Attached files
| file | filename |
|---|---|
| 8-K - 8-K - Federal Home Loan Bank of Pittsburgh | d306613d8k.htm |
 Member Audio/Web
Conference
February 27, 2012
Exhibit 99.1 |
 Cautionary Statement Regarding Forward-
Looking Information and Adjusted Information
2
Data set forth in these slides includes unaudited data. This document contains
“forward-looking statements”- that is, statements related to future, not
past, events. In this context, forward-looking statements often address our expected future business and
financial performance, and often contain words such as “expect,” “anticipate,”
“intend,” “plan,” “believe,” “seek,” or “will.” These
uncertainties may cause our actual future results to be materially different than those expressed in
our forward-looking statements. Forward looking statements by their nature address matters
that are, to different degrees, uncertain. Actual performance or events may differ materially
from that expected or implied in forward-looking statements because of many factors. Such factors may
include, but are not limited to, other than temporary impairment of investment securities, regulatory and accounting rule adjustments or requirements, changes in
interest rates, changes in projected business volumes, changes in prepayment speeds on mortgage
assets, the cost of our funding, changes in our membership profile, the withdrawal of one or more
large members, competitive pressures, shifts in demand for our products and consolidated
obligations, changes in the System’s debt rating or the Bank’s rating, general
economic conditions (including effects on among other things, mortgage-backed securities), applicable Bank policy
requirements for retained earnings levels and the ratio of market value of equity to par value of Bank
capital stock, the Bank's ability to maintain adequate capital levels (including meeting
applicable regulatory capital requirements), business and capital plan adjustments and
amendments, legislative and regulatory actions or approvals, interest-rate volatility, our ability to appropriately
manage our cost of funds and the cost-effectiveness of our funding, hedging and
asset-liability management activities. We undertake no obligation to revise or update
publicly any forward-looking statements for any reason. This document also contains
non-GAAP financial information. Because of the nature of (1) OTTI charges; (2) the gain on sale of
an OTTI security; and (3) gain on the sale of the Bank’s Lehman derivatives claim, the
Bank believes that adjusting net income for these items and evaluating results as adjusted
(which the Bank defines as “adjusted earnings") is important in order to understand how the Bank is performing with
respect to its primary business operations and to provide meaningful comparisons to prior
periods. Adjusted earnings are considered to be a non-GAAP measurement. Management
uses this information in its internal analysis of results and believes that this information
may be informative to investors in gauging the quality of our financial performance, identifying trends in our results and
providing meaningful period-to-period comparisons. |
 2011
2010
Over/
(Under)
Net interest income
154.4
$
233.3
$
(78.9)
$
Provision (benefit) for credit losses
10.0
(2.4)
12.4
Net OTTI credit losses
(45.1)
(158.4)
113.3
All other income
12.1
2.3
9.8
Other expenses
(1)
65.0
68.3
(3.3)
Income before assessments
46.4
11.3
35.1
AHP/REFCORP
8.4
3.0
5.4
GAAP net income
38.0
$
8.3
$
29.7
$
Net interest margin (bps)
30
39
(9)
Year Ended December 31,
Financial Highlights –
Statement of Operations
(in millions)
3
(1)
Other
expenses
reduced
by
reclassification
of
$1.9
million
gain
on
sale
of
Lehman
claim. |
 Quarterly Adjusted Earnings
4Qtr 11
3Qtr 11
2Qtr 11
1Qtr 11
4Qtr 10
GAAP net income
10.9
$
11.9
$
12.7
$
2.5
$
21.5
$
Adjustments:
Net OTTI credit losses
(7.6)
(6.2)
(10.8)
(20.5)
(13.1)
Gain on sale of an
OTTI security
7.3
Sale of Lehman claim
1.9
AHP/REFCORP
0.7
0.4
0.9
5.4
6.9
Adjusted earnings
17.8
$
15.8
$
15.3
$
17.6
$
27.7
$
(in millions)
4 |
 Financial Highlights –
Selected Balance Sheet
2011
2010
Amount
Average:
Advances (par)
25,803
$
33,596
$
(7,793)
$
(23)
%
Total investments
19,969
19,265
704
4
Total assets
51,784
59,510
(7,726)
(13)
2011
2010
Amount
Advances
30,605
$
29,708
$
897
$
3
%
PLMBS (par)
3,794
5,070
(1,276)
(25)
Retained earnings
435
397
38
10
AOCI
(162)
(223)
61
27
Percent
Over/(Under)
Over/(Under)
Year Ended December 31,
Percent
As of December 31,
(in millions)
(in millions)
5 |
 Net
OTTI Recognized •
No significant assumption changes in fourth quarter 2011 OTTI process
•
At December 31, 2011, 51 securities had an OTTI credit loss recorded with current
par of $2.1 billion. This represents 56% of the PLMBS portfolio
•
No new CUSIPs were determined to be other-than-temporarily impaired in
fourth quarter 2011
•
Actual cash losses of approximately $19.7 million life-to-date
Par Balance
Life-to-
(in millions)
12/31/11
2011
2010
2009
Date
Private label MBS
Prime
1,092
$
16
$
109
$
95
$
221
$
20.2
%
Alt-A
1,019
28
48
126
213
20.9
Subprime & HELOC
32
1
1
7
8
25.0
Total
2,143
$
45
$
158
$
228
$
442
$
20.6
%
Total Credit Losses
Full Year
Life-to-Date
% of Par
6 |
 PLMBS
- Par and Price By Vintage
7 |
 Capital and Risk-Based Requirements
Dec 31,
Dec 31,
Dec 31,
2011
2010
2009
Permanent capital
(1)
3,871
$
4,418
$
4,415
$
Risk-based capital requirement:
Credit risk capital
678
$
798
$
944
$
Market risk capital
139
448
1,231
Operations risk capital
245
374
652
Total risk-based capital requirement
1,062
$
1,620
$
2,827
$
Excess permanent capital
2,809
$
2,798
$
1,588
$
Percentage of requirement
365%
273%
156%
Capital ratio (4% minimum)
7.4%
8.3%
6.8%
Leverage ratio (5% minimum)
11.2%
12.4%
10.1%
Market value/capital stock (MV/CS)
96.9%
93.3%
74.4%
(in millions)
(1)
Permanent capital includes excess stock of $1,294, $1,897, and $1,219 at Dec 31,
2011, 2010 and 2009 respectively.
Third
quarter
2011
capital
classification
“adequately
capitalized.”
However,
our
regulator
has
maintained
concerns
regarding
our
level
of
retained
earnings
and
the
poor
quality
of
the
PLMBS
portfolio.
8 |
 •
Dividend declared for the fourth quarter 2011
°
Equal to annual yield of 0.10%
°
Based on average stock outstanding for the fourth quarter 2011
°
Payment date: February 23, 2012
•
Partial excess capital stock repurchase
°
Effective date: February 22, 2012
°
Payment date: February 23, 2012
•
No significant impact on:
°
Risk and capital adequacy measures
°
Members’
excess ownership percentage
•
Decisions for any future repurchases and/or dividend payments will be based on the
following:
°
Increased retained earnings
°
Reduced negative AOCI levels
°
Adequate excess regulatory capital
°
MV/CS > 90%
°
Positive
GAAP
earnings
which
are
sustainable
for
the
foreseeable
future
Dividend Payment & Excess Stock Repurchase
9 |
 Member Audio/Web
Conference
February 27, 2012
10 |