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Financial Reports

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

Deposit Insurance Fund Portfolio Summary - First Quarter 2019

Deposit Insurance Fund Portfolio Summary
($ values in Millions)

 

03/31/19

12/31/18

Change

Par Value

$101,105

$99,339

$1,766

Amortized Cost

$100,856

$99,063

$1,793

Total Market Value (including accrued interest)

$101,079

$98,954

$2,125

Primary Reserve1

$101,079

$98,954

$2,125

Primary Reserve % of Total Portfolio

100.0%

100.0%

0.0%

Yield-to-Maturity2

2.11%

2.05%

0.06%

Weighted Average Maturity (in years)

1.53

1.75

-0.22

Effective Duration (in years)
Total Portfolio

1.48

1.69

-0.21

Available-for-Sale Securities

1.61

1.79

-0.18

Held-to-Maturity Securities3

not applicable

not applicable

not applicable

Summary of Other Corporate Investment Portfolios ($ values in Millions)

 

03/31/19

12/31/18

Change

FRF-FSLIC
Book Value4

$862

$857

$5

Yield-to-Maturity

2.47%

2.42%

0.05%

Weighted Average Maturity

overnight

overnight

no change

National Liquidation Fund (NLF) Investment Portfolio Summary
($ values in Millions)

 

03/31/19

12/31/18

Change

Book Value5

$3,079

$2,988

$91

Effective Annual Yield

2.50%

2.46%

0.04%

Weighted Average Maturity (in days)

37

51

(14)

  • 1

    Primary Reserve is the total market value (including accrued interest) of overnight investments, all available-for-sale (AFS) securities, and held-to-maturity (HTM) securities maturing within three months.

  • 2

    The Yield-to-Maturity includes the potential yield of Treasury Inflation-Protected Securities (TIPS), which assumes an average 2.0% annual increase in the CPI over the remaining life of each TIPS.

  • 3

    In 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.

  • 4

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

  • 5

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

Last Updated: June 19, 2019