Member Audio/Web

Conference

August 1, 2019

Exhibit 99.1

Winthrop Watson

President & CEO

2

Ted Weller

Chief Accounting Officer

3

Statements

contained

in

this

document,

including

statements

describing

the

objectives,

projections,

estimates,

or

predictions

of

the

future

of

the

Federal

Home

Loan

Bank

of

Pittsburgh

(the

Bank),

may

be

“forward-looking

statements.”

These

statements

may

use

forward-looking

terms,

such

as

“anticipates,”

“believes,”

“could,”

“estimates,”

“may,”

“should,”

“will,”

or

their

negatives

or

other

variations

on

these

terms.

The

Bank

cautions

that,

by

their

nature,

forward-looking

statements

involve

risk

or

uncertainty

and

that

actual

results

could

differ

materially

from

those

expressed

or

implied

in

these

forward-looking

statements

or

could

affect

the

extent

to

which

a

particular

objective,

projection,

estimate,

or

prediction

is

realized.

These

forward-looking

statements

involve

risks

and

uncertainties

including,

but

not

limited

to,

the

following:

economic

and

market

conditions,

including,

but

not

limited

to

real

estate,

credit

and

mortgage

markets;

volatility

of

market

prices,

rates,

and

indices

related

to

financial

instruments,

including,

but

not

limited

to,

the

possible

discontinuance

of

the

London

Interbank

Offered

Rate

(LIBOR)

and

the

related

effect

on

the

Bank’s

LIBOR-based

financial

products,

investments

and

contracts;

political,

legislative,

regulatory,

litigation,

or

judicial

events

or

actions;

changes

in

assumptions

used

in

the

other-than-temporary

impairment

(OTTI)

process;

risks

related

to

mortgage-backed

securities

(MBS);

changes

in

the

assumptions

used

in

the

allowance

for

credit

losses;

changes

in

the

Bank’s

capital

structure;

changes

in

the

Bank’s

capital

requirements;

membership

changes;

changes

in

the

demand

by

Bank

members

for

Bank

advances;

an

increase

in

advances’

prepayments;

competitive

forces,

including

the

availability

of

other

sources

of

funding

for

Bank

members;

changes

in

investor

demand

for

consolidated

obligations

and/or

the

terms

of

interest

rate

exchange

agreements

and

similar

agreements;

changes

in

the

Federal

Home

Loan

Bank

(FHLBank)

System’s

debt

rating

or

the

Bank’s

rating;

the

ability

of

the

Bank

to

introduce

new

products

and

services

to

meet

market

demand

and

to

manage

successfully

the

risks

associated

with

new

products

and

services;

the

ability

of

each

of

the

other

FHLBanks

to

repay

the

principal

and

interest

on

consolidated

obligations

for

which

it

is

the

primary

obligor

and

with

respect

to

which

the

Bank

has

joint

and

several

liability;

applicable

Bank

policy

requirements

for

retained

earnings

and

the

ratio

of

the

market

value

of

equity

to

par

value

of

capital

stock;

the

Bank’s

ability

to

maintain

adequate

capital

levels

(including

meeting

applicable

regulatory

capital

requirements);

business

and

capital

plan

adjustments

and

amendments;

technology

and

cyber-security

risks;

and

timing

and

volume

of

market

activity.

Cautionary Statement Regarding Forward-

Looking Information

4

Over/

2019

2018

(Under)

Net interest income

240.5

$ 

226.7

$ 

13.8

$   

Provision for credit losses

1.4

2.8

(1.4)

Other noninterest income (loss)

(7.3)

9.3

(16.6)

Other expense

47.2

43.7

3.5

Income before assessment

184.6

189.5

(4.9)

Affordable Housing Program (AHP) assessment

18.9

19.0

(0.1)

Net income

165.7

$ 

170.5

$ 

(4.8)

$    

Net interest margin (bps)

48

48

-

Six months ended June 30,

Financial Highlights –

Statement of Income

(in millions)

5

Financial Highlights –

Selected Balance Sheet

2019

2018

Amount

Average:

Total assets

102,209

$  

96,162

$ 

6,047

$   

6

%

Advances

74,455

72,119

2,336

3

Total investments

22,141

19,230

2,911

15

June 30,

Dec 31,

2019

2018

Amount

Spot:

Advances

81,827

$    

82,476

$ 

(649)

$     

(1)

%

Capital stock

3,643

4,027

(384)

(10)

Retained earnings

1,299

1,276

23

2

Percent

Over/(Under)

Over/(Under)

Percent

Six months ended June 30,

(in millions)

(in millions)

6

(in millions)

June 30,

Dec 31,

2019

2018

Permanent capital

5,286

$ 

5,327

$ 

Excess permanent capital

over RBC requirement

4,278

$ 

4,089

$ 

Regulatory capital ratio (4% minimum)

4.7%

5.0%

Leverage ratio (5% minimum)

7.0%

7.4%

Market value/capital stock (MV/CS)

135.8%

134.0%

Capital Requirements

7

Winthrop Watson

President & CEO

8

Member Audio/Web

Conference

August 1, 2019