Attached files
| file | filename |
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| 8-K - 8-K - Federal Home Loan Bank of Pittsburgh | d343603d8k.htm |
 Member Audio/Web
Conference
May 1, 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.
|
 2012
2011
Over/
(Under)
Net interest income
42.2
$
39.2
$
3.0
$
Provision for credit losses
0.1
2.8
(2.7)
Net OTTI credit losses
(7.2)
(20.5)
13.3
All other income
6.8
3.9
2.9
Other expenses
17.5
16.4
1.1
Income before assessments
24.2
3.4
20.8
AHP/REFCORP
2.4
0.9
1.5
GAAP net income
21.8
$
2.5
$
19.3
$
Net interest margin (bps)
32
30
2
Three months ended March 31,
Financial Highlights –
Statement of Income
(in millions)
3 |
 Quarterly Adjusted Earnings
(in millions)
4
1Qtr 12
4Qtr 11
3Qtr 11
2Qtr 11
1Qtr 11
GAAP net income
21.8
$
10.9
$
11.9
$
12.7
$
2.5
$
Adjustments:
Net OTTI credit losses
(7.2)
(7.6)
(6.2)
(10.8)
(20.5)
Gain on sale of an OTTI
security
7.3
Sale of Lehman claim
1.9
AHP/REFCORP
0.7
0.7
0.4
0.9
5.4
Adjusted earnings
28.3
$
17.8
$
15.8
$
15.3
$
17.6
$ |
 Financial Highlights –
Selected Balance Sheet
(in millions)
(in millions)
5
2012
2011
Amount
Average:
Advances
30,586
$
27,611
$
2,975
$
11
%
Total investments
18,747
20,835
(2,088)
(10)
Total assets
53,682
53,212
470
1
March 31,
Dec 31,
2012
2011
Amount
Spot:
Advances
31,446
$
30,605
$
841
$
3
%
PLMBS (par)
3,570
3,794
(224)
(6)
Retained earnings
456
435
21
5
AOCI
(101)
(162)
61
38
Percent
Over/(Under)
Over/(Under)
Three months ended March 31,
Percent |
 Net
OTTI Recognized Life to date, 52 securities have had an OTTI credit loss
recorded with current par of $2.0 billion. This represents 57% of the PLMBS
portfolio One new CUSIP determined to be other-than-temporarily
impaired in first quarter 2012 Actual cash losses of approximately $25.1
million life-to-date (in millions)
6
Total Credit Losses
Par Balance
1st Qtr
Full Year
Full Year
Full Year
Life-to-
3/31/12
2012
2011
2010
2009
Date
Private label MBS
Prime
1,024
$
5
$
16
$
109
$
95
$
226
$
Alt-A
983
1
28
48
126
213
Subprime & HELOC
30
1
1
1
7
10
Total
2,037
$
7
$
45
$
158
$
228
$
449
$ |
 PLMBS
- Par and Price By Vintage
7 |
 Capital and Risk-Based Requirements
Mar 31,
Dec 31,
Dec 31,
2012
2011
2010
Permanent capital
(1)
3,748
$
3,871
$
4,418
$
Risk-based capital requirement:
Credit risk capital
679
$
678
$
798
$
Market risk capital
186
139
448
Operations risk capital
259
245
374
Total risk-based capital requirement
1,124
$
1,062
$
1,620
$
Excess permanent capital
2,624
$
2,809
$
2,798
$
Percentage of requirement
333%
365%
273%
Capital ratio (4% minimum)
7.0%
7.4%
8.3%
Leverage ratio (5% minimum)
10.6%
11.2%
12.4%
Market value/capital stock (MV/CS)
103.9%
96.9%
93.3%
(in millions)
(1)
Permanent capital includes excess stock of $1,125, $1,294, and $1,897 at March 31,
2012 and December 31, 2011 and 2010 respectively.
Fourth
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 based on first quarter 2012 results
°
Equal to annual yield of 0.10%
°
Based on average stock outstanding for the first quarter 2012
°
Payment date: April 30, 2012
•
Partial excess capital stock repurchase
°
Effective date: April 27, 2012
°
Payment date: April 30, 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
May 1, 2012 |