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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 2007

Deposit Insurance Fund Portfolio Summary
($ in Millions)
  12/31/07 12/31/06 Change
Par Value $47,562 $46,483 $1,079
Amortized Cost $50,469 $48,858 $1,611
Market Value $52,378 $49,038 $3,340
Primary Reserve 1 $14,317 $13,911 $406
Primary Reserve Target Floor 2 $15,000 $10,000 $5,000
Primary Reserve % of Total Portfolio 26.9% 28.0% (1.1%)
Year-to-Date Total Return (Portfolio) 8.629% 4.056% not applicable
Year-to-Date Total Return (Benchmark)3 8.861% 3.571% not applicable
Total Return Variance (in basis points) (23.2) 48.5 not applicable
Yield-to-Maturity 4 4.72% 4.89% (0.17%)
Weighted Average Maturity (in years) 4.06 3.57 0.49
Effective Duration (in years) 5
Total Portfolio 3.19 2.82 0.37
Available-for-Sale Securities 1.29 1.80 (0.51)
Held-to-Maturity Securities 3.94 3.29 0.65

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.
2This primary reserve target floor was increased from the third quarter's $10 billion target, although when adopted it was understood that the target floor would not be reached until at least the first quarter of 2008.
3The benchmark is the total return of the Merrill Lynch 1-10 Year U.S. Treasury Index.
4The 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.
5For 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)
  12/31/07 12/31/06 Change
Book Value 6 $393 $381 ($12)
Yield-to-Maturity 4.22% 5.37% (1.15%)
Weighted Average Maturity (in days) 19 13 6
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
12/31/2007 3 Month 3.25%
12/31/2007 6 Month 3.40%
12/31/2007 1 Year 3.29%
12/31/2007 2 Year 3.06%
12/31/2007 3 Year 3.03%
12/31/2007 4 Year 3.30%
12/31/2007 5 Year 3.44%
12/31/2007 7 Year 3.72%
12/31/2007 10 Year 4.03%
     
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
12/31/2007 3 Month  
12/31/2007 6 Month  
12/31/2007 1 Year 0.96%
12/31/2007 2 Year 0.90%
12/31/2007 3 Year 1.05%
12/31/2007 4 Year 1.08%
12/31/2007 5 Year 1.11%
12/31/2007 7 Year 1.46%
12/31/2007 10 Year 1.71%
     
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 03/12/2008 dofbusinesscenter@fdic.gov