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

301 Moved Permanently

301 Moved Permanently


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II. Investments Results - Second Quarter 2012

Total DIF Portfolio Liquidity

  • The total liquidity available to the DIF is the sum of the DIF investment portfolio ($37.9 billion) and the DGP investment portfolio ($945 million).  Consequently, the total liquidity (total market value including accrued interest) of both DIF-related investment portfolios stood at $38.8 billion on June 30, 2012, down $3.6 billion from $42.4 billion on December 31, 2011.

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
2nd Qtr 2012 $38.8

DIF Investment Portfolio

  • On June 30, 2012, the DIF investment portfolio stood at $37.9 billion (total market value), up $0.3 billion from its December 31, 2011, balance of $37.6 billion.  The modest increase primarily reflects the aforementioned $4.0 billion fund transfer from the DGP portfolio on June 29, 2012, receivership dividend receipts, and other inflows, largely offset by outflows for funding initial resolution payments, operating expenses, and other payments related to receivership activities. 
  • On June 30, 2012, the DIF investment portfolio’s yield was 0.46 percent, up five basis points from its December 31, 2011, yield of 0.41 percent.  During the first half of 2012, newly purchased Treasury securities, including some higher yielding Treasury Inflation-Protected Securities (TIPS), had higher yields than maturing securities, hence the rise in portfolio yield.
  • In accordance with the approved second quarter 2012 investment strategy, staff purchased a total of four Treasury securities on two occasions during the quarter, consisting of two- short- maturity conventional Treasury securities and two TIPS.  The four securities had a total par value of $4.8 billion, a weighted average yield of 0.62 percent (including TIPS at their potential yield), and a weighted average maturity (WAM) of 1.47 years.

DGP Investment Portfolio

  • On June 30, 2012, the DGP investment portfolio stood at $945 million (total market value), down substantially from its December 31, 2011, balance of $4.8 billion, again due to the aforementioned transfer of DGP funds into the DIF investment portfolio.  To facilitate the transfer of these funds, near quarter-end, staff sold eight Treasury securities from the DGP investment portfolio.  The security sales had total proceeds of $2.6 billion; the securities had a weighted average yield of 0.24 percent, a WAM of 0.62 years, and a weighted average duration of 0.60 years.


Last Updated 09/07/2012 dofbusinesscenter@fdic.gov

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