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

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Deposit Insurance Fund Portfolio Summary - Fourth Quarter 2010

Deposit Insurance Fund Portfolio Summary
($ in Millions)
 
12/31/10
12/31/09
Change
Par Value $39,430 $59,268 ($19,838)
Amortized Cost $39,483 $59,286 ($19,803)
Market Value $39,510 $59,428 ($19,918)
Primary Reserve1 $39,550 $59,525 ($19,975)
Primary Reserve % of Total Portfolio 100.0% 100.0% 0.0%
Year-to-Date Total Return (Portfolio) 0.196% 0.306% not applicable
Year-to-Date Total Return (Benchmark)2 5.219% (1.411%) not applicable
Total Return Variance (in basis points) (502.3) 171.7 not applicable
Yield-to-Maturity3 0.40% 0.49% (0.09%)
Weighted Average Maturity (in years) 0.16 0.08 0.08
Effective Duration (in years)4
Total Portfolio 0.15 0.06 0.09
Available-for-Sale Securities 0.46 0.66 (0.20)
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)
 
12/31/10
12/31/09
Change
Debt Guarantee Program
Par Value $6,630 $6,431 $199
Book Value $6,646 $6,431 $215
Market Value $6,646 $6,431 $215
Yield-to-Maturity 0.10% 0.02% 0.08%
Weighted Average Maturity 0.14 overnight 0.14
Transaction Account Guarantee Program
Book Value6 $0 $0 $0
Yield-to-Maturity not applicable not applicable not applicable
Weighted Average Maturity not applicable not applicable not applicable
Other Systemic Risk Reserves7
Book Value6 $0 $192 ($192)
Yield-to-Maturity not applicable 0.02% not applicable
Weighted Average Maturity not applicable overnight not applicable
FRF-FSLIC
Book Value6 $3,397 $3,330 $67
Yield-to-Maturity 0.05% 0.02% 0.03%
Weighted Average Maturity overnight overnight no change

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

7 All funds in this portfolio ($192 million) were transferred to the DIF investment portfolio on Juanuary 7, 2010, as a result of the December 23, 2009, termination agreeement of the Citigroup asset guarantee program.

National Liquidation Fund (NLF) Investment Portfolio Summary
($ in Millions)
 
12/31/10
12/31/09
Change
Book Value 8 $17,506 $7,223 $10,283
Effective Annual Yield 0.13% 0.11% 0.02%
Weighted Average Maturity (in days) 6 5 1

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



Last Updated 03/02/2011 dofbusinesscenter@fdic.gov

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