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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 |
| 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% |
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