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Corporate
Investment Portfolio Summary -
Fourth Quarter 2004
Corporate Investment Portfolio Summary
(Dollar Values in Millions) |
| |
BIF |
SAIF |
| |
12/31/04 |
12/31/03 |
Change |
12/31/04 |
12/31/03 |
Change
|
| Par Value |
$32,198 |
$31,335 |
$863 |
$11,599 |
$11,210 |
$389 |
| Book Value |
$33,231 |
$32,237 |
$994 |
$11,962 |
$11,528 |
$434 |
| Market Value |
$34,623 |
$34,206 |
$417 |
$12,529 |
$12,295 |
$234 |
| Portfolio Liquidity1 |
$12,872 |
$17,612 |
($4,740) |
$3,827 |
$5,141 |
($1,314) |
| Liquidity Target Floor |
$11,000 |
$15,000 |
($4,000) |
$3,000 |
$4,000 |
($1,000) |
| Portfolio Liquidity % of Total Portfolio |
36.6% |
50.7% |
(14.1%) |
30.1% |
41.2% |
(11.1%) |
| Year-to-Date Total Return (Portfolio) |
2.831% |
3.042% |
NA |
2.862% |
3.010% |
NA |
| Year-to-Date Total Return (Benchmark)2 |
1.964% |
2.131% |
NA |
1.964% |
2.131% |
NA |
| Total Return Variance in basis points |
87 |
91 |
NA |
90 |
88 |
NA |
| Yield-to-Maturity3 |
4.66% |
4.65% |
0.01% |
4.63% |
4.63% |
0.06% |
| Weighted Average Maturity (in years) |
2.98 |
2.67 |
0.31 |
3.22 |
3.08 |
0.14 |
| Effective Duration (in years)4 |
| Total Portfolio |
2.30 |
2.00 |
0.30 |
2.53 |
2.36 |
0.17 |
| Available-for-Sale Securities |
2.09 |
1.82 |
0.27 |
2.27 |
2.08 |
(0.19) |
| Held-to-Maturity Securities |
2.57 |
2.43 |
0.14 |
2.79 |
2.79 |
0.00 |
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 assume an average
year-over-year increase in CPI of 2.2% as of 12/31/04 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 19.26% of the BIF
portfolio and 17.93% of the SAIF portfolio as of December 31, 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) |
| |
12/31/04
|
12/31/03 |
Change
|
| Book Value 5 |
$612 |
$677 |
($65) |
| Yield-to-Maturity |
2.25% |
1.07% |
1.18% |
| Weighted Average Maturity (in days) |
41.0 |
31.0 |
10.0 |
5 Due to the short-term nature of the NLF, the portfolio's Book and Market Values are identical for reporting purposes.
| FDIC 12-month Investment Portfolio total Returns |
| Year |
BIF |
SAIF |
Merrill
Lynch 1-10 year U.S. Treasury Index |
|
2001 |
7.543% |
7.484% |
8.119% |
| 2002 |
9.201% |
9.891% |
9.054% |
| 2003 |
3.042% |
3.010% |
2.131% |
| 2004 |
2.831% |
2.862% |
1.964% |
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