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

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

   •  Summary Trends and Results
I. Corporate Fund Financial Results
   •  DIF Balance Sheet
   •  DIF Income Statement
   •  DIF Statements of Cash Flows
   •  FRF Statements of Cash Flows
II. Investments Results & Prospective Strategies
   •  Deposit Insurance Fund Portfolio Summary
   •  Approved Investment Strategy
III. Budget Results
   •  Budget & Expenditures by Major Expense Categories
   •  Budget & Expenditures by Budget Component, Division & Office
Printable Version
Deposit Insurance Fund Portfolio Summary - First Quarter 2007

Deposit Insurance Fund Portfolio Summary
(Dollar Values in Millions)
 
  03/31/07 12/31/06 Change
Par Value $47,051 $46,483 $568
Amortized Cost $49,333 $48,858 $475
Market Value $49,768 $49,038 $730
Primary Reserve1 $16,057  $13,911  $2,146
Prime Reserve Target Floor $10,000 $10,000 $0
Prime Reserve % of Total Portfolio 31.8% 28.0% 3.8%
Year-to-Date Total Return (Portfolio) 1.66% 4.06% NA
Year-to-Date Total Return (Benchmark)2 1.55% 3.57% NA
Total Return Variance (in basis points) 10 49 NA
Yield-to-Maturity3 4.92% 4.89% 0.03%
Weighted Average Maturity (in years) 3.47 3.57 (0.10)
Effective Duration (in years)4
Total Portfolio 2.76 2.82 (0.06)
Available-for-Sale Securities 1.67 1.80 (0.13) 
Held-to-Maturity Securities 3.30 3.29 0.01

1Prime 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 assumes an average annual increase in the CPI over the remaining life of each TIPS.
4For each TIPS, a 80% factor is applied to its real yield duration to arrive at an estimated effective duration (note: factor updated in September 2006 to reflect recent past experience).

National Liquidation Fund (NLF) Investment Portfolio Summary
(Dollar Values in Millions)
  03/31/07 12/31/06 Change
Book Value 5 $296 $381 ($85)
Yield-to-Maturity 5.46% 5.37% 0.09%
Weighted Average Maturity (in days) 8 13 (5)
5 Due to the short-term nature of the NLF, the portfolio's Book and Market Values are identical for reporting purposes.

U.S. Treasury Security Yield Curves

U.S. Treasury Security Yield Curves
Conventional
03/31/2007 3 Month 5.04%
03/31/2007 6 Month 5.07%
03/31/2007 1 Year 4.93%
03/31/2007 2 Year 4.58%
03/31/2007 3 Year 4.54%
03/31/2007 4 Year 4.54%
03/31/2007 5 Year 4.54%
03/31/2007 7 Year 4.61%
03/31/2007 10 Year 4.65%
     
12/31/2006 3 Month 5.02%
12/31/2006 6 Month 5.09%
12/31/2006 1 Year 5.01%
12/31/2006 2 Year 4.82%
12/31/2006 3 Year 4.74%
12/31/2006 4 Year 4.69%
12/31/2006 5 Year 4.70%
12/31/2006 7 Year 4.70%
12/31/2006 10 Year 4.71%
     
TIPS
03/31/2007 3 Month  
03/31/2007 6 Month  
03/31/2007 1 Year 1.68%
03/31/2007 2 Year 1.79%
03/31/2007 3 Year 1.90%
03/31/2007 4 Year 2.01%
03/31/2007 5 Year 2.04%
03/31/2007 7 Year 2.10%
03/31/2007 10 Year 2.21%
     
12/31/2005 3 Month  
12/31/2005 6 Month  
12/31/2006 1 Year 2.58%
12/31/2006 2 Year 2.49%
12/31/2006 3 Year 2.51%
12/31/2006 4 Year 2.53%
12/31/2006 5 Year 2.47%
12/31/2006 7 Year 2.43%
12/31/2006 10 Year 2.41%

  Last Updated 06/04/2007 dofbusinesscenter@fdic.gov

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