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2009 Annual Report
IV. Financial Statements and Notes
Deposit Insurance Fund (DIF) - Cont.
3. Investment in U.S. Treasury
Obligations, Net
As of December 31, 2009 and 2008, investments in U.S. Treasury obligations, net, were $5.5 billion and $27.9 billion, respectively. As of December 31, 2009 and 2008, the DIF held $2.1 billion and $2.7 billion, respectively, of Treasury inflation-protected securities (TIPS). These securities are indexed to increases or decreases in the Consumer Price Index for All Urban Consumers (CPI-U).
For the year ended December 31, 2009, available-for-sale securities were sold for total proceeds of $15.2 billion. The gross realized gains on these sales totaled $1.4 billion. To determine gross realized gains, the cost of securities sold is based on specific identification. Net unrealized holding losses on available-for-sale securities of $2.1 billion are included in other comprehensive loss.
Total Investment in U.S. Treasury Obligations, Net at December 31, 2009
Dollars in Thousands |
| Maturity |
Yield at Purchase (a) |
Face Value |
Net Carrying Amount |
Unrealized Holding Gains |
Unrealized Holding Losses |
Fair Value |
| U.S. Treasury notes and bonds |
| Within 1 year |
5.04% |
$ 3,058,000 |
$ 3,062,038 |
$ 48,602 |
$ 0 |
$ 3,110,640 |
| After 1 year through 5 years |
4.15% |
300,000 |
302,755 |
11,648 |
0 |
314,403 |
| U.S. Treasury inflation—protected securities |
| After 1 year through 5 years |
3.14% |
1,968,744 |
1,979,879 |
81,877 |
0 |
2,061,756 |
| Total |
|
$ 5,326,744 |
$ 5,344,672 |
$ 142,127 |
$ 0 |
$ 5,486,799 |
| (a) For TIPS, the yields in the above table are stated at their real yields at purchase, not their effective yields. Effective yields on TIPS include a long-term annual inflation assumption as measured by the CPI-U. The long-term CPI-U consensus forecast is 1.1 percent, based on figures issued by the Congressional Budget Office and Blue Chip Economic Indicators in early 2009. |
Total Investment in U.S. Treasury Obligations, Net at December 31, 2008
Dollars in Thousands |
| Maturity (a) |
Yield at Purchase (b) |
Face Value |
Net Carrying Amount |
Unrealized Holding Gains |
Unrealized Holding Losses (c) |
Fair Value |
| U.S. Treasury notes and bonds |
| Within 1 year |
4.25% |
$ 6,192,000 |
$ 6,350,921 |
$ 130,365 |
$ 0 |
$ 6,481,286 |
| After 1 year through 5 years |
4.72% |
9,503,000 |
9,451,649 |
1,030,931 |
0 |
10,482,580 |
| After 5 years through 10 years |
4.79% |
6,130,000 |
7,090,289 |
1,142,753 |
0 |
8,233,042 |
| U.S. Treasury inflation—protected securities |
| Within 1 year |
3.82% |
726,550 |
726,561 |
0 |
(5,627) |
720,934 |
| After 1 year through 5 years |
3.14% |
1,973,057 |
1,989,608 |
0 |
(48,370) |
1,941,238 |
| Total |
|
$ 24,524,607 |
$ 25,609,028 |
$ 2,304,049 |
$ (53,997) |
$ 27,859,080 |
(a) For purposes of this table, all callable securities are assumed to mature on their first call dates. Their yields at purchase are reported as their yield to first call date. Callable U.S. Treasury bonds may be called five years prior to the respective bonds' stated maturity on their semi-annual coupon payment dates upon 120 days notice.
(b) For TIPS, the yields in the above table are stated at their real yields at purchase, not their effective yields. Effective yields on TIPS include a long-term annual inflation assumption as measured by the CPI-U. The long-term CPI-U consensus forecast is 2.2 percent, based on figures issued by the Congressional Budget Office and Blue Chip Economic Indicators in early 2008.
(c) The unrealized losses on the U.S. Treasury inflation-protected securities (TIPS) is attributable to the two-month delay in adjusting TIPS' principal for changes in the November and December Consumer Price Index for all Urban Consumers. As the losses occurred over a period less than a year and the December 31, 2008, unrealized losses converted to unrealized gains by February 28, 2009, the FDIC does not consider these securities to be other than temporarily impaired at December 31, 2008. |
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