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Deposit
Insurance Fund Portfolio Summary - First Quarter 2011
Deposit
Insurance Fund Portfolio
Summary
($ in Millions) |
| |
03/31/11 |
12/31/10 |
Change |
|
Par Value |
$38,291 |
$39,430 |
($1,139) |
| Amortized Cost |
$38,428 |
$39,483 |
($1,055) |
| Total Market Value (including accrued interest) |
$38,518 |
$39,550 |
($1,032) |
| Primary Reserve 1 |
$38,518 |
$39,550 |
($1,032) |
| Primary Reserve % of Total Portfolio |
100.0% |
100.0% |
0.0% |
| Year-to-Date Total Return (Portfolio) |
0.102% |
0.196% |
not applicable |
| Year-to-Date Total Return (Benchmark)2 |
(0.008%) |
5.219% |
not applicable |
| Total Return Variance (in basis points) |
11.0 |
(502.3) |
not applicable |
| Yield-to-Maturity 3 |
0.28% |
0.40% |
(0.12%) |
| Weighted Average Maturity (in years) |
0.44 |
0.16 |
0.28 |
| Effective Duration (in years)4 |
| Total Portfolio |
0.43 |
0.15 |
0.28 |
| Available-for-Sale Securities |
1.11 |
0.46 |
0.65 |
| Held-to-Maturity Securities 5 |
not applicable |
not applicable |
not applicable |
1Primary
Reserve is the total market value (including accrued interest) of overnight
investments, available-for-sale securities, and held-to-maturity securities
maturing within three months.
2The
benchmark is the total return of the Merrill Lynch 1-10 Year U.S. Treasury
Index.
3The Yield-to-Maturity includes the
potential yield of Treasury Inflation-Protected Securities (TIPS),
which presently assumes an average 1.8 percent annual increase in the CPI over
the remaining life of each TIPS.
4For each TIPS, an estimated 80 percent "yield
beta" factor is applied to its real yield duration to arrive
at an estimated effective duration.
5In early August 2008, management
reclassified all of the DIF portfolio's HTM securities as AFS securities
effective as of June 30, 2008, because the FDIC could no longer assert
it had the positive intent and ability to hold its HTM securities until
their maturity dates.
| Summary
of Other Corporate Investment Portfolios ($ in Millions) |
| |
03/31/11 |
12/31/10 |
Change |
Debt Guarantee Program |
Par Value |
$6,954 |
$6,630 |
$324 |
| Book Value |
$6,984 |
$6,646 |
$338 |
| Total Market Value (including accrued interest) |
$6,996 |
$6,647 |
$349 |
| Yield-to-Maturity |
0.20% |
0.10% |
0.10% |
| Weighted Average Maturity |
0.38 |
0.14 |
0.24 |
| FRF-FSLIC |
| Book Value 6 |
$3,398 |
$3,397 |
$1 |
| Yield-to-Maturity |
0.03% |
0.05% |
(0.02%) |
| Weighted Average Maturity |
overnight |
overnight |
no change |
6 Due to the current short-term nature of these
portfolios, each of their respective Par, Book, and Market Values are identical
for reporting purposes.
National
Liquidation Fund (NLF) Investment Portfolio Summary
($ in Millions) |
| |
03/31/11 |
12/31/10 |
Change |
| Book Value 7 |
$15,496 |
$17,506 |
($2,010) |
| Effective
Annual Yield |
0.12% |
0.13% |
(0.01%) |
| Weighted Average Maturity (in days) |
23 |
6 |
17 |
8 Due
to the short-term of NFL, the portfolio's Book and Market Values are
identical for reporting purposes.. |
