II. Investments Results - Third Quarter 2016

DIF Investment Portfolio

• On September 30, 2016, the total liquidity (also total market value) of the DIF investment portfolio stood at $72.9 billion, up $9.2 billion from its December 31, 2015, balance of $63.7 billion. During the first three quarters of 2016, interest revenue, receivership dividends, and deposit insurance assessment collections exceeded resolution-related outlays and operating expenses.

• On September 30, 2016, the DIF investment portfolio’s yield was 0.95 percent, up just one basis point from its December 31, 2015, yield of 0.94 percent. Although the new Treasury securities purchased during the year-to-date period generally had notably higher yields than the maturing securities’ yields, the portfolio had a larger balance of low yielding overnight investments at the end of the third quarter, thus temporarily bringing down the overall portfolio yield.

• In accordance with the approved third quarter 2016 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 purchased during the third quarter had a total par value of $9.1 billion, a weighted average yield of 0.73 percent, and a weighted average maturity of 1.33 years.