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The FDIC’s Investment Policies

Prepared for the
Federal Deposit Insurance Corporation
Office of Inspector General

July 2005
Audit Report 05-025


Scenario Scenario Description Info Ratio
Ranking		 Info Ratio1 Full Period
Returns
B-1 SSA Par Value Specials 1 0.658 25.92%
D-4 5 yr, ML High Yield Index 2 0.563 28.57%
E-13 5 yr, ML High Yield Index -1% 3 0.560 28.39%
BIF Actual FDIC BIF Portfolio Actual2 4 0.558 24.60%
E-14 5 yr, ML High Yield Index -2% 5 0.557 28.20%
D-7A 5 yr, S&P 500 Index 6 0.556 26.20%
E-25A 5 yr, S&P 500 Index -1% 7 0.553 26.04%
E-26A 5 yr, S&P 500 Index -2% 8 0.550 25.88%
E-15 5 yr, ML High Yield Index -5% 10 0.546 27.65%
E-27A 5 yr, S&P 500 Index -5% 11 0.540 25.39%
E-16 5 yr, ML High Yield Index -10% 12 0.522 26.72%
E-28A 5 yr, S&P 500 Index -10% 13 0.518 24.59%
D-2 5 yr, ML Corp Bond Index 15 0.483 26.45%
D-3 5 yr, Lehman Aggregate Index 16 0.482 26.25%
E-5 5 yr, ML Corp Bond Index -1% 17 0.480 26.29%
E-9 5 yr, Lehman Aggregate Index -1% 18 0.479 26.08%
D-5 5 yr, Lehman TIPS Index 19 0.479 27.39%
E-6 5 yr, ML Corp Bond Index -2% 20 0.478 26.13%
E-10 5 yr, Lehman Aggregate Index -2% 21 0.477 25.92%
E-17 5 yr, Lehman TIPS Index -1% 22 0.476 27.22%
C-1 2, 30 yr Treasuries (75/25%) 23 0.474 25.20%
Leh Agg Lehman Aggregate Corp. Index3 25 0.474 29.83%
E-18 5 yr, Lehman TIPS Index -2% 26 0.473 27.04%
D-1 5 yr, Agency MBS 27 0.472 26.23%
E-1 5 yr, Agency MBS -1% 28 0.470 26.07%
E-7 5 yr, ML Corp Bond Index -5% 29 0.469 25.63%
E-11 5 yr, Lehman Aggregate Index -5% 30 0.468 25.44%
E-2 5 yr, Agency MBS -2% 31 0.467 25.91%
E-19 5 yr, Lehman TIPS Index -5% 32 0.464 26.52%
E-3 5 yr, Agency MBS -5% 34 0.459 25.43%
ML1-10 Yr Benchmark: ML 1-10 Yr Index3 35 0.452 23.36%
E-8 5 yr, ML Corp Bond Index -10% 36 0.451 24.81%
E-12 5 yr, Lehman Agg. Index -10% 37 0.450 24.63%
D-6 5 yr, STRIPS Index 38 0.449 27.00%
E-21 5 yr, STRIPS Index -1% 39 0.447 26.83%
E-20 5 yr, Lehman TIPS Index -10% 40 0.446 25.66%
E-22 5 yr, STRIPS Index -2% 41 0.445 26.66%
E-4 5 yr, Agency MBS -10% 42 0.442 24.62%
C-3 5, 30 yr Treasuries (75/25%) 43 0.437 26.91%
E-23 5 yr, STRIPS Index -5% 45 0.436 26.16%
E-24 5 yr, STRIPS Index -10% 46 0.420 25.31%
C-5 2, 30 yr Treasuries (50/50%) 47 0.419 27.08%
C-7 5, 30 yr Treasuries (50/50%) 49 0.404 27.97%
C-4 10, 30 yr Treasuries (75/25%) 50 0.390 28.72%
C-8 10, 30 yr Treasuries (50/50%) 51 0.377 29.19%
A-4 30 yr Treasuries 52 0.351 30.14%
ML Hi Yld ML High Yield Index3 53 0.291 42.03%
S&P 500 S&P 500 Index3 54 (0.048) -14.40%

Notes:
  1. The information ratio is a risk-adjusted measure of returns and is equal to the average monthly return divided by the standard deviation of monthly returns.
  2. Performance data obtained from the FDIC via PORTIA reports.
  3. These data are the returns solely of this index over the Investment Period. The December 31, 2000 holdings in the BIF are not included.
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Last updated 9/21/2005