II. Investments Results - Third Quarter 2014

DIF Investment Portfolio

• On September 30, 2014, the total liquidity (also total market value) of the DIF investment portfolio stood at $50.2 billion, higher than its December 31, 2013, balance of $42.5 billion.  During the first three quarters of 2014, interest revenue, receivership dividends, and deposit insurance assessment collections exceeded resolution-related outlays and operating expenses.

• On September 30, 2014, the DIF investment portfolio’s yield was 0.68 percent, up 23 basis points from its December 31, 2013, yield of 0.45 percent.  Two factors primarily contributed to the increase.  During the nine-month period, newly purchased Treasury securities generally had higher yields than maturing securities.  Low yielding overnight investments comprised a smaller percentage of the portfolio at period end.

• In accordance with the approved third quarter 2014 DIF portfolio investment strategy, staff purchased a total of 18 short- to intermediate-maturity conventional Treasury securities, all designated as available-for-sale (AFS).  The 18 securities had a total par value of $7.0 billion, a weighted average yield of 0.90 percent, and a weighted average maturity (WAM) of 2.58 years.