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Deposit
Insurance Fund Portfolio
Summary - First Quarter 2008
Deposit
Insurance Fund Portfolio
Summary
($ in Millions) |
|
3/31/08 |
12/31/07 |
Change |
Par Value |
$48,441 |
$47,562 |
$879 |
Amortized Cost |
$51,219 |
$50,469 |
$750 |
Market Value |
$54,491 |
$52,378 |
$2,113 |
Primary Reserve 1 |
$17,208 |
$14,317 |
$2,891 |
Primary Reserve Target Floor |
$15,000 |
$15,000 |
$0 |
Primary Reserve % of Total Portfolio |
31.2% |
26.9% |
4.3% |
Year-to-Date Total Return (Portfolio) |
3.734% |
8.629% |
not applicable |
Year-to-Date Total Return (Benchmark) 2 |
4.455% |
8.861% |
not applicable |
Total Return Variance (in basis points) |
(72.1) |
(23.2) |
not applicable |
Yield-to-Maturity 3 |
4.45% |
4.72% |
(0.27%) |
Weighted Average Maturity (in years) |
3.84 |
4.06 |
(0.22) |
Effective Duration (in years) 4 |
Total Portfolio |
3.04 |
3.19 |
(0.15) |
Available-for-Sale Securities |
1.44 |
1.29 |
0.15 |
Held-to-Maturity Securities |
3.96 |
3.94 |
0.02 |
1Primary
Reserve is the total market value (including accrued interest) of overnight
investments, available-for-sale
securities,
and held-to-maturity
securities maturing within three months.
2The
benchmark is the total return of the Merrill Lynch 1-10 Year U.S. Treasury
Index.
3The yield-to-maturity includes the potential
yield of Treasury Inflation-Protected Securities (TIPS), which assumes
an average 2.2% annual increase in the CPI over the remaining life of
each TIPS.
4For each TIPS, an estimated 80% "yield
beta" factor is applied to its real yield duration to arrive
at an estimated effective
duration.
National Liquidation Fund (NLF) Investment Portfolio Summary
($ in Millions) |
|
03/31/08 |
12/31/07 |
Change |
Book Value 5 |
$425 |
$393 |
($32) |
Yield-to-Maturity |
2.47% |
4.22% |
(1.75%) |
Weighted Average Maturity (in days) |
3 |
19 |
(16) |
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 |
03/31/2008 |
3 Month |
1.33% |
03/31/2008 |
6 Month |
1.49% |
03/31/2008 |
1 Year |
1.48% |
03/31/2008 |
2 Year |
1.59% |
03/31/2008 |
3 Year |
1.75% |
03/31/2008 |
4 Year |
2.19% |
03/31/2008 |
5 Year |
2.44% |
03/31/2008 |
7 Year |
2.78% |
03/31/2008 |
10 Year |
3.41% |
|
|
|
12/31/2007 |
3 Month |
3.25% |
12/31/2007 |
6 Month |
3.40% |
12/31/2007 |
1 Year |
3.29% |
12/31/2007 |
2 Year |
3.06% |
12/31/2007 |
3 Year |
3.03% |
12/31/2007 |
4 Year |
3.30% |
12/31/2007 |
5 Year |
3.44% |
12/31/2007 |
7 Year |
3.72% |
12/31/2007 |
10 Year |
4.03% |
|
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|
TIPS |
03/31/2008 |
3 Month |
|
03/31/2008 |
6 Month |
|
03/31/2008 |
1 Year |
(0.74%) |
03/31/2008 |
2 Year |
(0.47%) |
03/31/2008 |
3 Year |
(0.07%) |
03/31/2008 |
4 Year |
0.02% |
03/31/2008 |
5 Year |
0.10% |
03/31/2008 |
7 Year |
0.61% |
03/31/2008 |
10 Year |
1.09% |
|
|
|
12/31/2007 |
3 Month |
|
12/31/2007 |
6 Month |
|
12/31/2007 |
1 Year |
0.96% |
12/31/2007 |
2 Year |
0.90% |
12/31/2007 |
3 Year |
1.05% |
12/31/2007 |
4 Year |
1.08% |
12/31/2007 |
5 Year |
1.11% |
12/31/2007 |
7 Year |
1.46% |
12/31/2007 |
10 Year |
1.71% |
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