II. Investments Results - Third Quarter 2015

DIF Investment Portfolio

• On September 30, 2015, the total liquidity (also total market value) of the DIF investment portfolio stood at $61.5 billion, up $9.2 billion from its December 31, 2014, balance of $52.3 billion.  During the first three quarters of the year, interest revenue, receivership dividends, and deposit insurance assessment collections exceeded resolution-related outlays and operating expenses.

• On September 30, 2015, the DIF investment portfolio’s yield was 0.83 percent, up 13 basis points from its December 31, 2014, yield of 0.70 percent.  The increase largely reflected the new Treasury securities purchased during the first three quarters of the year generally having considerably higher yields than the maturing securities’ yields.

• In accordance with the approved third quarter 2015 DIF portfolio investment strategy, staff purchased a total of 13 short- to intermediate-maturity conventional Treasury securities, all designated as available-for-sale.  The 13 securities had a total par value of $8.6 billion, a weighted average yield of 0.85 percent, and a weighted average maturity of 2.04 years.