (expense) is accrued daily on the
contract's notional amount and applicable interest rates.
Interest rate swap contracts may expose the Portfolio to risks resulting
from unanticipated movements in interest rates or the failure of the
counterparty to the agreement to perform in accordance with the terms of
the contract.
E. DEFERRED ORGANIZATION EXPENSES. All of the Portfolio's expenses in
connection with its organization are being borne by the Portfolio and will
be amortized on a straight-line basis over a period of five years.
NOTE 3--INVESTMENTS
For the year ended October 31, 1995, the cost of purchases and the proceeds from
sales of investments and principal repayments, excluding short-term securities,
aggregated $279,816,300 and $517,132,104, respectively.
On October 31, 1995, the Portfolio held restricted securities (i.e., securities
which may not be publicly sold without registration under the Federal Securities
Act of 1933 (the "'33 Act") or without an exemption under the '33 Act). The
valuation committee of the Board has reviewed the trading markets for certain of
the Portfolio's restricted securities and has determined that they are liquid
and readily marketable. At October 31, 1995 other restricted securities having a
market value of $7,007,359, representing 4.1% of the Portfolio's net assets have
been determined to be illiquid. On October 31, 1995, and on the acquisition
dates of the restricted securities, there were no market quotations available
for unrestricted securities of the same class. Dates of acquisition and costs of
restricted securities are as follows:
<TABLE>
<CAPTION>
Principal Date(s) of
Amount Acquisition Cost
- --------- --------------- ------------
<S> <C> <C> <C>
$ 7,968,857 Citibank NA Multifamily 1992-1, Class B ........... 03/25/92 $ 6,748,374
11,675,216 Coast Federal Savings Bank 1991-1 ................. 06/27/91 TO 08/02/91 10,494,539
5,193,709 Coast Federal Savings Bank 1991-2, Class B-1 ...... 12/04/91 4,396,398
1,687,100 DLJ Mortgage Acceptance Corp 1992-1,
Class B .......................................... 03/05/92 1,361,846
15,987,737 PaineWebber Mortgage Acceptance Corp
1991-1, Class B .................................. 10/24/91 TO 12/11/91 15,916,334
19,138,236 Ryland Mortgage Securities Corp 1993-6A,
Class C-1 ........................................ 09/01/93 16,927,471
7,764,997 USGI Capital Markets Group Inc, Multi Family
1992-1 ........................................... 09/28/92 6,012,758
-----------
Total restricted securities (Market Value of
$19,256,250 was 11.1% of net assets at
October 31, 1995) ................................ $61,857,720
===========
</TABLE>
38
<PAGE>
As of October 31, 1995 U.S. Government Securities with a value of $52,657,404
were placed in a separate account at the Custodian Bank to cover certain
purchases of securities made on a delayed delivery basis.
At October 31, 1995 the Portfolio had a capital loss carryforward for Federal
income tax purposes of $95,031,000 of which $6,618,000 expires in 2000,
$4,385,000 in 2001, $25,842,000 in 2002, and $58,186,000 in 2003.
NOTE 4--INVESTMENT MANAGEMENT FEE AND
OTHER TRANSACTIONS WITH AFFILIATES
The Manager provides the Portfolio with investment management and administrative
services under an Investment Management Agreement. The Manager furnishes all
investment advice, office space and salaries of personnel needed by the
Portfolio, except those involved with record-keeping, daily net asset value
calculations, placing orders for the execution of portfolio transactions,
shareholder servicing, and maintaining registration of shares under state
securities laws. As compensation for its services, the Manager is paid monthly a
fee which is equal to the annual rate of 0.55% of the first $500 million of
average daily net assets, 0.50% on net assets from $500 million to $1 billion
and 0.45% on net assets over $1 billion. The Manager has agreed to reimburse the
Portfolio and Trusts to the extent required so that the aggregate expenses do
not exceed the expense limitations applicable to the Portfolio and Trusts under
the securities laws or regulations of those states or jurisdictions in which the
Trusts' shares are registered or qualified for sale. Currently, the most
restrictive of such expense limitations would require the Manager to reimburse
the Portfolio and Trusts to the extent required so that the Portfolio's and
Trusts' expenses, as described above, for any fiscal year do not exceed 2-1/2%
of the first $30 million of average daily net assets, 2% of the next $70 million
of average net assets and 1-1/2% of the remaining average net assets. The amount
of any such required reimbursement is limited to the management fees paid by the
Portfolio to the Manager. Expenses for purposes of this expense limitation
include the management fee, but exclude distribution expenses, brokerage
commissions and fees, taxes, interest and extraordinary expenses such as
litigation, paid or incurred by the Portfolio or Trusts.
Certain officers and trustees of the Company are also officers and/or directors
of the Trusts and the Manager.
NOTE 5--LEGAL MATTERS
Between December 1994 and July 1995, various complaints have been filed by
certain shareholders of Astra Adjustable U.S. Government Securities Trusts I,
I-A, II, III and IV and Astra Adjustable Rate Securities Trusts I, I-A, II, III
and IV (collectively, the "Astra Trusts") in the United States District Court
for the Central District of California and in the Superior Court for the State
of California against the Company and certain of its officers and trustees, the
Astra Trusts and certain of their officers and trustees, Astra Management
Corporation, Astra Fund Distributors Corporation, and, Atlas Holdings Group Inc.
and its principal stockholder and certain of its employees. These complaints
have been consolidated in the United States District Court for the Central
District of California in the matter referred to as "In re Pilgrim Securities
Litigation."
The complaints allege violations of the Securities Act of 1933 and the
Investment Company Act of 1940 relating principally to disclosure concerning
pricing and liquidity of portfolio securities held by the two Portfolios of the
Company. The complaints seek relief measured by the consideration each
shareholder paid for shares of the Astra Trusts with interest thereon, less the
amount of income received thereon, or in the event the shareholder no longer
owns such shares, for damages, plus interest. Management of the Company believes
the complaints are without merit and intents, and has been advised that each of
the other defendants intends, to vigorously defend these actions. The ultimate
outcome of these matters, however, cannot presently be determined and
accordingly the Portfolios have made no provision for any losses which may
result from settlement of these complaints.
39
<PAGE>
REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS
- ---------------------
To the Shareholders of Astra Institutional Adjustable
U.S. Government Securities Portfolio and the
Trustees of Astra Institutional Securities Trust
San Diego, California
We have audited the statement of assets and liabilities of Astra (formerly
Pilgrim) Institutional Adjustable U.S. Government Securities Portfolio (a series
of shares Astra (formerly Pilgrim) Institutional Securities Trust), including
the portfolio of investments, as of October 31, 1995, and the related statement
of operations for the year then ended, the statement of changes in net assets
for each of the two years in the period then ended and the financial highlights
for each of the three years in the period then ended and for the period from
November 22, 1991 (commencement of operations) to October 31, 1992. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements and financial
highlights are free from material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
October 31, 1995, by correspondence with the custodian and brokers.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Astra Institutional Adjustable U.S. Government Securities Portfolio as of
October 31, 1995, and the results of its operations for the year then ended, and
the changes in its net assets for each of the two years in the period then ended
and the financial highlights for each of the three years in the period then
ended and for the period from November 22, 1991 to October 31, 1992, in
conformity with generally accepted accounting principles.
As discussed in Note 5 to the accompanying financial statements, Astra
Institutional Adjustable U.S. Government Securities Portfolio has been named as
a defendant in various complaints alleging violations of the Securities Act of
1933 and the Investment Company Act of 1940 and seeking substantial relief. The
outcome of these matters cannot presently be determined and accordingly no
provision for any losses which may result from settlement of these matters has
been made in the accompanying financial statements.
As discussed in Notes 2A and 3, the financial statements include investments in
subordinated residential and derivative mortgage securities valued at $7,007,359
(representing 4.1% of net assets), which the Board of Trustees of Astra
Institutional Securities Trust has determined are illiquid and whose fair value
is determined under procedures approved by Astra Institutional Securities
Trust's Board of Trustees, in the absence of readily ascertainable market
values. We have reviewed the procedures adopted by the Board of Trustees in
determining fair value and have inspected underlying documentation, and in the
circumstances we believe the procedures are reasonable and the documentation of
those procedures appropriate. However, because the market value of these
securities can only be established by negotiation between parties in a sales
transaction, and because of the uncertainty inherent in the valuation process,
the fair values as determined may differ significantly from the values that
would have been used had a ready market for these securities existed.
TAIT, WELLER & BAKER
Philadelphia, Pennsylvania
December 7, 1995
40
<PAGE>
ASTRA GROUP
FAMILY OF FUNDS
- ---------------
ADJUSTABLE-INCOME FUNDS
- ---------------
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I-A
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST II
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST III
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST IV
ASTRA ADJUSTABLE RATE SECURITIES TRUST I
ASTRA ADJUSTABLE RATE SECURITIES TRUST I-A
ASTRA ADJUSTABLE RATE SECURITIES TRUST II
ASTRA ADJUSTABLE RATE SECURITIES TRUST III
ASTRA ADJUSTABLE RATE SECURITIES TRUST IV
FIXED-INCOME FUNDS
- ---------------
ASTRA ALL-AMERICAS GOVERNMENT INCOME TRUST
ASTRA SHORT-TERM MULTI-MARKET INCOME FUND I
ASTRA SHORT-TERM MULTI-MARKET INCOME FUND II
- ---------------
Prospectuses containing more complete information about the Funds, including
charges and expenses, may be obtained from Astra Fund Distributors Corp. Read
the Prospectus carefully before you invest or send money.
41
<PAGE>
- ------------------
750 B Street
Suite 2350
San Diego, CA 92101
- ------------------
ASTRA ADJUSTABLE U.S.
GOVERNMENT SECURITIES
TRUSTS I, I-A, II, III, IV
INVESTMENT MANAGER
Astra Management Corp.
750 B Street
Suite 2350
San Diego, CA 92101
1-619-238-7100
PRINCIPAL UNDERWRITER
Astra Fund Distributors Corp.
750 B Street
Suite 2350
San Diego, CA 92101
1-800-219-1080
SHAREHOLDER SERVICING AGENT
DST Systems, Inc.
P.O. Box 419174
Kansas City, Missouri 64141
1-800-441-7267
TRANSFER AGENT
Investors Fiduciary Trust Company
c/o DST Systems, Inc.
P.O. Box 419174
Kansas City, Missouri 64141
This report is submitted for the general information of the shareholders of the
Trusts. It is not authorized for distribution to prospective investors in the
Trusts unless preceded or accompanied by an effective prospectus which includes
details regarding the Trusts' objectives, policies, sales commissions and other
information.
USG 1295 14 AST 512351
ASTRA
ARM
FUNDS
ANNUAL REPORT
October 31, 1995
ASTRA ADJUSTABLE
U.S. GOVERNMENT SECURITIES
TRUSTS I, I-A, II, III, IV
[ARTWORK-EAGLE]
[LOGO] ASTRA
<PAGE>
ASTRA [Logo]
ASTRA ADJUSTABLE RATE SECURITIES TRUSTS ANNUAL REPORT
Dear Shareholder: December 20, 1995
The performance of the Trusts during the past fiscal year was
influenced by many factors. In late November 1994, long term interest rates
began to fall as inflation failed to accelerate and investors began to
anticipate a slowdown in economic growth. In fact, despite an increase in the
Fed Funds rate in February 1995, yields on short and intermediate maturities
began to decrease. Subsequently, over the past six months, economic data has
indeed displayed a slowing economy and few inflationary pressures, prompting the
Federal Reserve to decrease the Fed Funds rate in July 1995.
While the U.S. interest rate environment was generally supportive, the
California real estate market failed to show signs of improvement. As the
investment prospectus outlines, the portfolio in which the Trusts are invested
may purchase subordinated mortgage securities which have generally provided
higher yields than U.S. Government securities. However, the risk of loss due to
default on such investments is higher since they are not guaranteed by the U.S.
Government. If real estate values hold stable or rise, subordinated mortgages
generally provide attractive returns; however, if real estate values fall or
remain at depressed levels, subordinated mortgages can fall sharply in price.
The Trusts were hampered by credit and default risk on a number of subordinated
mortgage securities in the portfolio primarily backed by Southern California
real estate.
During the second calendar quarter of 1995, a new management team was assembled
led by a new Chief Executive Officer and Chief Financial Officer. The Investment
Committee completed an exhaustive review of all subordinated mortgage securities
held in the portfolio. Upon identifying those particular securities which the
Investment Committee believed might cause additional credit and or default
problems in the future, the Investment Committee has implemented a liquidation
process designed to maximize retention of shareholder value. On October 31,
1995, the portfolio held securities issued or guaranteed by the U.S. Government,
its agencies or instrumentalities totaling 72 percent.
Looking forward into 1996, if credit fundamentals for the remaining subordinated
mortgages held in the portfolio improve or remain stable, U.S. interest rates
decline or remain stable, and the overall environment for Agency adjustable-rate
mortgage securities improves, this can contribute to a generally positive
backdrop for the Trusts.
Sincerely,
Astra Management Corporation
<PAGE>
- ----------
Astra Adjustable Rate Securities Trusts invest all investable assets in the
Astra Institutional Adjustable Rate Securities Portfolio. The Portfolio seeks to
achieve its investment objective by investing at least 65% of its assets in
adjustable-rate mortgage (ARM) securities. A majority of the Portfolio's assets
may be invested in ARM securities that are issued or sponsored by commercial
banks, savings and loan associations, mortgage bankers or other financial
institutions, that have no government guarantee and that are senior or
subordinated to other mortgage securities arising out of the same pool of
mortgages. The Portfolio invests the remainder of its assets in (i) mortgage
securities which are issued or guaranteed by the U.S. Government, its agencies
or instrumentalities, or which are collateralized by or represent an interest in
U.S. Government mortgage securities and (ii) certain other mortgage securities.
PERFORMANCE DATA REPRESENTS PAST PERFORMANCE. INVESTMENT RETURN AND THE
PRINCIPAL VALUE OF AN INVESTMENT IN THE TRUSTS WILL FLUCTUATE. SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
2
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS
- --------------
GENERAL ECONOMIC AND MARKET ENVIRONMENT
The performance of the Trusts during the past fiscal year was influenced by many
factors. The Trusts' fiscal year began in the midst of the Federal Reserve's
attempt to dampen inflationary pressures by slowing the economy through
persistent increases in the Fed Funds rate. As a result, both short-term and
long-term interest rates rose. However, beginning in late November 1994,
long-term interest rates began to fall as inflation failed to accelerate and
investors began to anticipate a slowdown in economic growth. In fact, despite
another Federal Reserve increase in the Fed Funds rate in February 1995, yields
on short and intermediate maturities began to decrease. Subsequently, over the
past six months economic data has indeed displayed a slowing U.S. economy with
little inflationary pressures prompting the Federal Reserve to decrease the Fed
Funds rate in July 1995.
While the U.S. interest rate environment was generally supportive, the
California real estate market failed to show signs of improvement. Despite
improvements in housing starts and housing completions in the Western United
States, a favorable interest rate environment, and little or no inflation,
Southern California real estate prices continued to decline for most of 1995.
ADJUSTABLE RATE MORTGAGE (ARM) MARKET
The market for adjustable rate mortgage securities was very bearish for the
first part of the fiscal year due to primary dealers' relatively large inventory
positions, net redemptions on adjustable rate mortgage funds, and investors
reaction to increased volatility and poor performance of ARMs in a rising
interest rate environment. Most adjustable rate mortgage funds became net
sellers during the first half of the fiscal year, thus, the markets became
saturated with high quality ARM securities at attractive prices.
In the second half of the fiscal year, adjustable rate mortgage securities, in
general, stabilized from the effects of the Federal Reserve's increasing
interest rates during 1994 and the beginning of 1995. This had the desirable
effect of reducing the interest rate risk associated with adjustable rate
mortgage securities.
The credit risks associated with subordinated mortgage backed securities,
however, did not decrease. The recession was much deeper in California than
expected. This resulted in greater than expected default frequencies and
severities. A default generally requires a combination of loss of income and
loss of property equity. California job losses and declining real estate values
continued from late 1989 through mid 1994. The effects of this combination,
however, continued through October 31, 1995. Delinquency rates on Adjustable
Rate Mortgages, as reported by the Mortgage Bankers Association, continued to
increase throughout 1995. The increased defaults at many lending institutions
created a work-out bottleneck that increased the time it took to liquidate a
mortgage. This lengthening increased the costs associated with the foreclosure
process which in turn results in higher future default severities.
ANALYSIS OF THE ASTRA ADJUSTABLE RATE SECURITIES TRUSTS
As the prospectus outlines, the portfolio in which the Trusts are invested may
purchase subordinated mortgage securities which have generally provided higher
historical yields than U.S. Government securities. However, the risk of loss due
to default on such instruments is higher since they are not guaranteed by the
U.S. Government. If real estate values hold stable or rise, subordinated
mortgages generally provide attractive returns; however, if real estate values
fall or remain at depressed levels, subordinated mortgages can fall
3
<PAGE>
sharply in price. Consequently, performance was significantly hampered by credit
and default risk on a number of subordinated mortgage securities primarily
backed by real estate located in Southern California.
Given the previously described scenarios in both the U.S. fixed income and
subordinated mortgage markets, the major focus was to cautiously decrease
exposure in subordinated mortgage securities with the potential for increases in
defaults and delinquencies and selectively add U.S. Government Agency adjustable
rate mortgages. The Investment Committee completed an exhaustive review of all
subordinated mortgage securities held in the portfolio. Upon identifying those
particular securities which the Investment Committee believed might cause
additional credit and or default problems in the future, the Investment
Committee has implemented a liquidation process designed to maximize retention
of shareholder value.
4
<PAGE>
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ASTRA
ADJUSTABLE RATE SECURITIES TRUST I AND THE SALOMON BROTHERS 1-3 YEAR BBB
CORPORATE INDEX AND THE LEHMAN BROTHERS ARM INDEX
Based on a $10,000 initial investment, the graph below illustrates that the
total return of the Astra Adjustable Rate Securities Trust I underperformed the
total return of the Lehman Brothers ARM Index, as well as the Salomon Brothers
1-3 Year BBB Corporate Bond Index. Note, however, that the bonds included in the
Salomon Index generally have longer average maturities than the interest reset
periods of ARM securities held by the Trust and the Salomon Index does not
contain mortgage securities. Therefore the Salomon Index was not affected by the
high level of prepayments that affected yields on ARM securities. In addition,
the Lehman Index as well as the Salomon Index have inherent performance
advantages over any fund, since they have no cash in their portfolio, impose no
sales charges and incur no operating expenses. Of course, one can not invest in
an index.
----GRAPHICAL REPRESENTATION OF DATA TABLE BELOW----
Average Annual Total Returns
October 31, 1995
1 Year Since Inception***
-47.40% -12.66%
<TABLE>
<CAPTION>
Inception 10/01/92 10/31/92 10/31/93 10/31/94 10/31/95
--------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Astra Adjustable Rate Securities Trust I $10,000 $10,059 $10,667 $11,388 $10,836 $ 5,874
Salomon Brothers 1-3 Year BBB Corporate Index* 10,000 $10,136 10,863 11,760 12,069 13,288
Lehman Brothers ARM Index** 0 10,059 10,450 11,142 11,170 12,307
</TABLE>
Inception date of the Trust was November 27, 1991
NOTE: INCLUDES ALL SALES CHARGES
Performance data represents past performance. Past performance is not predictive
of future performance. Investment return and principal value of an investment in
the Trust will fluctuate. Shares, when redeemed, may be worth more or less than
their original cost.
* A subset of the Salomon Brothers Broad Investment Grade Bond Index.
** The Lehman Brothers ARM Index commenced January 1, 1992. For comparison
purposes, the initial amount applied to the ARM Index is equal to the value
of the hypothetical Trust I account on such date. All securities in the ARM
Index are government agency guaranteed.
*** In the past, the Trust's manager has voluntarily waived all or a portion of
its management fees or assumed responsibility for other expenses, which
reduced operating expenses and increased total return to shareholders.
Without these reductions, the total return would have been lower.
5
<PAGE>
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ASTRA
ADJUSTABLE RATE SECURITIES TRUST I-A AND THE SALOMON BROTHERS 1-3 YEAR BBB
CORPORATE INDEX AND THE LEHMAN BROTHERS ARM INDEX
Based on a $10,000 initial investment, the graph below illustrates that the
total return of the Astra Adjustable Rate Securities Trust I_A underperformed
the total return of the Lehman Brothers ARM Index, as well as the Salomon
Brothers 1-3 Year BBB Corporate Bond Index. Note, however, that the bonds
included in the Salomon Index generally have longer average maturities than the
interest reset periods of ARM securities held by the Trust and the Salomon Index
does not contain mortgage securities. Therefore the Salomon Index was not
affected by the high level of prepayments that affected yields on ARM
securities. In addition, the Lehman Index as well as the Salomon Index have
inherent performance advantages over any fund, since they have no cash in their
portfolio, impose no sales charges and incur no operating expenses. Of course,
one can not invest in an index.
----GRAPHICAL REPRESENTATION OF DATA TABLE BELOW----
Average Annual Total Returns
October 31, 1995
1 Year Since Inception***
-47.48% -15.05%
<TABLE>
<CAPTION>
Inception 10/31/92 10/31/93 10/31/94 10/31/95
--------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Astra Adjustable Rate Securities Trust I-A $10,000 $10,345 $11,073 $10,517 $ 5,691
Salomon Brothers 1-3 Year BBB Corporate Index* 10,000 10,431 11,293 11,590 12,760
Lehman Brothers ARM Index** 0 10,297 10,980 11,007 12,127
</TABLE>
Inception date of the Trust was May 19, 1992
NOTE: INCLUDES ALL SALES CHARGES
Performance data represents past performance. Past performance is not predictive
of future performance. Investment return and principal value of an investment in
the Trust will fluctuate. Shares, when redeemed, may be worth more or less than
their original cost.
* A subset of the Salomon Brothers Broad Investment Grade Bond Index.
** All securities in the ARM Index are government agency guaranteed.
*** In the past, the Trust's manager has voluntarily waived all or a portion of
its management fees or assumed responsibility for other expenses, which
reduced operating expenses and increased total return to shareholders.
Without these reductions, the total return would have been lower.
6
<PAGE>
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE ASTRA
ADJUSTABLE RATE SECURITIES TRUST II AND THE SALOMON BROTHERS 1-3 YEAR BBB
CORPORATE INDEX AND THE LEHMAN BROTHERS ARM INDEX
Based on a $10,000 initial investment, the graph below illustrates that the
total return of the Astra Adjustable Rate Securities Trust II underperformed the
total return of the Lehman Brothers ARM Index, as well as the Salomon Brothers
1-3 Year BBB Corporate Bond Index. Note, however, that the bonds included in the
Salomon Index generally have longer average maturities than the interest reset
periods of ARM securities held by the Trust and the Salomon Index does not
contain mortgage securities. Therefore the Salomon Index was not affected by the
high level of prepayments that affected yields on ARM securities. In addition,
the Lehman Index as well as the Salomon Index have inherent performance
advantages over any fund, since they have no cash in their portfolio, impose no
sales charges and incur no operating expenses. Of course, one can not invest in
an index.
----GRAPHICAL REPRESENTATION OF DATA TABLE BELOW----
Average Annual Total Returns
October 31, 1995
1 Year Since Inception***
-46.80% -12.69%
<TABLE>
<CAPTION>
Inception 10/01/92 10/31/92 10/31/93 10/31/94 10/31/95
--------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Astra Adjustable Rate Securities Trust II $10,000 $ 9,761 $10,418 $11,197 $10,721 $ 5,875
Salomon Brothers 1-3 Year BBB Corporate Index* 10,000 10,125 10,852 11,747 12,056 13,274
Lehman Brothers ARM Index** 0 10,067 10,458 11,151 11,178 12,317
</TABLE>
Inception date of the Trust was December 2, 1991
NOTE: INCLUDES ALL SALES CHARGES
Performance data represents past performance. Past performance is not predictive
of future performance. Investment return and principal value of an investment in
the Trust will fluctuate. Shares, when redeemed, may be worth more or less than
their original cost.
* A subset of the Salomon Brothers Broad Investment Grade Bond Index.
** The Lehman Brothers ARM Index commenced January 1, 1992. For comparison
purposes, the initial amount applied to the ARM Index is equal to the value
of the hypothetical Trust II account on such date had no initial sales
charge been deducted. All securities in the ARM Index are government agency
guaranteed.
*** In the past, the Trust's manager has voluntarily waived all or a portion of
its management fees or assumed responsibility for other expenses, which
reduced operating expenses and increased total return to shareholders.
Without these reductions, the total return would have been lower.
7
<PAGE>
COMPARISON OF THE CHANGE IN VALUE OF A $50,000 INVESTMENT IN THE ASTRA
ADJUSTABLE RATE SECURITIES TRUST III AND THE SALOMON BROTHERS 1-3 YEAR BBB
CORPORATE INDEX AND THE LEHMAN BROTHERS ARM INDEX
Based on a $10,000 initial investment, the graph below illustrates that the
total return of the Astra Adjustable Rate Securities Trust III underperformed
the total return of the Lehman Brothers ARM Index, as well as the Salomon
Brothers 1-3 Year BBB Corporate Bond Index. Note, however, that the bonds
included in the Salomon Index generally have longer average maturities than the
interest reset periods of ARM securities held by the Trust and the Salomon Index
does not contain mortgage securities. Therefore the Salomon Index was not
affected by the high level of prepayments that affected yields on ARM
securities. In addition, the Lehman Index as well as the Salomon Index have
inherent performance advantages over any fund, since they have no cash in their
portfolio, impose no sales charges and incur no operating expenses. Of course,
one can not invest in an index.
----GRAPHICAL REPRESENTATION OF DATA TABLE BELOW----
Average Annual Total Returns
October 31, 1995
1 Year Since Inception***
-50.55% -14.22%
<TABLE>
<CAPTION>
Inception 10/01/92 10/31/92 10/31/93 10/31/94 10/31/95
--------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Astra Adjustable Rate Securities Trust III $10,000 $ 9,548 $10,181 $10,181 $10,535 $ 5,485
Salomon Brothers 1-3 Year BBB Corporate Index* 0 10,054 10,445 11,137 11,164 12,301
Lehman Brothers ARM Index** 10,000 10,125 10,852 11,747 12,056 13,274
</TABLE>
Inception date of the Trust was December 3, 1991
NOTE: INCLUDES ALL SALES CHARGES
Performance data represents past performance. Past performance is not predictive
of future performance. Investment return and principal value of an investment in
the Trust will fluctuate. Shares, when redeemed, may be worth more or less than
their original cost.
* A subset of the Salomon Brothers Broad Investment Grade Bond Index.
** The Lehman Brothers ARM Index commenced January 1, 1992. For comparison
purposes, the initial amount applied to the ARM Index is equal to the value
of the hypothetical Trust III account on such date had no initial sales
charge been deducted. All securities in the ARM Index are government agency
guaranteed.
*** In the past, the Trust's manager has voluntarily waived all or a portion of
its management fees or assumed responsibility for other expenses, which
reduced operating expenses and increased total return to shareholders.
Without these reductions, the total return would have been lower.
8
<PAGE>
COMPARISON OF THE CHANGE IN VALUE OF A $50,000 INVESTMENT IN THE ASTRA
ADJUSTABLE RATE SECURITIES TRUST IV AND THE SALOMON BROTHERS 1-3 YEAR BBB
CORPORATE INDEX AND THE LEHMAN BROTHERS ARM INDEX
Based on a $50,000 initial investment, the graph below illustrates that the
total return of the Astra Adjustable Rate Securities Trust IV underperformed the
total return of the Lehman Brothers ARM Index, as well as the Salomon Brothers
1-3 Year BBB Corporate Bond Index. Note, however, that the bonds included in the
Salomon Index generally have longer average maturities than the interest reset
periods of ARM securities held by the Trust and the Salomon Index does not
contain mortgage securities. Therefore the Salomon Index was not affected by the
high level of prepayments that affected yields on ARM securities. In addition,
the Lehman Index as well as the Salomon Index have inherent performance
advantages over any fund, since they have no cash in their portfolio, impose no
sales charges and incur no operating expenses. Of course, one can not invest in
an index.
----GRAPHICAL REPRESENTATION OF DATA TABLE BELOW----
Average Annual Total Returns
October 31, 1995
1 Year Since Inception***
-45.78% -22.16%
<TABLE>
<CAPTION>
Inception 10/31/93 10/31/94 10/31/95
--------- -------- -------- --------
<S> <C> <C> <C> <C>
Astra Adjustable Rate Securities Trust IV $50,000 $51,773 $49,452 $26,811
Salomon Brothers 1-3 Year BBB Corporate Index* 50,000 51,599 52,956 58,305
Lehman Brothers ARM Index** 0 51,210 51,336 56,563
</TABLE>
Inception date of the Trust was May 7, 1993
NOTE: INCLUDES ALL SALES CHARGES
Performance data represents past performance. Past performance is not predictive
of future performance. Investment return and principal value of an investment in
the Trust will fluctuate. Shares, when redeemed, may be worth more or less than
their original cost.
* A subset of the Salomon Brothers Broad Investment Grade Bond Index.
** All securities in the ARM Index are government agency guaranteed.
*** In the past, the Trust's manager has voluntarily waived all or a portion of
its management fees or assumed responsibility for other expenses, which
reduced operating expenses and increased total return to shareholders.
Without these reductions, the total return would have been lower.
9
<PAGE>
TABLE OF CONTENTS
- ------------
ASTRA ADJUSTABLE RATE SECURITIES TRUST I
Statement of Assets and Liabilities ..................................... 11
Statement of Operations ................................................. 11
Statement of Changes in Net Assets ...................................... 12
Statement of Cash Flows ................................................. 13
Financial Highlights .................................................... 14
ASTRA ADJUSTABLE RATE SECURITIES TRUST I-A
Statement of Assets and Liabilities ..................................... 15
Statement of Operations ................................................. 15
Statement of Changes in Net Assets ...................................... 16
Statement of Cash Flows ................................................. 17
Financial Highlights .................................................... 18
ASTRA ADJUSTABLE RATE SECURITIES TRUST II
Statement of Assets and Liabilities ..................................... 19
Statement of Operations ................................................. 19
Statement of Changes in Net Assets ...................................... 20
Statement of Cash Flows ................................................. 21
Financial Highlights .................................................... 22
ASTRA ADJUSTABLE RATE SECURITIES TRUST III
Statement of Assets and Liabilities ..................................... 23
Statement of Operations ................................................. 23
Statement of Changes in Net Assets ...................................... 24
Statement of Cash Flows ................................................. 25
Financial Highlights .................................................... 26
ASTRA ADJUSTABLE RATE SECURITIES TRUST IV
Statement of Assets and Liabilities ..................................... 27
Statement of Operations ................................................. 27
Statement of Changes in Net Assets ...................................... 28
Statement of Cash Flows ................................................. 29
Financial Highlights .................................................... 30
ASTRA ADJUSTABLE RATE SECURITIES TRUSTS
Notes to Financial Statements ........................................... 31
Report of Independent Certified Public Accountants ...................... 36
ASTRA INSTITUTIONAL ADJUSTABLE RATE SECURITIES PORTFOLIO
Portfolio of Investments ................................................ 37
Statement of Assets and Liabilities ..................................... 38
Statement of Operations ................................................. 38
Statement of Changes in Net Assets ...................................... 39
Statement of Cash Flows ................................................. 40
Financial Highlights .................................................... 41
Notes to Financial Statements ........................................... 42
Report of Independent Certified Public Accountants ...................... 46
10
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST I
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities at value* (identified cost $9,347,646) (Notes 1, 2A and 3) ..... $ 4,857,465
Receivable from Manager .................................................................. 29,530
Deferred organization expense (net of accumulated amortization of $60,805) (Note 2D) ..... 17,597
Prepaid expenses ......................................................................... 5,422
------------
Total Assets ......................................................................... 4,910,014
------------
LIABILITIES:
Payable for capital stock redeemed ....................................................... 53,056
Accrued expenses ......................................................................... 52,838
------------
Total Liabilities .................................................................... 105,894
------------
NET ASSETS ................................................................................. $ 4,804,120
============
Net asset value per share ($4,804,120 / 1,474,070 shares) (Note 6) ......................... $ 3.26
============
At October 31, 1995 the components of net assets were as follows:
Paid-in capital .......................................................................... $ 24,550,449
Accumulated net realized loss on investments ............................................. (15,256,148)
Net unrealized depreciation of investments ............................................... (4,490,181)
------------
Net Assets ........................................................................... $ 4,804,120
============
</TABLE>
- ----------
* Investments of Astra Adjustable Rate Securities Trust I consist entirely of
100,716 shares of Astra Institutional Adjustable Rate Securities Portfolio.
Cost for Federal income tax purposes was $9,347,646. See Notes 1 and 2A.
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
INCOME:
Dividends from Portfolio ............................................................... $ 869,972
Other (Note 4A) ........................................................................ 105,641
------------
Total Income ......................................................................... 975,613
------------
EXPENSES:
Shareholder servicing costs ............................................................ 56,727
Distribution expenses (Note 4A) ........................................................ 40,631
Professional fees ...................................................................... 34,597
Administrative servicing costs (Note 5) ................................................ 16,253
Amortization of organization expense (Note 2D) ......................................... 15,680
Registration fees ...................................................................... 13,976
Reports to shareholders ................................................................ 12,986
Miscellaneous expense .................................................................. 12,151
Trustees' fees ......................................................................... 5,911
Insurance expense ...................................................................... 5,521
------------
Total expenses ....................................................................... 214,433
------------
Net investment income .............................................................. 761,180
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments ....................................................... (14,118,255)
Net change in unrealized depreciation of investments ................................... 1,774,675
------------
Net loss on investments .............................................................. (12,343,580)
------------
Net decrease in net assets resulting from operations ............................... $(11,582,400)
============
</TABLE>
See Notes to Trusts' Financial Statements
11
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST I
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31,
- ------------
<TABLE>
<CAPTION>
1995 1994
---- ----
<S> <C> <C>
OPERATIONS:
Net investment income ........................................... $ 761,180 $ 3,737,367
Net realized loss on investments ................................ (14,118,255) (1,115,054)
Net change in unrealized depreciation of investments ............ 1,774,675 (6,142,353)
------------ -----------
Net decrease in net assets resulting from operations ............ (11,582,400) (3,520,040)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ($0.260 and $0.409
per share, respectively) ....................................... (897,466) (4,365,559)
Distributions from paid-in capital ($0.108 per share) ........... (373,209) --
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net assets derived from the
net change in the number of outstanding shares (a) ............. (42,151,566) 4,573,071
------------ -----------
Total decrease in net assets ................................. (55,004,641) (3,312,528)
Net assets at the beginning of the period ........................ 59,808,761 63,121,289
------------ -----------
NET ASSETS at the end of the period (including undistributed
net investment income of $0 and $120,606, respectively) ......... $ 4,804,120 $59,808,761
============ ===========
</TABLE>
- -------------
(a) A summary of capital share transactions is as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
October 31, 1995 October 31, 1994
----------------------------- -----------------------------
Shares Value Shares Value
----------- ------------ ----------- ------------
<S> <C> <C> <C> <C>
Shares sold ....................... 61,778 $ 362,064 6,133,729 $43,463,481
Shares issued in reinvestment of
distributions to shareholders .... 79,584 387,089 214,503 1,491,187
Shares repurchased ................ (7,917,358) (42,900,719) (5,851,305) (40,381,597)
---------- ------------ ---------- ------------
Net increase (decrease) .......... (7,775,996) $(42,151,566) 496,927 $ 4,573,071
========== ============ ========== ============
</TABLE>
See Notes to Trusts' Financial Statements
12
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST I
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
INCREASE (DECREASE)IN CASH
Cash flows from operating activities:
Dividends received from Portfolio ............................................. $ 1,051,524
Other income received ......................................................... 76,111
Operating expenses paid ....................................................... (255,493)
Purchases of portfolio securities ............................................. (1,694,383)
Proceeds from disposition of portfolio securities ............................. 46,137,722
------------
Net cash provided by operating activities .................................... 45,315,481
------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Payments for capital stock redeemed ........................................... (44,580,208)
Proceeds from capital stock sold .............................................. 362,064
Cash dividends paid (a) ....................................................... (1,097,337)
------------
Net cash used for financing activities ....................................... (45,315,481)
------------
Net change in cash ............................................................ --
Cash at beginning of period ................................................... --
------------
Cash at end of period ......................................................... $ --
============
RECONCILIATION OF NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS
TO NET CASH PROVIDED BY OPERATING ACTIVITIES:
Net decrease in net assets resulting from operations .......................... $(11,582,400)
------------
Adjustments to reconcile net decrease in net assets from operations
to net cash provided by operating activities:
Decrease in investments in securities ....................................... 56,786,919
Increase in receivable from Manager ......................................... (29,530)
Decrease in dividends receivable from Portfolio ............................. 181,552
Increase in prepaid expenses ................................................ (1,210)
Decrease in deferred organization expense ................................... 15,680
Decrease in accrued expenses ................................................ (55,530)
-------------
Total adjustments .......................................................... 56,897,881
-------------
Net cash provided by operating activities ................................. $ 45,315,481
=============
</TABLE>
- -----------------
(a) Non-cash financing activities included herein consist of reinvestment of
distributions to shareholders of $387,089.
See Notes to Trusts' Financial Statements
13
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST I
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------
<TABLE>
<CAPTION>
November 27, 1991
(commencement of
Year ended October 31, operations) to
---------------------------------------- October 31,
1995 1994 1993 1992
------- ------- ------- ------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning
of period .......................... $6.470 $ 7.210 $ 7.250 $ 7.350
------ ------- ------- -------
Income (loss) from investment
operations--
Net investment income ............. 0.224(e) 0.357 0.475 0.524
Net realized and unrealized loss
on investments ................... (3.066)(e) (0.688) (0.002) (0.052)
------ ------- ------- -------
Total from investment
operations .................... (2.842) (0.331) 0.473 0.472
------ ------- ------- -------
Less distributions--
Distributions from net investment
income ............................ 0.260 0.409 0.513 0.524
Distributions from paid-in capital . 0.108 -- -- 0.048
------ ------- ------- -------
Total distributions ............ 0.368 0.409 0.513 0.572
------- ------- ------- -------
Net asset value, end of period ...... $ 3.260 $ 6.470 $ 7.210 $ 7.250
======= ======= ======= =======
TOTAL RETURN (f) .................... (45.38)% (4.85)% 6.74% 7.18%(a)
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(in thousands) ..................... $4,804 $59,809 $63,121 $53,187
Ratio to average net assets--
Expenses ........................... 1.32%(b) 1.34%(b) 1.36%(b) 1.38%(a)(b)(c)
Net investment income .............. 4.68% 5.02% 6.59% 7.63%(a)(d)
Portfolio turnover rate ............. 9% 30% 7% 4%
</TABLE>
- ---------------
(a) Annualized.
(b) Ratio of expenses to average net assets excludes 1.09%, 0.76%, 0.76%
and 0.76%(a), respectively,of expenses of the Portfolio, which reduced
dividends paid to Trust I.
(c) Ratio of expenses to average net assets prior to expense waivers
was 1.46%(a).
(d) Ratio of net investment income to average net assets prior to expense
waivers was 7.55%(a).
(e) Based upon average shares outstanding throughout the period.
(f) Calculated without the deduction of sales charges.
See Notes to Trusts' Financial Statements
14
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST IA
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities at value* (identified cost $27,910,495)
(Notes 1, 2A and 3) .......................................................... $ 14,298,509
Receivable for capital stock sold ............................................. 155,670
Deferred organization expense (net of accumulated amortization of $38,947)
(Note 2D) ..................................................................... 10,724
Prepaid expenses .............................................................. 15,992
------------
Total Assets .............................................................. 14,480,895
------------
LIABILITIES:
Payabale for capital stock redeemed ........................................... 50,335
Accrued expenses .............................................................. 105,036
------------
Total Liabilities ......................................................... 155,371
------------
NET ASSETS ..................................................................... $ 14,325,524
============
Net asset value per share ($14,325,524/4,367,532 shares) (Note 6) ............. $3.28
============
At October 31, 1995 the components of net assets were as follows:
Paid-in capital ............................................................... $ 68,350,766
Accumulated net realized loss on investments .................................. (40,413,256)
Net unrealized depreciation of investments .................................... (13,611,986)
------------
Net Assets ................................................................ $ 14,325,524
============
</TABLE>
- --------------
* Investments of Astra Adjustable Rate Securities Trust IA consist entirely
of 296,469 shares of Astra Institutional Adjustable Rate Securities
Portfolio. Cost for Federal income tax purposes is $27,910,495. See Notes 1
and 2A.
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Income:
Dividends from Portfolio ..................................................... $ 2,469,468
------------
EXPENSES:
Distribution expenses (Note 4A) .............................................. 469,046
Shareholder servicing costs .................................................. 128,690
Professional fees ............................................................ 61,270
Administrative servicing costs (Note 5) ...................................... 46,917
Reports to shareholders ...................................................... 27,870
Registration fees ............................................................ 27,443
Miscellaneous ................................................................ 25,192
Insurance expense ............................................................ 14,902
Trustees' fees ............................................................... 13,520
Amortization of organization expense (Note 2D) ............................... 9,906
------------
Total expenses ........................................................... 824,756
------------
Net investment income ................................................. 1,644,712
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments .............................................. (37,656,821)
Net change in unrealized depreciation of investments .......................... 2,368,536
------------
Net loss on investments ....................................................... (35,288,285)
------------
Net decrease in net assets resulting from operations .......................... $(33,643,573)
============
</TABLE>
See Notes to Trusts' Financial Statements
15
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST IA
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31, 1995
- ------------
<TABLE>
<CAPTION>
1995 1994
------------- ------------
<S> <C> <C>
Operations:
Net investment income ....................................... $ 1,644,712 $ 9,717,839
Net realized loss on investments ............................ (37,656,821) (2,755,312)
Net change in unrealized depreciation of investments ........ 2,368,536 (16,146,793)
------------- ------------
Net decrease in net assets resulting from operations ........ (33,643,573) (9,184,266)
Distributions to Shareholders:
Distributions from net investment income ($0.184 and $0.404
per share, respectively) ................................... (1,838,392) (11,486,958)
Distributions from paid-in capital ($0.163 per share) ....... (1,634,558) --
Capital Share Transactions:
Net decrease in net assets derived from the net change in
the number of outstanding shares (a) ....................... (102,359,995) (4,295,826)
------------- ------------
Total decrease in net assets ........................... (139,476,518) (24,967,050)
Net assets at the beginning of the period .................... 153,802,042 178,769,092
------------- ------------
NET ASSETS at the end of the period (including
undistributed net investment income of $0 and $34,704,
respectively) ............................................... $ 14,325,524 $153,802,042
============= ============
</TABLE>
- ----------------------
(a) A summary of capital share transactions follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
October 31, 1995 October 31, 1994
------------------------------ -------------------------------
Shares Value Shares Value
------------- -------------- ------------ -------------
<S> <C> <C> <C> <C>
Shares sold ...................... 286,384 $ 1,691,969 10,001,131 $71,201,030
Shares issued in reinvestment
of distributions to
shareholders ................... 284,239 1,316,939 551,480 3,862,263
Shares repurchased ............... (19,919,439) (105,368,903) (11,544,079) (79,359,119)
----------- ------------- ----------- -----------
Net decrease .................. (19,348,816) $(102,359,995) (991,468) $(4,295,826)
=========== ============= =========== ===========
</TABLE>
See Notes to Trusts' Financial Statements
16
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST I-A
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED OCTOBER 31, 1995
- ----------------------
INCREASE (DECREASE) IN CASH
CASH FLOWS FROM OPERATING ACTIVITIES:
Dividends received from Portfolio ........................... $ 2,881,150
Operating expenses paid ..................................... (990,183)
Purchases of portfolio securities ........................... (2,027,229)
Proceeds from disposition of portfolio securities ........... 110,551,317
-------------
Net cash provided by operating activities ................. 110,415,055
-------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Payments for capital stock redeemed ......................... (109,360,376)
Proceeds from capital stock sold ............................ 1,678,931
Cash dividends paid (a) ..................................... (2,733,610)
-------------
Net cash used for financing activities .................... (110,415,055)
-------------
Net change in cash .......................................... --
Cash at beginning of period ................................. --
-------------
Cash at end of period ....................................... $ --
=============
RECONCILIATION OF NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS TO NET CASH PROVIDED BY OPERATING ACTIVITIES:
Net decrease in net assets resulting from operations ........ $ (33,643,573)
-------------
Adjustments to reconcile net decrease in net assets from
operations to net cash provided by operating activities:
Decrease in investments in securities ..................... 143,812,373
Decrease in dividends receivable from Portfolio ........... 411,682
Increase in prepaid expenses .............................. (4,952)
Decrease in deferred organization expense ................. 9,906
Decrease in accrued expenses .............................. (170,381)
-------------
Total adjustments ....................................... 144,058,628
-------------
Net cash provided by operating activities ............. $ 110,415,055
=============
- ---------------
(a) Non-cash financing activities included herein consist of reinvestment of
distributions to shareholders of $1,316,939.
See Notes to Trusts' Financial Statements
17
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST I-A
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------
<TABLE>
<CAPTION>
May 19, 1992
(commencement of
Year Ended October 31, operations) to
----------------------------------------------- October 31,
1995 1994 1993 1992
------- --------- --------- ----------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ...... $ 6.490 $ 7.240 $ 7.260 $ 7.290
------- -------- -------- -------
Income (loss) from investment
operations--
Net investment income ................... 0.169 (e) 0.348 0.474 0.252
Net realized and unrealized gain
(loss) on investments ................. (3.032)(e) (0.694) 0.018 (0.004)
------- -------- -------- -------
Total from investment
operations ........................ (2.863) (0.346) 0.492 0.248
------- -------- -------- -------
Less distributions--
Distributions from net investment
income ................................ 0.184 0.404 0.512 0.252
Distributions from paid-in capital ...... 0.163 -- -- 0.026
------- -------- -------- -------
Total distributions ................. 0.347 0.404 0.512 0.278
------- -------- -------- -------
Net asset value, end of period ............ $ 3.280 $ 6.490 $ 7.240 $ 7.260
======== ========= ========= =======
TOTAL RETURN (f) .......................... (45.46)% (5.05)% 7.01% 7.63%(a)
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(in thousands) .......................... $14,326 $153,802 $178,769 $57,311
Ratio to average net assets--
Expenses ................................ 1.76%(b) 1.43%(b) 1.14%(b)(c 1.18%(a)(b)(c)
Net investment income ................... 3.51% 4.88% 6.40% 6.86%(a)(d)
Portfolio turnover rate ................... 4% 23% 0% 0%
- ----------
<FN>
(a) Annualized.
(b) Ratio of expenses to average net assets excludes 1.09%, 0.76%, 0.76% and
0.76%(a), respectively, of expenses of the Portfolio, which reduced
dividends paid to Trust I-A.
(c) Ratio of expenses to average net assets prior to expense waivers was 1.16%
and 1.28%(a).
(d) Ratio of net investment income to average net assets prior to expense
waivers was 6.38% and 6.76%(a), respectively.
(e) Based upon average shares outstanding throughout the period.
(f) Calculated without the deduction of sales charges.
</FN>
</TABLE>
See Notes to Trusts' Financial Statements
18
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST II
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- -------------
<TABLE>
<S> <C>
ASSETS:
Investments in securities at value* (identified cost $8,053,225) (Notes 1, 2A and 3) .... $ 4,071,733
Deferred organization expense (net of accumulated amortization of $59,635) (Note 2D) .... 15,908
Prepaid expenses ........................................................................ 4,219
-----------
Total Assets .......................................................................... 4,091,860
-----------
LIABILITIES:
Payable for capital stock redeemed ...................................................... 11,559
Accrued expenses ........................................................................ 18,241
-----------
Total Liabilities ..................................................................... 29,800
-----------
NET ASSETS ............................................................................... $ 4,062,060
===========
COMPUTATION OF OFFERING PRICE:
Net asset value per share ($4,062,060 / 1,215,528 shares) ............................... $ 3.34
===========
Offering price per share (100/97 of $3.34)(a) ........................................... $ 3.44
===========
(a)On investments of $100,000 or more the offering price is reduced.
At October 31, 1995 the components of net assets were as follows:
Paid-in capital ......................................................................... $13,124,051
Accumulated net realized loss on investments ............................................ (5,080,499)
Net unrealized depreciation of investments .............................................. (3,981,492)
-----------
Net Assets ............................................................................ $ 4,062,060
===========
- -----------
<FN>
* Investments of Astra Adjustable Rate Securities Trust II consist entirely
of 84,424 shares of Astra Institutional Adjustable Rate Securities
Portfolio. Cost for Federal income tax purposes is $8,053,225. See Notes 1
and 2A.
</FN>
</TABLE>
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
- -----------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
INCOME:
Dividends from Portfolio ............................................................ $ 386,004
-----------
EXPENSES:
Distribution expenses (Note 4B) ..................................................... 21,469
Amortization of organization expense (Note 2D) ...................................... 14,910
Professional fees ................................................................... 11,611
Shareholder servicing costs ......................................................... 10,694
Registration fees ................................................................... 9,397
Administrative servicing costs (Note 5) ............................................. 8,588
Reports to shareholders ............................................................. 3,718
Miscellaneous expense ............................................................... 3,410
Insurance expense ................................................................... 2,831
Trustees' fees ...................................................................... 1,814
-----------
Total expenses .................................................................... 88,442
-----------
Net investment income ........................................................... 297,562
-----------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS:
Net realized loss on investments .................................................... (3,997,087)
Net change in unrealized depreciation of investments ................................ (1,875,278)
-----------
Net loss on investments ........................................................... (5,872,365)
-----------
Net decrease in net assets resulting from operations ............................ $(5,574,803)
===========
</TABLE>
See Notes to Trusts' Financial Statements
19
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST II
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31, 1995
- ---------------------
<TABLE>
<CAPTION>
1995 1994
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income ................................................. $ 297,562 $ 2,399,046
Net realized loss on investments ...................................... (3,997,087) (998,948)
Net change in unrealized depreciation of investments .................. (1,875,278) (2,271,764)
------------ ------------
Net decrease in net assets resulting from operations .................. (5,574,803) (871,666)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ($0.192 and $0.405
per share, respectively) ............................................ (347,695) (2,390,907)
Distributions from realized gains on investments
($0.001 per share) .................................................. -- (4,351)
Distributions from paidin capital ($0.193 per share) .................. (348,497) --
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from the net change
in the number of outstanding shares (a) ............................. (10,447,746) (35,044,399)
------------ ------------
Total decrease in net assets ...................................... (16,718,741) (38,311,323)
Net assets at the beginning of the period ............................. 20,780,801 59,092,124
------------ ------------
NET ASSETS at the end of the period (including undistributed net
investment income of $0 and $35,223, respectively) .................. $ 4,062,060 $ 20,780,801
============ ============
</TABLE>
- ----------
(a) A summary of capital share transactions is as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
October 31, 1995 October 31, 1994
---------------------------- ----------------------------
Shares Value Shares Value
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold ............................ 9,197 $ 54,958 4,512,489 $ 32,788,717
Shares issued in reinvestment of
distributions to shareholders ........ 46,165 222,295 87,764 626,676
Shares repurchased ..................... (1,980,374) (10,724,999) (9,530,735) (68,459,792)
---------- ------------ ---------- ------------
Net decrease ......................... (1,925,012) $(10,447,746) (4,930,482) $(35,044,399)
========== ============ ========== ============
</TABLE>
See Notes to Trusts' Financial Statements
20
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST II
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED OCTOBER 31, 1995
- ------------
INCREASE (DECREASE) IN CASH
CASH FLOWS FROM OPERATING ACTIVITIES:
Dividends received from Portfolio .............................. $ 456,190
Operating expenses paid ........................................ (97,639)
Purchases of portfolio securities .............................. (397,672)
Proceeds from disposition of portfolio securities .............. 11,785,800
------------
Net cash provided by operating activities ...................... 11,746,679
------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Payments for capital stock redeemed ............................ (11,247,091)
Proceeds from capital stock sold ............................... 62,723
Cash dividends paid(a) ......................................... (562,311)
------------
Net cash used for financing activities ........................ (11,746,679)
------------
Net change in cash ............................................. --
Cash at beginning of period .................................... --
------------
Cash at end of period .......................................... $ --
============
RECONCILIATION OF NET DECREASE IN NET ASSETS
RESULTING FROM OPERATIONS TO NET CASH PROVIDED
BY OPERATING ACTIVITIES:
Net decrease in net assets resulting from operations ........... $ (5,574,803)
Adjustments to reconcile net decrease in net assets
from operations to net cash provided by operating activities:
Decrease in investments in securities ......................... 17,260,493
Decrease in dividends receivable from Portfolio ............... 70,186
Increase in prepaid expenses .................................. (2,407)
Decrease in deferred organization expense ..................... 14,910
Decrease in accrued expenses .................................. (21,700)
------------
Total adjustments ........................................... 17,321,482
------------
Net cash provided by operating activities ................. $ 11,746,679
============
- ---------
(a) Non-cash financing activities included herein consist of reinvestment of
distributions to shareholders of $222,295.
See Notes to Trusts' Financial Statements
21
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST II
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------
<TABLE>
<CAPTION>
DECEMBER 2, 1991
COMMENCEMENT OF
YEAR ENDED OCTOBER 31, OPERATIONS)TO
---------------------------------------- OCTOBER 31,
1995 1994 1993 1992
--------- -------- -------- -----------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ... $ 6.620 $ 7.320 $ 7.300 $ 7.350
------- ------- ------- -------
Income (loss) from investment
operations--
Net investment income .................. 0.168(e) 0.407 0.509 0.577
Net realized and unrealized gain
(loss) on investments ................. (3.063)(e) (0.701) 0.017 (0.050)
------- ------- ------- -------
Total from investment operations .... (2.895) (0.294) 0.526 0.527
------- ------- ------- -------
Less distributions--
Distributions from net investment
income ............................... 0.192 0.405 0.504 0.577
Distribution from realized gains on
investments .......................... -- 0.001 0.002 --
Distributions from paid-in capital .... 0.193 -- -- --
------- ------- ------- -------
Total distributions ................. 0.385 0.406 0.506 0.577
------- ------- ------- -------
Net asset value, end of period ......... $ 3.340 $ 6.620 $ 7.320 $ 7.300
======= ======= ======= =======
TOTAL RETURN (F) ....................... (45.20)% (4.25)% 7.45% 8.14%(a)
RATIO/SUPPLEMENTAL DATA
Net assets, end of period (in thousands) $ 4,062 $20,781 $59,092 $27,511
Ratio to average net assets--
Expenses .............................. 1.03%(b) 0.59%(b) 0.63%(b)(c) 0.64%(a)(b)(c)
Net investment income ................. 3.46% 5.67% 6.90% 8.22%(a)(d)
Portfolio turnover rate ................ 4% 64% 97% 63%
</TABLE>
- ---------------
(a) Annualized.
(b) Ratio of expenses to average net assets excludes 1.09%, 0.76%, 0.76% and
0.76%(a), respectively, of expenses of the Portfolio, which reduced the
dividends paid to Trust II.
(c) Ratio of expenses to average net assets prior to expense waivers was
0.84% (a).
(d) Ratio of net investment income to average net assets prior to expense
waivers was 8.02% (a).
(e) Based upon average shares outstanding throughout the period.
(f) Calculated without the deduction of sales charges.
See Notes to Trusts' Financial Statements
22
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST III
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- ------------
ASSETS:
Investments in securities at value* (identified cost $482,003)
(Notes 1, 2A and 3) ............................................. $ 269,040
Receivable from Manager .......................................... 12,514
Deferred organization expense (net of accumulated
amortization of $63,473) (Note 2D) .............................. 14,200
Prepaid expenses ................................................. 333
-----------
Total Assets .................................................. 296,087
-----------
LIABILITIES:
Payable for capital stock redeemed ............................... 3,224
Accrued expenses ................................................. 19,887
-----------
Total Liabilities ............................................. 23,111
-----------
NET ASSETS ........................................................ $ 272,976
===========
COMPUTATION OF OFFERING PRICE:
Net asset value per share ($272,976 / 87,211 shares) ............. $ 3.13
===========
Offering price per share (100/95 of $3.13)(a) .................... $ 3.29
===========
(a)On investments of $25,000 or more the offering price is reduced.
At October 31, 1995 the components of net assets were as follows:
Paid-in capital .................................................. 3,857,708
Accumulated net realized loss on investments ..................... 3,371,769)
Net unrealized depreciation of investments ....................... (212,963)
-----------
Net Assets ....................................................... $ 272,976
===========
- ------------------
* Investments of Astra Adjustable Rate Securities Trust III consist entirely
of 5,578 shares of Astra Institutional Adjustable Rate Securities
Portfolio. Cost for Federal income tax purposes is $482,003. See Notes 1
and 2A.
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
INVESTMENT INCOME:
INCOME:
Dividends from Portfolio ........................................ $ 119,734
-----------
EXPENSES:
Professional fees ............................................... 18,110
Amortization of organization expense (Note 2D) .................. 15,385
Registration fees ............................................... 10,658
Shareholder servicing costs ..................................... 8,062
Miscellaneous expenses .......................................... 4,708
Reports to shareholders ......................................... 3,130
Administrative servicing costs (Note 5) ......................... 1,925
Insurance expense ............................................... 1,558
Trustees' fees .................................................. 818
-----------
Total expenses ............................................... 64,354
Expense waiver (Note 5) ......................................... (12,514)
-----------
Net expenses ................................................. 51,840
-----------
Net investment income ..................................... 67,894
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments ................................. (2,480,922)
Net change in unrealized depreciation of investments ............. 1,020,245
-----------
Net loss on investments ......................................... (1,460,677)
-----------
Net decrease in net assets resulting from operations ...... $(1,392,783)
===========
See Notes to Trusts' Financial Statements
23
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST III
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31,
- ------------
1995 1994
------------ ------------
OPERATIONS:
Net investment income ............................ $ 67,894 $ 1,691,501
Net realized loss on investments ................. (2,480,922) (844,972)
Net change in unrealized depreciation of
investments ..................................... 1,020,245 (1,247,671)
------------ ------------
Net decrease in net assets resulting from
operations ...................................... (1,392,783) (401,142)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income
($0.304 and $0.418 per share, respectively) ..... (136,874) (1,665,413)
Distributions from realized gain on investments .. -- (447)
Distributions from paid-in capital
($0.125 per share) ............................... (56,313) --
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from the net
change in the number of outstanding
shares(a) ....................................... (10,506,989) (19,692,156)
------------ ------------
Total decrease in net assets .................. (12,092,959) (21,759,158)
Net assets at the beginning of the period ......... 12,365,935 34,125,093
------------ ------------
NET ASSETS at the end of the period
(including undistributed net investment income
of $0 and $53,595, respectively) ................. $ 272,976 $ 12,365,935
=========== ============
- ----------------
(a) A summary of capital share transactions is as follows:
<TABLE>
<CAPTION>
year ended year ended
october 31, 1995 october 31, 1994
-------------------------- ---------------------------
SHARES VALUE SHARES VALUE
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold ...................... 4,015 $ 19,984 2,366,081 $ 17,135,320
Shares issued in reinvestment of
distributions to shareholders .. 18,876 102,585 207,171 1,474,356
Shares repurchased ............... (1,807,898) 10,629,558) (5,382,239) (38,301,832)
---------- ------------ ---------- ------------
Net decrease ................... (1,785,007) $(10,506,989) (2,808,987) $(19,692,156)
========== ============ ========== ============
</TABLE>
See Notes to Trusts' Financial Statements
24
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUST III
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED OCTOBER 31, 1995
- ------------
INCREASE (DECREASE) IN CASH
CASH FLOWS FROM OPERATING ACTIVITIES:
Dividends received from Portfolio ............................. $ 119,734
Operating expenses paid ....................................... (52,057)
Purchases of portfolio securities ............................. (142,049)
Proceeds from disposition of portfolio securities ............. 10,777,557
------------
Net cash provided by operating activities .................. 10,703,185
------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Payments for capital stock redeemed ........................... (10,626,994)
Proceeds from capital stock sold .............................. 19,984
Cash dividends paid(a) ........................................ (96,175)
------------
Net cash used for financing activities ..................... (10,703,185)
------------
Net change in cash ............................................ --
Cash at beginning of period ................................... --
------------
Cash at end of period ......................................... $ --
============
RECONCILIATION OF NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS TO NET CASH PROVIDED BY OPERATING ACTIVITIES:
Net decrease in net assets resulting from operations .......... $ (1,392,783)
------------
Adjustments to reconcile net decrease in net assets from
operations to net cash provided by operating activities:
Decrease in investments in securities ......................... 12,096,185
Increase in receivable from Manager ........................... (12,514)
Decrease in prepaid expenses .................................. 1,145
Decrease in deferred organization expense ..................... 15,384
Decrease in due to Portfolio for expenses advanced ............ (4,993)
Increase in accrued expenses .................................. 761
------------
Total adjustments .......................................... 12,095,968
------------
Net cash provided by operating activities ................ $ 10,703,185
============
- --------------
(a) Non-cash financing activities included herein consist of reinvestment of
distributions to shareholders of $102,585.
See Notes to Trusts' Financial Statements
25
<PAGE>
<TABLE>
<CAPTION>
ASTRA ADJUSTABLE RATE SECURITIES TRUST III
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------------
December 3, 1991
(commencement of
Year Ended October 31, operations) to
----------------------------------------- October 31,
1995 1994 1993 1992
------- ------- ------- -------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period .......... $ 6.600 $ 7.290 $ 7.270 $ 7.350
------- ------- ------- -------
Income (loss) from investment operations--
Net investment income ....................... 0.166(e) 0.442 0.532 0.590
Net realized and unrealized gain
(loss) on investments ..................... (3.207)e) (0.714) 0.010 (0.080)
------- ------- ------- -------
Total from investment operations ........ (3.041) (0.272) 0.542 0.510
------- ------- ------- -------
Less distributions--
Distributions from net investment income .... 0.304 0.418 0.522 0.590
Distributions from paid-in capital .......... 0.125 -- -- --
------- ------- ------- -------
Total distributions ..................... 0.429 0.418 0.522 0.590
------- ------- ------- -------
Net asset value, end of period ................ $ 3.130 $ 6.600 $ 7.290 $ 7.270
======= ======= ======= =======
TOTAL RETURN (F) .............................. (47.93)% (3.96)% 7.72% 7.91%(a)
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in thousands) ...... $ 273 $12,366 $34,125 $20,856
Ratio to average net assets--
Expenses .................................... 2.69%(b)(c) 0.31%(b) 0.48%(b) 0.47%(a)(b)(c)
Net investment income ....................... 3.53%(d) 5.93% 7.32% 8.33%(a)(d)
Portfolio turnover rate ....................... 6% 67% 65% 13%
- ------------
<FN>
(a) Annualized.
(b) Ratio of expenses to average net assets excludes 1.09%, 0.76%, 0.76% and
0.76%(a), respectively, of expenses of the Portfolio, which reduced
dividends paid to Trust III.
(c) Ratio of expenses to average net assets prior to expense waivers was 3.34%
and 0.84%(a).
(d) Ratio of net investment income to average net assets prior to expense
waivers was 2.88% and 7.96%(a).
(e) Based upon average shares outstanding throughout the period.
(f) Calculated without the deduction of sales charges.
</FN>
</TABLE>
See Notes to Trusts' Financial Statements
26
<PAGE>
<TABLE>
<CAPTION>
ASTRA ADJUSTABLE RATE SECURITIES TRUST IV
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- -------------------
<S> <C>
ASSETS:
Investments in securities at value* (identified cost $8,918,994) (Notes 1, 2A and 3) ... $ 4,638,506
Deferred organization expense (net of accumulated amortization of $25,805) (Note 2D) ... 26,062
Prepaid expenses ....................................................................... 5,434
------------
Total Assets ....................................................................... 4,670,002
------------
LIABILITIES:
Payable for capital stock redeemed ..................................................... 76,808
Accrued expenses ....................................................................... 49,863
------------
Total Liabilities .................................................................. 126,671
------------
NET ASSETS .............................................................................. $ 4,543,331
============
Net asset value per share ($4,543,331 / 1,360,827 shares) (Note 6) ..................... $ 3.34
============
At October 31, 1995 the components of net assets were as follows:
Paid-in capital ......................................................................... $ 32,773,643
Accumulated net realized loss on investments ........................................... (23,949,824)
Net unrealized depreciation of investments ............................................. (4,280,488)
------------
Net Assets ......................................................................... $ 4,543,331
============
- ---------
</TABLE>
* Investments of Astra Adjustable Rate Securities Trust IV consist entirely
of 96,176 shares of Astra Institutional Adjustable Rate Securities
Portfolio. Cost for Federal income tax purposes is $8,918,994. See Notes 1
and 2A.
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
- --------------------
<S> <C>
INVESTMENT INCOME:
INCOME:
Dividends from Portfolio .............................................................. $ 1,134,168
------------
EXPENSES:
Distribution expenses (Note 4B) ....................................................... 120,956
Professional fees ..................................................................... 40,247
Shareholder servicing costs ........................................................... 25,869
Registration fees ..................................................................... 23,964
Administrative servicing costs (Note 5) ............................................... 20,159
Miscellaneous expenses ................................................................ 15,794
Reports to shareholders ............................................................... 12,762
Amortization of organization expense (Note 2D) ........................................ 10,373
Insurance expense ..................................................................... 9,794
Trustees' fees ........................................................................ 7,171
------------
Total expenses .................................................................... 287,089
Expense waiver (Note 5) ............................................................... (11,036)
------------
Net expenses .................................................................... 276,053
------------
Net investment income ......................................................... 858,115
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments ...................................................... 19,194,377)
Net change in unrealized depreciation of investments .................................. 3,619,765
------------
Net loss on investments .............................................................. (15,574,612)
------------
Net decrease in net assets resulting from operations ................................ $(14,716,497)
============
</TABLE>
See Notes to Trusts' Financial Statements.
27
<PAGE>
<TABLE>
<CAPTION>
ASTRA ADJUSTABLE RATE SECURITIES TRUST IV
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31,
- --------------------
1995 1994
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income .............................................. $ 858,115 $ 8,722,688
Net realized loss on investments ................................... (19,194,377) (4,755,447)
Net change in unrealized depreciation of investments ............... 3,619,765 (8,358,495)
------------ ------------
Net decrease in net assets resulting from operations ............... (14,716,497) (4,391,254)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ($0.211 and $0.407
per share, respectively) .......................................... (877,272) (8,724,277)
Distributions from paidin capital ($0.166 per share) ............... (686,694) --
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from the net change
in the number of outstanding shares(a) ............................ (56,587,157) (36,181,883)
------------ ------------
Total decrease in net assets ................................... (72,867,620) (49,297,414)
Net assets at the beginning of the period ........................... 77,410,951 126,708,365
------------ ------------
NET ASSETS at the end of the period (including undistributed net
investment income of $0 and $8,784, respectively) .................. $ 4,543,331 $ 77,410,951
============ ============
- ------------
(a) A summary of capital share transactions is as follows:
</TABLE>
<TABLE>
<CAPTION>
Year ended Year ended
October 31, 1995 October 31, 1994
-------------------------- --------------------------
shares value shares value
----------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold ........................... 158,416 $926,395 5,942,885 $190,149,985
Shares issued in reinvestment of
distributions to shareholders ........ 98,614 463,587 283,152 2,044,995
Shares repurchased .................... (10,481,720) 57,977,139) (31,772,727) (228,376,863
----------- ------------ ---------- ------------
Net decrease .......................... (10,224,690) $(56,587,157) (5,546,690) $(36,181,883)
=========== ============ ========== ============
</TABLE>
See Notes to Trusts' Financial Statements
28
<PAGE>
<TABLE>
<CAPTION>
ASTRA ADJUSTABLE RATE SECURITIES TRUST IV
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED OCTOBER 31, 1995
- ------------------
<S> <C>
INCREASE (DECREASE)IN CASH
CASH FLOWS FROM OPERATING ACTIVITIES:
Dividends received from Portfolio ................................................ $ 1,488,927
Operating expenses paid .......................................................... (289,189)
Purchases of portfolio securities ................................................ (754,701)
Proceeds from disposition of portfolio securities ................................ 60,918,397
------------
Net cash provided by operating activities ....................................... 61,363,434
------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Payments for capital stock redeemed .............................................. (60,818,323)
Proceeds from capital stock sold ................................................. 927,135
Cash dividends paid(a) ........................................................... (1,472,246)
------------
Net cash used for financing activities .......................................... (61,363,434)
------------
Net change in cash ............................................................... --
Cash at beginning of period ...................................................... --
------------
Cash at end of period ............................................................ $ --
=============
RECONCILIATION OF NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS TO
NET CASH PROVIDED BY OPERATING ACTIVITIES:
Net decrease in net assets resulting from operations ............................. $(14,716,497)
------------
Adjustments to reconcile net decrease in net assets from operations to
net cash provided by operating activities:
Decrease in investments in securities ........................................... 75,738,308
Decrease in dividends receivable from Portfolio ................................. 354,759
Decrease in prepaid expenses .................................................... 3,047
Decrease in deferred organization expense ....................................... 10,373
Decrease in accrued expenses .................................................... (26,556)
------------
Total adjustments .............................................................. 76,079,931
------------
Net cash provided by operating activities .................................... $ 61,363,434
============
</TABLE>
- --------------
(a) Noncash financing activities included herein consist of reinvestment of
distributions to shareholders of $463,587.
See Notes to Trusts' Financial Statements
29
<PAGE>
<TABLE>
<CAPTION>
ASTRA ADJUSTABLE RATE SECURITIES TRUST IV
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------
May 7, 1993
Year Ended October 31, (commencement of
---------------------- operations) to
1995 1994 October 31, 1993
------ ------ ----------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ................. $ 6.680 $ 7.400 $ 7.350
------ ------ -----
Income (loss) from investment operations--
Net investment income ............................... 0.210(e) 0.415 0.208
Net realized and unrealized gain (loss) on
investments ........................................ (3.173)(e) (0.728) 0.050
------ ------ -----
Total from investment operations .................. (2.963) (0.313) 0.258
------ ------ -----
Less distributions--
Distributions from net investment income ............ 0.211 0.407 0.208
Distributions from paidin capital ................... 0.166 -- --
------ ------ -----
Total distributions ............................... 0.377 0.407 0.208
------ ------ -----
Net asset value, end of period ....................... $ 3.340 $ 6.680 $ 7.400
======= ======= ========
TOTAL RETURN ....................................... (45.78)% (4.47)% 7.28%(a)
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in thousands) ............. $ 4,543 $77,411 $126,708
Ratio to average net assets--
Expenses ............................................ 1.37%(b)(c) 0.65%(b)(c) 0.50%(a)(b)(c)
Net investment income ............................... 4.26%(d) 5.58%(d) 5.56%(a)(d)
Portfolio turnover rate .............................. 3% 70% 0%
- -----------
<FN>
(a) Annualized.
(b) Ratio of expenses to average net assets excludes 1.09%, 0.76% and 0.76%(a),
respectively, of expenses of the Portfolio, which reduced dividends paid to
Trust IV.
(c) Ratio of expenses to average net assets prior to expense waivers was 1.42%,
0.86% and 0.75%(a), respectively.
(d) Ratio of net investment income to average net assets prior to expense
waivers was 4.20%, 5.37% and 5.31%(a), respectively.
(e) Based upon average shares outstanding throughout the period.
</FN>
</TABLE>
See Notes to Trusts' Financial Statements.
30
<PAGE>
ASTRA ADJUSTABLE RATE SECURITIES TRUSTS
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1995
- ------------
NOTE 1--ORGANIZATION
Astra (formerly Pilgrim) Strategic Investment Series (the "Company") is
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company. On September 15, 1994 the Company's shareholders
approved a change in the Company's Declaration of Trust to permit the creation
of additional classes of shares of each of the Trust's series. Currently, the
Company has authorized an unlimited number of shares of beneficial interest
without par value and at October 31, 1995 had outstanding a single class of
shares in ten series: Astra (formerly Pilgrim) Adjustable Rate Securities Trust
I, I-A, II, III and IV (collectively, the "Astra Adjustable Rate Securities
Trusts" or the "Trusts"), Astra (formerly Pilgrim) Adjustable U.S. Government
Securities Trust I, I-A, II, III and IV (collectively, the "Astra Adjustable
U.S. Government Securities Trusts"), all of which are non-diversified series.
Effective March 1, 1995 the Trusts discontinued the public offering of their
shares.
The value of the Trusts' investment in shares of Astra (formerly Pilgrim)
Institutional Adjustable Rate Securities Portfolio (the "Portfolio"), a non-
diversified series of Astra (formerly Pilgrim) Institutional Securities Trust
("AIST"), reflects their proportionate interest in the net assets of the
Portfolio. The financial statements of the Portfolio, including the portfolio of
investments, are included in this report and should be read in conjunction with
the financial statements of the Trusts.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION. The investment policy of the Trusts is to invest in
shares of the Portfolio. Shares of the Portfolio held by the Trusts are
valued at the net asset value then determined by the Portfolio. A valuation
committee of the Board of Trustees of AIST is responsible for establishing
security valuation policies, reviewing the valuation of portfolio
securities, monitoring the level of illiquid securities and reviewing
liquidity determinations for securities held by the Portfolio. AIST
considers to be illiquid all securities which cannot be disposed of within
seven days in the ordinary course of business at approximately the amount
at which the Portfolio values the security. Additionally, interest rate
swap contracts, interest-only and principal-only mortgage backed
securities, and special hazard certificates are treated as illiquid
securities in accordance with Securities and Exchange Commission policy.
Liquid securities are valued primarily using prices provided by independent
pricing services which use prices provided by market-markers or estimates
of market values obtained from yield and other data relating to instruments
or securities with similar characteristics, and secondarily based upon
market quotations and/or other available information. Securities for which
reliable market information or pricing service quotes are not readily
available, including illiquid securities, are valued at fair value as
determined in good faith by, or under procedures established by, the Board
of Trustees of AIST which procedures may include the delegation of certain
responsibilities regarding valuation to Astra (formerly Pilgrim) Management
Corporation (the "Manager"). The Manager reports, as necessary, to the
Trustees of AIST regarding portfolio valuation determinations.
Short term securities with less than sixty days remaining to maturity when
acquired by the Portfolio are valued on an amortized cost basis by the
Portfolio when the Trustees of AIST have determined that amortized cost is
fair value.
B. FEDERAL INCOME TAXES. The Trusts intend to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and
to distribute all of their taxable income to their share-
31
<PAGE>
holders. Therefore, no Federal income tax provision is required.
C. SECURITY TRANSACTIONS, INCOME AND DISTRIBUTIONS. As is common in the
industry, security transactions of the Portfolio and Trusts are accounted
for on the trade date. Interest income on adjustable rate mortgage
securities is recorded on the accrual basis at current interest rates.
Dividends to shareholders of the Portfolio from net investment income are
declared daily and reinvested monthly. Dividends to shareholders of the
Trusts from net investment income are declared and paid or reinvested
monthly. Prior to May 1, 1995, dividends to shareholders of the Trusts from
net investment income were declared daily and paid or reinvested monthly.
Discounts and premiums on Portfolio debt securities are amortized in
accordance with the provisions of the Internal Revenue Code.
D. DEFERRED ORGANIZATION EXPENSES. All of the expenses incurred in connection
with the organization of the Trusts are being borne ratably by the Trusts
and are being amortized on a straight line basis over periods of five years
from the date of commencement of operations.
NOTE 3--INVESTMENTS
At October 31, 1995 the Portfolio held subordinated residential and derivative
mortgage securities which the Valuation Committee of the Board of Trustees or
AIST has determined to be illiquid. These securities are valued at $9,364,315
(representing 33.2% of the Portfolio's net assets). The fair value of these
securities is determined under procedures approved by the Board of Trustees of
AIST in the absence of readily ascertainable market values.
For the year ended October 31, 1995 the cost of purchases and the proceeds from
sales of investments in the Portfolio were as follows:
PURCHASES SALES
---------- ------------
Trust I .............. $1,694,383 $ 46,137,722
Trust I A ............ 2,027,229 110,551,317
Trust II ............. 397,672 11,785,800
Trust III ............ 142,049 10,777,557
Trust IV ............. 754,701 60,918,397
At October 31, 1995 the Trusts had capital loss carryforwards for federal income
tax purposes as follows:
CAPITAL LOSS EXPIRES
CARRYFORWARD OCTOBER 31,
------------ -----------
Trust I ............. $15,256,000 2003
===========
Trust I A ........... $ 54,000 2002
40,359,000 2003
-----------
$40,413,000
===========
Trust II ............ $ 665,000 2002
4,415,000 2003
-----------
$ 5,080,000
===========
Trust III ........... $ 533,000 2002
2,839,000 2003
-----------
$ 3,372,000
===========
Trust IV ............ $ 1,212,000 2002
22,738,000 2003
-----------
$23,950,000
===========
NOTE 4--DISTRIBUTION PLANS
A. TRUST I AND TRUST I-A DISTRIBUTION PLANS. Trust I and Trust I-A have
adopted distribution plans pursuant to Rule 12b-1 under the 1940 Act (the
"Distribution Plans"), whereby they will provide daily compensation to
Astra Fund (formerly Pilgrim) Distributors Corp., the Trusts' principal
underwriter (the "Principal Underwriter") in the form of sales commissions
equal to 4% of the amount received by Trust I for each share sold and 5%
(4.50% prior to August 5, 1994) of the amount received by Trust I-A for
each share sold (excluding reinvestment of dividends and distributions)
plus an interest fee calculated by applying the rate of 1% over prime rate
to the outstanding balance of Uncovered Distribution Charges. Daily
compensation payments will be made monthly and are limited to an annual
rate of 0.75% of each Trust's daily net assets. During the year ended
October 31, 1995 the Principal Underwriter earned daily compensation of
$351,785 from Trust I-A. At October 31, 1995 Uncovered Distribution Charges
(cumulative sales commissions and interest fees reduced by cumulative daily
32
<PAGE>
compensation and contingent deferred sales charges paid to the Principal
Underwriter) were $3,177,828 for Trust I-A.
On November 1, 1994 Trust I had no Uncovered Distribution Charges pursuant
TO the Distribution Plan and, accordingly, discontinued the accrual of
daily compensation payments. The Distribution Plan also contains provisions
which contractually obligate the Principal Underwriter to reimburse
Trust I, to the extent it has collected contingent deferred sales charges
from redeeming shareholders when there were no such Uncovered Distribution
Charges, for Trust I's pro rata share of the Portfolio's investment
management fee. This management fee is calculated at .65% of the
Portfolio's average daily net assets. During the year ended October 31,
1995 such reimbursement amounted to $105,641 which is included in other
income in the accompanying financial statements of Trust I.
On August 5, 1994 the shareholders of Trust I and Trust I-A approved
changes to their respective distribution plans to provide a method by which
A proportionate amount of Uncovered Distribution Charges will be
transferred from the Trusts upon exchanges to other mutual funds for which
Astra Fund Distributors Corp. serves as Principal Underwriter and which
have substantially the same contingent deferred sales charge structure and
distribution plan.
Pursuant to the requirements of the Securities and Exchange Commission the
daily compensation (sales commission) payments to the Principal Underwriter
pursuant to the Distribution Plan must be reflected as operating expenses
of Trust I and Trust I-A. For periods through December 31, 1994 these
payments were treated as capital transactions and were not deductible for
Federal income tax purposes.
The Distribution Plans also provide for monthly payments to the Principal
Underwriter of a trail or maintenance fee in an amount equal to an annual
rate of 0.25% of the daily net assets of Trust I and Trust I-A. During the
year ended October 31, 1995 the Principal Underwriter earned maintenance
fees of $40,631 from Trust I and $117,261 from Trust I-A.
B. TRUST II AND TRUST IV DISTRIBUTION PLANS. Trust II and Trust IV have
adopted distribution plans pursuant to Rule 12b-1 under the 1940 Act (the
"Distribution Plans"), whereby Trust II may pay up to a maximum annual rate
of 0.25% of its average daily net assets and Trust IV may pay up to a
maximum annual rate of 0.60% of its average daily net assets to the
Principal Underwriter as reimbursement for expenses incurred in the
distribution of the shares of Trust II and Trust IV. Pursuant to the
Distribution Plans, the Principal Underwriter is entitled to reimbursement
each month (up to a maximum of 0.25% of Trust II's daily net assets and
0.60% of Trust IV's daily net assets) for its actual expenses incurred in
the distribution and promotion of Trust II's and Trust IV's shares,
including the printing of prospectuses used for sales purposes,
advertisements, expenses of preparation and printing of sales literature,
and other distribution related expenses, including any distribution or
service fees paid to security dealers and others who have executed a
distribution or service agreement with the Principal Underwriter. The
Distribution Plans provide that the Principal Underwriter may include as
distribution expenses a portion of its overhead expenses directly
attributable to the distribution of Trust II's and Trust IV's shares,
including personnel and out-of-pocket costs. The Distribution Plans permit
the Principal Underwriter to carryforward for a maximum of three years
(without carrying charges) distribution expenses covered by the
Distribution Plans for which it has not yet received reimbursement. At
October 31, 1995, the Principal Underwriter had incurred $1,127,087 of
distribution expenses in excess of amounts currently reimbursable by Trust
II and $1,465,533 of distribution expenses in excess of amounts currently
reimbursable by
33
<PAGE>
Trust IV. During the year ended October 31, 1995, the Principal Underwriter
received distribution expense reimbursements of $21,469 from Trust II and
$120,956 from Trust IV. Distribution expenses incurred by the Principal
Underwriter included $14,590 and $99,490 for the salaries and related costs
of certain of its employees involved in the sales of Trust II's and Trust
IV's shares, respectively.
NOTE 5--INVESTMENT MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Trusts invest substantially all of their assets in the Portfolio, which has
the same investment objective as each of the Trusts. The Trustees of AIST
establish the Portfolio's investment policies and supervise and review the
operations and management of the Portfolio. For furnishing the Portfolio with
investment advice and investment management and administrative services with
respect to the Portfolio's assets, including making specific recommendations as
to the purchase and the sale of portfolio securities, furnishing requisite
office space and personnel, and in general supervising and managing the
Portfolio's investments subject to the ultimate supervision and direction of
AIST's Trustees, the Manager is paid monthly a fee equal to 0.65% per annum of
the first $500 million of average daily net assets of the Portfolio. The annual
rate is reduced to 0.60% on net assets from $500 million to $1 billion and to
0.55% on net assets over $1 billion. The management fees paid by the Portfolio
to the Manager are expenses of the Portfolio and reduce the net investment
income available for distribution by the Portfolio to the Trusts. The Manager
has agreed to reimburse the Portfolio and Trusts to the extent required so that
the aggregate expenses do not exceed the expense limitations applicable under
the securities laws or regulations of those states or jurisdictions in which the
Trusts' shares are registered or qualified for sale. Currently, the most
restrictive of such expense limitations would require the Manager to reimburse
the Portfolio and Trusts to the extent required so that the Portfolio's and
Trusts' expenses, as described above, for any fiscal year do not exceed 2.50% of
the first $30 million of average net assets, 2.00% of the next $70 million of
average net assets and 1.50% of the remaining average net assets. The amount of
any such required reimbursement, however, is limited to the management fees paid
by the Portfolio to the Manager. Expenses for purposes of these expense
limitations include the management fee, but exclude distribution expenses,
brokerage commissions and fees, taxes, interest and extraordinary expenses such
as litigation paid or incurred by the Trusts or the Portfolio. During the year
ended October 31, 1995, the Manager reimbursed $12,514 of expenses of Trust III
pursuant to these expense limitation provisions and also voluntarily subsidized
the expenses of Trust IV resulting in an expense waiver of $11,036.
The Trusts have retained Atlas Holdings (formerly Pilgrim) Group Inc. (The
"Administrator") to provide administration for the Trusts pursuant to an
administration agreement. These administrative services include supervising the
preparation and filing of all documents required for compliance by the Trusts
with applicable laws and regulations, supervising the maintenance of books and
records and other general and administrative responsibilities. For providing
these services the Administrator receives a fee equal to 0.10% of each Trust's
average daily net assets.
Certain officer and trustees of the Company are also officers and/or
directors/trustees of AIST, the Administrator, the Manager, and the Principal
Underwriter.
NOTE 6--EARLY WITHDRAWAL CHARGES
Shares of Trust I, Trust I-A and Trust IV which are redeemed may be subject to a
contingent deferred sales charge. The contingent deferred sales charge is not
imposed on shares acquired through the reinvestment of dividends and
distributions or on the appreciation of the value of shares acquired over their
purchase price. Redemption proceeds are applied first against shares not subject
to the contingent deferred sales charge for purposes of calculating such charge.
The contingent deferred sales charges are paid by the redeeming shareholder to
the Principal Underwriter at the time of redemption. The contingent deferred
sales charges for Trust I and Trust I-A are imposed at the rate of 4% for
redemptions in the first year after purchase, declining to 3%, 2%, and 1% in the
second, third and fourth years, respectively. The contingent deferred
34
<PAGE>
sales charges for Trust IV are imposed at the rate of 0.25% of redemptions
within 3 months of the date of purchase. During the year ended October 31, 1995
the Principal Underwriter received contingent deferred sales charges of
$3,019,494 from redemptions of Trust I-A shares, and $8,180 from redemptions of
Trust IV shares.
NOTE 7--LEGAL MATTERS
Between December 1994 and May 1995, various complaints have been filed by
certain shareholders of the Astra Adjustable Rate Securities Trusts and the
Astra Adjustable U.S. Government Securities Trusts (collectively, the "Astra
Trusts") in the United States District Court for the Central District of
California and in the Superior Court for the State of California against the
Company and certain of its officers and trustees, AIST and certain of its
officers and trustees, Astra Management Corporation, Astra Fund Distributors
Corporation, and, Atlas Holdings Group Inc. and its principal stockholder and
certain of its employees. These complaints have been consolidated in the United
States District Court for the Central District of California in the matter
referred to as "In re Pilgrim Securities Litigation."
The complaints allege violations of the Securities Act of 1933 and the
Investment Company Act of 1940 relating principally to disclosure concerning
pricing and liquidity of portfolio securities held by the Portfolios of AIST.
The complaints seek relief measured by the consideration each shareholder paid
for shares of the Astra Trusts and interest thereon, less the amount of income
received thereon, or in the event the shareholder no longer owns such shares,
for damages, plus interest.
Management of the Company believes the complaints are without merit and intends,
and has been advised that each of the other defendants intends, to vigorously
defend these actions. The ultimate outcome of these matters, however, cannot
presently be determined and accordingly the Astra Trusts have made no provision
for any losses which may result from settlement of these complaints.
NOTE 8--SUBSEQUENT EVENTS
On December 1, 1995, pursuant to resolution of the Company's Board of Trustees,
approved on August 9, 1995, all of the assets of Trust III, consisting
principally of cash, were distributed to its shareholders in complete
liquidation of this Trust.
On December 6, 1995, the Portfolio entered into contracts for the sale of three
subordinated residential mortgage securities which the Valuation Committee of
AIST's Board of Trustees had designated as illiquid (See Note 3). These
securities were carried at fair value of $9,364,315, representing approximately
33.2% of the Portfolio's net assets, as of October 31, 1995. The total
consideration received from these sales was $8,266,676, which was approximately
11.7% less than fair value as of October 31, 1995.
35
<PAGE>
REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS
- ------------
To the Shareholders of Astra Adjustable Rate Securities
Trust I, I-A, II, III and IV, and the Trustees of
Astra Strategic Investment Series
San Diego, California
We have audited the statements of assets and liabilities of Astra (formerly
Pilgrim) Adjustable Rate Securities Trust I, I-A, II, III and IV (each a series
of shares of beneficial interest of Astra (formerly Pilgrim) Strategic
Investment Series) as of October 31, 1995, and the related statements of
operations and cash flows for the year then ended, and the statements of changes
in net assets for each of the two years in the period then ended and the
financial highlights for each of the periods indicated thereon. These financial
statements and financial highlights are the responsibility of the Trusts'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
October 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Astra
Adjustable Rate Securities Trust I, I-A, II, III, and IV as of October 31, 1995,
and the results of their operations and their cash flows for the year then
ended, and the changes in their net assets for each of the two years in the
period then ended and the financial highlights for each of the periods indicated
thereon, in conformity with generally accepted accounting principles.
As discussed in Note 7 to the accompanying financial statements, Astra
Adjustable Rate Securities Trust I, I-A, II, III, and IV have been named as
defendants in various complaints alleging violations of the Securities Act of
1933 and the Investment Company Act of 1940 and seeking substantial relief. The
outcome of these matters cannot presently be determined and accordingly no
provision for any losses which may result from settlement of these matters has
been made in the accompanying financial statements.
TAIT, WELLER & BAKER
Philadelphia, Pennsylvania
December 7, 1995
36
<PAGE>
<TABLE>
<CAPTION>
ASTRA INSTITUTIONAL ADJUSTABLE RATE SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 1995
- ------------
Market
Principal Interest Value
Amount Rate* Maturity (Note 2A)
-------- -------- -------- ---------
<S> <C> <C> <C> <C>
ADJUSTABLE RATE MORTGAGE SECURITIES: 85.5%
U.S. GOVERNMENT AGENCY SECURITIES: 52.2%
$ 2,465,460 Federal Home Loan Mortgage Corporation,
Pool 775572 ...................................... 6.615% 06/01/24 $ 2,480,869
1,989,269 Government National Mortgage Association,
Pool 8660 ........................................ 6.500% 07/20/25 2,012,891
5,076,136 Government National Mortgage Association,
Pool 8685 ........................................ 6.500% 08/20/95 5,136,415
5,000,000 Government National Mortgage Association,
November TBA ..................................... 6.500% TBA 5,059,375
------------
Total U.S. Government Agency Securities ........ 14,689,550
------------
SUBORDINATED RESIDENTIAL MORTGAGE SECURITIES: 33.3%
1,554,415(R) Coast Federal Bank 1991-2, Class B-1 .............. 2.709% 11/25/21 17,271
613,146(R) Paine Webber Mortgage Acceptance Corp. 1991-1,
Class B .......................................... 1.050% 02/21/21 5,490
13,541,388(R)(I) Ryland Mortage Securities Corp 1993-6A, Class C-1 . 7.530% 12/29/31 3,992,408
3,350,527(R)(I) Securitized Asset Sales Inc. 1993-5, Class B-1 .... 8.417% 06/25/23 2,278,358
5,624,635(R)(I) Securitized Asset Sales Inc. 1993-8, Class D ...... 7.599% 12/26/23 3,093,549
------------
Total Subordinated Residential
Mortgage Securities ........................... 9,387,076
------------
Total Adjustable Rate Mortgage Securities ...... 24,076,626
------------
SHORT-TERM SECURITIES: 31.8%
U.S. GOVERNMENT AGENCY DISCOUNT NOTES: 31.8%
6,650,000 Federal Home Loan Mortgage Corporation ............ 5.850% 11/01/95 6,650,000
2,330,000 Federal National Mortgage Association ............. 5.630% 11/21/95 2,322,712
------------
Total Short-Term Securities .................... 8,972,712
------------
Total Investments In Securities
(Cost $46,248,784) ............................... 117.3% 33,049,338
Liabilities in Excess of Other Assets-Net ......... ( 17.3%) (4,882,439)
----- ------------
Total Net Assets .................................. 100.0% $ 28,166,899
===== ============
- ----------
</TABLE>
(R) Restricted securities (See Note 3).
(I) Illiquid securities (See Note 3).
* Rates shown are as of October 31, 1995. Interest rates on adjustable rate
mortgage securities reset periodically.
** Cost for Federal income tax purposes is $46,248,784 and net unrealized
depreciation consists of:
Gross Unrealized Appreciation ........................ $ 43,399
Gross Unrealized Depreciation ........................ (13,242,845)
-----------
Net Unrealized Depreciation .......................... $(13,199,446)
============
See Notes to Financial Statements
37
<PAGE>
<TABLE>
<CAPTION>
ASTRA INSTITUTIONAL ADJUSTABLE RATE SECURITIES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- ------------
<S> <C>
ASSETS:
Investments in securities at value (identified cost $46,248,784) (Notes 2A and 3) ...... $ 33,049,338
Cash ................................................................................... 3,452
Receivables:
Interest .............................................................................. 293,803
Principal repayments .................................................................. 11,826
Deferred organization expense (net of accumulated amortization of $37,181) (Note 2E) ... 9,549
Prepaid expenses ....................................................................... 11,619
-------------
Total Assets ......................................................................... 33,379,587
-------------
LIABILITIES:
Payable for securities purchased ....................................................... 5,072,083
Accrued expenses ....................................................................... 140,605
-------------
Total Liabilities .................................................................... 5,212,688
-------------
NET ASSETS .............................................................................. $ 28,166,899
=============
Net asset value per share ($28,166,899 / 584,020 shares) ................................ $ 48.23
=============
At October 31, 1995 the components of net assets were as follows:
Paid-in capital ........................................................................ $ 142,344,982
Accumulated net realized loss on investments ........................................... (100,978,637)
Net unrealized depreciation of investments ............................................. (13,199,446)
-------------
Net Assets ........................................................................... $ 28,166,899
=============
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
INVESTMENT INCOME:
INCOME:
Interest .............................................................................. $ 9,633,825
-------------
EXPENSES:
Investment management fee (Note 4) .................................................... 629,095
Professional fees ..................................................................... 199,473
Recordkeeping fees .................................................................... 157,850
Custody fees .......................................................................... 39,693
Amortization of organization expense (Note 2E) ........................................ 9,519
Miscellaneous ......................................................................... 8,873
Shareholder servicing costs ........................................................... 7,795
-------------
Total expenses ....................................................................... 1,052,298
-------------
Net investment income ............................................................... 8,581,527
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments ...................................................... (85,991,915)
Net change in unrealized depreciation of investments .................................. 11,674,390
-------------
Net loss on investments .............................................................. (74,317,525)
-------------
Net decrease in net assets resulting from operations ................................ $ (65,735,998)
=============
</TABLE>
See Notes to Financial Statements
38
<PAGE>
<TABLE>
<CAPTION>
ASTRA INSTITUTIONAL ADJUSTABLE RATE SECURITIES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED OCTOBER 31,
- ------------
1995 1994
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income ........................................... $ 8,581,527 $ 32,919,997
Net realized loss on investments ................................ (85,991,915) (16,543,911)
Net change in unrealized depreciation of investments ............ 11,674,390 (29,384,149)
------------ ------------
Net decrease in net assets resulting from operations ............ (65,735,998) (13,008,063)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ($2.545 and $6.040
per share, respectively) ....................................... (4,981,182) (31,490,080)
Distributions from paid-in capital ($0.316 per share) ........... (619,391) --
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from the net change
in the number of outstanding shares(a) ......................... (234,382,963) (77,417,265)
------------ ------------
Total decrease in net assets ................................. (305,719,534) (121,915,408)
Net assets at the beginning of the period ....................... 333,886,433 455,801,841
------------ ------------
NET ASSETS at the end of the period ............................. $ 28,166,899 $333,886,433
============ ============
</TABLE>
- --------
(a) A summary of capital share transactions is as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
October 31, 1995 October 31, 1994
----------------------------- --------------------------
Shares Value Shares Value
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold ...................... 25,199 $ 2,037,744 2,178,149 $ 214,199,679
Shares issued in payment of
distributions to shareholders ... 48,815 3,084,153 98,531 9,503,167
Shares repurchased ............... (3,211,688) (239,504,860) (3,156,985) (301,120,111)
---------- ------------- ---------- -------------
Net decrease .................... (3,137,674) $(234,382,963) (880,305) $ (77,417,265)
========== ============= ========== =============
</TABLE>
See Notes to Financial Statements
39
<PAGE>
<TABLE>
<CAPTION>
ASTRA INSTITUTIONAL ADJUSTABLE RATE SECURITIES PORTFOLIO
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED OCTOBER 31, 1995
- ------------
<S> <C>
INCREASE (DECREASE) IN CASH
CASH FLOWS FROM OPERATING ACTIVITIES:
Interest received ................................................................. $ 12,843,590
Operating expenses paid ........................................................... (1,430,432)
Net proceeds from disposition of short-term investments ........................... 32,787,896
Purchases of portfolio securities ................................................. (53,676,590)
Proceeds from disposition of portfolio securities and interest rate swap contracts 245,983,052
Proceeds from principal paydowns .................................................. 8,086,339
-------------
Net cash provided by operating activities ........................................ 244,593,855
-------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from capital stock sold ................................................. 2,037,744
Payments for capital stock redeemed .............................................. (239,504,860)
Cash dividends paid (a) .......................................................... (3,529,591)
Net decrease in cash overdraft .................................................. (3,593,696)
-------------
Net cash used for financing activities ............................................ (244,590,403)
-------------
Net change in cash ................................................................ 3,452
Cash at beginning of period ....................................................... --
-------------
Cash at end of period ............................................................. $ 3,452
=============
RECONCILIATION OF NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS TO
NET CASH PROVIDED BY OPERATING ACTIVITIES:
Net decrease in net assets resulting from operations ............................. $ (65,735,998)
-------------
Adjustments to reconcile net decrease in net assets from operations to
net cash provided by operating activities:
Decrease in investments in securities .......................................... 311,156,139
Decrease in receivable for securities sold ..................................... 8,481,585
Decrease in receivables for principal paydowns ................................. 21,193
Increase in prepaid expenses ................................................... (11,619)
Decrease in deferred organization expenses ..................................... 9,520
Decrease in accrued expenses ................................................... (376,035)
Decrease in other liabilities .................................................. (138,402)
Decrease in interest receivable ................................................ 4,839,945
Decrease in interest rate swap contracts ....................................... 1,573,361
Decrease in payable for securities purchased ................................... (15,225,834)
-------------
Total adjustments ............................................................ 310,329,853
-------------
Net cash provided by operating activities .................................. $ 244,593,855
=============
- --------
<FN>
(a) Non-cash financing activities included herein consist of reinvestment of
distributions to shareholders of $3,084,153.
</FN>
</TABLE>
See Notes to Financial Statements
40
<PAGE>
<TABLE>
<CAPTION>
ASTRA INSTITUTIONAL ADJUSTABLE RATE SECURITIES PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- ------------
November 22, 1991
(commencement of
Year Ended October 31, operations) to
-------------------------------------- October 31,
1995 1994 1993 1992
------- -------- -------- --------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ......... $89.710 $ 99.040 $ 99.050 $100.000
------- -------- -------- --------
Income (loss) from investment operations--
Net investment income ....................... 6.049(d) 6.460 7.804 8.606
Net realized and unrealized loss
on investments ............................. (44.668)(d) (9.750) (0.004) (0.950)
------- -------- -------- --------
Total from investment operations .......... (38.619) (3.290) 7.800 7.656
------- -------- -------- --------
Less distributions--
Distributions from net investment
income ..................................... 2.545 6.040 7.810 8.606
Distributions from paid-in capital .......... 0.316 -- -- --
------- -------- -------- --------
Total distributions ....................... 2.861 6.040 7.810 8.606
------- -------- -------- --------
Net asset value, end of period ............... $48.230 $ 89.710 $ 99.040 $ 99.050
======= ======== ======== ========
TOTAL RETURN ................................. (44.04)% (3.56)% 8.14% 8.51%(a)
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in thousands) ..... $28,167 $333,886 $455,802 $156,682
Ratio to average net assets--
Expenses .................................... 1.09% 0.76% 0.76% 0.76%(a)(b)
Net investment income ....................... 8.87% 6.55% 7.61% 9.14%(a)(c)
Portfolio turnover rate ...................... 45% 61% 107% 254%
- ------------
<FN>
(a) Annualized.
(b) Ratio of expenses to average net assets prior to expense waivers was
0.79%(a).
(c) Ratio of net investment income to average net assets prior to expense
waivers was 9.11%(a).
(d) Based upon average shares outstanding throughout the period.
</FN>
</TABLE>
See Notes to Financial Statements
41
<PAGE>
ASTRA INSTITUTIONAL ADJUSTABLE RATE SECURITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1995
- ------------
NOTE 1--ORGANIZATION
Astra (formerly Pilgrim) Institutional Securities Trust (the "Company") is
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company. The Company was organized as a Massachusetts
Business Trust on September 4, 1991 with an unlimited number of shares of
beneficial interest without par value. The Company offers shares in two
non-diversified series, Astra (formerly Pilgrim) Institutional Adjustable Rate
Securities Portfolio (the "Portfolio") and Astra (formerly Pilgrim)
Institutional Adjustable U.S. Government Securities Portfolio. The Portfolio was
structured to serve as the investment vehicle for five affiliated open-end
management investment companies: Astra (formerly Pilgrim) Adjustable Rate
Securities Trust I, I-A, II, III and IV (collectively, the "Trusts"). The Trusts
invest substantially all of their net assets in the Portfolio, which has the
same investment objectives as that of the Trusts.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION. valuation committee of the Board of Trustees is
responsible for establishing security valuation policies, reviewing the
valuation of portfolio securities, monitoring the level of illiquid
securities and reviewing liquidity determinations. The Company considers to
be illiquid all securities which cannot be disposed of within seven days in
the ordinary course of business at approximately the amount at which the
Portfolio values the security. Additionally, interest rate swap contracts,
interest-only and principal-only mortgage backed securities, and special
hazard certificates are treated as illiquid securities in accordance with
Securities and Exchange Commission policy. Liquid securities are valued
primarily using prices provided by independent pricing services which use
prices provided by market-markers or estimates of market values obtained
from yield and other data relating to instruments or securities with
similar characteristics, and secondarily based upon market quotation and/or
other available information. Securities for which reliable market
information or pricing service quotes are not readily available, including
illiquid securities, are valued at fair value as determined in good faith
by, or under procedures established by, the Board of Trustees, which
procedures may include the delegation of certain responsibilities regarding
valuation to Astra (formerly Pilgrim) Management Corporation (the
"Manager"). The Manager reports, as necessary, to the Trustees of the
Company regarding portfolio valuation determinations. Short-term securities
with less than sixty days remaining to maturity when acquired by the
Portfolio are valued on an amortized cost basis by the Portfolio when the
Board of Trustees has determined that amortized cost is fair value.
B. FEDERAL INCOME TAXES. The Portfolio intends to comply with the requirements
of the Internal Revenue Code applicable to regulated investment companies
and to distribute all of its taxable income to its shareholders. Therefore,
no Federal income tax provision is required.
C. SECURITY TRANSACTIONS, INCOME AND DISTRIBUTIONS. As is common in the
industry, security transactions are accounted for on the trade date.
Interest income on adjustable rate mortgage securities is recorded on the
accrual basis at current interest rates. Dividends to shareholders from
42
<PAGE>
net investment income are declared daily and paid or reinvested monthly.
Discounts and premiums on debt securities are amortized in accordance with
the provisions of the Internal Revenue Code.
D. INTEREST RATE SWAP CONTRACTS. The Portfolio may enter into interest rate
swap contracts as a hedging technique. Interest rate swap contracts are
marked-to-market daily using market quotations or independent pricing
services. The change in market value is recorded by the Portfolio as an
unrealized gain or loss. Interest income (expense) is accrued daily on the
contract's notional amount and applicable interest rates.
Interest rate swap contracts may expose the Portfolio to risks resulting
from unanticipated movements in interest rates or the failure of the
counterparty to the agreement to perform in accordance with the terms of
the contract.
E. DEFERRED ORGANIZATION EXPENSES. All of the Portfolio's expenses in
connection with its organization are being borne by the Portfolio and are
amortized on a straight line basis over a period of five years.
NOTE 3--INVESTMENTS
For the year ended October 31, 1995, the cost of purchases and the proceeds from
sales of investments and principal repayments, excluding short-term securities,
aggregated $38,450,756 and $247,752,582, respectively.
On October 31, 1995, the Portfolio held restricted securities (i.e., securities
which may not be publicly sold without registration under the Federal Securities
Act of 1933 (the "33 Act") or without an exemption under the 33 Act). The
valuation committee of the Board has reviewed the trading markets for certain of
the Portfolio's restricted securities and has determined that they are liquid
and readily marketable. At October 31, 1995 other restricted securities having a
market value of $9,364,315, representing 33.2% of the Portfolio's net assets
have been determined to be illiquid. On October 31, 1995, and on the acquisition
dates of the restricted securities, there were no market quotations available
for unrestricted securities of the same class. Dates of acquisition and costs of
restricted securities are as follows:
<TABLE>
<CAPTION>
PRINCIPAL DATE(S) OF
AMOUNT ACQUISITION COST
---------- --------------- ----------
<S> <C> <C>
$1,554,415 Coast Federal Bank 1991-2 Class B-1 .................. 12/04/91 to 01/16/92 $ 1,313,968
613,146 Paine Webber Mortgage Acceptance Corp
1991-1, Class B .................................... 12/05/91 to 01/01/92 610,922
13,541,388 Ryland Mortgage Securities Corp. 1993-6A,
Class C-1 .......................................... 09/01/93 12,192,505
3,350,527 Securitized Asset Sales Inc. 1993-5,
Class B-1 .......................................... 09/28/93 3,157,158
5,624,635 Securitized Asset Sales Inc. 1993-8,
Class D ........................................... 03/04/94 5,355,368
-----------
Total restricted securities (Market Value of
$9,387,076 was 33.3% of net assets at
October 31, 1995) ................................. $22,629,921
===========
</TABLE>
As of October 31, 1995 U.S. Government Securities with a value of $5,136,415
were placed in a separate account at the Custodian Bank to cover
43
<PAGE>
certain purchases of securities made on a delayed delivery basis.
At October 31, 1995 the Portfolio had a capital loss carryforward for Federal
income tax purposes of $100,979,000 of which $221,000 expires in 2000,
$3,271,000 in 2001, $15,105,000 in 2002 and $82,382,000 in 2003.
NOTE 4--INVESTMENT MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Manager provides the Portfolio with investment management and administrative
services under an Investment Management Agreement. The Manager furnishes all
investment advice, office space and salaries of personnel needed by the
Portfolio, except those involved with record keeping, daily net asset value
calculations, placing orders for the execution of portfolio transactions,
shareholder servicing, and maintaining registration of shares under state
securities laws. As compensation for its services, the Manager is paid monthly a
fee which is equal to the annual rate of 0.65% of the first $500 million of
average daily net assets, 0.60% on net assets from $500 million to $1 billion
and 0.55% on net assets over $1 billion.
The Manager has agreed to reimburse the Portfolio and Trusts to the extent
required so that the aggregate expenses do not exceed the expenses limitations
applicable to the Portfolio and Trust under the securities laws or regulations
of those states or jurisdictions in which the Trusts' shares are registered or
qualified for sale. Currently, the most restrictive of such expense limitations
would require the Manager to reimburse the Portfolio and Trusts to the extent
required so that the Portfolio's and Trusts' expenses, as described above, for
any fiscal year do not exceed 2-1/2% of the first $30 million of average daily
net assets, 2% of the next $70 million of average net assets and 1-1/2% of the
remaining average net assets. The amount of any such required reimbursement is
limited to the management fees paid by the Portfolio to the Manager. Expenses
for purposes of this expense limitation include the management fee, but exclude
distribution expenses, brokerage commissions and fees, taxes, interest and
extraordinary expenses such as litigation, paid or incurred by the Portfolio or
Trusts.
Certain officers and trustees of the Company are also officers and/or
trustees/directors of the Trusts and the Manager.
NOTE 5--LEGAL MATTERS
Between December 1994 and May 1995, various complaints have been filed by
certain shareholders of Astra Adjustable U.S. Government Securities Trusts I,
I-A, II, III and IV and Astra Adjustable Rate Securities Trusts I, I-A, II, III
and IV (collectively, the "Astra Trusts") in the United States District Court
for the Central District of California and in the Superior Court for the State
of California against the Company and certain of its officers and trustees, the
Astra Trusts and certain of their officers and trustees, Astra Management
Corporation, Astra Fund Distributors Corporation, and Atlas Holding Group Inc.
and its principal stockholder and certain of its employees. These complaints
have been consolidated in the United States District Court for the Central
District of California in the matter referred to as "In re Pilgrim Securities
Litigation."
The complaints allege violations of the Securities Act of 1933 and the
Investment Company Act of 1940 relating principally to disclosure concerning
pricing and liquidity of portfolio securities held by the two Portfolios of the
Company. The complaints seek relief measured by the consideration each
shareholder paid for shares of the Astra Trusts with interest thereon, less the
amount of income received thereon, or in the event the shareholder no longer
owns such shares, for damages, plus interest. Management of the Company believes
the complaints are without merit and intends, and has been advised that each of
the other defendants intends, to vigorously defend these actions. The ultimate
outcome of these matters, however, cannot presently be determined and
accordingly the Portfolios
44
<PAGE>
have made no provision for any losses which may result from settlement of these
complaints.
NOTE 6--SUBSEQUENT EVENT
On December 6, 1995 the Portfolio entered into contracts for the sale of three
subordinated residential mortgage securities which the Valuation Committee of
the Company's Board of Trustees had designated as illiquid (see Note 3). These
securities were carried at fair value of $9,364,315, representing approximately
33.2% of the Portfolio's net assets, as of October 31, 1995. The total
consideration received from these sales was $8,266,676 which was approximately
11.7% less than fair value as of October 31, 1995.
45
<PAGE>
REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS
- ------------
To the Shareholders of Astra Institutional Adjustable Rate
Securities Portfolio and the Trustees of Astra Institutional Securities Trust
San Diego, California
We have audited the statement of assets and liabilities of Astra (formerly
Pilgrim) Institutional Adjustable Rate Securities Portfolio (a series of shares
of Astra (formerly Pilgrim) Institutional Securities Trust), including the
portfolio of investments, as of October 31, 1995, and the related statements of
operations and cash flows for the year then ended, the statement of changes in
net assets for each of the two years in the period then ended and the financial
highlights for each of three years in the period then ended and for the period
from November 22, 1991 (commencement of operations) to October 31, 1992. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements and financial
highlights are free from material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
October 31, 1995 by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Astra
Institutional Adjustable Rate Securities Portfolio as of October 31, 1995, and
the results of its operations and its cash flows for year then ended, the
changes in its net assets for each of the two years in the period then ended and
the financial highlights for each of the three years in the period then ended
and for the period from November 22, 1991 to October 31, 1992, in conformity
with generally accepted accounting principles.
As discussed in Note 5 to the accompanying financial statements Astra
Institutional Adjustable Rate Securities Portfolio has been named as a defendant
in various complaints alleging violations of the Securities Act of 1933 and the
Investment Company Act of 1940 and seeking substantial relief. The outcome of
these matters cannot presently be determined and accordingly no provision for
any losses which may result from settlement of these matters has been made in
the accompanying financial statements.
As discussed in Notes 2A and 3, the financial statements include investments in
subordinated residential mortgage securities valued at $9,364,315 (representing
33.2% of net assets), which the Board of Trustees of Astra Institutional
Securities Trust has determined are illiquid and whose fair value is determined
under procedures approved by Astra Institutional Securities Trust's Board of
Trustees, in the absence of readily ascertainable market values. We have
reviewed the procedures adopted by the Board of Trustees in determining fair
value and have inspected underlying documentation, and in the circumstance we
believe the procedures are reasonable and the documentation of those procedures
appropriate. However, because the market value of these securities can only be
established by negotiation between parties in a sales transaction, and because
of the uncertainty inherent in the valuation process, the fair values as
determined may differ significantly from the values that would have been used
had a ready market for these securities existed.
TAIT, WELLER & BAKER
Philadelphia, Pennsylvania
December 7, 1995
46
<PAGE>
ASTRA GROUP
FAMILY OF FUNDS
- ------------------
ADJUSTABLE INCOME FUNDS
- ------------------
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST I-A
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST II
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST III
ASTRA ADJUSTABLE U.S. GOVERNMENT SECURITIES TRUST IV
ASTRA ADJUSTABLE RATE SECURITIES TRUST I
ASTRA ADJUSTABLE RATE SECURITIES TRUST I-A
ASTRA ADJUSTABLE RATE SECURITIES TRUST II
ASTRA ADJUSTABLE RATE SECURITIES TRUST III
ASTRA ADJUSTABLE RATE SECURITIES TRUST IV
FIXED-INCOME FUNDS
- ------------------
ASTRA ALL-AMERICAS GOVERNMENT INCOME TRUST
ASTRA SHORT-TERM MULTI-MARKET INCOME FUND I
ASTRA SHORT-TERM MULTI-MARKET INCOME FUND II
- ----------
Prospectuses containing more complete information about the Funds, including
charges and expenses, may be obtained from Astra Fund Distributors Corp. Read
the Prospectus carefully before you invest or send money.
47
<PAGE>
- ----------------------------------
750 B Street
Suite 2350
San Diego, CA 92101
- ----------------------------------
ASTRA ADJUSTABLE
RATE SECURITIES TRUSTS
I, I-A, II, III, Iv
INVESTMENT MANAGER
Astra Management Corp.
750 B Street
Suite 2350
San Diego, CA 92101
1-619-238-7100
PRINCIPAL UNDERWRITER
Astra Fund Distributors Corp.
750 B Street
Suite 2350
San Diego, CA 92101
1-800-219-1080
SHAREHOLDER SERVICING AGENT
DST Systems, Inc.
P.O. Box 419174
Kansas City, Missouri 64141
1-800-441-7267
TRANSFER AGENT
Investors Fiduciary Trust Company
c/o DST Systems, Inc.
P.O. Box 419174
Kansas City, Missouri 64141
This report is submitted for the general information of the shareholders of the
Trusts. It is not authorized for distribution to prospective investors in the
Trusts unless preceded or accompanied by an effective prospectus which includes
details regarding the Trusts' objectives, policies, sales commissions and other
information.
AARST 1295 4 AST 512350
ASTRA
ARM
FUNDS
ANNUAL REPORT
OCTOBER 31, 1995
ASTRA ADJUSTABLE
RATE SECURITIES TRUSTS
I, I-A, II, III, IV
[ARTWORK--HOUSE]
[LOGO]
ASTRA
