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Each depositor insured to at least $250,000 per insured bank



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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 2008

Deposit Insurance Fund Portfolio Summary
($ in Millions)
 
3/31/08
12/31/07
Change
Par Value $48,441 $47,562 $879
Amortized Cost $51,219 $50,469 $750
Market Value $54,491 $52,378 $2,113
Primary Reserve 1 $17,208 $14,317 $2,891
Primary Reserve Target Floor $15,000 $15,000 $0
Primary Reserve % of Total Portfolio 31.2% 26.9% 4.3%
Year-to-Date Total Return (Portfolio) 3.734% 8.629% not applicable
Year-to-Date Total Return (Benchmark) 2 4.455% 8.861% not applicable
Total Return Variance (in basis points) (72.1) (23.2) not applicable
Yield-to-Maturity 3 4.45% 4.72% (0.27%)
Weighted Average Maturity (in years) 3.84 4.06 (0.22)
Effective Duration (in years) 4
Total Portfolio 3.04 3.19 (0.15)
Available-for-Sale Securities 1.44 1.29 0.15
Held-to-Maturity Securities 3.96 3.94 0.02

1Primary 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 2.2% annual increase in the CPI over the remaining life of each TIPS.
4For each TIPS, an estimated 80% "yield beta" factor is applied to its real yield duration to arrive at an estimated effective duration.

National Liquidation Fund (NLF) Investment Portfolio Summary
($ in Millions)
 
03/31/08
12/31/07
Change
Book Value 5
$425
$393
($32)
Yield-to-Maturity
2.47%
4.22%
(1.75%)
Weighted Average Maturity (in days)
3
19
(16)
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
03/31/2008 3 Month 1.33%
03/31/2008 6 Month 1.49%
03/31/2008 1 Year 1.48%
03/31/2008 2 Year 1.59%
03/31/2008 3 Year 1.75%
03/31/2008 4 Year 2.19%
03/31/2008 5 Year 2.44%
03/31/2008 7 Year 2.78%
03/31/2008 10 Year 3.41%
     
12/31/2007 3 Month 3.25%
12/31/2007 6 Month 3.40%
12/31/2007 1 Year 3.29%
12/31/2007 2 Year 3.06%
12/31/2007 3 Year 3.03%
12/31/2007 4 Year 3.30%
12/31/2007 5 Year 3.44%
12/31/2007 7 Year 3.72%
12/31/2007 10 Year 4.03%
     
TIPS
03/31/2008 3 Month  
03/31/2008 6 Month  
03/31/2008 1 Year (0.74%)
03/31/2008 2 Year (0.47%)
03/31/2008 3 Year (0.07%)
03/31/2008 4 Year 0.02%
03/31/2008 5 Year 0.10%
03/31/2008 7 Year 0.61%
03/31/2008 10 Year 1.09%
     
12/31/2007 3 Month  
12/31/2007 6 Month  
12/31/2007 1 Year 0.96%
12/31/2007 2 Year 0.90%
12/31/2007 3 Year 1.05%
12/31/2007 4 Year 1.08%
12/31/2007 5 Year 1.11%
12/31/2007 7 Year 1.46%
12/31/2007 10 Year 1.71%

  Last Updated 06/04/2008 dofbusinesscenter@fdic.gov

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