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

Deposit Insurance Fund Portfolio Summary - Fourth Quarter 2019

Deposit Insurance Fund Portfolio Summary
(Dollar values in Millions)
 
12/31/19
12/31/18
Change
Par Value $104,429 $99,339 $5,090
Amortized Cost $105,464 $99,063 $6,401
Total Market Value (including accrued interest) $107,024 $98,954 $8,070
Primary Reserve 1 $107,024 $98,954 $8,070
Primary Reserve % of Total Portfolio 100.0% 100.0% 0.0%
Yield-to-Maturity 1.98% 2.05% -0.07%
Weighted Average Maturity (in years) 1.18 1.75 -0.57
Effective Duration (in years)
Total Portfolio 1.15 1.69 -0.54
Available-for-Sale Securities 1.22 1.79 -0.57
Held-to-Maturity Securities 2 not applicable not applicable not applicable

1Primary Reserve is the total market value (including accrued interest) of overnight investments, all available-for-sale securities and held-to-maturity securities maturing within three months.
2In 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 (Dollar values in Millions)
 
12/31/19
12/31/18
Change
FRF-FSLIC
Book Value3 $878 $857 $21
Yield-to-Maturity 1.51% 2.42% -0.91%
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)
 
12/31/19
12/31/18
Change
Book Value 4 $2,128 $2,988 ($860)
Effective Annual Yield 1.76% 2.46% -0.70%
Weighted Average Maturity (in days) 32 51 (19)

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