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

Deposit Insurance Fund Portfolio Summary - Third Quarter 2020

Deposit Insurance Fund Portfolio Summary (Dollar values in Millions)

	9/30/20	12/31/19	Change
Par Value	$108,949	$104,429	$4,520
Amortized Cost	$111,259	$105,464	$5,795
Total Market Value (including accrued interest)	$113,442	$107,024	$6,418
Primary Reserve 1	$113,442	$107,024	$6,418
Primary Reserve % of Total Portfolio	100.0%	100.0%	0.0%
Yield-to-Maturity	1.22%	1.98%	-0.76%
Weighted Average Maturity (in years)	1.27	1.18	0.09
Effective Duration (in years)
Total Portfolio	1.24	1.15	0.09
Available-for-Sale Securities 2	1.32	1.22	0.10

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)

	9/30/20	12/31/19	Change
FRF-FSLIC
Book Value3	$881	$878	$3
Yield-to-Maturity	0.07%	1.51%	-1.44%
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)

9/30/20 12/31/19 Change Book Value 4 $1,657 $2,128 ($471) Effective Annual Yield 0.27% 1.76% -1.49% Weighted Average Maturity (in days) 6 32 (26)

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