FDIC, Federal Deposit Insurance Corporation, Office of Inspector General, core values: communication, objectivity, responsibility, excellence
FDIC.GOV Office of Inspector General core values: communication, objectivity, responsibility, excellence
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The FDIC’s Investment Policies

Prepared for the
Federal Deposit Insurance Corporation
Office of Inspector General

July 2005
Audit Report 05-025


APPENDIX II: SIMULATION METHODOLOGY AND DESCRIPTION

Name First Security % First Security Second Security % Second Security Non-GAS Security Terminal Value Reduction
A-1 2 year Treasury Note 100% N/A N/A N/A
A-2 5 year Treasury Note 100% N/A N/A N/A
A-3 10 year Treasury Note 100% N/A N/A N/A
A-4 30 year Treasury Note 100% N/A N/A N/A
B-1 SSA Par Value Specials 100% N/A N/A N/A
C-1 2 year Treasury Note 75% 30 year Treasury Bond 25% N/A
C-2 2 year Treasury Note 75% 10 year Treasury Bond 25% N/A
D-1 5 year Treasury Note 75% Agency MBS Index 25% N/A
D-2 5 year Treasury Note 75% Investment Grade Corp Bond Index 25% N/A
D-3 5 year Treasury Note 75% Lehman Aggregate Index 25% N/A
D-4 5 year Treasury Note 75% Merrill Lynch High Yield Index 25% N/A
D-5 5 year Treasury Note 75% Lehman TIPS Index 25% N/A
D-6 7 and 10 yr Treasury Zero Index 75% Agency MBS Index 25% N/A
  D-7A 5 year Treasury Note 75% S&P 500 Index 25% N/A
E-1 5 year Treasury Note 75% Agency MBS Index 25% 1%
E-2 5 year Treasury Note 75% Agency MBS Index 25% 2%
E-3 5 year Treasury Note 75% Agency MBS Index 25% 5%
E-4 5 year Treasury Note 75% Agency MBS Index 25% 10%
E-5 5 year Treasury Note 75% Investment Grade Corp Bond Index 25% 1%
E-6 5 year Treasury Note 75% Investment Grade Corp Bond Index 25% 2%
E-7 5 year Treasury Note 75% Investment Grade Corp Bond Index 25% 5%
E-8 5 year Treasury Note 75% Investment Grade Corp Bond Index 25% 10%
E-9 5 year Treasury Note 75% Lehman Aggregate Index 25% 1%
E-10 5 year Treasury Note 75% Lehman Aggregate Index 25% 2%
E-11 5 year Treasury Note 75% Lehman Aggregate Index 25% 5%
E-12 5 year Treasury Note 75% Lehman Aggregate Index 25% 10%
E-13 5 year Treasury Note 75% Merrill Lynch High Yield Index 25% 1%
E-14 5 year Treasury Note 75% Merrill Lynch High Yield Index 25% 2%
E-15 5 year Treasury Note 75% Merrill Lynch High Yield Index 25% 5%
E-16 5 year Treasury Note 75% Merrill Lynch High Yield Index 25% 10%
E-17 5 year Treasury Note 75% Lehman TIPS Index 25% 1%
E-18 5 year Treasury Note 75% Lehman TIPS Index 25% 2%
E-19 5 year Treasury Note 75% Lehman TIPS Index 25% 5%
E-20 5 year Treasury Note 75% Lehman TIPS Index 25% 10%
E-21 5 year Treasury Note 75% 7 and 10 yr Treasury Zero Index 25% 1%
E-22 5 year Treasury Note 75% 7 and 10 yr Treasury Zero Index 25% 2%
E-23 5 year Treasury Note 75% 7 and 10 yr Treasury Zero Index 25% 5%
E-24 5 year Treasury Note 75% 7 and 10 yr Treasury Zero Index 25% 10%
  E-25A 5 year Treasury Note 75% S&P 500 Index 25% 1%
  E-26A 5 year Treasury Note 75% S&P 500 Index 25% 2%
  E-27A 5 year Treasury Note 75% S&P 500 Index 25% 5%
  E-28A 5 year Treasury Note 75% S&P 500 Index 25% 10%

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Last updated 9/21/2005