II. Investments Results - Second Quarter 2020
DIF Investment Portfolio
- On June 30, 2020, the total liquidity (also total market value) of the DIF investment portfolio stood at $111.5 billion, up $4.5 billion from its December 31, 2019, balance of $107.0 billion. During the quarter, interest revenue, receivership dividends, and deposit insurance assessment collections far exceeded resolution-related outlays and operating expenses.
- On June 30, 2020, the DIF investment portfolio’s yield was 1.61 percent, down 37 basis points from its 1.98 percent yield on December 31, 2019. The new Treasury securities purchased during the second quarter of the year had significantly lower yields than the maturing securities’ yields.
- In accordance with the approved second quarter 2020 DIF portfolio investment strategy, staff purchased a total of nine conventional Treasury securities. The nine securities had a total par value of $13 billion, a weighted average yield of 0.236 percent, and a weighted average maturity of 1.72 years.