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Corporate
Investment Portfolio Summary -
Third Quarter 2005
Corporate Investment Portfolio Summary
(Dollar Values in Millions) |
| |
BIF |
SAIF |
| |
9/30/05 |
12/31/04 |
Change |
9/30/05 |
12/31/04 |
Change
|
| Par Value |
$32,733 |
$32,198 |
$535 |
$12,008 |
$11,599 |
$409 |
| Book Value |
$34,057 |
$33,231 |
$826 |
$12,465 |
$11,962 |
$503 |
| Market Value |
$34,736 |
$34,623 |
$113 |
$12,758 |
$12,529 |
$229 |
| Primary Reserve1 |
$11,591 |
$12,872 |
($1,281) |
$3,530 |
$3,827 |
($297) |
| Prime Reserve Target Floor |
$8,000 |
$11,000 |
($3,000) |
$2,500 |
$3,000 |
($500) |
| Prime Reserve % of Total Portfolio |
32.8% |
36.6% |
(3.8%) |
27.2% |
30.1% |
(2.9%) |
| Year-to-Date Total Return (Portfolio) |
1.456% |
2.831% |
NA |
(1.359%) |
2.862% |
NA |
| Year-to-Date Total Return (Benchmark)2 |
0.951% |
1.964% |
NA |
0.951% |
1.964% |
NA |
| Total Return Variance (in basis points) |
51 |
87 |
NA |
41 |
90 |
NA |
| Yield-to-Maturity3 |
4.76% |
4.66% |
0.10% |
4.85% |
4.69% |
0.16% |
| Weighted Average Maturity (in years) |
3.11 |
2.98 |
0.13 |
3.20 |
3.22 |
(0.02) |
| Effective Duration (in years)4 |
| Total Portfolio |
2.43 |
2.30 |
0.13 |
2.54 |
2.53 |
0.01 |
| Available-for-Sale Securities |
1.89 |
2.09 |
(0.20%) |
2.04 |
2.27 |
(0.23 ) |
| Held-to-Maturity Securities |
2.72 |
2.57 |
0.15 |
2.74 |
2.79 |
(0.05) |
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) |
| |
9/30/05
|
12/31/04 |
Change
|
| Book Value 5 |
$44 |
$612 |
($168) |
| Yield-to-Maturity |
3.85% |
2.25% |
1.60% |
| Weighted Average Maturity (in days) |
15 |
41 |
(26) |
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 Curve |
| 9/30/2005 |
3 Month |
3.55% |
| 9/30/2005 |
6 Month |
2.59% |
| 9/30/2005 |
1 Year |
4.11% |
| 9/30/2005 |
2 Year |
4.17% |
| 9/30/2005 |
3 Year |
4.18% |
| 9/30/2005 |
4 Year |
4.20% |
| 9/30/2005 |
5 Year |
4.19% |
| 9/30/2005 |
7 Year |
4.28% |
| 9/30/2005 |
10 Year |
4.33% |
| |
|
|
| 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% |
|
