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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 - Second Quarter 2007

Deposit Insurance Fund Portfolio Summary
(Dollar Values in Millions)
 
  06/30/07 12/31/06 Change
Par Value $46,861 $46,483 $378
Amortized Cost $49,942 $48,858 $1,084
Market Value $49,736 $49,038 $698
Primary Reserve1 $11,974  $13,911  ($1,937)
Prime Reserve Target Floor $10,000 $10,000 $0
Prime Reserve % of Total Portfolio 23.7% 28.0% (4.3%)
Year-to-Date Total Return (Portfolio) 1.866% 4.056% NA
Year-to-Date Total Return (Benchmark)2 1.554% 3.571% NA
Total Return Variance (in basis points) 31.2 48.5 NA
Yield-to-Maturity3 4.97% 4.89% 0.08%
Weighted Average Maturity (in years) 4.39 3.57 0.82
Effective Duration (in years)4
Total Portfolio 3.39 2.82 0.57
Available-for-Sale Securities 1.52 1.80 (0.28%) 
Held-to-Maturity Securities 3.91 3.29 0.62

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 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
(Dollar Values in Millions)
  06/30/07 12/31/06 Change
Book Value 5 $168 $381 ($213)6
Yield-to-Maturity 5.39% 5.37% 0.02%
Weighted Average Maturity (in days) 15 13 2
5 Due to the short-term nature of the NLF, the portfolio's Book and Market Values are identical for reporting purposes.
6 Much of the significant decline occurred at the end of the second quarter of 2007 as a result of a large receivership dividend payment.
U. S. Treasury Security Yield Curves

U.S. Treasury Security Yield Curves
Conventional
06/30/2007 3 Month 4.81%
06/30/2007 6 Month 4.95%
06/30/2007 1 Year 5.01%
06/30/2007 2 Year 4.87%
06/30/2007 3 Year 4.89%
06/30/2007 4 Year 4.90%
06/30/2007 5 Year 4.93%
06/30/2007 7 Year 4.97%
06/30/2007 10 Year 5.03%
     
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
06/30/2007 3 Month  
06/30/2007 6 Month  
06/30/2007 1 Year 3.50%
06/30/2007 2 Year 2.82%
06/30/2007 3 Year 2.75%
06/30/2007 4 Year 2.69%
06/30/2007 5 Year 2.67%
06/30/2007 7 Year 2.63%
06/30/2007 10 Year 2.66%
     
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 09/11/2007 dofbusinesscenter@fdic.gov

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