Federally Chartered Corporation | 25-6001324 | |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) | |
601 Grant Street Pittsburgh, PA 15219 (Address of principal executive offices) | 15219 (Zip Code) |
o Large accelerated filer | o Accelerated filer | |
x Non-accelerated filer | o Smaller reporting company |
Part I - FINANCIAL INFORMATION | |
Item 1: Financial Statements (unaudited) | |
Notes to Financial Statements (unaudited) | |
Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations | |
Risk Management | |
Item 3: Quantitative and Qualitative Disclosures about Market Risk | |
Item 4: Controls and Procedures | |
Part II - OTHER INFORMATION | |
Item 1: Legal Proceedings | |
Item 1A: Risk Factors | |
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds | |
Item 3: Defaults upon Senior Securities | |
Item 4: Mine Safety Disclosures | |
Item 5: Other Information | |
Item 6: Exhibits | |
Signature |
Three months ended | |||||||||||||||||||
March 31, | December 31, | September 30, | June 30, | March 31, | |||||||||||||||
(in millions, except per share data) | 2015 | 2014 | 2014 | 2014 | 2014 | ||||||||||||||
Net interest income | $ | 75.5 | $ | 82.7 | $ | 72.3 | $ | 65.8 | $ | 62.3 | |||||||||
Provision (benefit) for credit losses | (0.5) | (0.2) | (0.4) | 0.4 | (3.9) | ||||||||||||||
Other noninterest income: | |||||||||||||||||||
Net gains (losses) on trading securities | 6.8 | 5.9 | (0.1 | ) | 6.8 | 9.8 | |||||||||||||
Net gains (losses) on derivatives and hedging activities | (7.6) | (19.0) | 0.2 | (9.5) | (9.2) | ||||||||||||||
Gains on litigation settlements, net | 15.3 | 20.2 | 14.1 | — | 36.6 | ||||||||||||||
Other, net | 6.5 | 5.2 | 5.0 | 5.1 | 4.5 | ||||||||||||||
Total other noninterest income | 21.0 | 12.3 | 19.2 | 2.4 | 41.7 | ||||||||||||||
Other expense | 18.0 | 23.8 | 17.5 | 18.2 | 19.1 | ||||||||||||||
Income before assessments | 79.0 | 71.4 | 74.4 | 49.6 | 88.8 | ||||||||||||||
Affordable Housing Program (AHP) assessment(1) | 7.9 | 7.1 | 7.4 | 5.0 | 8.9 | ||||||||||||||
Net income | $ | 71.1 | $ | 64.3 | $ | 67.0 | $ | 44.6 | $ | 79.9 | |||||||||
Earnings per share (2) | $ | 2.42 | $ | 2.32 | $ | 2.22 | $ | 1.59 | $ | 2.75 |
Dividends | $ | 99.7 | $ | 30.4 | $ | 28.0 | $ | 28.7 | $ | 16.8 | ||||||||||
Dividend payout ratio (3) | 140.27 | % | 47.45 | % | 41.78 | % | 64.30 | % | 21.02 | % | ||||||||||
Return on average equity | 7.38 | % | 6.88 | % | 6.79 | % | 4.90 | % | 8.76 | % | ||||||||||
Return on average assets | 0.34 | % | 0.33 | % | 0.36 | % | 0.26 | % | 0.48 | % | ||||||||||
Net interest margin (4) | 0.37 | % | 0.44 | % | 0.39 | % | 0.39 | % | 0.37 | % | ||||||||||
Regulatory capital ratio (5) | 4.43 | % | 4.53 | % | 5.08 | % | 5.21 | % | 5.32 | % | ||||||||||
GAAP capital ratio (6) | 4.60 | % | 4.67 | % | 5.22 | % | 5.37 | % | 5.42 | % | ||||||||||
Total average equity to average assets | 4.67 | % | 4.86 | % | 5.32 | % | 5.30 | % | 5.43 | % |
March 31, | December 31, | September 30, | June 30, | March 31, | ||||||||||||||||
(in millions) | 2015 | 2014 | 2014 | 2014 | 2014 | |||||||||||||||
Cash and due from banks | $ | 5,124.2 | $ | 2,451.1 | $ | 5,508.4 | $ | 1,267.9 | $ | 1,141.3 | ||||||||||
Investments (1) | 16,729.6 | 16,528.4 | 14,536.9 | 14,400.4 | 13,978.5 | |||||||||||||||
Advances | 62,346.0 | 63,408.4 | 53,054.3 | 54,624.4 | 46,063.9 | |||||||||||||||
Mortgage loans held for portfolio, net (2) | 3,074.3 | 3,123.3 | 3,116.3 | 3,140.6 | 3,174.3 | |||||||||||||||
Total assets | 87,463.1 | 85,677.1 | 76,399.7 | 73,628.8 | 64,555.7 | |||||||||||||||
Consolidated obligations, net: | ||||||||||||||||||||
Discount notes | 37,077.8 | 37,058.1 | 31,536.6 | 31,218.5 | 21,942.2 | |||||||||||||||
Bonds | 45,241.4 | 43,714.5 | 39,889.1 | 37,500.6 | 37,901.4 | |||||||||||||||
Total consolidated obligations, net (3) | 82,319.2 | 80,772.6 | 71,425.7 | 68,719.1 | 59,843.6 | |||||||||||||||
Deposits | 750.9 | 641.2 | 665.9 | 700.0 | 780.4 | |||||||||||||||
Mandatorily redeemable capital stock | 0.6 | 0.6 | 0.8 | 2.9 | 1.9 | |||||||||||||||
AHP payable | 62.0 | 56.0 | 52.0 | 46.7 | 43.9 | |||||||||||||||
Total liabilities | 83,441.4 | 81,674.1 | 72,408.5 | 69,674.3 | 61,055.2 | |||||||||||||||
Capital stock - putable | 3,063.7 | 3,041.0 | 3,079.3 | 3,071.1 | 2,681.4 | |||||||||||||||
Unrestricted retained earnings | 683.4 | 726.3 | 705.4 | 679.8 | 672.7 | |||||||||||||||
Restricted retained earnings | 125.5 | 111.2 | 98.4 | 85.0 | 76.1 | |||||||||||||||
AOCI | 149.1 | 124.5 | 108.1 | 118.6 | 70.3 | |||||||||||||||
Total capital | 4,021.7 | 4,003.0 | 3,991.2 | 3,954.5 | 3,500.5 |
Three months ended March 31, | ||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||
(dollars in millions) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | ||||||||||||||||
Assets: | ||||||||||||||||||||||
Federal funds sold and securities purchased under agreements to resell (1) | $ | 7,088.1 | $ | 1.6 | 0.09 | $ | 5,664.9 | $ | 0.6 | 0.05 | ||||||||||||
Interest-bearing deposits (2) | 323.6 | 0.1 | 0.10 | 504.6 | 0.1 | 0.07 | ||||||||||||||||
Investment securities (3) | 11,651.7 | 55.9 | 1.95 | 10,769.0 | 54.7 | 2.06 | ||||||||||||||||
Advances (4) | 59,884.1 | 74.8 | 0.51 | 47,319.7 | 63.1 | 0.54 | ||||||||||||||||
Mortgage loans held for portfolio (5) | 3,100.7 | 30.7 | 4.02 | 3,206.5 | 33.4 | 4.22 | ||||||||||||||||
Total interest-earning assets | 82,048.2 | 163.1 | 0.81 | 67,464.7 | 151.9 | 0.91 | ||||||||||||||||
Allowance for credit losses | (8.9 | ) | (13.4 | ) | ||||||||||||||||||
Other assets (6) | 1,750.9 | 633.8 | ||||||||||||||||||||
Total assets | $ | 83,790.2 | $ | 68,085.1 | ||||||||||||||||||
Liabilities and capital: | ||||||||||||||||||||||
Deposits (2) | $ | 704.6 | $ | 0.1 | 0.03 | $ | 729.7 | $ | 0.1 | 0.03 | ||||||||||||
Consolidated obligation discount notes | 34,062.6 | 9.1 | 0.11 | 25,534.7 | 6.0 | 0.10 | ||||||||||||||||
Consolidated obligation bonds (7) | 44,344.4 | 78.4 | 0.72 | 37,207.3 | 83.5 | 0.91 | ||||||||||||||||
Other borrowings | 2.2 | — | 1.00 | 6.1 | — | 1.08 | ||||||||||||||||
Total interest-bearing liabilities | 79,113.8 | 87.6 | 0.45 | 63,477.8 | 89.6 | 0.57 | ||||||||||||||||
Other liabilities | 766.0 | 907.2 | ||||||||||||||||||||
Total capital | 3,910.4 | 3,700.1 | ||||||||||||||||||||
Total liabilities and capital | $ | 83,790.2 | $ | 68,085.1 | ||||||||||||||||||
Net interest spread | 0.36 | 0.34 | ||||||||||||||||||||
Impact of noninterest-bearing funds | 0.01 | 0.03 | ||||||||||||||||||||
Net interest income/net interest margin | $ | 75.5 | 0.37 | $ | 62.3 | 0.37 |
Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume | ||||||||||||
2015 compared to 2014 | ||||||||||||
Three months ended March 31 | ||||||||||||
(in millions) | Volume | Rate | Total | |||||||||
Federal funds sold | $ | 0.3 | $ | 0.7 | $ | 1.0 | ||||||
Investment securities | 4.3 | (3.1 | ) | 1.2 | ||||||||
Advances | 15.9 | (4.2 | ) | 11.7 | ||||||||
Mortgage loans held for portfolio | (1.2 | ) | (1.5 | ) | (2.7 | ) | ||||||
Total interest-earning assets | $ | 19.3 | $ | (8.1 | ) | $ | 11.2 | |||||
Consolidated obligation discount notes | 2.2 | 0.9 | 3.1 | |||||||||
Consolidated obligation bonds | 14.4 | (19.5 | ) | (5.1 | ) | |||||||
Total interest-bearing liabilities | $ | 16.6 | $ | (18.6 | ) | $ | (2.0 | ) | ||||
Total increase in net interest income | $ | 2.7 | $ | 10.5 | $ | 13.2 |
(in millions) | Three months ended March 31, | |||||||
Product | 2015 | 2014 | ||||||
Repo/Mid-Term Repo | $ | 21,540.9 | $ | 16,506.3 | ||||
Core (Term) | 36,155.0 | 28,127.3 | ||||||
Convertible Select | 1,893.0 | 2,150.0 | ||||||
Total par value | $ | 59,588.9 | $ | 46,783.6 |
Three Months Ended March 31, 2015 (dollars in millions) | Average Balance | Interest Inc./ Exp. with Derivatives | Avg. Yield/ Rate (%) | Interest Inc./ Exp. without Derivatives | Avg. Yield/ Rate (%) | Impact of Derivatives(1) | Incr./ (Decr.) (%) | ||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Advances | $ | 59,884.1 | $ | 74.8 | 0.51 | $ | 123.3 | 0.83 | $ | (48.5 | ) | (0.32 | ) | ||||||||||||
Mortgage loans held for portfolio | 3,100.7 | 30.7 | 4.02 | 31.6 | 4.14 | (0.9 | ) | (0.12 | ) | ||||||||||||||||
All other interest-earning assets | 19,063.4 | 57.6 | 1.22 | 61.0 | 1.30 | (3.4 | ) | (0.08 | ) | ||||||||||||||||
Total interest-earning assets | $ | 82,048.2 | $ | 163.1 | 0.81 | $ | 215.9 | 1.07 | $ | (52.8 | ) | (0.26 | ) | ||||||||||||
Liabilities: | |||||||||||||||||||||||||
Consolidated obligation bonds | $ | 44,344.4 | $ | 78.4 | 0.72 | $ | 144.4 | 1.32 | $ | (66.0 | ) | (0.60 | ) | ||||||||||||
All other interest-bearing liabilities | 34,769.4 | 9.2 | 0.11 | 9.2 | 0.11 | — | — | ||||||||||||||||||
Total interest-bearing liabilities | $ | 79,113.8 | $ | 87.6 | 0.45 | $ | 153.6 | 0.79 | $ | (66.0 | ) | (0.34 | ) | ||||||||||||
Net interest income/net interest spread | $ | 75.5 | 0.36 | $ | 62.3 | 0.28 | $ | 13.2 | 0.08 |
Three Months Ended March 31, 2014 (dollars in millions) | Average Balance | Interest Inc./ Exp. with Derivatives | Avg. Yield/ Rate (%) | Interest Inc./ Exp. without Derivatives | Avg. Yield/ Rate (%) | Impact of Derivatives(1) | Incr./ (Decr.) (%) | |||||||||||||||||
Assets: | ||||||||||||||||||||||||
Advances | $ | 47,319.7 | $ | 63.1 | 0.54 | $ | 127.1 | 1.09 | $ | (64.0 | ) | (0.55 | ) | |||||||||||
Mortgage loans held for portfolio | 3,206.5 | 33.4 | 4.22 | 34.1 | 4.30 | (0.7 | ) | (0.08 | ) | |||||||||||||||
All other interest-earning assets | 16,938.5 | 55.4 | 1.33 | 58.0 | 1.39 | (2.6 | ) | (0.06 | ) | |||||||||||||||
Total interest-earning assets | $ | 67,464.7 | $ | 151.9 | 0.91 | $ | 219.2 | 1.32 | $ | (67.3 | ) | (0.41 | ) | |||||||||||
Liabilities: | ||||||||||||||||||||||||
Consolidated obligation bonds | $ | 37,207.3 | $ | 83.5 | 0.91 | $ | 145.7 | 1.59 | $ | (62.2 | ) | (0.68 | ) | |||||||||||
All other interest-bearing liabilities | 26,270.5 | 6.1 | 0.09 | 6.1 | 0.09 | — | — | |||||||||||||||||
Total interest-bearing liabilities | $ | 63,477.8 | $ | 89.6 | 0.57 | $ | 151.8 | 0.97 | $ | (62.2 | ) | (0.40 | ) | |||||||||||
Net interest income/net interest spread | $ | 62.3 | 0.34 | $ | 67.4 | 0.35 | $ | (5.1 | ) | (0.01 | ) |
Three months ended March 31, | |||||||
(in millions) | 2015 | 2014 | |||||
Net gains on trading securities | $ | 6.8 | $ | 9.8 | |||
Net (losses) on derivatives and hedging activities | (7.6 | ) | (9.2 | ) | |||
Gains on litigation settlements, net | 15.3 | 36.6 | |||||
Standby letters of credit fees | 5.9 | 4.0 | |||||
Other, net | 0.6 | 0.5 | |||||
Total other noninterest income | $ | 21.0 | $ | 41.7 |
Three months ended March 31, 2015 | ||||||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Discount Notes | Total | ||||||||||||
Net interest income: | ||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (1.5 | ) | $ | — | $ | (0.9 | ) | $ | 4.4 | $ | — | $ | 2.0 | ||||
Net interest settlements included in net interest income (2) | (47.0 | ) | (3.4 | ) | — | 61.6 | — | 11.2 | ||||||||||
Total effect on net interest income | $ | (48.5 | ) | $ | (3.4 | ) | $ | (0.9 | ) | $ | 66.0 | $ | — | $ | 13.2 | |||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||
Gains (losses) on fair value hedges | $ | 0.2 | $ | (0.3 | ) | $ | — | $ | 0.7 | $ | — | $ | 0.6 | |||||
Gains (losses) on derivatives not receiving hedge accounting | (4.6 | ) | (24.2 | ) | (3.2 | ) | 23.7 | 0.1 | (8.2 | ) | ||||||||
Total net gains (losses) on derivatives and hedging activities | $ | (4.4 | ) | $ | (24.5 | ) | $ | (3.2 | ) | $ | 24.4 | $ | 0.1 | $ | (7.6 | ) | ||
Total net effect of derivatives and hedging activities | $ | (52.9 | ) | $ | (27.9 | ) | $ | (4.1 | ) | $ | 90.4 | $ | 0.1 | $ | 5.6 |
Three months ended March 31, 2014 | ||||||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Discount Notes | Total | ||||||||||||
Net interest income: | ||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (3.6 | ) | $ | — | $ | (0.7 | ) | $ | 7.7 | $ | — | $ | 3.4 | ||||
Net interest settlements included in net interest income (2) | (60.4 | ) | (2.6 | ) | — | 54.5 | — | (8.5 | ) | |||||||||
Total effect on net interest income | $ | (64.0 | ) | $ | (2.6 | ) | $ | (0.7 | ) | $ | 62.2 | $ | — | $ | (5.1 | ) | ||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||
Gains (losses) on fair value hedges | $ | 0.8 | $ | (0.4 | ) | $ | — | $ | 0.1 | $ | — | $ | 0.5 | |||||
Gains (losses) on derivatives not receiving hedge accounting | (1.9 | ) | (22.8 | ) | (4.4 | ) | 19.1 | 0.3 | (9.7 | ) | ||||||||
Total net gains (losses) on derivatives and hedging activities | $ | (1.1 | ) | $ | (23.2 | ) | $ | (4.4 | ) | $ | 19.2 | $ | 0.3 | $ | (9.2 | ) | ||
Total net effect of derivatives and hedging activities | $ | (65.1 | ) | $ | (25.8 | ) | $ | (5.1 | ) | $ | 81.4 | $ | 0.3 | $ | (14.3 | ) |
March 31, | December 31, | |||||
in millions | 2015 | 2014 | ||||
Adjustable/variable-rate indexed: | ||||||
Repo/Mid-Term Repo | $ | 7,975.3 | $ | 7,975.3 | ||
Core (Term) | 22,492.2 | 21,242.2 | ||||
Total adjustable/variable-rate indexed | $ | 30,467.5 | $ | 29,217.5 | ||
Fixed rate: | ||||||
Repo/Mid-Term Repo | $ | 22,254.3 | $ | 25,011.7 | ||
Core (Term) | 7,191.8 | 6,723.8 | ||||
Total fixed rate | $ | 29,446.1 | $ | 31,735.5 | ||
Convertible | $ | 1,893.0 | $ | 1,923.0 | ||
Amortizing/mortgage-matched: | ||||||
Core (Term) | $ | 247.2 | $ | 250.0 | ||
Total par balance | $ | 62,053.8 | $ | 63,126.0 |
March 31, | December 31, | ||||
Member Asset Size | 2015 | 2014 | |||
Less than $100 million | 19 | 25 | |||
Between $100 million and $500 million | 101 | 130 | |||
Between $500 million and $1 billion | 36 | 45 | |||
Between $1 billion and $5 billion | 29 | 33 | |||
Greater than $5 billion | 18 | 19 | |||
Total borrowing members during the period | 203 | 252 | |||
Total membership | 302 | 304 | |||
Percentage of members borrowing during the period | 67.2 | % | 82.9 | % | |
Total borrowing members with outstanding loan balances at period-end | 180 | 189 | |||
Percentage of members borrowing at period-end | 59.6 | % | 62.2 | % |
(in thousands) | March 31, 2015 | December 31, 2014 | Increase/(Decrease) | |||||
Member Classification | ||||||||
Large | $ | 46,590.1 | $ | 47,825.2 | (2.6 | )% | ||
Regional | 8,057.4 | 8,041.9 | 0.2 | |||||
Mid-size | 2,320.9 | 2,657.6 | (12.7 | ) | ||||
CFI (1) | 3,748.0 | 3,963.9 | (5.4 | ) | ||||
Insurance | 1,333.4 | 633.4 | 110.5 | |||||
Non-member | 4.0 | 4.0 | — | |||||
Total | $ | 62,053.8 | $ | 63,126.0 | (1.7 | )% |
March 31, | December 31, | |||||||
(in millions) | 2015 | 2014 | ||||||
Advances(1) | $ | 62,346.0 | $ | 63,408.4 | ||||
Mortgage loans held for portfolio, net(2) | 3,074.3 | 3,123.3 | ||||||
Nonaccrual mortgage loans(3) | 42.4 | 44.6 | ||||||
Mortgage loans 90 days or more delinquent and still accruing interest(4) | 6.0 | 6.8 | ||||||
BOB loans, net | 11.3 | 11.6 |
MPF CE structure March 31, 2015 | ACL March 31, 2015 | ||||||||||||||
(in millions) | FLA | Available CE | Estimate of Credit loss | Reduction to the ACL due to CE | ACL | ||||||||||
Original MPF | $ | 3.3 | $ | 163.2 | $ | 4.8 | $ | (4.4 | ) | $ | 0.4 | ||||
MPF Plus | 19.6 | 35.0 | 14.9 | (8.7 | ) | 6.2 | |||||||||
Total | $ | 22.9 | $ | 198.2 | $ | 19.7 | $ | (13.1 | ) | $ | 6.6 |
MPF CE structure December 31, 2014 | ACL December 31, 2014 | ||||||||||||||
(in millions) | FLA | Available CE | Estimate of Credit loss | Reduction to the ACL due to CE | ACL | ||||||||||
Original MPF | $ | 3.2 | $ | 157.2 | $ | 3.5 | $ | (2.9 | ) | $ | 0.6 | ||||
MPF Plus | 20.0 | 35.8 | 15.7 | (9.0 | ) | 6.7 | |||||||||
Total | $ | 23.2 | $ | 193.0 | $ | 19.2 | $ | (11.9 | ) | $ | 7.3 |
Carrying Value | ||||||||
(in millions) | March 31, 2015 | December 31, 2014 | ||||||
Trading securities: | ||||||||
Mutual funds | $ | 5.1 | $ | 4.7 | ||||
Government-sponsored enterprises (GSE) and Tennessee Valley Authority (TVA) obligations | 290.7 | 276.3 | ||||||
Total trading securities | $ | 295.8 | $ | 281.0 | ||||
Yield on trading securities | 2.85 | % | 2.86 | % | ||||
AFS securities: | ||||||||
Mutual funds | $ | 2.0 | $ | 2.0 | ||||
GSE and TVA obligations | 3,388.6 | 3,233.7 | ||||||
State or local agency obligations | 127.0 | 99.0 | ||||||
MBS: | ||||||||
Other U.S. obligations single family MBS | 316.1 | 329.4 | ||||||
GSE single-family MBS | 2,753.2 | 2,882.1 | ||||||
GSE multifamily MBS | 886.4 | 879.8 | ||||||
Private label residential MBS | 946.9 | 971.1 | ||||||
Private label home equity line of credit (HELOCs) | 11.2 | 11.7 | ||||||
Total AFS securities | $ | 8,431.4 | $ | 8,408.8 | ||||
Yield on AFS securities | 1.84 | % | 1.73 | % | ||||
HTM securities: | ||||||||
GSE securities | $ | 12.2 | $ | 13.0 | ||||
State or local agency obligations | 183.4 | 184.4 | ||||||
MBS: | ||||||||
Other U.S. obligations single family MBS | 1,052.7 | 1,122.5 | ||||||
GSE single-family MBS | 385.3 | 417.2 | ||||||
GSE multifamily MBS | 796.0 | 818.1 | ||||||
Private label residential MBS | 649.7 | 691.6 | ||||||
Total HTM securities | $ | 3,079.3 | $ | 3,246.8 | ||||
Yield on HTM securities | 2.05 | % | 2.04 | % | ||||
Total investment securities | $ | 11,806.5 | $ | 11,936.6 | ||||
Yield on total investment securities | 1.92 | % | 1.84 | % |
(in millions) | Total Book Value | Total Fair Value | ||||||
Freddie Mac | $ | 4,758.0 | $ | 4,792.7 | ||||
Fannie Mae | 2,379.5 | 2,398.8 | ||||||
Federal Farm Credit Banks | 1,293.6 | 1,293.6 | ||||||
Ginnie Mae | 1,109.1 | 1,115.1 | ||||||
Total | $ | 9,540.2 | $ | 9,600.2 |
March 31, | December 31, | |||||||
(in millions) | 2015 | 2014 | ||||||
Permanent capital: | ||||||||
Capital stock (1) | $ | 3,064.3 | $ | 3,041.6 | ||||
Retained earnings | 808.9 | 837.5 | ||||||
Total permanent capital | $ | 3,873.2 | $ | 3,879.1 | ||||
RBC requirement: | ||||||||
Credit risk capital | $ | 541.8 | $ | 544.8 | ||||
Market risk capital | 93.2 | 107.0 | ||||||
Operations risk capital | 190.5 | 195.6 | ||||||
Total RBC requirement | $ | 825.5 | $ | 847.4 | ||||
Excess permanent capital over RBC requirement | $ | 3,047.7 | $ | 3,031.7 | ||||
Note: | ||||||||
(1) Capital stock includes mandatorily redeemable capital stock. |
March 31, | December 31, | |||||||
(dollars in millions) | 2015 | 2014 | ||||||
Regulatory Capital Ratio | ||||||||
Minimum regulatory capital (4.0% of total assets) | $ | 3,498.5 | $ | 3,427.1 | ||||
Regulatory capital | 3,873.2 | 3,879.1 | ||||||
Total assets | 87,463.1 | 85,677.1 | ||||||
Regulatory capital ratio (regulatory capital as a percentage of total assets) | 4.4 | % | 4.5 | % | ||||
Leverage Ratio | ||||||||
Minimum leverage capital (5.0% of total assets) | $ | 4,373.2 | $ | 4,283.9 | ||||
Leverage capital (regulatory capital multiplied by a 1.5 weighting factor) | 5,809.8 | 5,818.7 | ||||||
Leverage ratio (leverage capital as a percentage of total assets) | 6.6 | % | 6.8 | % |
(dollars in millions) | March 31, 2015 | December 31, 2014 | |||||||||
Commercial banks | 177 | $ | 2,664.6 | 179 | $ | 2,687.5 | |||||
Thrifts | 70 | 249.1 | 72 | 254.9 | |||||||
Insurance companies | 11 | 109.9 | 10 | 57.1 | |||||||
Credit unions | 43 | 40.0 | 42 | 41.4 | |||||||
Community Development Financial Institution (CDFI) | 1 | 0.1 | 1 | 0.1 | |||||||
Total member institutions / total GAAP capital stock | 302 | $ | 3,063.7 | 304 | $ | 3,041.0 | |||||
Mandatorily redeemable capital stock | 0.6 | 0.6 | |||||||||
Total capital stock | $ | 3,064.3 | $ | 3,041.6 |
(in years) | Base Case | Up 100 basis points | Up 200 basis points |
Actual duration of equity: | |||
March 31, 2015 | (0.7) | 0.4 | 1.2 |
December 31, 2014 | (0.4) | 0.7 | 1.5 |
ROE Spread Volatility Increase/(Decline) | ||||
(in basis points) | Down 100 bps Longer Term Rate Shock | 100 bps Steeper | 100 bps Flatter | Up 200 bps Parallel Shock |
March 31, 2015 | 44 | 2 | 121 | 160 |
December 31, 2014 | 19 | (25) | 92 | 125 |
March 31, 2015 | |||||
(dollars in millions) | TCE | % of Total | |||
PNC Bank, National Association, DE (1) | $ | 27,128.3 | 32.7 | % | |
Santander Bank, N.A, DE (2) | 12,551.2 | 15.1 | |||
TD Bank, National Association, DE | 9,370.8 | 11.3 | |||
Chase Bank USA, N.A., DE | 8,751.1 | 10.5 | |||
Ally Bank, UT (3) | 3,803.3 | 4.6 | |||
Citizens Bank of Pennsylvania, PA (4) | 2,957.6 | 3.6 | |||
Customers Bank, PA | 2,449.8 | 3.0 | |||
First Commonwealth Bank, PA | 1,074.0 | 1.3 | |||
Fulton Bank, N.A., PA | 1,039.6 | 1.3 | |||
Susquehanna Bank, PA | 918.6 | 1.1 | |||
$ | 70,044.3 | 84.5 | % | ||
Other financial institutions | 12,833.6 | 15.5 | |||
Total TCE outstanding | $ | 82,877.9 | 100.0 | % |
March 31, 2015 | |||||
(dollars in millions) | Advance Balance | % of Total | |||
PNC Bank, National Association, DE (1) | $ | 20,870.1 | 33.6 | % | |
Santander Bank, N.A, DE (2) | 9,670.0 | 15.6 | |||
Chase Bank USA, N.A., DE | 8,750.0 | 14.1 | |||
Ally Bank, UT (3) | 3,800.0 | 6.1 | |||
TD Bank, National Association, DE | 2,250.0 | 3.6 | |||
Customers Bank, PA | 1,545.0 | 2.5 | |||
Citizens Bank of Pennsylvania, PA (4) | 1,250.0 | 2.0 | |||
First Commonwealth Bank, PA | 1,044.3 | 1.7 | |||
Susquehanna Bank, PA | 908.9 | 1.5 | |||
First National Bank of Pennsylvania, PA | 900.0 | 1.5 | |||
$ | 50,988.3 | 82.2 | % | ||
Other borrowers | 11,065.5 | 17.8 | |||
Total advances | $ | 62,053.8 | 100.0 | % |
(dollars in millions) | March 31, 2015 | December 31, 2014 | ||||
Letters of credit: | ||||||
Public unit deposit | $ | 20,356.2 | $ | 19,918.8 | ||
Other | 22.9 | 23.3 | ||||
Total (1) | $ | 20,379.1 | $ | 19,942.1 |
(dollars in millions) | March 31, 2015 | December 31, 2014 | ||||||||
All members | Amount | Percentage | Amount | Percentage | ||||||
One-to-four single family residential mortgage loans | $ | 84,741.3 | 43.6 | % | $ | 78,615.9 | 43.0 | % | ||
High quality investment securities(1) | 8,413.9 | 4.3 | 6,070.2 | 3.3 | ||||||
ORERC/CFI eligible collateral | 86,617.2 | 44.5 | 83,472.1 | 45.6 | ||||||
Multi-family residential mortgage loans | 14,684.6 | 7.6 | 14,758.0 | 8.1 | ||||||
Total eligible collateral value | $ | 194,457.0 | 100.0 | % | $ | 182,916.2 | 100.0 | % | ||
Total TCE | $ | 82,877.9 | $ | 83,539.1 | ||||||
Collateralization ratio (eligible collateral value to TCE outstanding) | 234.6 | % | 219.0 | % |
March 31, 2015 | ||||||||||||||||||||
(dollars in millions) | Blanket Lien | Listing | Delivery | Total | ||||||||||||||||
Amount | % | Amount | % | Amount | % | Amount | % | |||||||||||||
One-to-four single family residential mortgage loans | $ | 64,101.9 | 38.3 | % | $ | 15,670.4 | 87.3 | % | $ | 265.5 | 26.2 | % | $ | 80,037.8 | 42.9 | % | ||||
High quality investment securities(1) | 5,868.6 | 3.5 | 2,285.7 | 12.7 | 63.7 | 6.3 | 8,218.0 | 4.4 | ||||||||||||
ORERC/CFI eligible collateral | 83,067.7 | 49.6 | — | — | 655.4 | 64.8 | 83,723.1 | 44.9 | ||||||||||||
Multi-family residential mortgage loans | 14,454.1 | 8.6 | — | — | 27.7 | 2.7 | 14,481.8 | 7.8 | ||||||||||||
Total eligible collateral value | $ | 167,492.3 | 100.0 | % | $ | 17,956.1 | 100.0 | % | $ | 1,012.3 | 100.0 | % | $ | 186,460.7 | 100.0 | % | ||||
Total TCE | $ | 72,699.3 | 87.7 | % | $ | 10,094.4 | 12.2 | % | $ | 84.2 | 0.1 | % | $ | 82,877.9 | 100.0 | % | ||||
Number of members | 196 | 92.0 | % | 8 | 3.8 | % | 9 | 4.2 | % | 213 | 100.0 | % |
December 31, 2014 | ||||||||||||||||||||
(dollars in millions) | Blanket Lien | Listing | Delivery | Total | ||||||||||||||||
Amount | % | Amount | % | Amount | % | Amount | % | |||||||||||||
One-to-four single family residential mortgage loans | $ | 62,977.8 | 38.8 | % | $ | 11,047.9 | 86.6 | % | $ | 234.4 | 27.4 | % | $ | 74,260.1 | 42.2 | % | ||||
High quality investment securities(1) | 4,254.0 | 2.6 | 1,710.4 | 13.4 | 75.1 | 8.8 | 6,039.5 | 3.4 | ||||||||||||
ORERC/CFI eligible collateral | 80,563.3 | 49.6 | — | — | 521.6 | 61.0 | 81,084.9 | 46.1 | ||||||||||||
Multi-family residential mortgage loans | 14,570.9 | 9.0 | — | — | 24.0 | 2.8 | 14,594.9 | 8.3 | ||||||||||||
Total eligible collateral value | $ | 162,366.0 | 100.0 | % | $ | 12,758.3 | 100.0 | % | $ | 855.1 | 100.0 | % | $ | 175,979.4 | 100.0 | % | ||||
Total TCE | $ | 74,056.7 | 88.7 | % | $ | 9,393.2 | 11.2 | % | $ | 89.2 | 0.1 | % | $ | 83,539.1 | 100.0 | % | ||||
Number of members | 208 | 92.8 | % | 8 | 3.6 | % | 8 | 3.6 | % | 224 | 100.0 | % |
March 31, 2015 (1) (2) (3) | ||||||||||||||||||
Long-Term Rating | ||||||||||||||||||
(in millions) | AAA | AA | A | BBB | Below BBB | Total | ||||||||||||
Money market investments: | ||||||||||||||||||
Federal funds sold | $ | — | $ | 900.0 | $ | 3,935.0 | $ | 80.0 | $ | — | $ | 4,915.0 | ||||||
Total money market investments | — | 900.0 | 3,935.0 | 80.0 | — | 4,915.0 | ||||||||||||
Investment securities: | ||||||||||||||||||
GSE and TVA obligations | — | 3,691.5 | — | — | — | 3,691.5 | ||||||||||||
State or local agency obligations | 12.7 | 297.7 | — | — | — | 310.4 | ||||||||||||
Total non-MBS | 12.7 | 3,989.2 | — | — | — | 4,001.9 | ||||||||||||
Other U.S. obligations single family MBS | — | 1,368.8 | — | — | — | 1,368.8 | ||||||||||||
GSE single-family MBS | — | 3,138.5 | — | — | — | 3,138.5 | ||||||||||||
GSE multifamily MBS | — | 1,682.4 | — | — | — | 1,682.4 | ||||||||||||
Private label residential MBS | — | 4.3 | 18.2 | 268.9 | 1,301.6 | 1,593.0 | ||||||||||||
HELOCs | — | — | — | — | 11.2 | 11.2 | ||||||||||||
Total MBS | — | 6,194.0 | 18.2 | 268.9 | 1,312.8 | 7,793.9 | ||||||||||||
Total investments | $ | 12.7 | $ | 11,083.2 | $ | 3,953.2 | $ | 348.9 | $ | 1,312.8 | $ | 16,710.8 |
December 31, 2014 (1) (2) (3) | ||||||||||||||||||
Long-Term Rating | ||||||||||||||||||
(in millions) | AAA | AA | A | BBB | Below BBB | Total | ||||||||||||
Money market investments: | ||||||||||||||||||
Federal funds sold | $ | — | $ | 800.0 | $ | 3,555.0 | $ | 230.0 | $ | — | $ | 4,585.0 | ||||||
Total money market investments | — | 800.0 | 3,555.0 | 230.0 | — | 4,585.0 | ||||||||||||
Investment securities: | ||||||||||||||||||
GSE and TVA obligations | — | 3,523.0 | — | — | — | 3,523.0 | ||||||||||||
State or local agency obligations | 12.9 | 270.5 | — | — | — | 283.4 | ||||||||||||
Total non-MBS | 12.9 | 3,793.5 | — | — | — | 3,806.4 | ||||||||||||
Other U.S. obligations single family MBS | — | 1,451.9 | — | — | — | 1,451.9 | ||||||||||||
GSE single-family MBS | — | 3,299.3 | — | — | — | 3,299.3 | ||||||||||||
GSE multifamily MBS | — | 1,697.9 | — | — | — | 1,697.9 | ||||||||||||
Private label residential MBS | — | 4.7 | 26.5 | 277.1 | 1,350.8 | 1,659.1 | ||||||||||||
HELOCs | — | — | — | — | 11.7 | 11.7 | ||||||||||||
Total MBS | — | 6,453.8 | 26.5 | 277.1 | 1,362.5 | 8,119.9 | ||||||||||||
Total investments | $ | 12.9 | $ | 11,047.3 | $ | 3,581.5 | $ | 507.1 | $ | 1,362.5 | $ | 16,511.3 |
• | Interest-bearing deposits. Primarily consists of unsecured deposits that earn interest; |
• | Federal funds sold. Unsecured loans of reserve balances at the Federal Reserve Banks between financial institutions that are made on an overnight and term basis; |
• | Certificates of deposit. Unsecured negotiable promissory notes issued by banks and payable to the bearer on demand. |
(in millions) Carrying Value (1) | ||||||
March 31, 2015 | December 31, 2014 | |||||
Federal funds sold | $ | 4,915.0 | $ | 4,585.0 | ||
Total | $ | 4,915.0 | $ | 4,585.0 |
(in millions) | ||||||||||||
March 31, 2015 (1) (2) | ||||||||||||
Carrying Value | ||||||||||||
Domicile of Counterparty | Investment Grade (3) (4) | |||||||||||
AA | A | BBB | Total | |||||||||
Domestic | $ | — | $ | 210.0 | $ | 80.0 | $ | 290.0 | ||||
U.S. branches and agency offices of foreign commercial banks | ||||||||||||
Australia | 900.0 | — | — | 900.0 | ||||||||
Canada | — | 1,650.0 | — | 1,650.0 | ||||||||
Finland | — | 500.0 | — | 500.0 | ||||||||
Netherlands | — | 500.0 | — | 500.0 | ||||||||
Norway | — | 575.0 | — | 575.0 | ||||||||
Sweden | — | 500.0 | — | 500.0 | ||||||||
Total U.S. branches and agency offices of foreign commercial banks | 900.0 | 3,725.0 | — | 4,625.0 | ||||||||
Total unsecured investment credit exposure | $ | 900.0 | $ | 3,935.0 | $ | 80.0 | $ | 4,915.0 |
(in millions) | ||||||||||||
December 31, 2014 (1) (2) | ||||||||||||
Carrying Value | ||||||||||||
Domicile of Counterparty | Investment Grade (3) (4) | |||||||||||
AA | A | BBB | Total | |||||||||
Domestic | $ | — | $ | 680.0 | $ | 80.0 | $ | 760.0 | ||||
U.S. subsidiaries of foreign commercial banks | — | — | 150.0 | 150.0 | ||||||||
Total domestic and U.S. subsidiaries of foreign commercial banks | — | 680.0 | 230.0 | 910.0 | ||||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||
Australia | 800.0 | — | — | 800.0 | ||||||||
Canada | — | 1,375.0 | — | 1,375.0 | ||||||||
Finland | — | 500.0 | — | 500.0 | ||||||||
Netherlands | — | 500.0 | — | 500.0 | ||||||||
Norway | — | 500.0 | — | 500.0 | ||||||||
Total U.S. branches and agency offices of foreign commercial banks | 800.0 | 2,875.0 | — | 3,675.0 | ||||||||
Total unsecured investment credit exposure | $ | 800.0 | $ | 3,555.0 | $ | 230.0 | $ | 4,585.0 |
Private Label MBS by Vintage - Prime | |||||||||||||||
(dollars in millions) | 2007 | 2006 | 2005 | 2004 and earlier | Total | ||||||||||
Par by lowest external long- term rating: | |||||||||||||||
AA | $ | — | $ | — | $ | — | $ | 4.3 | $ | 4.3 | |||||
A | — | — | — | 7.6 | 7.6 | ||||||||||
BBB | — | — | 20.5 | 166.4 | 186.9 | ||||||||||
Below investment grade: | |||||||||||||||
BB | — | 7.7 | 37.8 | 114.0 | 159.5 | ||||||||||
B | — | — | 14.9 | 82.0 | 96.9 | ||||||||||
CCC | — | 7.4 | 5.6 | 25.8 | 38.8 | ||||||||||
CC | 20.3 | 5.2 | — | 25.5 | |||||||||||
C | 17.2 | 60.2 | — | — | 77.4 | ||||||||||
D | 207.3 | 116.3 | 37.2 | — | 360.8 | ||||||||||
Unrated | — | — | — | 3.6 | 3.6 | ||||||||||
Total | $ | 224.5 | $ | 211.9 | $ | 121.2 | $ | 403.7 | $ | 961.3 | |||||
Amortized cost | $ | 171.8 | $ | 180.9 | $ | 113.2 | $ | 400.9 | $ | 866.8 | |||||
Gross unrealized losses (1) | — | — | (2.7 | ) | (3.6 | ) | (6.3 | ) | |||||||
Fair value | 200.9 | 197.1 | 116.3 | 399.7 | 914.0 | ||||||||||
OTTI (2): | |||||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
OTTI losses reclassified (from) AOCI | — | — | — | — | — | ||||||||||
Net OTTI losses, credit portion | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
Weighted average fair value/par | 89.5 | % | 93.0 | % | 96.0 | % | 99.0 | % | 95.1 | % | |||||
Original weighted average credit support | 7.2 | 8.3 | 4.5 | 5.5 | 6.4 | ||||||||||
Weighted-average credit support - current | 0.1 | 1.4 | 8.2 | 12.9 | 6.8 | ||||||||||
Weighted avg. collateral delinquency(3) | 12.6 | 12.6 | 10.8 | 9.6 | 11.1 |
Private Label MBS by Vintage - Alt-A (3) (4) | |||||||||||||||
(dollars in millions) | 2007 | 2006 | 2005 | 2004 and earlier | Total | ||||||||||
Par by lowest external long- term rating: | |||||||||||||||
A | $ | — | $ | — | $ | — | $ | 10.4 | $ | 10.4 | |||||
BBB | — | — | 3.6 | 75.9 | 79.5 | ||||||||||
Below investment grade: | |||||||||||||||
BB | — | — | — | 4.4 | 4.4 | ||||||||||
B | — | — | 24.1 | 6.8 | 30.9 | ||||||||||
CCC | — | 74.4 | 44.2 | 34.1 | 152.7 | ||||||||||
CC | — | — | 7.3 | 1.7 | 9.0 | ||||||||||
D | 167.7 | 268.0 | 43.9 | — | 479.6 | ||||||||||
Total | $ | 167.7 | $ | 342.4 | $ | 123.1 | $ | 133.3 | $ | 766.5 | |||||
Amortized cost | $ | 128.4 | $ | 267.2 | $ | 115.8 | $ | 128.5 | $ | 639.9 | |||||
Gross unrealized losses (1) | — | — | (1.5 | ) | (0.5 | ) | (2.0 | ) | |||||||
Fair value | 138.0 | 298.6 | 115.9 | 132.0 | 684.5 | ||||||||||
OTTI (2): | |||||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
OTTI losses reclassified (from) AOCI | — | — | — | — | — | ||||||||||
Net OTTI losses, credit portion | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
Weighted average fair value/par | 82.3 | % | 87.2 | % | 94.2 | % | 99.0 | % | 89.3 | % | |||||
Original weighted average credit support | 13.3 | 10.2 | 6.0 | 5.3 | 9.3 | ||||||||||
Weighted-average credit support - current | — | — | 8.0 | 22.6 | 5.2 | ||||||||||
Weighted avg. collateral delinquency(3) | 21.5 | 18.2 | 10.4 | 12.4 | 16.6 |
Significant Inputs for Private Label Residential MBS | ||||
Prepayment Rates | Default Rates | Loss Severities | Current Credit Enhancement | |
Weighted Avg % | Weighted Avg % | Weighted Avg % | Weighted Avg % | |
Prime | 16.4 | 7.6 | 27.2 | 5.9 |
Alt-A | 16.2 | 16.5 | 38.0 | 5.3 |
Subprime | 8.5 | 19.5 | 68.4 | 36.3 |
Total Private Label Residential MBS | 16.3 | 11.7 | 32.2 | 5.8 |
(dollars in millions) | March 31, 2015 | March 31, 2014 | ||||
Number of private label MBS with an OTTI charge: | ||||||
Life-to-date | 57 | 57 | ||||
Still outstanding | 45 | 48 | ||||
Total OTTI credit loss recorded life-to-date | $ | 454.0 | $ | 454.0 | ||
Principal write-downs on private label MBS | (125.1 | ) | (106.4 | ) | ||
Credit losses on private label MBS no longer owned: | ||||||
Private label MBS sold | (106.0 | ) | (106.0 | ) | ||
Private label MBS matured (less principal write-downs realized) | (4.4 | ) | (1.1 | ) | ||
Remaining amount of previously recognized OTTI credit losses | $ | 218.5 | $ | 240.5 |
(in millions) | March 31, 2015 | |||||||||||
Credit Rating (1) | Notional Amount | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparties | Net Credit Exposure to Counterparties | ||||||||
Non-member counterparties | ||||||||||||
Asset positions with credit exposure: | ||||||||||||
Bilateral derivatives | ||||||||||||
AA | $ | 213.0 | $ | 0.4 | $ | — | $ | 0.4 | ||||
A | 1,356.7 | 1.9 | (0.8 | ) | 1.1 | |||||||
Liability positions with credit exposure: | ||||||||||||
Cleared derivatives (2) | 23,862.7 | (181.4 | ) | 230.9 | 49.5 | |||||||
Total derivative positions with credit exposure to non-member counterparties | 25,432.4 | (179.1 | ) | 230.1 | 51.0 | |||||||
Member institutions (3) | 21.7 | 0.6 | — | 0.6 | ||||||||
Total | $ | 25,454.1 | $ | (178.5 | ) | $ | 230.1 | $ | 51.6 | |||
Derivative positions without credit exposure | 19,746.6 | |||||||||||
Total notional | $ | 45,200.7 |
(in millions) | December 31, 2014 | |||||||||||
Credit Rating (1) | Notional Amount | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparties | Net Credit Exposure to Counterparties | ||||||||
Non-member counterparties | ||||||||||||
Asset positions with credit exposure: | ||||||||||||
Bilateral derivatives | ||||||||||||
AA | $ | 200.0 | $ | 2.6 | $ | — | $ | 2.6 | ||||
A | 385.0 | 1.6 | — | 1.6 | ||||||||
Liability positions with credit exposure: | ||||||||||||
Bilateral derivatives | ||||||||||||
A | 1,325.0 | (16.6 | ) | 18.0 | 1.4 | |||||||
Cleared derivatives (2) | 23,373.5 | (174.9 | ) | 204.4 | 29.5 | |||||||
Total derivative positions with credit exposure to non-member counterparties | 25,283.5 | (187.3 | ) | 222.4 | 35.1 | |||||||
Member institutions (3) | 18.3 | 0.4 | — | 0.4 | ||||||||
Total | $ | 25,301.8 | $ | (186.9 | ) | $ | 222.4 | $ | 35.5 | |||
Derivative positions without credit exposure | 19,551.2 | |||||||||||
Total notional | $ | 44,853.0 |
Notional Greater Than 10% | March 31, 2015 | December 31, 2014 | ||||||||
(dollars in millions) Derivative Counterparty | Credit Rating | Notional | % of Notional | Credit Rating | Notional | % of Notional | ||||
Deutsche Bank AG | A | $ | 4,621.1 | 21.7 | A | $ | 4,567.4 | 21.3 | ||
Morgan Stanley Capital | BBB | 3,910.1 | 18.3 | BBB | 3,328.6 | 15.5 | ||||
JP Morgan Chase Bank, NA | A | 2,665.4 | 12.5 | A | 2,885.6 | 13.4 | ||||
All others | n/a | 10,141.3 | 47.5 | n/a | 10,697.9 | 49.8 | ||||
Total | $ | 21,337.9 | 100.0 | $ | 21,479.5 | 100.0 |
Net Credit Exposure Greater Than 10% | March 31, 2015 | December 31, 2014 | ||||||||
(dollars in millions) Derivative Counterparty | Credit Rating | Net Credit Exposure | % of Net Credit Exposure | Credit Rating | Net Credit Exposure | % of Net Credit Exposure | ||||
BNP Paribas | A | $ | 0.7 | 34.5 | (2) | (2) | (2) | |||
BNY Mellon | AA | 0.4 | 17.2 | (2) | (2) | (2) | ||||
Royal Bank of Canada | (1) | (1) | (1) | AA | $ | 2.6 | 43.0 | |||
HSBC Bank USA, NA | (1) | (1) | (1) | A | 1.2 | 19.7 | ||||
Goldman Sachs Group, Inc. | (1) | (1) | (1) | A | 0.7 | 11.3 | ||||
All others | n/a | 1.0 | 48.3 | n/a | 1.5 | 26.0 | ||||
Total | $ | 2.1 | 100.0 | $ | 6.0 | 100.0 |
(in millions) | March 31, 2015 | December 31, 2014 | ||||||||||||||||
Country of Counterparty | Market Value of Total Exposure | Collateral Obligation (Net Exposure) | Collateral Pledged by the Bank | Market Value of Total Exposure | Collateral Obligation (Net Exposure) | Collateral Pledged by the Bank | ||||||||||||
Switzerland | $ | 37.6 | $ | 37.6 | $ | 37.6 | $ | 37.5 | $ | 37.5 | $ | 37.8 | ||||||
United Kingdom | 22.0 | 17.0 | 16.7 | 25.7 | 20.7 | 20.6 | ||||||||||||
Germany | 15.4 | 0.4 | 0.4 | 41.6 | 26.6 | 27.6 | ||||||||||||
Total | $ | 75.0 | $ | 55.0 | $ | 54.7 | $ | 104.8 | $ | 84.8 | $ | 86.0 |
(in millions) | March 31, 2015 | December 31, 2014 | ||||||||||||||||
Country of Counterparty | Market Value of Total Exposure | Collateral Obligation (Net Exposure) | Collateral Pledged to the Bank | Market Value of Total Exposure | Collateral Obligation (Net Exposure) | Collateral Pledged to the Bank | ||||||||||||
France | $ | 1.8 | $ | 0.7 | $ | 0.8 | $ | 0.6 | $ | 0.6 | $ | 3.1 | ||||||
United Kingdom | 2.1 | 2.0 | 2.1 | 3.8 | 2.6 | 3.9 | ||||||||||||
Switzerland | — | — | — | 0.4 | — | — | ||||||||||||
Total | $ | 3.9 | $ | 2.7 | $ | 2.9 | $ | 4.8 | $ | 3.2 | $ | 7.0 |
Three months ended March 31, | ||||||
(in thousands, except per share amounts) | 2015 | 2014 | ||||
Interest income: | ||||||
Advances | $ | 73,741 | $ | 59,973 | ||
Prepayment fees on advances, net | 1,068 | 3,091 | ||||
Interest-bearing deposits | 79 | 83 | ||||
Securities purchased under agreements to resell | 161 | 13 | ||||
Federal funds sold | 1,379 | 705 | ||||
Trading securities | 1,997 | 1,838 | ||||
Available-for-sale (AFS) securities | 37,233 | 32,884 | ||||
Held-to-maturity (HTM) securities | 16,703 | 19,970 | ||||
Mortgage loans held for portfolio | 30,756 | 33,364 | ||||
Total interest income | 163,117 | 151,921 | ||||
Interest expense: | ||||||
Consolidated obligations - discount notes | 9,102 | 6,036 | ||||
Consolidated obligations - bonds | 78,423 | 83,525 | ||||
Mandatorily redeemable capital stock | 1 | 14 | ||||
Deposits | 55 | 55 | ||||
Other borrowings | 4 | 3 | ||||
Total interest expense | 87,585 | 89,633 | ||||
Net interest income | 75,532 | 62,288 | ||||
Provision (benefit) for credit losses | (461 | ) | (3,873 | ) | ||
Net interest income after provision (benefit) for credit losses | 75,993 | 66,161 | ||||
Other noninterest income (loss): | ||||||
Net gains on trading securities (Note 2) | 6,777 | 9,792 | ||||
Net gains (losses) on derivatives and hedging activities (Note 9) | (7,572 | ) | (9,199 | ) | ||
Gains on litigation settlements, net | 15,263 | 36,610 | ||||
Standby letters of credit fees | 5,949 | 4,022 | ||||
Other, net | 566 | 449 | ||||
Total other noninterest income | 20,983 | 41,674 | ||||
Other expense: | ||||||
Compensation and benefits | 10,321 | 10,822 | ||||
Other operating | 5,266 | 6,104 | ||||
Finance Agency | 1,380 | 1,249 | ||||
Office of Finance | 987 | 893 | ||||
Total other expense | 17,954 | 19,068 | ||||
Income before assessments | 79,022 | 88,767 | ||||
AHP assessment | 7,902 | 8,878 | ||||
Net income | $ | 71,120 | $ | 79,889 | ||
Earnings per share: | ||||||
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock) | 29,367 | 29,072 | ||||
Basic and diluted earnings per share | $ | 2.42 | $ | 2.75 | ||
Dividends per share | $ | 3.40 | $ | 0.58 |
Three months ended March 31, | ||||||
(in thousands) | 2015 | 2014 | ||||
Net income | $ | 71,120 | $ | 79,889 | ||
Other comprehensive income (loss): | ||||||
Net unrealized gains on AFS | 22,488 | 24,528 | ||||
Net change in fair value of OTTI securities | 2,061 | 1,443 | ||||
Reclassification of net losses (gains) included in net income relating to hedging activities | (8 | ) | — | |||
Pension and post-retirement benefits | 82 | 39 | ||||
Total other comprehensive income | 24,623 | 26,010 | ||||
Total comprehensive income | $ | 95,743 | $ | 105,899 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||
ASSETS | ||||||
Cash and due from banks | $ | 5,124,196 | $ | 2,451,131 | ||
Interest-bearing deposits | 8,089 | 6,782 | ||||
Federal funds sold | 4,915,000 | 4,585,000 | ||||
Investment securities: | ||||||
Trading securities (Note 2) | 295,855 | 281,016 | ||||
AFS securities at fair value (Note 3) | 8,431,371 | 8,408,835 | ||||
HTM securities; fair value of $3,123,040 and $3,286,547 respectively (Note 4) | 3,079,267 | 3,246,788 | ||||
Total investment securities | 11,806,493 | 11,936,639 | ||||
Advances, net (Note 6) | 62,346,031 | 63,408,355 | ||||
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of $6,566 and $7,260 respectively (Note 8) | 3,074,289 | 3,123,334 | ||||
Banking on Business (BOB) loans, net of allowance for credit losses of $1,660 and $1,840, respectively (Note 8) | 11,347 | 11,567 | ||||
Accrued interest receivable | 87,196 | 86,109 | ||||
Premises, software and equipment, net | 10,175 | 10,446 | ||||
Derivative assets (Note 9) | 52,054 | 36,217 | ||||
Other assets | 28,189 | 21,496 | ||||
Total assets | $ | 87,463,059 | $ | 85,677,076 |
(in thousands, except par value) | March 31, 2015 | December 31, 2014 | ||||
LIABILITIES AND CAPITAL | ||||||
Liabilities | ||||||
Deposits: | ||||||
Interest-bearing | $ | 716,982 | $ | 601,454 | ||
Noninterest-bearing | 33,945 | 39,726 | ||||
Total deposits | 750,927 | 641,180 | ||||
Consolidated obligations, net: (Note 10) | ||||||
Discount notes | 37,077,804 | 37,058,118 | ||||
Bonds | 45,241,342 | 43,714,510 | ||||
Total consolidated obligations, net | 82,319,146 | 80,772,628 | ||||
Mandatorily redeemable capital stock (Note 11) | 569 | 586 | ||||
Accrued interest payable | 149,563 | 103,151 | ||||
AHP payable | 61,999 | 55,997 | ||||
Derivative liabilities (Note 9) | 62,311 | 58,964 | ||||
Other liabilities | 96,833 | 41,614 | ||||
Total liabilities | 83,441,348 | 81,674,120 | ||||
Commitments and contingencies (Note 14) | ||||||
Capital (Note 11) | ||||||
Capital stock - putable ($100 par value) issued and outstanding 30,638 and 30,410 shares | 3,063,747 | 3,040,976 | ||||
Retained earnings: | ||||||
Unrestricted | 683,446 | 726,309 | ||||
Restricted | 125,462 | 111,238 | ||||
Total retained earnings | 808,908 | 837,547 | ||||
Accumulated other comprehensive income (AOCI) | 149,056 | 124,433 | ||||
Total capital | 4,021,711 | 4,002,956 | ||||
Total liabilities and capital | $ | 87,463,059 | $ | 85,677,076 |
Three months ended March 31, | ||||||||
(in thousands) | 2015 | 2014 | ||||||
OPERATING ACTIVITIES | ||||||||
Net income | $ | 71,120 | $ | 79,889 | ||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||||
Depreciation and amortization | (20,148 | ) | (13,480 | ) | ||||
Net change in derivative and hedging activities | (12,477 | ) | (15,998 | ) | ||||
Other adjustments | (461 | ) | (3,874 | ) | ||||
Net change in: | ||||||||
Trading securities | (14,839 | ) | (30,147 | ) | ||||
Accrued interest receivable | (1,081 | ) | 12,731 | |||||
Other assets | 1,063 | 949 | ||||||
Accrued interest payable | 46,410 | 46,185 | ||||||
Other liabilities | 1,180 | 2,516 | ||||||
Net cash provided by operating activities | $ | 70,767 | $ | 78,771 | ||||
INVESTING ACTIVITIES | ||||||||
Net change in: | ||||||||
Interest-bearing deposits (including $(1,307) and $2,336 to/from other FHLBanks for mortgage loan program) | $ | 36,895 | $ | (4,398 | ) | |||
Federal funds sold | (330,000 | ) | 45,000 | |||||
AFS securities: | ||||||||
Proceeds | 578,529 | 565,159 | ||||||
Purchases | (499,868 | ) | (701,512 | ) | ||||
HTM securities: | ||||||||
Proceeds from long-term maturities | 167,323 | 173,892 | ||||||
Advances: | ||||||||
Proceeds | 128,836,510 | 140,789,202 | ||||||
Made | (127,764,258 | ) | (136,655,622 | ) | ||||
Mortgage loans held for portfolio: | ||||||||
Proceeds | 109,399 | 104,145 | ||||||
Purchases | (71,230 | ) | (54,609 | ) | ||||
Proceeds from sales of foreclosed assets | 3,155 | 4,132 | ||||||
Premises, software and equipment: | ||||||||
Purchases | (704 | ) | (83 | ) | ||||
Net cash provided by investing activities | $ | 1,065,751 | $ | 4,265,306 | ||||
Federal Home Loan Bank of Pittsburgh Statements of Cash Flows (unaudited) | ||||||||
(continued) | ||||||||
Three months ended March 31, | ||||||||
(in thousands) | 2015 | 2014 | ||||||
FINANCING ACTIVITIES | ||||||||
Net change in: | ||||||||
Deposits and pass-through reserves | $ | 109,889 | $ | 100,584 | ||||
Net payments for derivative contracts with financing element | (7,857 | ) | (7,989 | ) | ||||
Net proceeds from issuance of consolidated obligations: | ||||||||
Discount notes | 38,654,859 | 20,904,544 | ||||||
Bonds | 5,919,557 | 3,291,720 | ||||||
Payments for maturing and retiring consolidated obligations: | ||||||||
Discount notes | (38,637,702 | ) | (27,199,729 | ) | ||||
Bonds | (4,425,194 | ) | (3,117,510 | ) | ||||
Proceeds from issuance of capital stock | 609,893 | 349,394 | ||||||
Payments for repurchase/redemption of mandatorily redeemable capital stock | (17 | ) | (157 | ) | ||||
Payments for repurchase/redemption of capital stock | (587,122 | ) | (628,203 | ) | ||||
Cash dividends paid | (99,759 | ) | (16,789 | ) | ||||
Net cash provided by (used in) financing activities | $ | 1,536,547 | $ | (6,324,135 | ) | |||
Net increase (decrease) in cash and due from banks | $ | 2,673,065 | $ | (1,980,058 | ) | |||
Cash and due from banks at beginning of the period | 2,451,131 | 3,121,345 | ||||||
Cash and due from banks at end of the period | $ | 5,124,196 | $ | 1,141,287 | ||||
Supplemental disclosures: | ||||||||
Interest paid | $ | 53,255 | $ | 54,438 | ||||
AHP payments | 1,900 | 1,348 | ||||||
Transfers of mortgage loans to real estate owned | 1,491 | 3,508 |
Capital Stock - Putable | Retained Earnings | |||||||||||||||||||||||
(in thousands) | Shares | Par Value | Unrestricted | Restricted | Total | AOCI | Total Capital | |||||||||||||||||
December 31, 2013 | 29,622 | $ | 2,962,143 | $ | 625,636 | $ | 60,083 | $ | 685,719 | $ | 44,340 | $ | 3,692,202 | |||||||||||
Issuance of capital stock | 3,494 | 349,394 | — | — | — | — | 349,394 | |||||||||||||||||
Repurchase/redemption of capital stock | (6,282 | ) | (628,203 | ) | — | — | — | — | (628,203 | ) | ||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (20 | ) | (1,978 | ) | — | — | — | — | (1,978 | ) | ||||||||||||||
Comprehensive income | — | — | 63,911 | 15,978 | 79,889 | 26,010 | 105,899 | |||||||||||||||||
Cash dividends | — | — | (16,789 | ) | — | (16,789 | ) | — | (16,789 | ) | ||||||||||||||
March 31, 2014 | 26,814 | $ | 2,681,356 | $ | 672,758 | $ | 76,061 | $ | 748,819 | $ | 70,350 | $ | 3,500,525 |
Capital Stock - Putable | Retained Earnings | |||||||||||||||||||||||
(in thousands) | Shares | Par Value | Unrestricted | Restricted | Total | AOCI | Total Capital | |||||||||||||||||
December 31, 2014 | 30,410 | $ | 3,040,976 | $ | 726,309 | $ | 111,238 | $ | 837,547 | $ | 124,433 | $ | 4,002,956 | |||||||||||
Issuance of capital stock | 6,099 | 609,893 | — | — | — | — | 609,893 | |||||||||||||||||
Repurchase/redemption of capital stock | (5,871 | ) | (587,122 | ) | — | — | — | — | (587,122 | ) | ||||||||||||||
Comprehensive income | — | — | 56,896 | 14,224 | 71,120 | 24,623 | 95,743 | |||||||||||||||||
Cash dividends | — | — | (99,759 | ) | — | (99,759 | ) | — | (99,759 | ) | ||||||||||||||
March 31, 2015 | 30,638 | $ | 3,063,747 | $ | 683,446 | $ | 125,462 | $ | 808,908 | $ | 149,056 | $ | 4,021,711 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||
Non-MBS: | ||||||
Mutual funds | $ | 5,122 | $ | 4,721 | ||
GSE and Tennessee Valley Authority (TVA) obligations | 290,733 | 276,295 | ||||
Total | $ | 295,855 | $ | 281,016 |
Three months ended March 31, | ||||||
(in thousands) | 2015 | 2014 | ||||
Net unrealized gains on trading securities held at period-end | $ | 6,777 | $ | 9,706 | ||
Net realized gains on securities sold/matured during the period | — | 86 | ||||
Net gains on trading securities | $ | 6,777 | $ | 9,792 |
March 31, 2015 | |||||||||||||||||||
(in thousands) | Amortized Cost (1) | OTTI Recognized in AOCI (2) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||
Non-MBS: | |||||||||||||||||||
Mutual funds | $ | 1,993 | $ | — | $ | 5 | $ | — | $ | 1,998 | |||||||||
GSE and TVA obligations | 3,365,599 | — | 24,383 | (1,343 | ) | 3,388,639 | |||||||||||||
State or local agency obligations | 126,279 | — | 1,879 | (1,156 | ) | 127,002 | |||||||||||||
Total non-MBS | $ | 3,493,871 | $ | — | $ | 26,267 | $ | (2,499 | ) | $ | 3,517,639 | ||||||||
MBS: | |||||||||||||||||||
Other U.S. obligations single family MBS | $ | 315,614 | $ | — | $ | 479 | $ | (22 | ) | $ | 316,071 | ||||||||
GSE single-family MBS | 2,739,973 | — | 15,784 | (2,565 | ) | 2,753,192 | |||||||||||||
GSE multifamily MBS | 868,616 | — | 17,810 | — | 886,426 | ||||||||||||||
Private label MBS: | |||||||||||||||||||
Private label residential MBS | 852,904 | (154 | ) | 94,468 | (306 | ) | 946,912 | ||||||||||||
HELOCs | 8,933 | (3 | ) | 2,201 | — | 11,131 | |||||||||||||
Total private label MBS | 861,837 | (157 | ) | 96,669 | (306 | ) | 958,043 | ||||||||||||
Total MBS | $ | 4,786,040 | $ | (157 | ) | $ | 130,742 | $ | (2,893 | ) | $ | 4,913,732 | |||||||
Total AFS securities | $ | 8,279,911 | $ | (157 | ) | $ | 157,009 | $ | (5,392 | ) | $ | 8,431,371 |
December 31, 2014 | |||||||||||||||||||
(in thousands) | Amortized Cost (1) | OTTI Recognized in AOCI (2) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||
Non-MBS: | |||||||||||||||||||
Mutual funds | $ | 1,993 | $ | — | $ | 5 | $ | — | $ | 1,998 | |||||||||
GSE and TVA obligations | 3,221,543 | — | 17,661 | (5,501 | ) | 3,233,703 | |||||||||||||
State or local agency obligations | 98,616 | — | 752 | (384 | ) | 98,984 | |||||||||||||
Total non-MBS | $ | 3,322,152 | $ | — | $ | 18,418 | $ | (5,885 | ) | $ | 3,334,685 | ||||||||
MBS: | |||||||||||||||||||
Other U.S. obligations single family MBS | $ | 328,787 | $ | — | $ | 592 | $ | — | $ | 329,379 | |||||||||
GSE single-family MBS | 2,869,855 | — | 16,433 | (4,126 | ) | 2,882,162 | |||||||||||||
GSE multifamily MBS | 872,509 | — | 9,511 | (2,193 | ) | 879,827 | |||||||||||||
Private label MBS: | |||||||||||||||||||
Private label residential MBS | 879,376 | (863 | ) | 92,860 | (290 | ) | 971,083 | ||||||||||||
HELOCs | 9,245 | — | 2,454 | — | 11,699 | ||||||||||||||
Total private label MBS | 888,621 | (863 | ) | 95,314 | (290 | ) | 982,782 | ||||||||||||
Total MBS | $ | 4,959,772 | $ | (863 | ) | $ | 121,850 | $ | (6,609 | ) | $ | 5,074,150 | |||||||
Total AFS securities | $ | 8,281,924 | $ | (863 | ) | $ | 140,268 | $ | (12,494 | ) | $ | 8,408,835 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||
Non-credit portion of OTTI losses | $ | (157 | ) | $ | (863 | ) |
Net unrealized gains on OTTI securities since their last OTTI credit charge | 96,669 | 95,314 | ||||
Net non-credit portion of OTTI gains on AFS securities in AOCI | $ | 96,512 | $ | 94,451 |
March 31, 2015 | |||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses (1) | |||||||||||||||||
Non-MBS: | |||||||||||||||||||||||
GSE and TVA obligations | $ | 880,445 | $ | (1,034 | ) | $ | 323,516 | $ | (309 | ) | $ | 1,203,961 | $ | (1,343 | ) | ||||||||
State or local agency obligations | 62,091 | (1,051 | ) | 3,895 | (105 | ) | 65,986 | (1,156 | ) | ||||||||||||||
Total non-MBS | $ | 942,536 | $ | (2,085 | ) | $ | 327,411 | $ | (414 | ) | $ | 1,269,947 | $ | (2,499 | ) | ||||||||
MBS: | |||||||||||||||||||||||
Other U.S. obligations single family MBS | $ | 59,138 | $ | (22 | ) | $ | — | $ | — | $ | 59,138 | $ | (22 | ) | |||||||||
GSE single-family MBS | 155,603 | (136 | ) | 207,108 | (2,429 | ) | 362,711 | (2,565 | ) | ||||||||||||||
Private label: | |||||||||||||||||||||||
Private label residential MBS | — | — | 17,962 | (460 | ) | 17,962 | (460 | ) | |||||||||||||||
HELOCs | 1,451 | (3 | ) | — | — | 1,451 | (3 | ) | |||||||||||||||
Total private label MBS | 1,451 | (3 | ) | 17,962 | (460 | ) | 19,413 | (463 | ) | ||||||||||||||
Total MBS | $ | 216,192 | $ | (161 | ) | $ | 225,070 | $ | (2,889 | ) | $ | 441,262 | $ | (3,050 | ) | ||||||||
Total | $ | 1,158,728 | $ | (2,246 | ) | $ | 552,481 | $ | (3,303 | ) | $ | 1,711,209 | $ | (5,549 | ) |
December 31, 2014 | ||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | ||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses (1) | ||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
GSE and TVA obligations | $ | 1,783,202 | $ | (4,380 | ) | $ | 322,691 | $ | (1,121 | ) | $ | 2,105,893 | $ | (5,501 | ) | |||||||||
State or local agency obligations | 1,576 | (14 | ) | 11,385 | (370 | ) | 12,961 | (384 | ) | |||||||||||||||
Total non-MBS | $ | 1,784,778 | $ | (4,394 | ) | $ | 334,076 | $ | (1,491 | ) | $ | 2,118,854 | $ | (5,885 | ) | |||||||||
MBS: | ||||||||||||||||||||||||
GSE single-family MBS | $ | 19,405 | $ | (3 | ) | $ | 228,257 | $ | (4,123 | ) | $ | 247,662 | $ | (4,126 | ) | |||||||||
GSE multifamily MBS | 15,322 | (104 | ) | 185,153 | (2,089 | ) | 200,475 | (2,193 | ) | |||||||||||||||
Private label residential MBS | 58,553 | (191 | ) | 49,383 | (962 | ) | 107,936 | (1,153 | ) | |||||||||||||||
Total MBS | $ | 93,280 | $ | (298 | ) | $ | 462,793 | $ | (7,174 | ) | $ | 556,073 | $ | (7,472 | ) | |||||||||
Total | $ | 1,878,058 | $ | (4,692 | ) | $ | 796,869 | $ | (8,665 | ) | $ | 2,674,927 | $ | (13,357 | ) |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||
Due in one year or less | $ | 201,990 | $ | 202,044 | $ | 301,985 | $ | 302,087 | ||||||||
Due after one year through five years | 2,213,742 | 2,213,999 | 2,058,695 | 2,054,517 | ||||||||||||
Due after five years through ten years | 708,646 | 730,343 | 662,805 | 676,064 | ||||||||||||
Due in more than ten years | 369,493 | 371,253 | 298,667 | 302,017 | ||||||||||||
AFS securities excluding MBS | 3,493,871 | 3,517,639 | 3,322,152 | 3,334,685 | ||||||||||||
MBS | 4,786,040 | 4,913,732 | 4,959,772 | 5,074,150 | ||||||||||||
Total AFS securities | $ | 8,279,911 | $ | 8,431,371 | $ | 8,281,924 | $ | 8,408,835 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Amortized cost of AFS securities other than MBS: | ||||||||
Fixed-rate | $ | 3,174,124 | $ | 2,902,430 | ||||
Variable-rate | 319,747 | 419,722 | ||||||
Total non-MBS | $ | 3,493,871 | $ | 3,322,152 | ||||
Amortized cost of AFS MBS: | ||||||||
Fixed-rate | $ | 1,698,292 | $ | 2,002,208 | ||||
Variable-rate | 3,087,748 | 2,957,564 | ||||||
Total MBS | $ | 4,786,040 | $ | 4,959,772 | ||||
Total amortized cost of AFS securities | $ | 8,279,911 | $ | 8,281,924 |
March 31, 2015 | ||||||||||||||||
(in thousands) | Amortized Cost | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | ||||||||||||
Non-MBS: | ||||||||||||||||
GSE securities | $ | 12,174 | $ | 281 | $ | — | $ | 12,455 | ||||||||
State or local agency obligations | 183,379 | 1,645 | (14,128 | ) | 170,896 | |||||||||||
Total non-MBS | $ | 195,553 | $ | 1,926 | $ | (14,128 | ) | $ | 183,351 | |||||||
MBS: | ||||||||||||||||
Other U.S. obligations single-family MBS | $ | 1,052,741 | $ | 6,710 | $ | (2 | ) | $ | 1,059,449 | |||||||
GSE single-family MBS | 385,320 | 7,152 | (81 | ) | 392,391 | |||||||||||
GSE multifamily MBS | 795,954 | 46,785 | — | 842,739 | ||||||||||||
Private label residential MBS | 649,699 | 3,565 | (8,154 | ) | 645,110 | |||||||||||
Total MBS | $ | 2,883,714 | $ | 64,212 | $ | (8,237 | ) | $ | 2,939,689 | |||||||
Total HTM securities | $ | 3,079,267 | $ | 66,138 | $ | (22,365 | ) | $ | 3,123,040 |
December 31, 2014 | ||||||||||||||||
(in thousands) | Amortized Cost | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | ||||||||||||
Non-MBS: | ||||||||||||||||
GSE securities | $ | 13,041 | $ | 382 | $ | — | $ | 13,423 | ||||||||
State or local agency obligations | 184,412 | 1,314 | (15,445 | ) | 170,281 | |||||||||||
Total non-MBS | $ | 197,453 | $ | 1,696 | $ | (15,445 | ) | $ | 183,704 | |||||||
MBS: | ||||||||||||||||
Other U.S. obligations single-family MBS | $ | 1,122,537 | $ | 8,604 | $ | — | $ | 1,131,141 | ||||||||
GSE single-family MBS | 417,217 | 7,226 | (118 | ) | 424,325 | |||||||||||
GSE multifamily MBS | 818,037 | 43,431 | — | 861,468 | ||||||||||||
Private label residential MBS | 691,544 | 3,506 | (9,141 | ) | 685,909 | |||||||||||
Total MBS | $ | 3,049,335 | $ | 62,767 | $ | (9,259 | ) | $ | 3,102,843 | |||||||
Total HTM securities | $ | 3,246,788 | $ | 64,463 | $ | (24,704 | ) | $ | 3,286,547 |
March 31, 2015 | ||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | ||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
State or local agency obligations | $ | 3,375 | $ | (40 | ) | $ | 117,792 | $ | (14,088 | ) | $ | 121,167 | $ | (14,128 | ) | |||||||||
MBS: | ||||||||||||||||||||||||
Other U.S. obligations single family MBS | $ | 20,635 | $ | (2 | ) | $ | — | $ | — | $ | 20,635 | $ | (2 | ) | ||||||||||
GSE single-family MBS | — | — | 10,681 | (81 | ) | 10,681 | (81 | ) | ||||||||||||||||
Private label residential MBS | 159,134 | (1,088 | ) | 221,168 | (7,066 | ) | 380,302 | (8,154 | ) | |||||||||||||||
Total MBS | $ | 179,769 | $ | (1,090 | ) | $ | 231,849 | $ | (7,147 | ) | $ | 411,618 | $ | (8,237 | ) | |||||||||
Total | $ | 183,144 | $ | (1,130 | ) | $ | 349,641 | $ | (21,235 | ) | $ | 532,785 | $ | (22,365 | ) |
December 31, 2014 | ||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | ||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
State or local agency obligations | $ | 3,361 | $ | (54 | ) | $ | 116,488 | $ | (15,391 | ) | $ | 119,849 | $ | (15,445 | ) | |||||||||
MBS: | ||||||||||||||||||||||||
GSE single-family MBS | $ | — | $ | — | $ | 11,058 | $ | (118 | ) | $ | 11,058 | $ | (118 | ) | ||||||||||
Private label residential MBS | 185,673 | (1,291 | ) | 233,287 | (7,850 | ) | 418,960 | (9,141 | ) | |||||||||||||||
Total MBS | $ | 185,673 | $ | (1,291 | ) | $ | 244,345 | $ | (7,968 | ) | $ | 430,018 | $ | (9,259 | ) | |||||||||
Total | $ | 189,034 | $ | (1,345 | ) | $ | 360,833 | $ | (23,359 | ) | $ | 549,867 | $ | (24,704 | ) |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||
Non-MBS: | ||||||||||||||||
Due in one year or less | $ | 12,174 | $ | 12,455 | $ | 13,042 | $ | 13,423 | ||||||||
Due after one year through five years | 3,415 | 3,375 | 3,415 | 3,361 | ||||||||||||
Due after five years through ten years | 21,807 | 22,301 | 21,807 | 22,263 | ||||||||||||
Due after ten years | 158,157 | 145,220 | 159,189 | 144,657 | ||||||||||||
HTM securities excluding MBS | 195,553 | 183,351 | 197,453 | 183,704 | ||||||||||||
MBS | 2,883,714 | 2,939,689 | 3,049,335 | 3,102,843 | ||||||||||||
Total HTM securities | $ | 3,079,267 | $ | 3,123,040 | $ | 3,246,788 | $ | 3,286,547 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Amortized cost of HTM securities other than MBS: | ||||||||
Fixed-rate | $ | 42,553 | $ | 44,453 | ||||
Variable-rate | 153,000 | 153,000 | ||||||
Total non-MBS | $ | 195,553 | $ | 197,453 | ||||
Amortized cost of HTM MBS: | ||||||||
Fixed-rate | $ | 1,063,616 | $ | 1,114,059 | ||||
Variable-rate | 1,820,098 | 1,935,276 | ||||||
Total MBS | $ | 2,883,714 | $ | 3,049,335 | ||||
Total HTM securities | $ | 3,079,267 | $ | 3,246,788 |
OTTI Recognized During the Life of the Security | ||||||||||||
(in thousands) | Unpaid Principal Balance | Amortized Cost (1) | Fair Value | |||||||||
Private label residential MBS: | ||||||||||||
Prime | $ | 486,233 | $ | 394,492 | $ | 445,194 | ||||||
Alt-A | 576,153 | 453,620 | 497,048 | |||||||||
Subprime | 2,092 | 1,253 | 1,437 | |||||||||
HELOCs | 12,430 | 8,933 | 11,131 | |||||||||
Total OTTI securities | 1,076,908 | 858,298 | 954,810 | |||||||||
Private label MBS with no OTTI | 3,539 | 3,539 | 3,233 | |||||||||
Total AFS private label MBS | $ | 1,080,447 | $ | 861,837 | $ | 958,043 |
Three months ended March 31, | |||||||
(in thousands) | 2015 | 2014 | |||||
Beginning balance | $ | 290,935 | $ | 314,224 | |||
Reductions: | |||||||
Securities sold and matured during the period (1) | — | (76 | ) | ||||
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) | (7,019 | ) | (5,948 | ) | |||
Ending balance | $ | 283,916 | $ | 308,200 |
(dollars in thousands) | March 31, 2015 | December 31, 2014 | ||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in 1 year or less | $ | 26,931,449 | 0.44 | % | $ | 29,380,685 | 0.42 | % | ||||||
Due after 1 year through 2 years | 9,218,391 | 1.26 | 7,754,473 | 1.22 | ||||||||||
Due after 2 years through 3 years | 14,652,926 | 1.03 | 12,764,348 | 1.14 | ||||||||||
Due after 3 years through 4 years | 6,854,258 | 0.90 | 9,361,638 | 0.82 | ||||||||||
Due after 4 years through 5 years | 3,314,508 | 0.80 | 3,373,989 | 0.84 | ||||||||||
Thereafter | 1,082,287 | 2.65 | 490,823 | 2.77 | ||||||||||
Total par value | 62,053,819 | 0.81 | % | 63,125,956 | 0.76 | % | ||||||||
Discount on AHP advances | (52 | ) | (66 | ) | ||||||||||
Deferred prepayment fees | (7,507 | ) | (8,600 | ) | ||||||||||
Hedging adjustments | 299,771 | 291,065 | ||||||||||||
Total book value | $ | 62,346,031 | $ | 63,408,355 |
Year of Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Convertible Date | ||||||||||||||
(in thousands) | March 31, 2015 | December 31, 2014 | March 31, 2015 | December 31, 2014 | |||||||||||
Due in 1 year or less | $ | 26,931,449 | $ | 29,380,685 | $ | 28,700,449 | $ | 31,164,685 | |||||||
Due after 1 year through 2 years | 9,218,391 | 7,754,473 | 8,075,891 | 6,846,973 | |||||||||||
Due after 2 years through 3 years | 14,652,926 | 12,764,348 | 14,164,926 | 12,179,348 | |||||||||||
Due after 3 years through 4 years | 6,854,258 | 9,361,638 | 6,741,258 | 9,095,638 | |||||||||||
Due after 4 years through 5 years | 3,314,508 | 3,373,989 | 3,309,008 | 3,368,489 | |||||||||||
Thereafter | 1,082,287 | 490,823 | 1,062,287 | 470,823 | |||||||||||
Total par value | $ | 62,053,819 | $ | 63,125,956 | $ | 62,053,819 | $ | 63,125,956 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Fixed-rate – overnight | $ | 1,774,797 | $ | 2,012,230 | ||||
Fixed-rate – term: | ||||||||
Due in 1 year or less | 17,799,975 | 20,740,508 | ||||||
Thereafter | 10,233,443 | 9,116,344 | ||||||
Total fixed-rate | 29,808,215 | 31,869,082 | ||||||
Variable-rate: | ||||||||
Due in 1 year or less | 7,356,677 | 6,627,947 | ||||||
Thereafter | 24,888,927 | 24,628,927 | ||||||
Total variable-rate | 32,245,604 | 31,256,874 | ||||||
Total par value | $ | 62,053,819 | $ | 63,125,956 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Fixed-rate long-term single-family mortgages (1) | $ | 2,607,236 | $ | 2,640,633 | ||||
Fixed-rate medium-term single-family mortgages (1) | 400,714 | 417,830 | ||||||
Total par value | 3,007,950 | 3,058,463 | ||||||
Premiums | 50,680 | 51,214 | ||||||
Discounts | (4,599 | ) | (4,872 | ) | ||||
Hedging adjustments | 26,824 | 25,789 | ||||||
Total mortgage loans held for portfolio | $ | 3,080,855 | $ | 3,130,594 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Conventional loans | $ | 2,736,342 | $ | 2,779,962 | ||||
Government-guaranteed/insured loans | 271,608 | 278,501 | ||||||
Total par value | $ | 3,007,950 | $ | 3,058,463 |
Three months ended March 31, | |||||||||
(in thousands) | 2015 | 2014 | |||||||
Balance, beginning of period | $ | 7,260 | $ | 11,359 | |||||
(Charge-offs) Recoveries, net (1) | (102 | ) | — | ||||||
Provision (benefit) for credit losses | (592 | ) | (4,041 | ) | |||||
Balance, March 31 | $ | 6,566 | $ | 7,318 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Ending balance, individually evaluated for impairment | $ | 5,362 | $ | 6,034 | ||||
Ending balance, collectively evaluated for impairment | 1,204 | 1,226 | ||||||
Total allowance for credit losses | $ | 6,566 | $ | 7,260 | ||||
Recorded investment balance, end of period: | ||||||||
Individually evaluated for impairment, with or without a related allowance | $ | 63,161 | $ | 68,144 | ||||
Collectively evaluated for impairment | 2,751,924 | 2,789,826 | ||||||
Total recorded investment | $ | 2,815,085 | $ | 2,857,970 |
Three months ended March 31, | ||||||||
(in thousands) | 2015 | 2014 | ||||||
Balance, Beginning of period | $ | 1,840 | $ | 2,231 | ||||
(Charge-offs) Recoveries, net | (284 | ) | (200 | ) | ||||
Provision for credit losses | 104 | 111 | ||||||
Balance, March 31 | $ | 1,660 | $ | 2,142 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Ending balance, individually evaluated for impairment | $ | — | $ | — | ||||
Ending balance, collectively evaluated for impairment | 1,660 | 1,840 | ||||||
Total allowance for credit losses | $ | 1,660 | $ | 1,840 | ||||
Recorded investment balance, end of period: | ||||||||
Individually evaluated for impairment, with or without a related allowance | $ | — | $ | — | ||||
Collectively evaluated for impairment | 13,124 | 13,518 | ||||||
Total recorded investment | $ | 13,124 | $ | 13,518 |
(in thousands) | March 31, 2015 | |||||||||||||||
Recorded investment: (1) | Conventional MPF Loans | Government-Guaranteed or Insured | BOB Loans | Total | ||||||||||||
Past due 30-59 days | $ | 42,201 | $ | 14,370 | $ | — | $ | 56,571 | ||||||||
Past due 60-89 days | 10,255 | 3,382 | — | 13,637 | ||||||||||||
Past due 90 days or more | 34,088 | 6,176 | 147 | 40,411 | ||||||||||||
Total past due loans | $ | 86,544 | $ | 23,928 | $ | 147 | $ | 110,619 | ||||||||
Total current loans | 2,728,541 | 257,853 | 12,977 | 2,999,371 | ||||||||||||
Total loans | $ | 2,815,085 | $ | 281,781 | $ | 13,124 | $ | 3,109,990 | ||||||||
Other delinquency statistics: | ||||||||||||||||
In process of foreclosures, included above (2) | $ | 22,827 | $ | 2,902 | $ | — | $ | 25,729 | ||||||||
Serious delinquency rate (3) | 1.2 | % | 2.2 | % | 1.1 | % | 1.3 | % | ||||||||
Past due 90 days or more still accruing interest | $ | — | $ | 6,176 | $ | — | $ | 6,176 | ||||||||
Loans on nonaccrual status (4) | $ | 38,075 | $ | — | $ | 147 | $ | 38,222 |
(in thousands) | December 31, 2014 | |||||||||||||||
Recorded investment: (1) | Conventional MPF Loans | Government-Guaranteed or Insured | BOB Loans | Total | ||||||||||||
Past due 30-59 days | $ | 50,680 | $ | 19,238 | $ | 124 | $ | 70,042 | ||||||||
Past due 60-89 days | 11,841 | 6,034 | 73 | 17,948 | ||||||||||||
Past due 90 days or more | 41,983 | 7,024 | 8 | 49,015 | ||||||||||||
Total past due loans | $ | 104,504 | $ | 32,296 | $ | 205 | $ | 137,005 | ||||||||
Total current loans | 2,753,466 | 256,606 | 13,313 | 3,023,385 | ||||||||||||
Total loans | $ | 2,857,970 | $ | 288,902 | $ | 13,518 | $ | 3,160,390 | ||||||||
Other delinquency statistics: | ||||||||||||||||
In process of foreclosures, included above (2) | $ | 26,981 | $ | 2,389 | $ | — | $ | 29,370 | ||||||||
Serious delinquency rate (3) | 1.5 | % | 2.4 | % | 0.1 | % | 1.6 | % | ||||||||
Past due 90 days or more still accruing interest | $ | — | $ | 7,024 | $ | — | $ | 7,024 | ||||||||
Loans on nonaccrual status (4) | $ | 45,900 | $ | — | $ | 205 | $ | 46,105 |
March 31, 2015 | ||||||||||||
(in thousands) | Recorded Investment | Unpaid Principal Balance | Related Allowance for Credit Losses | |||||||||
With no related allowance: | ||||||||||||
Conventional MPF loans | $ | 34,445 | $ | 34,116 | $ | — | ||||||
With a related allowance: | ||||||||||||
Conventional MPF loans | 28,716 | 28,485 | 5,362 | |||||||||
Total: | ||||||||||||
Conventional MPF loans | $ | 63,161 | $ | 62,601 | $ | 5,362 |
December 31, 2014 | ||||||||||||
(in thousands) | Recorded Investment | Unpaid Principal Balance | Related Allowance for Credit Losses | |||||||||
With no related allowance: | ||||||||||||
Conventional MPF loans | $ | 31,749 | $ | 31,448 | $ | — | ||||||
With a related allowance: | ||||||||||||
Conventional MPF loans | 36,395 | 36,175 | 6,034 | |||||||||
Total: | ||||||||||||
Conventional MPF loans | $ | 68,144 | $ | 67,623 | $ | 6,034 |
Three months ended March 31, 2015 | Three months ended March 31, 2014 | |||||||||||||||
(in thousands) | Average Recorded Investment(1) | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | ||||||||||||
Conventional MPF loans | $ | 63,923 | $ | 423 | $ | 79,993 | $ | 322 |
March 31, 2015 | ||||||||||||
(in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives in hedge accounting relationships: | ||||||||||||
Interest rate swaps | $ | 35,828,625 | $ | 104,126 | $ | 375,909 | ||||||
Derivatives not in hedge accounting relationships: | ||||||||||||
Interest rate swaps | $ | 8,650,294 | $ | 26,281 | $ | 64,427 | ||||||
Interest rate swaptions | 25,000 | 83 | — | |||||||||
Interest rate caps | 675,000 | 4,137 | — | |||||||||
Mortgage delivery commitments | 21,726 | 633 | — | |||||||||
Total derivatives not in hedge accounting relationships | $ | 9,372,020 | $ | 31,134 | $ | 64,427 | ||||||
Total derivatives before netting and collateral adjustments | $ | 45,200,645 | $ | 135,260 | $ | 440,336 | ||||||
Netting adjustments and cash collateral(1) | (83,206 | ) | (378,025 | ) | ||||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | 52,054 | $ | 62,311 |
December 31, 2014 | ||||||||||||
(in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives in hedge accounting relationships: | ||||||||||||
Interest rate swaps | $ | 32,196,669 | $ | 84,205 | $ | 414,760 | ||||||
Derivatives not in hedge accounting relationships: | ||||||||||||
Interest rate swaps | $ | 11,937,989 | $ | 21,396 | $ | 52,925 | ||||||
Interest rate swaptions | 25,000 | 1,312 | — | |||||||||
Interest rate caps | 675,000 | 4,425 | — | |||||||||
Mortgage delivery commitments | 18,308 | 434 | — | |||||||||
Total derivatives not in hedge accounting relationships | $ | 12,656,297 | $ | 27,567 | $ | 52,925 | ||||||
Total derivatives before netting and collateral adjustments | $ | 44,852,966 | $ | 111,772 | $ | 467,685 | ||||||
Netting adjustments and cash collateral(1) | (75,555 | ) | (408,721 | ) | ||||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | 36,217 | $ | 58,964 |
Three months ended March 31, | |||||||
(in thousands) | 2015 | 2014 | |||||
Derivatives designated as hedging instruments: | |||||||
Interest rate swaps | $ | 585 | $ | 512 | |||
Derivatives not designated as hedging instruments: | |||||||
Economic hedges: | |||||||
Interest rate swaps | $ | (15,850 | ) | $ | (15,773 | ) | |
Interest rate swaptions | 139 | (48 | ) | ||||
Interest rate caps | (288 | ) | (1,554 | ) | |||
Net interest settlements | 5,692 | 6,411 | |||||
Mortgage delivery commitments | 2,143 | 1,246 | |||||
Other | 7 | 7 | |||||
Total net (losses) related to derivatives not designated as hedging instruments | $ | (8,157 | ) | $ | (9,711 | ) | |
Net (losses) on derivatives and hedging activities | $ | (7,572 | ) | $ | (9,199 | ) |
(in thousands) | Gains/(Losses) on Derivative | Gains/(Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Three months ended March 31, 2015 | ||||||||||||||||
Hedged item type: | ||||||||||||||||
Advances | $ | (10,013 | ) | $ | 10,175 | $ | 162 | $ | (46,994 | ) | ||||||
Consolidated obligations – bonds | 54,590 | (53,895 | ) | 695 | 61,615 | |||||||||||
AFS securities | (11,735 | ) | 11,463 | (272 | ) | (3,432 | ) | |||||||||
Total | $ | 32,842 | $ | (32,257 | ) | $ | 585 | $ | 11,189 |
Three months ended March 31, 2014 | ||||||||||||||||
Hedged item type: | ||||||||||||||||
Advances | $ | 48,010 | $ | (47,263 | ) | $ | 747 | $ | (60,390 | ) | ||||||
Consolidated obligations – bonds | 45,796 | (45,655 | ) | 141 | 54,437 | |||||||||||
AFS securities | (9,137 | ) | 8,761 | (376 | ) | (2,544 | ) | |||||||||
Total | $ | 84,669 | $ | (84,157 | ) | $ | 512 | $ | (8,497 | ) |
Derivative Assets | ||||||||
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Derivative instruments meeting netting requirements: | ||||||||
Gross recognized amount: | ||||||||
Bilateral derivatives | $ | 101,392 | $ | 102,570 | ||||
Cleared derivatives | 33,235 | 8,768 | ||||||
Total gross recognized amount | 134,627 | 111,338 | ||||||
Gross amounts of netting adjustments and cash collateral: | ||||||||
Bilateral derivatives | (99,445 | ) | (96,286 | ) | ||||
Cleared derivatives | 16,239 | 20,731 | ||||||
Total gross amounts of netting adjustments and cash collateral | (83,206 | ) | (75,555 | ) | ||||
Net amounts after netting adjustments: | ||||||||
Bilateral derivatives | 1,947 | 6,284 | ||||||
Cleared derivatives | 49,474 | 29,499 | ||||||
Total net amounts after netting adjustments | 51,421 | 35,783 | ||||||
Derivative instruments not meeting netting requirements: (1) | ||||||||
Bilateral derivatives | 633 | 434 | ||||||
Cleared derivatives | — | — | ||||||
Derivative instruments not meeting netting requirements | 633 | 434 | ||||||
Total derivative assets | ||||||||
Bilateral derivatives | 2,580 | 6,718 | ||||||
Cleared derivatives | 49,474 | 29,499 | ||||||
Total derivative assets as reported in the Statement of Condition | 52,054 | 36,217 | ||||||
Non-cash collateral received or pledged not offset: | ||||||||
Can be sold or repledged | ||||||||
Bilateral derivatives | (471 | ) | (636 | ) | ||||
Cleared derivatives | — | — | ||||||
Non-cash Collateral received or pledged - Can be sold or repledged | (471 | ) | (636 | ) | ||||
Net unsecured amount: | ||||||||
Bilateral derivatives | 2,109 | 6,082 | ||||||
Cleared derivatives | 49,474 | 29,499 | ||||||
Total net unsecured amount | $ | 51,583 | $ | 35,581 |
Derivative Liabilities | ||||||||
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Derivative instruments meeting netting requirements: | ||||||||
Gross recognized amount: | ||||||||
Bilateral derivatives | $ | 225,678 | $ | 283,979 | ||||
Cleared derivatives | 214,658 | 183,706 | ||||||
Total gross recognized amount | 440,336 | 467,685 | ||||||
Gross amounts of netting adjustments and cash collateral: | ||||||||
Bilateral derivatives | (163,367 | ) | (225,015 | ) | ||||
Cleared derivatives | (214,658 | ) | (183,706 | ) | ||||
Total gross amounts of netting adjustments and cash collateral | (378,025 | ) | (408,721 | ) | ||||
Net amounts after netting adjustments: | ||||||||
Bilateral derivatives | 62,311 | 58,964 | ||||||
Cleared derivatives | — | — | ||||||
Total net amounts after offsetting adjustments | 62,311 | 58,964 | ||||||
Total derivative liabilities | ||||||||
Bilateral derivatives | 62,311 | 58,964 | ||||||
Cleared derivatives | — | — | ||||||
Total derivative liabilities as reported in the Statement of Condition | 62,311 | 58,964 | ||||||
Net unsecured amount: | ||||||||
Bilateral derivatives | 62,311 | 58,964 | ||||||
Net unsecured amount | $ | 62,311 | $ | 58,964 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Par value of consolidated bonds: | ||||||||
Fixed-rate | $ | 37,868,671 | $ | 36,296,100 | ||||
Step-up | 3,040,000 | 3,116,000 | ||||||
Floating-rate | 4,175,000 | 4,190,000 | ||||||
Total par value | 45,083,671 | 43,602,100 | ||||||
Bond premiums | 142,176 | 147,824 | ||||||
Bond discounts | (10,754 | ) | (12,111 | ) | ||||
Hedging adjustments | 26,249 | (23,303 | ) | |||||
Total book value | $ | 45,241,342 | $ | 43,714,510 |
March 31, 2015 | December 31, 2014 | |||||||||||||
(dollars in thousands) Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in 1 year or less | $ | 15,415,510 | 0.82 | % | $ | 15,033,450 | 1.00 | % | ||||||
Due after 1 year through 2 years | 10,035,015 | 1.42 | 9,316,860 | 1.42 | ||||||||||
Due after 2 years through 3 years | 5,996,640 | 1.66 | 5,346,515 | 1.64 | ||||||||||
Due after 3 years through 4 years | 4,701,005 | 1.47 | 4,709,300 | 1.50 | ||||||||||
Due after 4 years through 5 years | 3,336,885 | 1.77 | 2,911,350 | 1.72 | ||||||||||
Thereafter | 5,303,650 | 2.44 | 5,959,265 | 2.35 | ||||||||||
Index amortizing notes | 294,966 | 4.11 | 325,360 | 4.14 | ||||||||||
Total par value | $ | 45,083,671 | 1.42 | % | $ | 43,602,100 | 1.48 | % |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Noncallable | $ | 31,145,671 | $ | 30,388,100 | ||||
Callable | 13,938,000 | 13,214,000 | ||||||
Total par value | $ | 45,083,671 | $ | 43,602,100 |
(in thousands) Year of Contractual Maturity or Next Call Date | March 31, 2015 | December 31, 2014 | ||||||
Due in 1 year or less | $ | 29,238,510 | $ | 28,232,450 | ||||
Due after 1 year through 2 years | 8,303,015 | 8,114,860 | ||||||
Due after 2 years through 3 years | 3,576,640 | 3,551,515 | ||||||
Due after 3 years through 4 years | 1,687,005 | 1,390,300 | ||||||
Due after 4 years through 5 years | 984,885 | 1,028,350 | ||||||
Thereafter | 998,650 | 959,265 | ||||||
Index amortizing notes | 294,966 | 325,360 | ||||||
Total par value | $ | 45,083,671 | $ | 43,602,100 |
(dollars in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Book value | $ | 37,077,804 | $ | 37,058,118 | ||||
Par value | 37,086,558 | 37,065,745 | ||||||
Weighted average interest rate (1) | 0.11 | % | 0.10 | % |
March 31, 2015 | December 31, 2014 | |||||||||||||||
(dollars in thousands) | Required | Actual | Required | Actual | ||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital | $ | 825,495 | $ | 3,873,224 | $ | 847,424 | $ | 3,879,108 | ||||||||
Total capital-to-asset ratio | 4.0 | % | 4.4 | % | 4.0 | % | 4.5 | % | ||||||||
Total regulatory capital | 3,498,522 | 3,873,224 | 3,427,083 | 3,879,108 | ||||||||||||
Leverage ratio | 5.0 | % | 6.6 | % | 5.0 | % | 6.8 | % | ||||||||
Leverage capital | 4,373,153 | 5,809,836 | 4,283,854 | 5,818,663 |
(dollars in thousands) | March 31, 2015 | ||||||
Member (1) | Capital Stock | % of Total | |||||
PNC Bank, N.A., Wilmington, DE | $ | 926,305 | 30.2 | % | |||
Santander Bank, N.A., Wilmington, DE | 433,306 | 14.1 | |||||
Chase Bank USA, N.A.,Wilmington, DE | 366,117 | 11.9 |
(dollars in thousands) | December 31, 2014 | ||||||
Member (1) | Capital Stock | % of Total | |||||
PNC Bank, N.A., Wilmington, DE | $ | 876,305 | 28.8 | % | |||
Santander Bank, N.A., Wilmington, DE | 424,955 | 14.0 | |||||
Chase Bank USA, N.A.,Wilmington, DE | 362,050 | 11.9 |
Three months ended March 31, | ||||||||
(in thousands) | 2015 | 2014 | ||||||
Balance, beginning of the period | $ | 586 | $ | 40 | ||||
Capital stock subject to mandatory redemption reclassified from capital stock: | ||||||||
Due to withdrawals (includes mergers) | — | 1,978 | ||||||
Net redemption/repurchase of mandatorily redeemable capital stock | (17 | ) | (157 | ) | ||||
Balance, end of period | $ | 569 | $ | 1,861 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Due in 1 year or less | $ | — | $ | — | ||||
Due after 1 year through 2 years | — | — | ||||||
Due after 2 years through 3 years | — | — | ||||||
Due after 3 years through 4 years | 70 | — | ||||||
Due after 4 years through 5 years | 499 | 586 | ||||||
Total | $ | 569 | $ | 586 |
(in thousands) | Net Unrealized Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on HTM | Net Unrealized Gains (Losses) on Hedging Activities | Pension and Post-Retirement Plans | Total | |||||||||||||||||
December 31, 2013 | $ | (32,481 | ) | $ | 77,642 | $ | — | $ | 287 | $ | (1,108 | ) | $ | 44,340 | |||||||||
Other comprehensive income (loss) before reclassification: | |||||||||||||||||||||||
Net unrealized gains (losses) | 24,528 | (575 | ) | — | — | — | 23,953 | ||||||||||||||||
Net change in fair value of OTTI securities | — | 2,018 | — | — | — | 2,018 | |||||||||||||||||
Reclassifications from OCI to net income: | |||||||||||||||||||||||
Pension and post-retirement | — | — | — | — | 39 | 39 | |||||||||||||||||
March 31, 2014 | $ | (7,953 | ) | $ | 79,085 | $ | — | $ | 287 | $ | (1,069 | ) | $ | 70,350 | |||||||||
December 31, 2014 | $ | 32,460 | $ | 94,451 | $ | — | $ | 272 | $ | (2,750 | ) | $ | 124,433 | ||||||||||
Other comprehensive income (loss) before reclassification: | |||||||||||||||||||||||
Net unrealized gains | 22,488 | 1,355 | — | — | — | 23,843 | |||||||||||||||||
Net change in fair value of OTTI securities | — | 706 | — | — | — | 706 | |||||||||||||||||
Reclassifications from OCI to net income: | |||||||||||||||||||||||
Amortization on hedging activities | — | — | — | (8 | ) | — | (8 | ) | |||||||||||||||
Pension and post-retirement | — | — | — | — | 82 | 82 | |||||||||||||||||
March 31, 2015 | $ | 54,948 | $ | 96,512 | $ | — | $ | 264 | $ | (2,668 | ) | $ | 149,056 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Investments | $ | 155,995 | $ | 157,025 | ||||
Advances | 40,468,917 | 38,765,267 | ||||||
Letters of credit (1) | 9,520,383 | 9,608,983 | ||||||
MPF loans | 1,261,559 | 1,326,807 | ||||||
Deposits | 6,887 | 13,678 | ||||||
Capital stock | 1,793,565 | 1,714,432 |
Three months ended March 31, | ||||||||
(in thousands) | 2015 | 2014 | ||||||
Interest income on advances (1) | $ | 39,053 | $ | 32,803 | ||||
Interest income on MPF loans | 17,623 | 21,306 | ||||||
Letter of credit fees | 3,028 | 1,882 | ||||||
Prepayment fees on advances | — | 3,090 |
Three months ended March 31, | ||||||||
(in thousands) | 2015 | 2014 | ||||||
Total MPF loan volume purchased | $ | 1,407 | $ | 889 |
Three months ended March 31, | ||||||||
(in thousands) | 2015 | 2014 | ||||||
Servicing fee expense | $ | 268 | $ | 237 |
(in thousands) | March 31, 2015 | December 31, 2014 | ||||||
Interest-bearing deposits maintained with FHLBank of Chicago | $ | 8,089 | $ | 6,782 |
Fair Value Summary Table | |||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||
(in thousands) | Carrying Value | Level 1 | Level 2 | Level 3 | Netting Adjust. (2) | Estimated Fair Value | |||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | 5,124,196 | $ | 5,124,196 | $ | — | $ | — | $ | — | $ | 5,124,196 | |||||||||||
Interest-bearing deposits | 8,089 | — | 8,089 | — | — | 8,089 | |||||||||||||||||
Federal funds sold | 4,915,000 | — | 4,914,986 | — | — | 4,914,986 | |||||||||||||||||
Trading securities | 295,855 | 5,122 | 290,733 | — | — | 295,855 | |||||||||||||||||
AFS securities | 8,431,371 | 1,998 | 7,471,330 | 958,043 | — | 8,431,371 | |||||||||||||||||
HTM securities | 3,079,267 | — | 2,477,930 | 645,110 | — | 3,123,040 | |||||||||||||||||
Advances | 62,346,031 | — | 62,425,319 | — | — | 62,425,319 | |||||||||||||||||
Mortgage loans held for portfolio, net | 3,074,289 | — | 3,279,503 | — | — | 3,279,503 | |||||||||||||||||
BOB loans, net | 11,347 | — | — | 11,347 | — | 11,347 | |||||||||||||||||
Accrued interest receivable | 87,196 | — | 87,196 | — | — | 87,196 | |||||||||||||||||
Derivative assets | 52,054 | — | 135,260 | — | (83,206 | ) | 52,054 | ||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | $ | 750,927 | $ | — | $ | 750,931 | $ | — | $ | — | $ | 750,931 | |||||||||||
Discount notes | 37,077,804 | — | 37,079,968 | — | — | 37,079,968 | |||||||||||||||||
Bonds | 45,241,342 | — | 45,470,892 | — | — | 45,470,892 | |||||||||||||||||
Mandatorily redeemable capital stock (1) | 569 | 576 | — | — | — | 576 | |||||||||||||||||
Accrued interest payable (1) | 149,563 | — | 149,556 | — | — | 149,556 | |||||||||||||||||
Derivative liabilities | 62,311 | — | 440,336 | — | (378,025 | ) | 62,311 |
December 31, 2014 | |||||||||||||||||||||||
(in thousands) | Carrying Value | Level 1 | Level 2 | Level 3 | Netting Adjust. (2) | Estimated Fair Value | |||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | 2,451,131 | $ | 2,451,131 | $ | — | $ | — | $ | — | $ | 2,451,131 | |||||||||||
Interest-bearing deposits | 6,782 | — | 6,782 | — | — | 6,782 | |||||||||||||||||
Federal funds sold | 4,585,000 | — | 4,584,981 | — | — | 4,584,981 | |||||||||||||||||
Trading securities | 281,016 | 4,721 | 276,295 | — | — | 281,016 | |||||||||||||||||
AFS securities | 8,408,835 | 1,998 | 7,424,055 | 982,782 | — | 8,408,835 | |||||||||||||||||
HTM securities | 3,246,788 | — | 2,600,638 | 685,909 | — | 3,286,547 | |||||||||||||||||
Advances | 63,408,355 | — | 63,471,078 | — | — | 63,471,078 | |||||||||||||||||
Mortgage loans held for portfolio, net | 3,123,334 | — | 3,312,186 | — | — | 3,312,186 | |||||||||||||||||
BOB loans, net | 11,567 | — | — | 11,567 | — | 11,567 | |||||||||||||||||
Accrued interest receivable | 86,109 | — | 86,109 | — | — | 86,109 | |||||||||||||||||
Derivative assets | 36,217 | — | 111,772 | — | (75,555 | ) | 36,217 | ||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | $ | 641,180 | $ | — | $ | 641,183 | $ | — | $ | — | $ | 641,183 | |||||||||||
Discount notes | 37,058,118 | — | 37,059,347 | — | — | 37,059,347 | |||||||||||||||||
Bonds | 43,714,510 | — | 43,881,951 | — | — | 43,881,951 | |||||||||||||||||
Mandatorily redeemable capital stock (1) | 586 | 705 | — | — | — | 705 | |||||||||||||||||
Accrued interest payable (1) | 103,151 | — | 103,032 | — | — | 103,032 | |||||||||||||||||
Derivative liabilities | 58,964 | — | 467,685 | — | (408,721 | ) | 58,964 |
• | Treasury curve: U.S. Treasury obligations |
• | LIBOR Swap curve: certificates of deposit |
• | CO curve: Government-sponsored enterprises, state and local agency, and other U.S. obligations |
• | Discount rate assumption. Overnight Index Swap (OIS) curve. |
• | Forward interest rate assumption. LIBOR Swap Curve. |
• | Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. |
• | To Be Announced (TBA) securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement. |
March 31, 2015 | ||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Trading securities: | ||||||||||||||||||||
GSE and TVA obligations | $ | — | $ | 290,733 | $ | — | $ | — | $ | 290,733 | ||||||||||
Mutual funds | 5,122 | — | — | — | 5,122 | |||||||||||||||
Total trading securities | $ | 5,122 | $ | 290,733 | $ | — | $ | — | $ | 295,855 | ||||||||||
AFS securities: | ||||||||||||||||||||
GSE and TVA obligations | $ | — | $ | 3,388,639 | $ | — | $ | — | $ | 3,388,639 | ||||||||||
State or local agency obligations | — | 127,002 | — | — | 127,002 | |||||||||||||||
Mutual funds | 1,998 | — | — | — | 1,998 | |||||||||||||||
Other U.S. obligations single family MBS | — | 316,071 | — | — | 316,071 | |||||||||||||||
GSE single-family MBS | — | 2,753,192 | — | — | 2,753,192 | |||||||||||||||
GSE multifamily MBS | — | 886,426 | — | — | 886,426 | |||||||||||||||
Private label MBS: | ||||||||||||||||||||
Private label residential MBS | — | — | 946,912 | — | 946,912 | |||||||||||||||
HELOCs | — | — | 11,131 | — | 11,131 | |||||||||||||||
Total AFS securities | $ | 1,998 | $ | 7,471,330 | $ | 958,043 | $ | — | $ | 8,431,371 | ||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate related | $ | — | $ | 134,627 | $ | — | $ | (83,206 | ) | $ | 51,421 | |||||||||
Mortgage delivery commitments | — | 633 | — | — | 633 | |||||||||||||||
Total derivative assets | $ | — | $ | 135,260 | $ | — | $ | (83,206 | ) | $ | 52,054 | |||||||||
Total assets at fair value | $ | 7,120 | $ | 7,897,323 | $ | 958,043 | $ | (83,206 | ) | $ | 8,779,280 | |||||||||
Liabilities: | ||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate related | $ | — | $ | 440,336 | $ | — | $ | (378,025 | ) | $ | 62,311 | |||||||||
Total derivative liabilities (2) | $ | — | $ | 440,336 | $ | — | $ | (378,025 | ) | $ | 62,311 |
December 31, 2014 | ||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Trading securities: | ||||||||||||||||||||
GSE and TVA obligations | $ | — | $ | 276,295 | $ | — | $ | — | $ | 276,295 | ||||||||||
Mutual funds | 4,721 | — | — | — | 4,721 | |||||||||||||||
Total trading securities | $ | 4,721 | $ | 276,295 | $ | — | $ | — | $ | 281,016 | ||||||||||
AFS securities: | ||||||||||||||||||||
GSE and TVA obligations | $ | — | $ | 3,233,703 | $ | — | $ | — | 3,233,703 | |||||||||||
State or local agency obligations | — | 98,984 | — | — | 98,984 | |||||||||||||||
Mutual funds | 1,998 | — | — | — | 1,998 | |||||||||||||||
Other U.S. obligations single family MBS | — | 329,379 | — | — | 329,379 | |||||||||||||||
GSE single-family MBS | — | 2,882,162 | — | — | 2,882,162 | |||||||||||||||
GSE multifamily MBS | — | 879,827 | — | — | 879,827 | |||||||||||||||
Private label MBS: | ||||||||||||||||||||
Private label residential MBS | — | — | 971,083 | — | 971,083 | |||||||||||||||
HELOCs | — | — | 11,699 | — | 11,699 | |||||||||||||||
Total AFS securities | $ | 1,998 | $ | 7,424,055 | $ | 982,782 | $ | — | $ | 8,408,835 | ||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate related | $ | — | $ | 111,338 | $ | — | $ | (75,555 | ) | $ | 35,783 | |||||||||
Mortgage delivery commitments | — | 434 | — | — | 434 | |||||||||||||||
Total derivative assets | $ | — | $ | 111,772 | $ | — | $ | (75,555 | ) | $ | 36,217 | |||||||||
Total assets at fair value | $ | 6,719 | $ | 7,812,122 | $ | 982,782 | $ | (75,555 | ) | $ | 8,726,068 | |||||||||
Liabilities: | ||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate related | $ | — | $ | 467,685 | $ | — | $ | (408,721 | ) | $ | 58,964 | |||||||||
Total derivative liabilities (2) | $ | — | $ | 467,685 | $ | — | $ | (408,721 | ) | $ | 58,964 |
(in thousands) | AFS Private Label MBS-Residential Three Months Ended March 31, 2015 | AFS Private Label MBS- HELOCs Three Months Ended March 31, 2015 | ||||||
Balance at January 1 | $ | 971,083 | $ | 11,699 | ||||
Total gains (losses) (realized/unrealized) included in: | ||||||||
Accretion of credit losses in interest income | 4,659 | 378 | ||||||
Net unrealized (losses) on AFS in OCI | (15 | ) | — | |||||
Net change in fair value on OTTI AFS in OCI | 709 | (3 | ) | |||||
Unrealized gains (losses) on OTTI AFS in OCI | 1,608 | (253 | ) | |||||
Purchases, issuances, sales, and settlements: | ||||||||
Settlements | (31,132 | ) | (690 | ) | ||||
Balance at March 31 | $ | 946,912 | $ | 11,131 | ||||
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2015 | $ | 4,659 | $ | 378 |
(in thousands) | AFS Private Label MBS-Residential Three Months Ended March 31, 2014 | AFS Private Label MBS- HELOCs Three Months Ended March 31, 2014 | ||||||
Balance at January 1 | $ | 1,123,624 | $ | 14,428 | ||||
Total gains (losses) (realized/unrealized) included in: | ||||||||
Accretion of credit losses in interest income | 2,936 | 330 | ||||||
Net unrealized (losses) on AFS in OCI | (30 | ) | — | |||||
Net change in fair value on OTTI AFS in OCI | 1,998 | 20 | ||||||
Unrealized gains (losses) on OTTI AFS in OCI | (684 | ) | 109 | |||||
Purchases, issuances, sales, and settlements: | ||||||||
Settlements | (50,823 | ) | (864 | ) | ||||
Balance at March 31 | $ | 1,077,021 | $ | 14,023 | ||||
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2014 | $ | 2,936 | $ | 330 |
(in thousands) | March 31, 2015 | December 31, 2014 | |||||||||||
Notional amount | Expiration Date Within One Year | Expiration Date After One Year | Total | Total | |||||||||
Standby letters of credit outstanding (1) (3) | $ | 20,379,054 | $ | — | $ | 20,379,054 | $ | 19,942,125 | |||||
Commitments to fund additional advances and BOB loans | 29,290 | — | 29,290 | 21,124 | |||||||||
Commitments to fund or purchase mortgage loans | 21,726 | — | 21,726 | 18,308 | |||||||||
Unsettled consolidated obligation bonds, at par (2) | 460,865 | — | 460,865 | 95,530 | |||||||||
Unsettled consolidated obligation discount notes, at par | 500,000 | — | 500,000 | 500,000 |
Exhibit 10.5.2 | Supplemental Executive Retirement Plan as amended March 26, 2015 | |
Exhibit 10.6.2 | Supplement Thrift Plan as amended March 26, 2015 | |
Exhibit 31.1 | Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer | |
Exhibit 31.2 | Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer | |
Exhibit 31.3 | Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer | |
Exhibit 32.1 | Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer | |
Exhibit 32.2 | Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer | |
Exhibit 32.3 | Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer | |
Exhibit 101 | Interactive Data File (XBRL) |
1.1 | "Board" or "Board of Directors" means the Board of Directors of the Federal Home Loan Bank of Pittsburgh. |
1.2 | "FIRF Beneficiary" means the person or persons designated by a Retiree under the provisions of the Retirement Fund to receive his/her benefits in the event of his/her death prior to receipt of all benefits thereunder. |
1.3 | "SERP Beneficiary" means the person or persons designated by a Participant under the provisions of this SERP to receive his/her benefits in the event of his/her death prior to receipt of all benefits hereunder. If no person is designated by a Participant or the designated person or persons do not survive the Participant, the Participant’s SERP Beneficiary shall be his/her estate. |
1.4 | "Compensation" means the annual base salary plus incentive compensation, excluding any Deferred Incentive Award as defined in Section 1.5 |
1.5 | “Deferred Incentive Award” means that portion of a Participant’s award under a Bank incentive plan, if any, that is performance based, contingent and subject to payment deferral under the terms of such incentive plan. |
1.6 | "Original Effective Date" means January 1, 1991. |
1.7 | "Human Resources Committee" means the Human Resources Committee of the Board of Directors including any successor Board Committee as shall be designated by the Board from time to time as having responsibility for Bank compensation and benefits programs. |
1.8 | "Participant" means an executive or other key employee who has been recommended by the Bank President, and confirmed by the Board, as eligible to participate in the Plan. |
1.9 | "Plan Administrator" means such officer(s) or manager of the Bank who has been appointed by the Human Resources Committee to administer the Plan as set forth in Section 4.2 of the Plan. The Human Resources Director (and any successor) shall serve as the Plan Administrator unless the Board shall appoint another Bank officer(s) or manager. |
1.10 | "Retiree" means a Participant who has retired under the terms of the Retirement Fund on a normal retirement benefit, an early retirement benefit, or a total and permanent incapacity benefit. |
1.11 | "Supplemental Thrift Plan" means the Federal Home Loan Bank of Pittsburgh Supplemental Thrift Plan. |
1.13 | “Separation from Service” means the Participant’s death, retirement, the time at which the Participant’s services performed for the Bank are permanently reduced to no more than 20 percent of the average level of services performed by the Participant over the preceding 36-month period, or other termination of employment all as set forth in applicable definitions under 26 C.F.R. 1.409A-1(h) and related and successor regulations as may be in effect from time to time. |
2.1 | Participation. An executive or other key employee shall become eligible for Plan participation on the later of the first day of the calendar month coincident with or next following the date his/her participation is approved by the Board or the Effective Date. Once selected as a Participant, a Participant shall continue as a Participant until the Board determines otherwise. No Participant shall have the right to continue as a Participant in the Plan. Upon designation as a Participant, the Participant will be given a copy of the Plan. |
2.2 | Termination of Participation. A Participant's eligibility for Supplemental Benefits under the Plan, if any, shall terminate if his/her employment with the Bank terminates, unless, at that time the Participant is entitled to a vested benefit from the Retirement Fund. A Participant's Supplemental Benefits under this Plan may be subject to Forfeiture for Cause, at any time, as defined in Section 5.6. |
2.3 | Vesting of Supplemental Benefits. Supplemental Benefits in this Plan shall vest when benefits vest under the Retirement Fund subject to the Forfeiture for Cause as defined in Section 5.6. |
3.1 | Obligation to Pay the Supplemental Benefits – Events Which Trigger Payment. The Supplemental Benefits under this Plan shall be payable by the Bank only with respect to Participants who die or terminate employment with the Bank with vested benefits from the Retirement Fund. Consistent with Section 5.2, such Supplemental Benefits shall be payable only from the general assets of the Bank. |
3.2 | Amount of Supplemental Benefits. Except in the case of Participant’s death while in active service, the value, if any, of the Supplemental Benefits shall be equal to the excess of (a) over (b), where: |
3.3 | Amounts Vested as of 12/31/04 – Form of Payment of Supplemental Benefits. A Participant must file a written payment election with the Plan Administrator indicating the form of payment of Supplemental Benefits under this Plan; provided, however, that any election made within one year of the first day (January 1) of the calendar year in which the Participant would become eligible to receive payment of Supplemental Benefits under this Plan shall not be effective, and the election in effect immediately prior to the election(s) made within such one-year period shall be deemed to be the election of the Participant. It is expressly agreed that, except in the case of a Participant’s death in active service or as otherwise provided in this Plan, initial payment of Supplemental Benefits due to a Participant under this Plan shall begin within 90 days following the date of the Participant’s Separation from Service, as defined above. The manner in which such Supplemental Benefits are paid to a Participant shall be in accordance with the Participant’s payment election then in effect. If the Participant has elected a single lump sum payment, such payment shall be made within 90 days of Participant’s Separation from Service. If the Participant has elected a form of payment other than a single lump sum payment, the initial installment shall be paid within 90 days of Participant’s Separation from Service and each remaining annual payment shall be made no later than March 31 of each succeeding year. The available forms of payment of the Supplemental Benefits payable hereunder shall be as follows: |
(a) | a life annuity over the life of the Participant; |
(b) | a 100 percent joint and survivor annuity over the life of the Participant and Participant’s spouse; |
(c) | a 50 percent joint and survivor annuity over the life of the Participant and the Participant’s spouse; |
(d) | a revised retirement allowance during life with some other benefit payable upon the Participant’s death, where either a dollar amount or percentage of the retirement allowance and death benefit respectively are specified in the payment election; |
(e) | a single lump sum payment; or |
(f) | a partial lump sum payment equal to 25 percent, 50 percent or 75 percent of the total benefit and an annual allowance for the remainder of the benefit which must commence at the time of the partial lump sum payment. |
3.4 | Amounts Not Vested as of 12/31/04 – Form and Timing of Payment of Supplemental Benefits. A Participant must file a written payment election with the Plan Administrator indicating the form of payment of Supplemental Benefits under this Plan; provided, however, that any election made within one year of the first day (January 1) of the calendar year in which the Participant would become eligible to receive payment of Supplemental Benefits under this Plan shall not be effective, and the election in effect immediately prior to the election(s) made within such one-year period shall be deemed to be the election of the Participant. Notwithstanding the foregoing, no change in a payment election may be made which impermissibly accelerates any payment, including any revocation of a prior election. Any change in the form of annuity or other installment payment election, from a partial or full lump sum election to an installment or annuity payment election or from an installment or annuity election to a form of lump sum election (“Revised Election”) will become effective on the first January 1 which is twelve months after the date of the election. |
(a) | a life annuity over the life of the Participant; |
(b) | a 100 percent joint and survivor annuity over the life of the Participant and Participant’s spouse; |
(c) | a 50 percent joint and survivor annuity over the life of the Participant and the Participant’s spouse; |
(d) | a revised retirement allowance during life with some other benefit payable upon the Participant’s death, where either a dollar amount or percentage of the retirement allowance and death benefit, respectively, are specified in the payment election; |
(e) | a single lump sum payment; or |
(f) | a partial lump sum payment equal to 25 percent, 50 percent or 75 percent of the total benefit and an annual allowance for the remainder of the benefit which must commence at the time of the partial lump sum payment. |
3.5 | Amounts Not Vested as of 12/31/04 – Revision of Existing Payment Election Prior to 12/31/07. The Plan is hereby amended to permit each Participant, on or before December 31, 2007, to amend his/her current payment election as in effect on June 25, 2007, covering amounts |
3.6 | Death Benefit. In the event of the death of a Participant while in active service, but prior to becoming a Retiree, the death benefit will equal the excess of (a) over (b) where: |
3.7 | Restoration of Employment. If a Participant is restored to employment with the Bank, ongoing payments under the Plan shall be discontinued. Upon death or other Separation from Service with the Bank, the Participant's Supplemental Benefits under the Plan shall be recomputed in the manner of the applicable provisions of this Plan and the Retirement Fund, and shall again become payable to such Participant in accordance with the provisions of the Plan, but be reduced by the amounts already paid to the Participant under the Plan. |
4.1 | Human Resources Committee. The Board has delegated to the Human Resources Committee authority over, and responsibility for, the interpretation and administration of the Plan; except that, the power to determine eligibility for participation in the Plan pursuant to Section 2.1 is reserved to the Board. The Human Resources Committee shall interpret and construe the Plan and have the responsibility to ensure that its provisions are carried out. The Human Resources Committee shall exercise such power and responsibilities in its sole and absolute discretion. The Human Resources Committee shall designate an officer(s) or manager of the Bank to act as administrator of the Plan, to perform those duties set forth below in Section 4.2. |
4.2 | Plan Administrator. The Plan Administrator shall: |
(a) | act as the point of contact for submission of claims for Supplemental Benefits under the Plan; |
(b) | calculate the Supplemental Benefits due under the Plan or arrange for the calculation of Supplemental Benefits; |
(c) | inform Participants of the terms of the Plan and respond to their questions regarding the Plan; |
(d) | review and process claims for the payment of Supplemental Benefits under the Plan; |
(e) | provide necessary reporting to Bank management, Participants, the Human Resources Committee, the Board and others, as necessary; and |
(f) | take such other action as required to perform the tasks listed hereunder or otherwise administer the terms of the Plan. In fulfilling the responsibilities in this section, the Plan Administrator may use other Bank staff, other agents or engage contractors. |
4.3 | Claims Procedure. All claims for Supplemental Benefits shall be in writing and shall be filed with the Plan Administrator. If the Plan Administrator wholly or partially denies a Participant's or SERP Beneficiary's claim for Supplemental Benefits hereunder, the Plan Administrator shall, within 90 days after the Plan's receipt of the claim, give the claimant written notice setting forth in understandable language: |
5.1 | Rights to Employment. The establishment of the Plan, and selection of an executive for inclusion as a Participant in the Plan, shall not be construed as conferring any legal rights upon any Participant or other person for the continuation of employment; nor shall it interfere with the rights of the Bank to discharge any Participant and to treat him/her without regard to the effect such treatment might have upon him/her as a Participant in the Plan. |
5.2 | Source of Funding – Participant as General Creditor. The Bank shall not be required to establish any form of trust or funded account for the purpose of providing the Supplemental Benefits under this Plan. The Bank, in its sole discretion, may choose to establish funding arrangements with respect to the Plan on such terms and conditions as the Bank deems appropriate; provided, however, that the assets of the Bank held pursuant to any such arrangement shall remain subject to the claims of the Bank's general creditors. Any Participant who may have or claim any interest in or right to any Supplemental Benefits payable hereunder, shall rely solely upon the unsecured promise of the Bank as set forth herein, for the payment of the claim. Nothing herein contained should be construed to give to or vest in any Participant, now or at any time in the future, any right, title, interest or claim in or to any specific asset, fund, reserve, account or property of any kind whatever owned by the Bank, or in which the Bank may have any right, title or interest, now or at any time in the future. The Plan is not intended to be a qualified plan within the meaning of Section 401(a) of the Internal Revenue Code and the Bank shall not be required to qualify the Plan under the Internal Revenue Code. |
5.3 | Incapacity. In the event that the Human Resources Committee shall find that a Participant is unable to care for his/her affairs because of illness or accident, the Human Resources Committee may direct that any Supplemental Benefits payment due him/her, unless claim shall have been made therefor by a duly appointed legal representative, be paid to his/her spouse, a child, a parent or other blood relative, or to a person with whom he/she resides, and any such payment so made shall be a complete discharge of the liabilities of the Plan therefor. |
5.4 | Reporting and Withholding of Taxes. The Bank shall file Form W-2 and other applicable tax documents as required under applicable federal and state law, including, without limitation, any required annual federal tax filings of a Participant’s accrued benefits under or payments from the Plan. The Bank shall have the right to deduct from each Supplemental Benefits payment to be made under the Plan any required withholding taxes and shall withhold or cause to be withheld from all payments or accruals of Supplemental Benefits under the Plan (if applicable), all federal, state or local taxes required to be withheld by law. The Participant shall be liable for the payment of all taxes on the Supplemental Benefits under the Plan that are the Participant's responsibility under the laws establishing such taxes. |
5.5 | Alienation of Supplemental Benefits Under the Plan. Supplemental Benefits payable under this Plan shall not be subject in any manner to anticipation, alienation, sale, transfer, assignment, pledge, encumbrance or charge, whether voluntary or involuntary, including any such liability which is for alimony or other payments for the support of a spouse or former spouse, or for any other relative of the Participant, prior to actually being received by the person entitled to the Supplemental Benefits under the terms of the Plan, and any attempt to anticipate, alienate, sell, transfer, assign, pledge, encumber or charge the same shall be void; nor shall any such distribution or payment be in any way liable for or subject to the debts, contracts, liabilities, |
5.6 | Forfeiture for Cause. The Supplemental Benefits otherwise payable under the Plan to a Participant may be subject to forfeiture for cause at any time. "Cause" shall mean: |
5.7 | Compliance with Laws. The provisions of the Plan shall be construed, administered and governed under the laws of the United States including, without limitation, Internal Revenue Code Section 409A and implementing regulations and, to the extent they defer to state law, the laws of the Commonwealth of Pennsylvania. |
5.8 | Construction. Whenever any words are used herein in the masculine gender, they shall be construed as though they were also used in the feminine gender in all cases where they would so apply, and whenever any words are used herein in the singular form, they shall be construed as though they were also used in the plural form in all cases where they would so apply. Titles of Articles and Sections hereof are for convenience of reference only and are not to be taken into account in construing the provisions of this Plan. In case any provision of the Plan shall be held illegal or invalid for any reason, said illegality or invalidity shall not affect the remaining parts of the Plan, but the Plan shall be construed and enforced as if said illegal and invalid provision had never been inserted herein. |
5.9 | Amendment and Termination. The Bank specifically reserves the right, in the sole and unfettered discretion of its Board, at any time, to amend, in whole or in part, any or all of the provisions of the Plan and to terminate the Plan in whole or in part; provided, however, that no such amendment or termination shall reduce or eliminate the rights of a Participant accrued hereunder to the date of such amendment or termination. Provided further, that no such termination shall result in an impermissible acceleration of any amount deferred under this Plan that would violate the provisions of Internal Revenue Code Section 409A(a)(3) or Treasury Regulation Section 1.409A-3(j) or any successor regulations. |
5.10 | Binding on Successors. The Plan shall be binding upon and inure to the benefit of the Bank and its successors and assigns. The Plan shall also be binding upon and inure to the benefit of any successor organization succeeding to substantially all of the assets and business of the Bank. Nothing in the Plan shall preclude the Bank from merging or consolidating into or with, or transferring all or substantially all of its assets to, another organization, which assumes the Plan and all obligations of the Bank hereunder. The Bank agrees that it will make appropriate provision for the preservation of Participants' rights under the Plan in any agreement or plan which it may enter into to effect any merger, consolidation, reorganization or transfer of assets. Upon such a merger, consolidation, reorganization, or transfer of assets and assumption of Plan obligations of the Bank, the term "Bank" shall refer to such other organization and the Plan shall continue in full force and effect. |
5.11 | Permissible Payment Acceleration. In the event of an Internal Revenue Code Section 409A Plan failure that results in income inclusion to a Participant, payment of Participant’s benefits under this Plan shall be accelerated; provided that, the amount of the accelerated payment shall not exceed the amount required to be included in Participant’s income due to the Plan failure. |
VII. | General Provisions 13 |
VIII. | Amendment Effective March 26, 2015 Governing Deferrals of Deferred Incentive Award Installments 16 |
1.1 | "Account" means the book reserve account established and maintained hereunder to record the contributions deemed to be made by the Participant and the Bank, as well as the increase in value attributable to the earnings thereon, all as described hereafter. |
1.2 | “Bank" means the Federal Home Loan Bank of Pittsburgh. |
1.3 | “Bank Deferral" means an amount allocated by the Bank to a Participant’s Account pursuant to Section 3.3. |
1.4 | "Beneficiary" means the person or persons designated by a Participant under the provisions of this Supplemental Thrift Plan to receive his/her benefits in the event of his/her death prior to receipt of all benefits hereunder. If no person is designated by a Participant or the designated person or persons do not survive the Participant, the Participant’s Beneficiary shall be his/her estate. If a Beneficiary who is receiving payments from a Participant’s Account dies before the entire Account has been distributed, the remaining payments shall be made to the Beneficiary’s estate. |
1.5 | "Board" or "Board of Directors" means the Board of Directors of the Federal Home Loan Bank of Pittsburgh. |
1.6 | “Code” means the Internal Revenue Code of 1986, as amended from time to time. |
1.7 | "Compensation" means annual base salary plus incentive compensation, excluding any Deferred Incentive Award as defined in Section 1.11. |
1.8 | "Compensation Deferral Election" means a Participant's irrevocable election to defer a portion of his/her Compensation. |
1.9 | "Deferral Period" means the period commencing with the date a Deferred Amount is first credited to a Participant's Account and continuing until payment of the final installment payment from a Participant's Account. |
1.10 | "Deferred Amount" means the sum of all amounts deferred pursuant to a Participant's Deferral Elections pursuant to Articles III and VIII, plus the Bank match (if applicable), plus investment earnings thereon, plus any increments thereof credited to the Participant's Account, less any benefit payments made from the Participant's Account. |
1.11 | “Deferred Incentive Award” means that portion of a Participant’s award under a Bank incentive plan, if any, that is performance-based, contingent and subject to payment deferral under the terms of such incentive plan. |
1.12 | "Disability" means with respect to eligibility for payment of a Participant’s vested benefit under the Plan through December 31, 2004, a Participant's total or partial disability as determined by the Thrift Plan in accordance with the Thrift Plan in effect at October 3, 2004. With respect to eligibility for payment of a Participant’s vested benefit amounts under the Plan after December 31, 2004, “Disability” means that the Participant is: a) unable to engage in any substantial gainful activity by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than 12 months; b) by reason of any medically determinable physical or mental impairment, which can be expected to result in death or can be expected to last for a continuous period of not less than 12 |
1.13 | "Employee Deferral" means an amount of Compensation deferred by a Participant under the Plan. |
1.14 | "Human Resources Committee" means the Human Resources Committee of the Board including any successor Board Committee as shall be designated by the Board from time to time as having responsibility for Bank compensation and benefits programs. |
1.15 | "Original Effective Date" means January 1, 1991. |
1.16 | "Participant" means an executive or other key employee who has been recommended by the President, and confirmed by the Board, as eligible to participate in the Plan. |
1.17 | "Plan Administrator" means such officer(s) or manager of the Bank who has been appointed by the Human Resources Committee to administer the Plan as set forth in Section 6.1 of the Plan. The Human Resources Director (and any successor) shall serve as the Plan Administrator unless the Board shall appoint another Bank officer(s) or manager. |
1.18 | “Separation from Service” means the Participant’s death, retirement, the time at which the Participant’s services performed for the Bank are permanently reduced to no more than 20 percent of the average level of services performed by the Participant over the preceding 36-month period, or other termination of employment all as set forth in applicable definitions under 26 C.F.R. 1.409A-1(h) and related and successor regulations as may be in effect from time to time. |
1.19 | “Unforeseeable Emergency” means: a) a severe financial hardship to a Participant resulting from an illness or accident of: (i) the Participant; (ii) the Participant’s spouse; (iii) the Participant’s dependent as defined in Code Section 152(a); or (iv) if the Participant is already receiving payments under the Supplemental Thrift Plan, a severe financial hardship resulting from illness or accident of the Beneficiary; b) loss of the Participant’s property due to casualty; or c) other similar extraordinary and unforeseeable circumstances arising as a result of events beyond the control of the Participant. |
2.1 | Eligibility to Participate. A Participant shall become eligible for Plan participation on the later of the first day of the calendar month coincident with or next following the date his/her participation is approved by the Board or the Effective Date. Once selected as a Participant, the Participant shall continue as a Participant until the Board determines otherwise. No Participant shall have the right to continue as a Participant in the Plan. |
2.2 | Termination of Participation. No further Employee Deferrals, Bank Deferrals or deferrals pursuant to Article VIII shall occur with respect to a Participant after the Participant’s employment with the Bank terminates. However, until the amounts in a Participant’s Account are fully paid out to the Participant and/or his/her Beneficiary, the Participant’s Account shall continue to be notionally invested as provided in Section 4.2, and the Participant (or his/her Beneficiary) shall continue to have the right to change such investments by written notice (which includes electronic notice and in the form prescribed by the Plan Administrator) to the Plan Administrator. Once a Participant’s Account has been fully paid out, such Participant shall cease to be a Participant in the Plan and neither the Participant nor his/her Beneficiary shall have any further rights hereunder. |
2.3 | Vesting. All benefits under the Plan are fully vested at all times subject only to Forfeiture for Cause as defined in Section 7.6. For all purposes of the Plan, earnings with respect to amounts in a Participant’s Account which were vested as of December 31, 2004 (and earnings on such earnings) shall be deemed to have been vested as of December 31, 2004 and all other earnings with respect to amounts in a Participant’s Account shall be deemed not to have been vested as of December 31, 2004. |
3.1 | Compensation Deferral Elections. The Plan Administrator shall provide each Participant with a form on which to make a Compensation Deferral Election within 10 days after such Participant becomes eligible to participate in the Plan and at least 30 days prior to the end of each calendar year. Each Participant shall execute and deliver the Deferral Election to the Plan Administrator no later than the last business day of each calendar year with respect to Compensation to be earned as defined in Section 1.7, which includes incentive compensation to be earned in the following calendar year and excludes any Deferred Incentive Award. |
(a) | (i) As to amounts earned in the first calendar year of participation, no modification of a Compensation Deferral Election may be made more than thirty (30) days after a Participant becomes eligible to participate in the Plan; and (ii) as to amounts earned in the second and subsequent calendar years of participation, no modification of a Compensation Deferral Election may be made after December 31 of the calendar year preceding the calendar year in which the amounts are earned; and |
(b) | as to amounts in a Participant’s Account which are not vested as of December 31, 2004, the last four sentences of Section 5.5 shall apply. |
3.2 | Employee Deferrals. Once the Participant has made the maximum amount of employee contributions allowable under the Thrift Plan in a calendar year, additional amounts shall be deferred under this Plan in accordance with the Participant’s Compensation Deferral Election. Amounts deferred under this Plan with respect to any calendar year may not exceed 80 percent of the Participant's Compensation (including amounts earned pursuant to a Bank incentive plan which are includable in the definition of Compensation) less the Participant’s contributions to the Thrift Plan. For this purpose, a Participant’s contributions to the Thrift Plan shall include any after‑tax contributions to the Thrift Plan by such Participant. |
3.3 | Bank Deferrals. For each Employee Deferral, the Bank shall allocate a matching Bank Deferral equal to 200 percent of the Employee Deferral; provided that, Bank Deferrals for each Participant |
4.1 | Accounts. The total of the Employee and Bank Deferrals shall be credited monthly to the applicable Participant Account (to a Sub-Account Titled “Compensation Deferrals”) as the deferred amounts are earned and shall be recorded on the financial books and records of the Bank as a liability owed to the Participant and separate investment elections may be made as to separate sub-accounts. As set forth in Article VIII, any Deferred Incentive Award installments for which an election is made under Article VIII shall be credited to a separate sub-account of such Participant’s Account. |
4.2 | Notional Investments. Effective November 1, 2007, all Employee and Bank Deferrals credited to a Participant's Account will be assumed to be notionally invested in the investment funds selected by Participant from time to time from a list provided to the Participant by the Bank (such list is referred to as the “Eligible Investments”). Such Eligible Investments shall be substantially similar to the investment choices available under the Thrift Plan from time to time. Each Participant's notional share in the investment funds shall be represented by notional units in such funds. Each valuation day the number of new notional units credited to a Participant in the investment funds will be determined by dividing the total amount of such Participant’s Employee and Bank Deferrals notionally invested in the investment funds during the month by the unit value of the investment funds as of the most recent valuation date. The notional allocations of Employee and Bank Deferrals (as applicable) to the investment funds shall be as set forth in the investment election forms completed by each Participant and submitted to the Plan Administrator from time to time. Such election forms may be submitted in electronic form in accordance with instructions from the Plan Administrator or, at the option of the Participant in written form. |
4.3 | Records. The Plan Administrator shall maintain such records as it deems necessary to administer this Plan and shall direct the calculation of amounts in the Participants' Accounts. To this end, the Plan Administrator is authorized to use Bank employees, agents or contractors to calculate the benefits due hereunder. |
5.1 | Amount of Benefits. A Participant's Account shall be valued as of the last day of the month preceding each month with respect to which the Participant is entitled to receive a distribution hereunder, assuming no contributions were made since the last day of the preceding month. If a contribution was made since the last day of the preceding month, the amount of such contribution shall be added to the value determined under the preceding sentence. This Article V shall apply solely to distributions from a Participant’s Compensation Deferral Sub-Account. This Article shall not apply to distributions under Article VIII. |
5.2 | Events Which Trigger Payment of Amounts Vested as of 12/31/04. The amounts in a Participant's Account which are vested as of December 31, 2004, including all earnings thereon, shall become payable to him/her pursuant to Section 5.3 as of the earliest of the date of his/her termination of employment with the Bank, including termination due to death, his/her Disability, or his/her retirement or other Separation from Service as defined above. With respect to amounts in a Participant’s Account which are vested as of December 31, 2004, notwithstanding any deferral election previously made, a Participant may at any time submit a request, through the Plan Administrator, to the Human Resources Committee seeking a distribution of part or all of such amounts for reasons of severe financial hardship or other reasons as permitted under the provisions of the Thrift Plan in its form as of October 3, 2004. The Human Resources Committee may, in its absolute discretion, grant or refuse any such request. It is the intention of the Board that hardship and other withdrawals of amounts in a Participant’s Account which are vested as of December 31, 2004 shall be available for the same reasons as such withdrawals are available from the Thrift Plan (in its form as of October 3, 2004) and that the Participant shall provide such proof and documentation as is required for hardship and other withdrawals from the Thrift Plan. |
5.3 | Amounts Vested as of 12/31/04 – Form and Timing of Payment. When a Participant’s Account is payable pursuant to Section 5.2, it shall be paid in a lump sum within 90 days following the applicable payment event set forth in Section 5.2. Alternatively, if the Participant has so elected, the Participant’s Account shall be paid in from two to ten annual installments. In the case of installment payments, the first installment payment shall be made within 90 days of the applicable payment event set forth in Section 5.2 and each remaining annual installment shall be paid no later than March 31 of each succeeding year. The amount of the installment payment to be distributed in each calendar year shall be the amount calculated by dividing the value of the Participant’s Account as of the immediately preceding month-end by the number of remaining installment payments, including the one whose value is being calculated. The elections and any changes to an election which are permitted hereunder will become effective on the first January 1 which is at least twelve months after the date of the election. Failure to make an election shall result in a lump sum payment within 90 days of the triggering payment event. |
5.4 | Events Which Trigger Payment of Amounts Not Vested as of 12/31/04. The amount in a Participant’s Account which is not vested as of December 31, 2004, including all earnings thereon, shall become payable to him/her pursuant to Section 5.5 as of the earliest of the date of his/her termination of employment with the Bank (including retirement or other Separation from Service as defined above), his/her Disability or his/her death. With respect to amounts in a Participant’s Account which are not vested as of December 31, 2004, notwithstanding any deferral election previously made, in the event that a Participant suffers an Unforeseeable Emergency, the Participant may submit a request, through the Plan Administrator, to the Human Resources Committee seeking a distribution of part or all of the amount credited to such Participant's Account. The Human Resources Committee may, in its absolute discretion, grant or refuse any such request. The amount of a distribution that the Bank may make hereunder in |
5.5 | Amounts Not Vested as of 12/31/04 – Form of Payment. When a Participant’s Account is payable pursuant to Section 5.4, it shall be paid in a lump sum within 90 days following the applicable payment event set forth in Section 5.4. Alternatively, if the Participant has so elected, the Participant’s Account shall be paid in from two to ten annual installments. Failure to make an election at any time shall result in a lump sum payment. Any change in an installment payment election, from an installment payment election to a lump sum election or from a lump sum election to an installment payment election (“Revised Election”) will become effective on the first January 1 which is at least twelve months after the date of the election. In addition, with respect to any such Revised Election which changes the timing of any payment, each payment to be made to the Participant shall be deferred by a date which is at least five years after the date on which such payment would have been made; provided that, for this purpose, a series of installment payments shall be treated as the entitlement to a single payment on the date of the first payment. A Revised Election which changes an Existing Election from installment payments to a lump sum payment shall require that the date of such lump sum payment shall be a date that is at least five years from the date the initial installment payment would have been made. Notwithstanding the foregoing or any provision in this Plan, a Revised Election may not cause the impermissible acceleration of any payment, within the meaning of Internal Revenue Code Section 409A or its implementing regulations. |
5.6 | Amounts Not Vested as of 12/31/04 – Timing and Calculation of Installment Payments. Installment payments under this Plan shall be made as follows: the first payment shall be made within 90 days of the payment event with each remaining annual installment paid no later than March 31 of each succeeding year. The amount of the installment payment to be distributed in each calendar year shall be the amount calculated by dividing the value of the Participant’s Account as of the immediately preceding month end by the number of remaining installment payments, including the one whose value is being calculated. |
5.7 | Amounts Not Vested as of 12/31/04 – Revision of Existing Payment Election Prior to 12/31/07. The Plan is hereby amended to permit each Participant, on or before December 31, 2007, to amend his/her current payment election as in effect on June 25, 2007, covering amounts not vested as of December 31, 2004. Such a revised payment election shall be referred to as a “Transition Election.” Provided that such Transition Election does not result in a payment in 2007, such Transition Election shall become effective upon receipt by the Plan Administrator and shall not be subject to the terms of Section 5.5. Any Transition Election shall be subject to the requirements of I.R.S. Notice 2006-79. |
5.8 | Death Benefits. In the event of a Participant's death prior to the payment of all amounts in the Participant’s Account, the amount then held in the Participant's Account shall become payable to |
5.9 | Loans. No loans are available from the Plan. |
6.1 | Human Resources Committee. The Board has delegated to the Human Resources Committee authority over, and responsibility for, the interpretation and administration of the Plan; except that the power to determine eligibility for participation in the Plan pursuant to Section 2.1 is reserved to the Board. The Human Resources Committee shall interpret and construe the Plan and have the responsibility to ensure that its provisions are carried out. The Human Resources Committee shall exercise such power and responsibilities in its sole and absolute discretion. The Human Resources Committee shall designate the Plan Administrator. |
6.2 | Plan Administration. The Plan Administrator shall: |
(a) | act as the point of contact for submission of claims for benefits due under the Plan; |
(b) | calculate the benefits due under the Plan or arrange for the calculation of benefits; |
(c) | inform Participants of the terms of the Plan and respond to their questions regarding the Plan; |
(d) | review and process claims for the payment of benefits under the Plan; |
(e) | provide necessary reporting to Bank management, Participants, the Human Resources Committee, the Board, and others as necessary; and |
(f) | take such other action as is required to perform the tasks listed hereunder or otherwise administer the terms of the Plan. In fulfilling the responsibilities in this section, the Plan Administrator may use other Bank staff, other agents or engage contractors. |
6.3 | Claims Procedure. All claims for benefits shall be in writing and shall be filed with the Plan Administrator. If the Plan Administrator wholly or partially denies a Participant's or Beneficiary's claim for benefits, the Plan Administrator shall, within 90 days after the Plan's receipt of the claim, give the claimant written notice setting forth in understandable language: |
(a) | the specific reason(s) for the denial; |
(b) | specific reference to pertinent Plan provisions on which the denial is based; |
(c) | a description of any additional material or information which must be submitted to perfect the claim, and an explanation of why such material or information is necessary; and |
(d) | an explanation of the Plan's review procedure. |
7.1 | Rights to Employment. The establishment of the Plan, and selection of an executive for inclusion as a Participant in the Plan, shall not be construed as conferring any legal rights upon any Participant or other person for the continuation of employment; nor shall it interfere with the rights of the Bank to discharge any Participant and to treat him/her without regard to the effect such treatment might have upon him/her as a Participant in the Plan. |
7.2 | Source of Funding – Participant as General Creditor. The Bank has not established any form of trust or funded account for the purpose of providing benefits under this Plan. In the event that the Bank establishes a rabbi trust or other similar arrangement, such arrangement shall preserve this Plan’s status under the Internal Revenue Code as an unfunded nonqualified deferred compensation plan and the assets of the Bank held pursuant to any such arrangement shall remain subject to the claims of the Bank's general creditors. Any Participant who may have or claim any interest in or right to any amount payable hereunder shall rely solely upon the unsecured promise of the Bank, as set forth herein, for the payment of the claim. Nothing herein contained should be construed to give to or vest in any Participant, now or at any time in the future, any right, title, interest or claim in or to any specific asset, fund, reserve, account or property of any kind whatever owned by the Bank, or in which the Bank may have any right, title or interest, now or at any time in the future. The Plan is not intended to be a qualified plan within the meaning of Section 401(a) of the Code and the Bank shall not be required to qualify the Plan under the Code. |
7.3 | Incapacity. In the event that the Human Resources Committee shall find that a Participant is unable to care for his/her affairs because of illness or accident, the Human Resources Committee may direct that any payment due him/her, unless claim shall have been made therefor by a duly appointed legal representative, be paid to his/her spouse, a child, a parent or other blood relative, or to a person with whom he/she resides, and any such payment so made shall be a complete discharge of the liabilities of the Plan therefor. |
7.4 | Reporting and Withholding of Taxes. The Bank shall file Form W-2 and other applicable tax documents as required under applicable federal and state law, including, without limitation, required annual federal tax filings of a Participant’s accrued benefits under the Plan. The Bank shall have the right to deduct from each payment to be made under the Plan any required withholding taxes and shall withhold or cause to be withheld from all payments or accruals of benefits under the Plan (if applicable), all federal, state or local taxes required to be withheld by law. The Participant shall be liable for the payment of all taxes on the benefits under the Plan that are the Participant's responsibility under the laws establishing such taxes. |
7.5 | Alienation of Benefits under the Plan. Benefits payable under this Plan shall not be subject in any manner to anticipation, alienation, sale, transfer, assignment, pledge, encumbrance or charge, whether voluntary or involuntary, including any such liability which is for alimony or other payments for the support of a spouse or former spouse, or for any other relative of the Participant, prior to actually being received by the person entitled to the benefits under the terms of the Plan, and any attempt to anticipate, alienate, sell, transfer, assign, pledge, encumber or charge the same shall be void; nor shall any such distribution or payment be in any way liable for or subject to the debts, contracts, liabilities, engagements or torts of any person entitled to such distribution or payment. If any Participant or Beneficiary is adjudicated bankrupt or purports to anticipate, alienate, sell, transfer, assign, pledge, encumber or charge any such distribution or payment voluntarily or involuntarily, the Bank, in its discretion, may hold or cause to be held or applied such distribution or payment or any part thereof to or for the benefit of such Participant or Beneficiary in such manner as the Bank shall direct. |
7.6 | Forfeiture for Cause. The Bank Deferrals and the earnings on the Bank Deferrals otherwise payable by the Plan may be subject to forfeiture for cause at any time. "Cause" shall mean: |
(a) | the perpetration by a Participant of a defalcation involving the Bank or any affiliate; |
(b) | willful, reckless or grossly negligent conduct of a Participant entailing a substantial violation of any material provision of the laws, rules, regulations or orders of any governmental agency applicable to the Bank or an affiliate; |
(c) | the repeated and deliberate failure by a Participant to comply with reasonable policies or directives of the Board of Directors; or |
(d) | the breach by a Participant of a noncompetitive covenant or agreement with the Bank or affiliate. |
7.7 | Compliance with Laws. The provisions of the Plan shall be construed, administered and governed under the laws of the United States including, without limitation, Internal Revenue Code Section 409A and implementing regulations and, to the extent they defer to state law, the laws of the Commonwealth of Pennsylvania. |
7.8 | Construction. Whenever any words are used herein in the masculine gender, they shall be construed as though they were also used in the feminine gender in all cases where they would so apply, and whenever any words are used herein in the singular form, they shall be construed as though they were also used in the plural form in all cases where they would so apply. Titles of Articles and Sections hereof are for convenience of reference only and are not to be taken into account in construing the provisions of this Plan. In case any provision of the Plan shall be held illegal or invalid for any reason, said illegality or invalidity shall not affect the remaining parts of the Plan, but the Plan shall be construed and enforced as if said illegal and invalid provision had never been inserted herein. |
7.9 | Amendment and Termination. The Bank specifically reserves the right, in the sole and unfettered discretion of its Board, at any time, to amend, in whole or in part, any or all of the provisions of the Plan and to terminate the Plan in whole or in part; provided, however, that no such amendment or termination shall reduce or eliminate the rights of a Participant accrued hereunder to the date of such amendment or termination. Provided further, that no such termination shall result in an impermissible acceleration of any amount deferred under this Plan that would violate the provisions of Internal Revenue Code Section 409A(a)(3) or Treasury Regulation Section 1.409A-3(j) or any successor regulations. |
7.10 | Binding on Successors. The Plan shall be binding upon and inure to the benefit of the Bank and its successors and assigns. The Plan shall also be binding upon and inure to the benefit of any successor organization succeeding to substantially all of the assets and business of the Bank. Nothing in the Plan shall preclude the Bank from merging or consolidating into or with, or transferring all or substantially all of its assets to, another organization which assumes the Plan and all obligations of the Bank hereunder. The Bank agrees that it will make appropriate provision for the preservation of Participants' rights under the Plan in any agreement or plan which it may enter into to effect any merger, consolidation, reorganization or transfer of assets. Upon such a merger, consolidation, reorganization, or transfer of assets and assumption of Plan obligations of the Bank, the term "Bank" shall refer to such other organization and the Plan shall continue in full force and effect. |
7.11 | Permissible Payment Acceleration. In the event of an Internal Revenue Code Section 409A Plan failure that results in income inclusion to a Participant, payment of Participant’s benefits under this Plan shall be accelerated; provided that, the amount of the accelerated payment shall not exceed the amount required to be included in Participant’s income due to the Plan failure. |
8.1 | Definitions Applicable to Article VIII. Terms defined in this Article shall have the meanings set forth herein and shall apply solely to the deferrals of performance-based Deferred Incentive Award installments. Other capitalized terms used in this Article shall have the meanings ascribed to them in the Plan. |
8.2 | Implementation of Deferrals of Deferred Incentive Award Installments. |
(a) | Employee Deferrals – Existing Participants. A Participant may elect to defer a specified percentage of each Deferred Incentive Award installment. Each Participant shall be provided with a Deferred Incentive Installment Election Form (“Deferred Incentive Election Form”) at least 30 days prior to each calendar year. Notwithstanding the foregoing, to the extent that Participant’s Deferred Incentive Award installments constitute “performance-based compensation” as defined by Treasury Regulation 1.409A-2(b) and the following requirements are met: (i) the Participant must be performing services for the Bank continuously from the beginning of the performance period (or date when the criteria are set) through the date of the election, and (ii) the election cannot apply to any portion of the award that is substantially certain to be paid on the date of the election, the Participant may execute and deliver a Deferred Incentive Election Form with respect to each Deferred Incentive Award installment after the beginning of the performance period for such installment, but no later than six months before the end of the performance period; all such elections shall be irrevocable for the performance period for which such deferral is elected. In no event may a Deferred Incentive Election Form be executed and delivered as to any portion of such award that is substantially certain to be paid. |
(b) | Deferrals by New Participants. If a Participant was not employed by the Bank on the first day of the performance period applicable to the Deferred Incentive Award installment, then for purposes of this Section the Participant is only eligible to defer a portion of his or her Deferred Incentive Award installments if he or she makes an initial deferral election within thirty (30) days after the date when he or she first becomes eligible to participate in a Deferred Incentive Award. Furthermore, a deferral election that is subject to this subsection (b) shall only apply to the portion of the Participant's Deferred Incentive Award installment that is earned after the date when the Participant's election is submitted to the administrator of the Plan. In all cases such elections shall be irrevocable for the performance period for which such deferral is elected. |
(c) | Accounts and Investment Vehicles. To the extent that a Participant has made such deferral election(s) as described in (a) or (b) of Section 8.2 as to any Deferred Incentive Award installment payable to the Participant, each such installment that is subject to a deferral election shall (instead of being paid to the Participant in accordance with the terms of the applicable incentive plan): (i) be credited to the Participant’s Account under the Plan (specifically into a sub-account titled “Deferred Incentive Sub-Account”); (ii) shall be invested pursuant to the Participant’s Deferred Incentive Sub-Account investment election form; and (iii) shall receive earnings on the same basis as other amounts in the Participant’s Account receive earnings credit under this Plan in accordance with the terms of Section 4.1 and 4.2. In the absence of a Participant Deferred Incentive Sub-Account investment election form, Sub-Account amounts shall be allocated to a notional money market investment. Deferred Incentive Award installments which the Participant defers under this Section 8.2 shall not be included in |
8.3 | Deferred Incentive Sub-Account Distribution Elections. |
(a) | Initial Distribution Elections |
(b) | Subsequent Distribution Elections |
(c) | Payment of Sub-Account Balance Following Participant’s Death. If a Participant dies prior to receiving the balance credited to his Sub-Account, the balance in his Sub-Account shall be paid to his/her Beneficiary at the same time and in the same manner as if the Participant had continued to live. |
(d) | Unforeseeable Emergency Distribution. The terms and limitations of Section 5.4 of the Plan regarding requests for distributions due to Unforeseeable Emergency shall apply as to the Participant’s Sub-Account balance as well. No loans from the Sub-Account shall be permitted. |
8.4 | Incorporation of Remaining Terms of the Supplemental Thrift Plan. Except as modified through Sections 8.1 through 8.4 or unless stated elsewhere in the Plan, the remaining terms and |
1. | I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
1. | I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
1. | I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
1. | I am the Chief Executive Officer of the Federal Home Loan Bank of Pittsburgh (the registrant). |
2. | I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that: |
l | this Form 10-Q of the registrant for the quarter ended March 31, 2015 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
l | the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented. |
1. | I am the Chief Financial Officer of the Federal Home Loan Bank of Pittsburgh (the registrant). |
2. | I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that: |
l | this Form 10-Q of the registrant for the quarter ended March 31, 2015 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
l | the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented. |
1. | I am the Chief Accounting Officer of the Federal Home Loan Bank of Pittsburgh (the registrant). |
2. | I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that: |
l | this Form 10-Q of the registrant for the quarter ended March 31, 2015 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
l | the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented. |
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