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|
Corporate
Investment Portfolio Summary -
Second Quarter 2005
Corporate Investment Portfolio Summary
(Dollar Values in Millions) |
| |
BIF |
SAIF |
| |
6/30/05 |
12/31/04 |
Change |
6/30/05 |
12/31/04 |
Change
|
| Par Value |
$32,229 |
$32,198 |
$31 |
$11,796 |
$11,599 |
$197 |
| Book Value |
$33,725 |
$33,231 |
$494 |
$12,313 |
$11,962 |
$351 |
| Market Value |
$34,792 |
$34,623 |
$169 |
$12,760 |
$12,529 |
$231 |
| Primary Reserve1 |
$10,858 |
$12,872 |
($2,014) |
$3,108 |
$3,827 |
($719) |
| Prime Reserve Target Floor |
$10,000 |
$11,000 |
($1,000) |
$3,000 |
$3,000 |
$0 |
| Prime Reserve % of Total Portfolio |
30.7% |
36.6% |
(5.9%) |
24.0% |
30.1% |
(6.1%) |
| Year-to-Date Total Return (Portfolio) |
1.447% |
2.831% |
NA |
(1.431%) |
2.862% |
NA |
| Year-to-Date Total Return (Benchmark)2 |
1.518% |
1.964% |
NA |
1.518% |
1.964% |
NA |
| Total Return Variance (in basis points) |
(7) |
87 |
NA |
(9) |
90 |
NA |
| Yield-to-Maturity3 |
4.75% |
4.66% |
0.09% |
4.81% |
4.69% |
0.12% |
| Weighted Average Maturity (in years) |
3.35 |
2.98 |
0.27 |
3.38 |
3.22 |
0.16 |
| Effective Duration (in years)4 |
| Total Portfolio |
2.52 |
2.30 |
0.22 |
2.67 |
2.53 |
0.14 |
| Available-for-Sale Securities |
2.01 |
2.09 |
(0.08%) |
2.17 |
2.27 |
(0.10 ) |
| Held-to-Maturity Securities |
2.79 |
2.57 |
0.22 |
2.87 |
2.79 |
0.08 |
1Prime Reserve (previously referred to as "Portfolio
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-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) |
| |
6/30/05
|
12/31/04 |
Change
|
| Book Value 5 |
$633 |
$612 |
$21 |
| Yield-to-Maturity |
3.18% |
2.25% |
0.93% |
| Weighted Average Maturity (in days) |
22 |
41 |
(19) |
5 Due to the short-maturity structure of the
NLF portfolio, its Book and Market Values are identical for reporting purposes.
| U.S.
Treasury Yield Curve |
| 6/30/2005 |
3 Month |
3.13% |
| 6/30/2005 |
6 Month |
3.34% |
| 6/30/2005 |
1 Year |
3.57% |
| 6/30/2005 |
2 Year |
3.64% |
| 6/30/2005 |
3 Year |
3.65% |
| 6/30/2005 |
4 Year |
3.68% |
| 6/30/2005 |
5 Year |
3.70% |
| 6/30/2005 |
7 Year |
3.75% |
| 6/30/2005 |
10 Year |
3.92% |
| |
|
|
| 12/31/2004 |
3 Month |
2.22% |
| 12/31/2004 |
6 Month |
2.59% |
| 12/31/2004 |
1 Year |
2.77% |
| 12/31/2004 |
2 Year |
3.07% |
| 12/31/2004 |
3 Year |
3.22% |
| 12/31/2004 |
4 Year |
3.46% |
| 12/31/2004 |
5 Year |
3.61% |
| 12/31/2004 |
7 Year |
3.96% |
| 12/31/2004 |
10 Year |
4.22% |
| U.S.
Treasury Real Yield Curve |
| 6/30/2005 |
2 Year |
1.27% |
| 6/30/2005 |
3 Year |
1.27% |
| 6/30/2005 |
4 Year |
1.31% |
| 6/30/2005 |
5 Year |
1.39% |
| 6/30/2005 |
7 Year |
1.50% |
| 6/30/2005 |
10 Year |
1.65% |
| |
|
|
| 12/31/2004 |
2 Year |
0.46% |
| 12/31/2004 |
3 Year |
0.65% |
| 12/31/2004 |
4 Year |
0.82% |
| 12/31/2004 |
5 Year |
1.07% |
| 12/31/2004 |
7 Year |
1.27% |
| 12/31/2004 |
10 Year |
1.63% |
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