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

Selected Financial Data - Second Quarter 2020

Fund Financial Results ($ in millions)
FSLIC Resolution Fund
Jun-20
Mar -19
Quarterly Change
Jun -19
Year-Over-Year Change
Cash and cash equivalents $926 $926 $0 $912 $14
Accumulated deficit (124,563) (124,563) 0 (124,576) 13
Total resolution equity 907 926 (19) 913 (6)
Total revenue 3 3 0 11 (8)
Operating expenses 0 0 0 0 0
Recovery of tax benefits 0 0 0 0 0
Losses related to thrift resolutions 0 0 0 0 0
Net Income (Loss) $3 $3 $0 $11 ($8)

Receivership Selected Statistics June 2020 vs. June2019
$ in millions
DIF
FRF
ALL FUNDS
  Jun-20 Jun-19 Change Jun-20 Jun-19 Change Jun-20 Jun-19 Change
Total Receiverships 244 263 (19) 0 0 0 244 263 (19)
Assets in Liquidation $380 $1,039 ($659) $1 $2 ($1) $381 $1,041 ($660)
YTD Collections $285 $555 ($270) $1 $0 $1 $286 $555 ($269)
YTD Dividend/Other Pmts - Cash $797 $859 ($62) $0 $0 $0 $797 $859 ($62)

DIF Coverage Ratio Interest on U.S. Treasury (UST) Securities as a percentage of Operating Expenses ($ in millions)

Treasury Yields: Current and Historical
Coverage Ratio Interest on UST securities Operating Expenses
2014 17% 282 1,664
2015 25% 423 1,687
2016 39% 671 1,715
2017 61% 1,057 1,739
2018 93% 1,633 1,765
2019 118% 2,117 1,796
1Q20 110% 507 460
YTD 2020 104% 961 925

The coverage ratio peaked in 2019 at 118%, after years of seeing a steady rise. Since 2014, the DIF balance has grown by over 80% and therefore has generated an increasing amount of interest income. Secondarily, Treasury yields remained below their historical averages, but did gradually rise from 2015 to 2018. However in 2019, yields dropped slowly, then in March 2020, the entire yield curve suffered extraordinary downward pressure as the FOMC slashed the overnight Fed Funds rate to nearly zero to support the economy.

While the investment portfolio balance should continue to grow at a slower pace, the maturing securities purchased at past higher yields can only be reinvested in significantly lower yields. Interest revenue in the coming quarters is expected to decrease as the Federal Funds Target Rate sits between 0bps and 25bps, and the 5-year tenor is yielding approximately 30.6bps.