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Corporate
Investment Portfolio Summary -
Third Quarter 2006
Corporate Investment Portfolio Summary
(Dollar Values in Millions) |
| |
| |
09/30/06 |
12/31/05 |
Change |
| Par Value |
$46,216 |
$44,904 |
$1,312 |
| Amortized Cost |
$48,612 |
$47,038 |
$1,574 |
| Market Value |
$47,898 |
$47,610 |
$1,288 |
| Primary Reserve1 |
$14,872 |
$14,246 |
$626 |
| Prime Reserve Target Floor |
$10,000 |
$10,500 |
($500) |
| Prime Reserve % of Total Portfolio |
30.0% |
29.5% |
0.5% |
| Year-to-Date Total Return (Portfolio) |
3.28% |
2.01% |
NA |
| Year-to-Date Total Return (Benchmark)2 |
2.78% |
1.58% |
NA |
| Total Return Variance (in basis points) |
50 |
43 |
NA |
| Yield-to-Maturity3 |
4.88% |
4.82% |
0.06% |
| Weighted Average Maturity (in years) |
3.54 |
3.29 |
0.25 |
| Effective Duration (in years)4 |
| Total Portfolio |
2.81 |
2.53 |
0.28 |
| Available-for-Sale Securities |
1.89 |
1.85 |
0.04 |
| Held-to-Maturity Securities |
3.23 |
2.97 |
0.26 |
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 80% factor is applied
to its real yield duration to arrive at an estimated effective duration
(note: factor updated in September 2006 to reflect recent past experience).
National Liquidation Fund (NLF) Investment Portfolio Summary
(Dollar Values in Millions) |
| |
09/30/06
|
12/31/05 |
Change
|
| Book Value 5 |
$348 |
$489 |
($141) |
| Yield-to-Maturity |
5.48% |
4.33% |
1.15% |
| Weighted Average Maturity (in days) |
2 |
40 |
(38) |
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 |
| 06/30/06 |
3 Month |
4.99% |
| 06/30/06 |
6 Month |
5.24% |
| 06/30/06 |
1 Year |
5.30% |
| 06/30/06 |
2 Year |
5.16% |
| 06/30/06 |
3 Year |
5.13% |
| 06/30/06 |
4 Year |
5.09% |
| 06/30/06 |
5 Year |
5.10% |
| 06/30/06 |
7 Year |
5.12% |
| 06/30/06 |
10 Year |
5.14% |
| |
|
|
| 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 |
| 06/30/2006 |
3 Month |
|
| 06/30/2006 |
6 Month |
|
| 06/30/2006 |
1 Year |
2.93% |
| 06/30/2006 |
2 Year |
2.49% |
| 06/30/2006 |
3 Year |
2.41% |
| 06/30/2006 |
4 Year |
2.45% |
| 06/30/2006 |
5 Year |
2.47% |
| 06/30/2006 |
7 Year |
2.50% |
| 06/30/2006 |
10 Year |
2.54% |
| |
|
|
| 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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