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

301 Moved Permanently

301 Moved Permanently


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II. Investments Results - Fourth Quarter 2011

Total DIF Portfolio Liquidity

  • The total liquidity (total market value including accrued interest) of both DIF-related investment portfolios stood at $42.4 billion on December 31, 2011, down $3.8 billion from $46.2 billion on December 31, 2010.

Total DIF - Related Investment Portfolio Liquidity (End-of-Quarter)

Total DIF - Related Investment Portfolio Liquidity End-of-Quarter ($ in billions)
  Quarter
Total DIF - Related Investment Portfolio Liquidity
4th Qtr 2008
$31.7
1st Qtr 2009 $33.0
2nd Qtr 2009 $29.7
3rd Qtr 2009 $23.4
4th Qtr 2009 $66.1
1st Qtr 2010 $63.3
2nd Qtr 2010 $44.0
3rd Qtr 2010 $43.7
4th Qtr 2010 $46.2
1st Qtr 2011 $45.5
2nd Qtr 2011 $45.0
3rd Qtr 2011 $42.9
4th Qtr 2011 $42.4

DIF Investment Portfolio

  • The DIF investment portfolio’s total market value decreased by $2.0 billion during 2011.  The decrease was primarily the result of having to fund 92 bank failures during 2011, although it should be noted that 58 of these failures were resolved as cash-conserving loss-share transactions, requiring substantially lower initial resolution payments, thus helping to mitigate the decline in the DIF portfolio’s balance.  Moreover, during 2011, the DIF received $8.9 billion in dividends and other payments from its receiverships, thus mitigating the DIF portfolio’s decline.  
  • On December 31, 2011, the DIF investment portfolio’s yield was 0.41 percent, up a basis point from its December 31, 2010, yield of 0.40 percent.  The DIF investment portfolio’s total return for 2011 was about 35 basis points, about 641 basis points less than the 6.76 percent total return of its benchmark, the Merrill Lynch 1 – 10 Year Treasury Index (Index).  Given that most longer-maturity Treasury yields decreased (that is, Treasury security prices rose) during 2011, the DIF portfolio’s large balances of comparatively low yielding overnight investments and short-term Treasury bills and notes could not keep pace with the rise in Treasury prices, hence the underperformance compared to the Index (on average, the Index has longer-duration conventional Treasury securities).
  • In accordance with the approved fourth quarter 2011 investment strategy, staff purchased a total of six Treasury securities on two occasions during the fourth quarter of 2011.  Staff purchased three short-maturity Treasury notes and purchased three short-maturity Treasury Inflation-Protected Securities (TIPS).  The six securities had a total par value of $8.8 billion, a weighted average yield of 0.29 percent (including the TIPS at their potential yield), and a weighted average maturity (WAM) of 0.93 years.

DGP Investment Portfolio

  • On December 31, 2011, the DGP investment portfolio stood at about $4.8 billion (total market value), down from its December 31, 2010, balance of $6.6 billion.  This decrease in the DGP portfolio was principally due to the DIF recognizing $2.6 billion in deferred revenue (see discussion above), offset by the net transfer of approximately $700 million during 2011 from the DIF portfolio to the DGP portfolio, reversing payments made by the DGP to the DIF for Transaction Account Guarantee Program claims.  At year end, the DGP portfolio had a yield to maturity of 0.11 percent and a WAM of 0.21 years.  In accordance with the approved fourth quarter 2011 investment strategy for the DGP portfolio, staff purchased three short-maturity Treasury securities during the fourth quarter of 2011.  The securities had a total par value of $2.1 billion, a weighted average yield of 0.17 percent, and a WAM of 0.81 years.


Last Updated 04/16/2012 dofbusinesscenter@fdic.gov

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