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

Deposit Insurance Fund Portfolio Summary - Second Quarter 2020

Deposit Insurance Fund Portfolio Summary (Dollar values in Millions)

	06/30/20	12/31/19	Change
Par Value	$107,107	$104,429	$2,678
Amortized Cost	$108,501	$105,464	$3,038
Total Market Value (including accrued interest)	$111,474	$107,024	$4,450
Primary Reserve 1	$111,474	$107,024	$4,450
Primary Reserve % of Total Portfolio	100.0%	100.0%	0.0%
Yield-to-Maturity	1.61%	1.98%	-0.37%
Weighted Average Maturity (in years)	1.03	1.18	-0.15
Effective Duration (in years)
Total Portfolio	1.00	1.15	-0.15
Available-for-Sale Securities 2	1.05	1.22	-0.17

¹Primary Reserve is the total market value (including accrued interest) of overnight investments, all available-for-sale securities (AFS), and held-to-maturity securities maturing within three months.
²Excludes any overnight investments.

Summary of Other Corporate Investment Portfolios (Dollar values in Millions)

	6/30/20	12/31/19	Change
FRF-FSLIC
Book Value3	$881	$878	$3
Yield-to-Maturity	0.11%	1.51%	-1.40%
Weighted Average Maturity	overnight	overnight	no change

³ Due to the current short-term nature of this portfolio, its respective Par, Book, and Market Values are identical for reporting purposes.

National Liquidation Fund (NLF) Investment Portfolio Summary (Dollar values in Millions)

06/30/20 12/31/19 Change Book Value 4 $1,974 $2,128 ($154) Effective Annual Yield 0.40% 1.76% -1.35% Weighted Average Maturity (in days) 15 32 (17)

⁴ Due to the short-term nature of NLF portfolio, its Book and Market Values are identical for reporting purposes.