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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 - Fourth Quarter 2006

Deposit Insurance Fund Portfolio Summary
(Dollar Values in Millions)
 
  12/31/06 12/31/05 Change
Par Value $46,483 $44,904 $1,579
Amortized Cost $48,858 $47,038 $1,820
Market Value $49,038 $47,610 $1,428
Primary Reserve1 $13,911  $14,246 ($335)
Prime Reserve Target Floor $10,000 $10,500 ($500)
Prime Reserve % of Total Portfolio 28.0% 29.5% (1.5%)
Year-to-Date Total Return (Portfolio) 4.06% 2.01% NA
Year-to-Date Total Return (Benchmark)2 3.57% 1.58% NA
Total Return Variance (in basis points) 49 43 NA
Yield-to-Maturity3 4.89% 4.82% 0.07%
Weighted Average Maturity (in years) 3.57 3.29 0.28
Effective Duration (in years)4
Total Portfolio 2.82 2.53 0.29
Available-for-Sale Securities 1.80 1.85 (0.05) 
Held-to-Maturity Securities 3.29 2.97 0.32

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 assume an average year-over-year increase in CPI of 2.2%.
4For each TIPS, a 80% factor is applied to its real yield duration to arrive at an estimated effective duration (note: factor updated in September 2006 to reflect recent past experience).

National Liquidation Fund (NLF) Investment Portfolio Summary
(Dollar Values in Millions)
  12/31/06 12/31/05 Change
Book Value 5 $81 $489 ($108)
Yield-to-Maturity 5.37% 4.33% 1.04%
Weighted Average Maturity (in days) 13 40 (27)
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
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%
     
12/31/2005 3 Month 4.08%
12/31/2005 6 Month 4.38%
12/31/2005 1 Year 4.47%
12/31/2005 2 Year 4.41%
12/31/2005 3 Year 4.37%
12/31/2005 4 Year 4.37%
12/31/2005 5 Year 4.35%
12/31/2005 7 Year 4.36%
12/31/2005 10 Year 4.40%
     
TIPS
12/31/2006 3 Month  
12/31/2006 6 Month  
12/31/2006 1 Year 2.58%
12/31/2006 2 Year 2.49%
12/31/2006 3 Year 2.43%
12/31/2006 4 Year 2.43%
12/31/2006 5 Year 2.44%
12/31/2006 7 Year 2.45%
12/31/2006 10 Year 2.41%
     
12/31/2005 3 Month  
12/31/2005 6 Month  
12/31/2005 1 Year  
12/31/2005 2 Year 2.63%
12/31/2005 3 Year 2.26%
12/31/2005 4 Year 2.12%
12/31/2005 5 Year 2.08%
12/31/2005 7 Year 2.06%
12/31/2005 10 Year 2.06%

  Last Updated 02/27/2007 dofbusinesscenter@fdic.gov

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