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Deposit
Insurance Fund Portfolio
Summary - Third Quarter 2007
Deposit
Insurance Fund Portfolio
Summary
($ in Millions) |
| |
9/30/07 |
12/31/06 |
Change |
| Par
Value |
$47,515 |
$46,483 |
$1,032 |
| Amortized
Cost |
$50,562 |
$48,858 |
$1,704 |
| Market
Value |
$51,360 |
$49,038 |
$2,322 |
| Primary
Reserve1 |
$12,770 |
$13,911 |
($1,141) |
| Primary
Reserve Target Floor |
$10,000 |
$10,000 |
$0 |
| Primary
Reserve % of Total Portfolio |
24.5% |
28.0% |
(3.5%) |
| Year-to-Date
Total Return (Portfolio) |
5.134% |
4.056% |
not
applicable |
| Year-to-Date
Total Return (Benchmark)2 |
5.139% |
3.571% |
not
applicable |
| Total
Return Variance (in basis points) |
(0.5%) |
48.5 |
not
applicable |
| Yield-to-Maturity3 |
4.92% |
4.89% |
0.03% |
| Weighted
Average Maturity (in years) |
4.26 |
3.57 |
0.69 |
| Effective
Duration (in years) 4 |
| Total
Portfolio |
3.30 |
2.82 |
0.48 |
| Available-for-Sale
Securities |
1.35 |
1.80 |
(0.45) |
| Held-to-Maturity
Securities |
4.00 |
3.29 |
0.71 |
1Prime Reserve is the total
market value (including accrued interest) of overnight investments, available-for-sale
securities,
and held-to-maturity
securities maturing within three months.
2The benchmark is the total return of the Merrill Lynch 1-10 Year U.S. Treasury Index.
3The yield-to-maturity includes the potential
yield of Treasury Inflation-Protected Securities (TIPS), which assumes
an average 2.2% annual increase in the CPI over the remaining life of each
TIPS.
4For each TIPS, an estimated 80% "yield
beta" factor is applied to its real yield duration to arrive at an estimated
effective
duration.
National Liquidation Fund (NLF) Investment Portfolio Summary
($ in Millions) |
| |
9/30/07 |
12/31/06 |
Change |
| Book
Value5 |
$180 |
$381 |
($201) |
| Yield-to-Maturity |
5.01% |
5.37% |
(0.36%) |
| Weighted Average Maturity (in days) |
25 |
13 |
12 |
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 |
| 09/30/2007 |
3 Month |
3.81% |
| 09/30/2007 |
6 Month |
4.09% |
| 09/30/2007 |
1 Year |
4.11% |
| 09/30/2007 |
2 Year |
3.99% |
| 09/30/2007 |
3 Year |
4.02% |
| 09/30/2007 |
4 Year |
4.17% |
| 09/30/2007 |
5 Year |
4.25% |
| 09/30/2007 |
7 Year |
4.39% |
| 09/30/2007 |
10 Year |
4.59% |
| |
|
|
| 12/31/2006 |
3 Month |
5.02% |
| 12/31/2006 |
6 Month |
5.09% |
| 12/31/2006 |
1 Year |
5.01% |
| 12/31/2006 |
2 Year |
4.82% |
| 12/31/2006 |
3 Year |
4.74% |
| 12/31/2006 |
4 Year |
4.69% |
| 12/31/2006 |
5 Year |
4.70% |
| 12/31/2006 |
7 Year |
4.70% |
| 12/31/2006 |
10 Year |
4.71% |
| |
|
|
| TIPS |
| 09/30/2007 |
3 Month |
|
| 09/30/2007 |
6 Month |
|
| 09/30/2007 |
1 Year |
2.25% |
| 09/30/2007 |
2 Year |
2.13% |
| 09/30/2007 |
3 Year |
2.16% |
| 09/30/2007 |
4 Year |
2.20% |
| 09/30/2007 |
5 Year |
2.18% |
| 09/30/2007 |
7 Year |
2.22% |
| 09/30/2007 |
10 Year |
2.28% |
| |
|
|
| 12/31/2005 |
3 Month |
|
| 12/31/2005 |
6 Month |
|
| 12/31/2006 |
1 Year |
2.58% |
| 12/31/2006 |
2 Year |
2.49% |
| 12/31/2006 |
3 Year |
2.51% |
| 12/31/2006 |
4 Year |
2.53% |
| 12/31/2006 |
5 Year |
2.47% |
| 12/31/2006 |
7 Year |
2.43% |
| 12/31/2006 |
10 Year |
2.41% |
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