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

301 Moved Permanently

301 Moved Permanently


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Deposit Insurance Fund Portfolio Summary - Second Quarter 2011

Deposit Insurance Fund Portfolio Summary
($ in Millions)
 
06/30/11
12/31/10
Change
Par Value
$37,161 $39,430 ($2,269)
Amortized Cost $37,486 $39,483 ($1,997)
Total Market Value (including accrued interest) $37,653 $39,550 ($1,897)
Primary Reserve 1 $37,653 $39,550 ($1,897)
Primary Reserve % of Total Portfolio 100.0% 100.0% 0.0%
Year-to-Date Total Return (Portfolio) 0.263% 0.196% not applicable
Year-to-Date Total Return (Benchmark) 2 2.265% 5.219% not applicable
Total Return Variance (in basis points) (200.2) (502.3) not applicable
Yield-to-Maturity 3 0.32% 0.40% 0.08%
Weighted Average Maturity (in years) 0.49 0.16 0.33
Effective Duration (in years) 4
Total Portfolio 0.45 0.15 0.30
Available-for-Sale Securities 0.81 0.46 0.35
Held-to-Maturity Securities5 not applicable not applicable not applicable

1Primary 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 presently assumes an average 1.8 percent annual increase in the CPI over the remaining life of each TIPS.
4For each TIPS, an estimated 80 percent "yield beta" factor is applied to its real yield duration to arrive at an estimated effective duration.
5In early August 2008, management reclassified all of the DIF portfolio's HTM securities as AFS securities effective as of June 30, 2008, because the FDIC could no longer assert it had the positive intent and ability to hold its HTM securities until their maturity dates.

Summary of Other Corporate Investment Portfolios ($ in Millions)
 
06/31/11
12/31/10
Change
Debt Guarantee Program
Par Value $7,281 $6,630 $651
Book Value $7,343 $6,646 $697
Total Market Value (including accrued interest) $7,363 $6,647 $716
Yield-to-Maturity 0.21% 0.10% 0.11%
Weighted Average Maturity 0.42 0.14 0.28
FRF-FSLIC
Book Value 6 $3,397 $3,397 $-
Yield-to-Maturity 0.05% 0.05% (0.00%)
Weighted Average Maturity overnight overnight no change

6 Due to the current short-term nature of these portfolios, its respective Par, Book, and Market Values are identical for reporting purposes.

National Liquidation Fund (NLF) Investment Portfolio Summary
($ in Millions)
 
06/30/11
12/31/10
Change
Book Value 7 $15,685 $17,506 ($1,821)
Effective Annual Yield 0.09% 0.13% 0.04%
Weighted Average Maturity (in days) 12 6 6

7 Due to the short-term of NFL, the portfolio's Book and Market Values are identical for reporting purposes..



Last Updated 09/12/2011 dofbusinesscenter@fdic.gov

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