II. Investments Results - Third Quarter 2013

DIF Investment Portfolio

• On September 30, 2013, the total liquidity (also total market value) of the DIF investment portfolio stood at $38.4 billion, slightly higher than its December 31, 2012, balance of $38.2 billion. 

• On September 30, 2013, the DIF investment portfolio’s yield was 0.42 percent, up six basis points from its December 31, 2012, yield of 0.36 percent.  During the first nine months of the year, newly purchased Treasury securities generally had somewhat higher yields than maturing securities, primarily contributing to the increase in portfolio yield.

• In accordance with the approved third quarter 2013 DIF portfolio investment strategy, staff purchased a total of eighteen short-maturity conventional Treasury securities and one Treasury Inflation-Protected Security (TIPS).  The nineteen securities had a total par value of $8.9 billion, a weighted average yield of 0.72 percent, and a weighted average maturity (WAM) of 2.70 years.