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Corporate
Investment Portfolio Summary -
First Quarter 2005
Corporate Investment Portfolio Summary
(Dollar Values in Millions) |
| |
BIF |
SAIF |
| |
3/31/05 |
12/31/04 |
Change |
3/31/05 |
12/31/04 |
Change
|
| Par Value |
$31,870 |
$32,198 |
($328) |
$11,629 |
$11,599 |
$30 |
| Book Value |
$33,362 |
$33,231 |
$131 |
$12,155 |
$11,962 |
$193 |
| Market Value |
$34,254 |
$34,623 |
($369) |
$12,526 |
$12,529 |
($3) |
| Portfolio Liquidity1 |
$11,284 |
$12,872 |
($1,588) |
$3,330 |
$3,827 |
($497) |
| Liquidity Target Floor |
$10,000 |
$11,000 |
($1,000) |
$3,000 |
$3,000 |
$0 |
| Portfolio Liquidity % of Total Portfolio |
32.4% |
36.6% |
(4.2%) |
26.1% |
30.1% |
(4.0%) |
| Year-to-Date Total Return (Portfolio) |
(0.435%) |
2.831% |
NA |
(0.533%) |
2.862% |
NA |
| Year-to-Date Total Return (Benchmark)2 |
(0.717%) |
1.964% |
NA |
(0.717%) |
1.964% |
NA |
| Total Return Variance in basis points |
28 |
87 |
NA |
18 |
90 |
NA |
| Yield-to-Maturity3 |
4.77% |
4.66% |
0.11% |
4.80% |
4.69% |
0.11% |
| Weighted Average Maturity (in years) |
3.33 |
2.98 |
0.35 |
3.50 |
3.22 |
0.28 |
| Effective Duration (in years)4 |
| Total Portfolio |
2.55 |
2.30 |
0.25 |
2.73 |
2.53 |
0.20 |
| Available-for-Sale Securities |
2.08 |
2.09 |
(0.01%) |
2.21 |
2.27 |
(0.06) |
| Held-to-Maturity Securities |
2.81 |
2.57 |
0.24 |
2.93 |
2.79 |
0.14 |
1Portfolio liquidity is the total market value (including accrued interest) of overnight investments, available-for-sale securities, and held-to-maturity securities maturing within three months.
2The benchmark is the total return of the Merrill Lynch 1-10 Year U.S. Treasury Index.
3The yield-to-maturity includes the potential
yield of Treasury inflation-indexed securities (TIPS), which assume an average
year-over-year increase in CPI of 2.2%.
4For each TIPS, a 60% factor is applied to
its real yield duration to arrive at an estimated effective duration.
National Liquidation Fund (NLF) Investment Portfolio Summary
(Dollar Values in Millions) |
| |
3/31/05
|
12/31/04 |
Change
|
| Book Value 5 |
$517 |
$612 |
($95) |
| Yield-to-Maturity |
2.72% |
2.25% |
0.47% |
| Weighted Average Maturity (in days) |
52.0 |
41.0 |
11.0 |
5 Due to the short-term nature of the NLF, the portfolio's Book and Market Values are identical for reporting purposes.
| U.S.
Treasury Yield Curves |
| 3/31/2005 |
3 Month |
2.81% |
| 3/31/2005 |
6 Month |
3.14% |
| 3/31/2005 |
1 Year |
3.48% |
| 3/31/2005 |
2 Year |
3.81% |
| 3/31/2005 |
3 Year |
4.01% |
| 3/31/2005 |
4 Year |
4.11% |
| 3/31/2005 |
5 Year |
4.28% |
| 3/31/2005 |
7 Year |
4.36% |
| 3/31/2005 |
10 Year |
4.55% |
| |
|
|
| 12/31/2004 |
3 Month |
2.21% |
| 12/31/2004 |
6 Month |
2.48% |
| 12/31/2004 |
1 Year |
3.48% |
| 12/31/2004 |
2 Year |
3.06% |
| 12/31/2004 |
3 Year |
3.31% |
| 12/31/2004 |
4 Year |
3.48% |
| 12/31/2004 |
5 Year |
3.70% |
| 12/31/2004 |
7 Year |
3.97% |
| 12/31/2004 |
10 Year |
4.30% |
|
