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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 Statements of Cash Flows
II. Investments Results & Prospective Strategies

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

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

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

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%

  Last Updated 11/30/2007 dofbusinesscenter@fdic.gov