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II.
Investments Results - Fourth Quarter 2012
Total DIF Portfolio Liquidity
- The total liquidity available to the DIF stood at $38.2 billion on December 31, 2012, down $4.2 billion from $42.4 billion on December 31, 2011. (Until all remaining funds from the DGP investment portfolio were transferred to the DIF investment portfolio at year-end 2012, the total liquidity available to the DIF was the sum of the DIF investment portfolio and the DGP investment portfolio.)
DIF Investment Portfolio
- December 31, 2012, the DIF investment portfolio stood at $38.2 billion (total market value), higher than its December 31, 2011, balance of $37.6 billion. Over the course of the year, receivership dividends, net transfers from the DGP investment portfolio, assessments, and other inflows were slightly greater than outflows for funding initial resolution payments, operating expenses, and other payments related to receivership activities.
- On December 31, 2012, the DIF investment portfolio’s yield was 0.36 percent, down five basis points from its December 31, 2011, yield of 0.41 percent. During 2012, newly purchased Treasury securities generally had lower yields than maturing securities, hence the decline in portfolio yield.
DIF Investment Portfolio Total Yield (percentage) |
Year-end |
Percentage |
| 2008 |
4.59% |
| 2009 |
0.49% |
| 2010 |
0.40% |
| 2011 |
0.41% |
| 2012 |
0.36% |
- In accordance with the approved fourth quarter 2012 DIF portfolio investment strategy, staff purchased a total of 11 short-maturity conventional Treasury securities on four occasions. The 11 securities had a total par value of $10.0 billion, a weighted average yield of 0.23 percent, and a weighted average maturity (WAM) of 0.92 years.
DGP Investment Portfolio
- On December 31, 2012, all remaining funds in the DGP investment portfolio were transferred to the DIF investment portfolio, coincident with the expiration of the DGP. Accordingly, the DGP investment portfolio balance dropped from $4.8 billion on December 31, 2011, to $0 at year-end 2012. Throughout 2012 DGP funds were transferred into the DIF investment portfolio. The final transfer of $1.2 billion occurred on December 31, 2012.
- In accordance with the approved fourth quarter 2012 DGP portfolio investment strategy, staff purchased two Treasury bills on separate occasions with a total par value of $650 million, a weighted average yield of 0.10 percent, and a WAM of 0.07 year.
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