Attached files
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| 8-K - 8-K - Federal Home Loan Bank of Pittsburgh | d389328d8k.htm |
 Member Audio/Web
Conference
August 2, 2012
Exhibit 99.1 |
 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.
Cautionary Statement Regarding Forward-
Looking Information and Adjusted Information
2 |
 2012
2011
Over/
(Under)
Net interest income
92.1
$
75.2
$
16.9
$
Provision for credit losses
0.1
3.9
(3.8)
Net OTTI credit losses
(10.8)
(31.3)
20.5
All other income
3.7
12.6
(8.9)
Other expenses
34.9
32.0
2.9
Income before assessments
50.0
20.6
29.4
AHP/REFCORP
5.0
5.4
(0.4)
GAAP net income
45.0
$
15.2
$
29.8
$
Net interest margin (bps)
34
29
5
Six months ended June 30,
Financial Highlights –
Statement of Income
(in millions)
3 |
 Quarterly Adjusted Earnings
2Qtr 12
1Qtr 12
4Qtr 11
3Qtr 11
2Qtr 11
GAAP net income
23.2
$
21.8
$
10.9
$
11.9
$
12.7
$
Adjustments:
Net OTTI credit losses
(3.6)
(7.2)
(7.6)
(6.2)
(10.8)
Gain on sale of an OTTI
7.3
Sale of Lehman claim
1.9
AHP/REFCORP
0.4
0.7
0.7
0.4
0.9
Adjusted earnings
26.4
$
28.3
$
17.8
$
15.8
$
15.3
$
Prepayment fees on
advances, net
7.4
$
4.7
$
5.0
$
1.4
$
-
$
(in millions)
4 |
 Financial Highlights –
Selected Balance Sheet
2012
2011
Amount
Average:
Total assets
55,212
$
53,399
$
1,813
$
3
%
Advances
31,761
27,246
4,515
17
Total investments
19,120
21,392
(2,272)
(11)
June 30,
Dec 31,
2012
2011
Amount
Spot:
Advances
33,617
$
30,605
$
3,012
$
10
%
PLMBS (par)
3,336
3,794
(458)
(12)
Retained earnings
479
435
44
10
AOCI
(79)
(162)
83
51
Percent
Over/(Under)
Over/(Under)
Six months ended June 30,
Percent
(in millions)
(in millions)
5 |
 Net
OTTI Recognized Life to date, 52 securities have had an OTTI credit loss
recorded with current par of $1.9 billion. This represents 57% of the PLMBS
portfolio In the second quarter of 2012, seven securities had an OTTI credit
loss No new CUSIPs determined to be other-than-temporarily impaired
in second quarter 2012 Actual cash losses of approximately $32.9 million
life-to-date Total Credit Losses
Par Balance
2nd Qtr
1st Qtr
Full Year
Full Year
Life-to-
6/30/12
2012
2012
2011
2010
Date
Private label MBS
Prime
944
$
3
$
5
$
16
$
109
$
229
$
Alt-A
941
1
1
28
48
214
Subprime & HELOC
28
-
1
1
1
10
Total
1,913
$
4
$
7
$
45
$
158
$
453
$
(in millions)
6 |
 PLMBS
- Par and Price By Vintage
7
0
10
20
30
40
50
60
70
80
90
100
-
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
12/31/08
12/31/09
12/31/10
12/31/11
06/30/12
Price
2007
2006
2005
2004 & Earlier
Total Portfolio
2007
2006
2005
2004 & Earlier
Millions
Lines represent
prices
Bars represent
proportion of
unpaid
principal balance |
 Capital and Risk-Based Requirements
June 30,
Mar 31,
Dec 31,
2012
2012
2011
Permanent capital
(1)
3,796
$
3,748
$
3,871
$
Risk-based capital requirement:
Credit risk capital
648
$
679
$
678
$
Market risk capital
105
186
139
Operations risk capital
225
259
245
Total risk-based capital requirement
978
$
1,124
$
1,062
$
Excess permanent capital
2,818
$
2,624
$
2,809
$
Percentage of requirement
388%
333%
365%
Capital ratio (4% minimum)
6.8%
7.0%
7.4%
Leverage ratio (5% minimum)
10.2%
10.6%
11.2%
Market value/capital stock (MV/CS)
105.7%
103.9%
96.9%
(in millions)
(1)
Permanent capital includes excess capital stock of $1,037 $1,125, and $1,294
at June 30, 2012, March 31, 2012 and December 31, 2011 respectively.
First
quarter
2012
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 based on second quarter 2012 results
°
Equal to annual yield of 0.10%
°
Based on average stock outstanding for the second quarter 2012
°
Payment date: July 31, 2012
•
Partial excess capital stock repurchase
°
Excess capital stock repurchased –
approximately $200 million
°
Effective date: July 30, 2012
°
Payment date: July 31, 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
August 2, 2012 |