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Corporate Investment Portfolio Summary -
Third Quarter 2004
Corporate Investment Portfolio Summary
(Dollar Values in Millions) |
| |
BIF |
SAIF |
| |
9/30/04 |
12/31/03 |
Change |
9/30/04 |
12/31/03 |
Change
|
| Par Value |
$32,089 |
$31,335 |
$754 |
$11,534 |
$11,210 |
$324 |
| Book Value |
$32,988 |
$32,237 |
$751 |
$11,836 |
$11,528 |
$308 |
| Market Value |
$34,625 |
$34,206 |
$419 |
$12,496 |
$12,295 |
$201 |
| Portfolio Liquidity1 |
$14,224 |
$17,612 |
($3,388) |
$4,408 |
$5,141 |
($733) |
| Liquidity Target Floor |
$12,000 |
$15,000 |
($3,000) |
$3,300 |
$4,000 |
($700) |
| Portfolio Liquidity % of Total Portfolio |
40.4% |
50.7% |
(10.3%) |
34.7% |
41.2% |
(6.5%) |
| Year-to-Date Total Return (Portfolio) |
2.397% |
3.042% |
NA |
2.472% |
3.010% |
NA |
| Year-to-Date Total Return (Benchmark)2 |
1.905% |
2.131% |
NA |
1.905% |
2.131% |
NA |
| Total Return Variance in basis points |
49 |
91 |
NA |
57 |
88 |
NA |
| Yield-to-Maturity3 |
4.68% |
4.65% |
0.03% |
4.69% |
4.63% |
0.06% |
| Weighted Average Maturity (in years) |
3.06 |
2.67 |
0.39 |
3.31 |
3.08 |
0.23 |
| Effective Duration (in years)4 |
| Total Portfolio |
2.36 |
2.00 |
0.36 |
2.61 |
2.36 |
0.25 |
| Available-for-Sale Securities |
1.95 |
1.82 |
0.13 |
1.94 |
2.08 |
(0.14) |
| Held-to-Maturity Securities |
2.74 |
2.43 |
0.31 |
3.03 |
2.79 |
0.24 |
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 (TIIS), which assumes an average year-over-year increase in CPI of 2.2% as of 9/30/04 and 2.4% as of 12/31/03.
4For each TIIS, a 60% factor is applied to its real yield duration to arrive at an estimated effective duration. As a percentage of market value, TIIS constituted 19.15% of the BIF
portfolio and 17.88% of the SAIF portfolio as of September 30, 2004 and 18.96% of the BIF portfolio and 17.77% of the SAIF portfolio as of December 31, 2003.
National Liquidation Fund (NLF) Investment Portfolio Summary
(Dollar Values in Millions) |
| |
9/30/04
|
12/31/03 |
Change
|
| Book Value 5 |
$540 |
$677 |
($137) |
| Yield-to-Maturity |
1.70% |
1.07% |
0.63% |
| Weighted Average Maturity (in days) |
35.0 |
31.0 |
4.0 |
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 |
| 09/30/2004 |
3 Month |
1.73% |
|
09/30/2004 |
6 Month |
1.91% |
| 09/30/2004 |
1 Year |
2.18% |
| 09/30/2004 |
2 Year |
2.61% |
| 09/30/2004 |
3 Year |
2.95% |
| 09/30/2004 |
4 Year |
3.18% |
| 09/30/2004 |
5 Year |
3.49% |
| 09/30/2004 |
7 Year |
3.83% |
| 09/30/2004 |
10 Year |
4.23% |
| |
|
|
| 12/31/2003 |
3 Month |
0.90% |
| 12/31/2003 |
6 Month |
0.97% |
| 12/31/2003 |
1 Year |
1.25% |
| 12/31/2003 |
2 Year |
1.84% |
| 12/31/2003 |
3 Year |
2.42% |
| 12/31/2003 |
4 Year |
2.89% |
| 12/31/2003 |
5 Year |
3.30% |
| 12/31/2003 |
7 Year |
3.82% |
| 12/31/2003 |
10 Year |
4.34% |
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