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

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

   •  Summary Trends and Results
I. Corporate Fund Financial Results

   •  DIF Balance Sheet
   •  DIF Income Statement
   •  DIF Statements of Cash Flows
   •  FRF Selected Financial Data
II. Investments Results & Prospective Strategies

   •  Deposit Insurance Fund Portfolio Summary
   •  Approved Investment Strategies
III. Budget Results

   •  Budget & Expenditures by Major Expense Categories
   •  Budget & Expenditures by Budget Component, Division & Office
Printable Version

Deposit Insurance Fund Portfolio Summary - Second Quarter 2008

Deposit Insurance Fund Portfolio Summary
($ in Millions)
 
6/30/08
12/31/07
Change
Par Value $47,778 $47,562 $216
Amortized Cost (Book Value) $50,428 $50,469 ($41)
Market Value $52,473 $52,378 $95
Primary Reserve 1 $53,150 $14,317 $38,833
Primary Reserve % of Total Portfolio 100% 26.9% 73.1%
Year-to-Date Total Return (Portfolio) 2.659% 8.629% not applicable
Year-to-Date Total Return (Benchmark) 2 2.362% 8.861% not applicable
Total Return Variance (in basis points) 29.7 (23.2) not applicable
Yield-to-Maturity 3 4.44% 4.72% (0.28%)
Weighted Average Maturity (in years) 3.63 4.06 (0.43)
Effective Duration (in years) 4
Total Portfolio 2.86 3.19 (0.33)
Available-for-Sale Securities 3.47 1.29 2.18
Held-to-Maturity Securities ----- 3.94 not applicable

1The Primary Reserve is the total market value (including accrued interest) of overnight investments, available-for-sale (AFS) securities and held-to-maturity (HTM) securities maturing within three months. NOTE: All of the DIF portfolio’s HTM securities were reclassified as AFS securities effective as of June 30, 2008, because it was determined that in light of significant actual and potential resolution-related outlays, the FDIC could no longer assert that it had the positive intent and ability to hold its HTM securities until maturity dates.
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)
 
06/30/08
12/31/07
Change
Book Value 5
$583
$393
($190)
Yield-to-Maturity
2.43%
4.22%
(1.79%)
Weighted Average Maturity (in days)
1
19
(18)
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

U.S. Treasury Security Yield Curves
Conventional
06/30/2008 3 Month 1.74%
06/30/2008 6 Month 2.16%
06/30/2008 1 Year 2.34%
06/30/2008 2 Year 2.62%
06/30/2008 3 Year 2.91%
06/30/2008 4 Year 3.18%
06/30/2008 5 Year 3.33%
06/30/2008 7 Year 3.56%
06/30/2008 10 Year 3.97%
     
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%
     
TIPS
06/30/2008 3 Month  
06/30/2008 6 Month  
06/30/2008 1 Year (2.07%)
06/30/2008 2 Year (0.09%)
06/30/2008 3 Year 0.22%
06/30/2008 4 Year 0.42%
06/30/2008 5 Year 0.68%
06/30/2008 7 Year 1.15%
06/30/2008 10 Year 1.54%
     
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%

  Last Updated 09/16/2011 dofbusinesscenter@fdic.gov