|
|
Corporate
Investment Portfolio Summary -
Fourth Quarter 2005
Corporate Investment Portfolio Summary
(Dollar Values in Millions) |
| |
BIF |
SAIF |
| |
12/31/05 |
12/31/04 |
Change |
12/31/05 |
12/31/04 |
Change
|
| Par Value |
$32,800 |
$32,198 |
$602 |
$12,104 |
$11,599 |
$505 |
| Book Value |
$34,408 |
$33,231 |
$1,177 |
$12,630 |
$11,962 |
$668 |
| Market Value |
$34,796 |
$34,623 |
$173 |
$12,814 |
$12,529 |
$285 |
| Primary Reserve1 |
$10,814 |
$12,872 |
($2,058) |
$3,432 |
$3,827 |
($395) |
| Prime Reserve Target Floor |
$8,000 |
$11,000 |
($3,000) |
$2,500 |
$3,000 |
($500) |
| Prime Reserve % of Total Portfolio |
30.6% |
36.6% |
(6%) |
26.4% |
30.1% |
(3.7%) |
| Year-to-Date Total Return (Portfolio) |
2.042% |
2.831% |
NA |
1.920% |
2.862% |
NA |
| Year-to-Date Total Return (Benchmark)2 |
1.578% |
1.964% |
NA |
1.578% |
1.964% |
NA |
| Total Return Variance (in basis points) |
46 |
87 |
NA |
34 |
90 |
NA |
| Yield-to-Maturity3 |
4.80% |
4.66% |
0.14% |
4.88% |
4.69% |
0.19% |
| Weighted Average Maturity (in years) |
3.30 |
2.98 |
0.32 |
3.26 |
3.22 |
0.04 |
| Effective Duration (in years)4 |
| Total Portfolio |
2.53 |
2.30 |
0.23 |
2.55 |
2.53 |
0.02 |
| Available-for-Sale Securities |
1.82 |
2.09 |
(0.27) |
1.91 |
2.27 |
(0.36 ) |
| Held-to-Maturity Securities |
2.99 |
2.57 |
0.42 |
2.91 |
2.79 |
0.12 |
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) |
| |
12/31/05
|
12/31/04 |
Change
|
| Book Value 5 |
$489 |
$612 |
($123) |
| Yield-to-Maturity |
4.33% |
2.25% |
2.08% |
| Weighted Average Maturity (in days) |
40 |
41 |
(1) |
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 |
| 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% |
| |
|
|
| 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% |
| |
|
|
| TIPS |
| 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% |
| |
|
|
| 12/31/2004 |
3 Month |
|
| 12/31/2004 |
6 Month |
|
| 12/31/2004 |
1 Year |
|
| 12/31/2004 |
2 Year |
0.45% |
| 12/31/2004 |
3 Year |
0.64% |
| 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% |
|
