Each depositor insured to at least $250,000 per insured bank



Home > About FDIC > Financial Reports > Chief Financial Officer's (CFO) Report to the Board





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

Skip Left Navigation Links
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
   •  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 - Third Quarter 2008

Deposit Insurance Fund Portfolio Summary
($ in Millions)
 
9/30/08
12/31/07
Change
Par Value $29,937 $47,562 ($17,625)
Amortized Cost $31,712 $50,469 ($18,757)
Market Value $33,411 $52,378 ($18,967)
Primary Reserve 1 $33,864 $14,317 $19,547
Primary Reserve % of Total Portfolio 100.0% 26.9% 73.1%
Year-to-Date Total Return (Portfolio) 4.392% 8.629% not applicable
Year-to-Date Total Return (Benchmark) 2 4.605% 8.861% not applicable
Total Return Variance (in basis points) (21.3) (23.2) not applicable
Yield-to-Maturity 3 4.71% 4.72% (0.01%)
Weighted Average Maturity (in years) 4.09 4.06 0.03
Effective Duration (in years) 4
Total Portfolio 3.33 3.19 0.14
Available-for-Sale Securities 3.42 1.29 2.13
Held-to-Maturity Securities 5 not applicable 3.94  

1The Primary Reserve is the total market value (including accrued interest) of overnight investments, available-for-sale (AFS) securitites and held-to-maturity (HTM) 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.
5In early August 2008, management reclassified all of the DIF portfolio's HTM securities as AFS securities effective as of June 30, 2008, because the FDIC could no longer assert it had the positive intent and ability to hold its HTM securities until their maturity dates.

National Liquidation Fund (NLF) Investment Portfolio Summary
($ in Millions)
 
09/30/08
12/31/07
Change
Book Value 6
$2,859
$393
$2,466
Yield-to-Maturity
2.22%
4.22%
(2.00%)
Weighted Average Maturity (in days)
5
19
(14)
6 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
09/30/2008 3 Month 0.92%
09/30/2008 6 Month 1.62%
09/30/2008 1 Year 1.80%
09/30/2008 2 Year 1.97%
09/30/2008 3 Year 2.28%
09/30/2008 4 Year 2.66%
09/30/2008 5 Year 2.98%
09/30/2008 7 Year 3.29%
09/30/2008 10 Year 3.83%
     
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%
     
TIPS
09/30/2008 3 Month  
09/30/2008 6 Month  
09/30/2008 1 Year 1.98%
09/30/2008 2 Year 2.11%
09/30/2008 3 Year 1.96%
09/30/2008 4 Year 1.95%
09/30/2008 5 Year 1.94%
09/30/2008 7 Year 2.13%
09/30/2008 10 Year 2.24%
     
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 0.52%
06/30/2008 5 Year 0.68%
06/30/2008 7 Year 1.15%
06/30/2008 10 Year 1.43%

  Last Updated 12/15/2008 dofbusinesscenter@fdic.gov