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Chief Financial Officer's (CFO) Report to the Board

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II. Investments Results - First Quarter 2012

Total DIF Portfolio Liquidity

  • Although managed as two separate investment portfolios, the total liquidity available to the DIF is the sum of the DIF investment portfolio ($35.2 billion) and the DGP investment portfolio ($4.7 billion).  Consequently, the total liquidity (total market value including accrued interest) of both DIF-related investment portfolios stood at $39.9 billion on March 31, 2012, down $2.5 billion from $42.4 billion on December 31, 2011, led by the decline in the DIF investment portfolio as discussed below.

Total DIF - Related Investment Portfolio Liquidity (End-of- Quarter)

Total DIF - Related Investment Portfolio Liquidity End-of-Quarter ($ in billions)
  Quarter
Total DIF - Related Investment Portfolio Liquidity
4th Qtr 2008
$31.7
1st Qtr 2009 $33.0
2nd Qtr 2009 $29.7
3rd Qtr 2009 $23.4
4th Qtr 2009 $66.1
1st Qtr 2010 $63.3
2nd Qtr 2010 $44.0
3rd Qtr 2010 $43.7
4th Qtr 2010 $46.2
1st Qtr 2011 $45.5
2nd Qtr 2011 $45.0
3rd Qtr 2011 $42.9
4th Qtr 2011 $42.4
1st Qtr 2012 $39.9

DIF Investment Portfolio

  • The DIF investment portfolio’s total market value decreased by $2.4 billion during the first quarter of 2012, and totaled $35.2 billion on March 31, 2012.  The decrease was primarily the result of having to fund 16 bank failures during the first quarter of 2012.  Although seven of these failures were resolved using cash-conserving shared-loss transactions requiring substantially lower initial resolution payments, there were a few resolution transactions, including two deposit payout transactions, which required relatively large initial resolution payments.  During the first quarter of 2012, the DIF received $1.3 billion in dividends and other payments from its receiverships, thus mitigating the DIF portfolio’s decline. 
  • On March 31, 2012, the DIF investment portfolio’s yield was 0.37 percent, down four basis points from its December 31, 2011, yield of 0.41 percent.  The maturity of $7.5 billion in Treasury securities with a relatively high average yield of 0.64 percent was the primary cause for the decline in yield during the period.
  • In accordance with the approved first quarter 2012 investment strategy, staff purchased a total of seven short-maturity conventional Treasury securities on two occasions during the quarter.  The seven securities had a total par value of $5.8 billion, a weighted average yield-to-maturity of 0.28 percent, and a weighted average maturity (WAM) of 1.21 years.

DGP Investment Portfolio

  • On March 31, 2012, the Debt Guarantee Program (DGP) investment portfolio stood at $4.7 billion (total market value), down modestly from its December 31, 2011, balance of $4.8 billion.  At quarter end, the DGP portfolio had a yield of 0.18 percent and a WAM of 0.55 years.  In accordance with the approved first quarter 2012 investment strategy for the DGP portfolio, staff purchased seven short-maturity conventional Treasury securities during the quarter.  The securities had a total par value of $2.0 billion, a weighted average yield-to-maturity of 0.27 percent, and a WAM of 1.16 years.


Last Updated 06/08/2012 dofbusinesscenter@fdic.gov

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