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



Home > About FDIC > Financial Reports > Chief Financial Officer's (CFO) Report to the Board





Chief Financial Officer's (CFO) Report to the Board

Skip Left Navigation Links
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