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Corporate
Investment Portfolio Summary -
First Quarter 2006
Corporate Investment Portfolio Summary
(Dollar Values in Millions) |
| |
| |
03/31/06 |
12/31/05 |
Change |
| Par Value |
$45,513 |
$44,904 |
$609 |
| Net Carrying Amount (Amortized Cost) |
$47,718 |
$47,038 |
$680 |
| Market Value |
$47,747 |
$47,610 |
$137 |
| Primary Reserve1 |
$12,596 |
$14,246 |
($1,650) |
| Prime Reserve Target Floor |
$10,500 |
$10,500 |
$0 |
| Prime Reserve % of Total Portfolio |
26.0% |
29.5% |
(3.5%) |
| Year-to-Date Total Return (Portfolio) |
(0.13%) |
2.01% |
NA |
| Year-to-Date Total Return (Benchmark)2 |
(0.398% |
1.58% |
NA |
| Total Return Variance (in basis points) |
27 |
43 |
NA |
| Yield-to-Maturity3 |
4.86% |
4.82% |
0.04% |
| Weighted Average Maturity (in years) |
3.52 |
3.29 |
0.23 |
| Effective Duration (in years)4 |
| Total Portfolio |
2.72 |
2.53 |
0.19 |
| Available-for-Sale Securities |
1.73 |
1.85 |
(0.12) |
| Held-to-Maturity Securities |
3.09 |
2.97 |
0.12 |
1Prime Reserve 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-Protected 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) |
| |
03/31/06
|
12/31/05 |
Change
|
| Book Value 5 |
$417 |
$489 |
($72) |
| Yield-to-Maturity |
4.87% |
4.33% |
0.54% |
| Weighted Average Maturity (in days) |
40 |
40 |
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 Security Yield Curves |
| Conventional |
| 03/31/06 |
3 Month |
4.61% |
| 03/31/06 |
6 Month |
4.82% |
| 03/31/06 |
1 Year |
4.88% |
| 03/31/06 |
2 Year |
4.82% |
| 03/31/06 |
3 Year |
4.82% |
| 03/31/06 |
4 Year |
4.83% |
| 03/31/06 |
5 Year |
4.81% |
| 03/31/06 |
7 Year |
4.87% |
| 03/31/06 |
10 Year |
4.85% |
| |
|
|
| 12/31/2005 |
3 Month |
4.08% |
| 12/31/2005 |
6 Month |
4.38% |
| 12/31/2005 |
1 Year |
4.47% |
| 12/31/2005 |
2 Year |
4.41% |
| 12/31/2005 |
3 Year |
4.37% |
| 12/31/2005 |
4 Year |
4.37% |
| 12/31/2005 |
5 Year |
4.35% |
| 12/31/2005 |
7 Year |
4.36% |
| 12/31/2005 |
10 Year |
4.40% |
| |
|
|
| TIPS |
| 03/31/2006 |
3 Month |
|
| 03/31/2006 |
6 Month |
|
| 03/31/2006 |
1 Year |
1.98% |
| 03/31/2006 |
2 Year |
2.06% |
| 03/31/2006 |
3 Year |
2.13% |
| 03/31/2006 |
4 Year |
2.25% |
| 03/31/2006 |
5 Year |
2.24% |
| 03/31/2006 |
7 Year |
2.31% |
| 03/31/2006 |
10 Year |
2.34% |
| |
|
|
| 12/31/2005 |
3 Month |
|
| 12/31/2005 |
6 Month |
|
| 12/31/2005 |
1 Year |
|
| 12/31/2005 |
2 Year |
2.63% |
| 12/31/2005 |
3 Year |
2.26% |
| 12/31/2005 |
4 Year |
2.12% |
| 12/31/2005 |
5 Year |
2.08% |
| 12/31/2005 |
7 Year |
2.06% |
| 12/31/2005 |
10 Year |
2.06% |
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