R | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
£ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
FEDERAL HOME LOAN BANK OF PITTSBURGH |
(Exact name of registrant as specified in its charter) |
Federally Chartered Corporation | 25-6001324 | |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) | |
601 Grant Street Pittsburgh, PA 15219 | 15219 | |
(Address of principal executive offices) | (Zip Code) |
£ Large accelerated filer | £ Accelerated filer | S Non-accelerated filer | £ Smaller reporting company |
(Do not check if 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: (Removed and Reserved) | ||
Item 5: Other Information | ||
Item 6: Exhibits | ||
Signature |
3rd Quarter 2011 Average | 2nd Quarter 2011 Average | 3rd Quarter 2010 Average | Year-to-Date 2011 Average | Year-to-Date 2010 Average | ||||||
Target overnight Federal funds rate | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % |
3-month LIBOR (1) | 0.30 | % | 0.26 | % | 0.39 | % | 0.29 | % | 0.36 | % |
2-year U.S. Treasury | 0.28 | % | 0.55 | % | 0.53 | % | 0.50 | % | 0.76 | % |
5-year U.S. Treasury | 1.14 | % | 1.84 | % | 1.54 | % | 1.69 | % | 2.06 | % |
10-year U.S. Treasury | 2.40 | % | 3.19 | % | 2.77 | % | 3.01 | % | 3.31 | % |
15-year mortgage current coupon (2) | 2.44 | % | 3.15 | % | 2.75 | % | 3.01 | % | 3.23 | % |
30-year mortgage current coupon (2) | 3.49 | % | 4.06 | % | 3.54 | % | 3.93 | % | 4.05 | % |
Three Months Ended | |||||||||||||||
(in millions, except per share data) | September 30, 2011 | June 30, 2011 | March 31, 2011 | December 31, 2010 | September 30, 2010 | ||||||||||
Net interest income before provision (reversal) for credit losses | $ | 37.5 | $ | 36.0 | $ | 39.2 | $ | 64.6 | $ | 50.6 | |||||
Provision (reversal) for credit losses | 2.4 | 1.2 | 2.8 | 0.3 | (1.3 | ) | |||||||||
Other income (loss): | |||||||||||||||
Net OTTI credit losses (1) | (6.2 | ) | (10.8 | ) | (20.5 | ) | (13.1 | ) | (7.0 | ) | |||||
Net gains (losses) on derivatives and hedging activities | (5.3 | ) | (0.7 | ) | 0.8 | 3.0 | 4.9 | ||||||||
Net realized gains on AFS securities | — | 7.3 | — | — | 8.4 | ||||||||||
Loss on extinguishment of debt (2) | — | — | — | (12.3 | ) | — | |||||||||
All other income | 4.2 | 2.1 | 3.1 | 3.8 | 2.7 | ||||||||||
Total other income (loss) | (7.3 | ) | (2.1 | ) | (16.6 | ) | (18.6 | ) | 9.0 | ||||||
Other expense | 14.1 | 15.5 | 16.4 | 21.2 | 15.8 | ||||||||||
Income before assessments | 13.7 | 17.2 | 3.4 | 24.5 | 45.1 | ||||||||||
Assessments (3) | 1.8 | 4.5 | 0.9 | 3.0 | — | ||||||||||
Net income | $ | 11.9 | $ | 12.7 | $ | 2.5 | $ | 21.5 | $ | 45.1 | |||||
Earnings per share (4) | $ | 0.34 | $ | 0.34 | $ | 0.06 | $ | 0.53 | $ | 1.11 |
Return on average equity | 1.23 | % | 1.27 | % | 0.25 | % | 2.04 | % | 4.39 | % |
Return on average assets | 0.09 | % | 0.09 | % | 0.02 | % | 0.16 | % | 0.31 | % |
Net interest margin (5) | 0.30 | % | 0.27 | % | 0.30 | % | 0.47 | % | 0.35 | % |
Regulatory capital ratio (6) | 8.45 | % | 7.91 | % | 8.12 | % | 8.28 | % | 8.27 | % |
Total capital ratio (at period-end) (7) | 8.05 | % | 7.59 | % | 7.78 | % | 7.79 | % | 7.73 | % |
Total average equity to average assets | 7.53 | % | 7.69 | % | 7.76 | % | 7.61 | % | 7.01 | % |
Nine Months Ended September 30, | ||||||
(in millions, except per share data) | 2011 | 2010 | ||||
Net interest income before provision (reversal) for credit losses | $ | 112.7 | $ | 168.7 | ||
Provision (reversal) for credit losses | 6.4 | (2.7 | ) | |||
Other income (loss): | ||||||
Net OTTI credit losses (1) | (37.5 | ) | (145.3 | ) | ||
Net losses on derivatives and hedging activities | (5.2 | ) | (7.7 | ) | ||
Net realized gains on AFS securities | 7.3 | 8.3 | ||||
All other income | 9.4 | 7.2 | ||||
Total other losses | (26.0 | ) | (137.5 | ) | ||
Other expense | 46.0 | 47.1 | ||||
Income (loss) before assessments | 34.3 | (13.2 | ) | |||
Assessments (2) | 7.2 | — | ||||
Net income (loss) | $ | 27.1 | $ | (13.2 | ) | |
Earnings (loss) per share (3) | $ | 0.73 | $ | (0.33 | ) |
Return on average equity | 0.91 | % | (0.45 | )% |
Return on average assets | 0.07 | % | (0.03 | )% |
Net interest margin (4) | 0.29 | % | 0.37 | % |
Regulatory capital ratio (5) | 8.45 | % | 8.27 | % |
Total capital ratio (at period-end) (6) | 8.05 | % | 7.73 | % |
Total average equity to average assets | 7.58 | % | 6.41 | % |
September 30, | June 30, | March 31, | December 31, | September 30, | |||||||||||
(in millions) | 2011 | 2011 | 2011 | 2010 | 2010 | ||||||||||
Cash and due from banks | $ | 195.7 | $ | 1,468.1 | $ | 190.2 | $ | 143.4 | $ | 161.5 | |||||
Investments(1) | 16,526.3 | 19,185.5 | 20,812.9 | 18,751.7 | 18,298.7 | ||||||||||
Advances | 25,838.6 | 26,912.4 | 26,658.7 | 29,708.4 | 31,594.9 | ||||||||||
Mortgage loans held for portfolio, net(2) | 4,031.2 | 4,131.3 | 4,254.3 | 4,483.0 | 4,740.8 | ||||||||||
Prepaid REFCORP assessment | — | — | 36.9 | 37.6 | 39.6 | ||||||||||
Total assets | 46,828.7 | 51,946.8 | 52,199.4 | 53,386.7 | 55,139.5 | ||||||||||
Consolidated obligations, net: | |||||||||||||||
Discount notes | 7,465.9 | 10,815.0 | 13,157.6 | 13,082.1 | 12,251.9 | ||||||||||
Bonds | 33,657.3 | 34,891.6 | 33,017.8 | 34,129.3 | 36,401.2 | ||||||||||
Total consolidated obligations, net(3) | 41,123.2 | 45,706.6 | 46,175.4 | 47,211.4 | 48,653.1 | ||||||||||
Deposits and other borrowings | 1,222.7 | 1,192.0 | 1,108.7 | 1,167.0 | 1,164.3 | ||||||||||
Mandatorily redeemable capital stock | 48.1 | 31.5 | 33.1 | 34.2 | 36.0 | ||||||||||
AHP payable | 13.1 | 12.8 | 12.4 | 13.6 | 15.1 | ||||||||||
Payable to REFCORP | — | 3.1 | — | — | — | ||||||||||
Capital stock - putable | 3,483.7 | 3,664.0 | 3,804.6 | 3,986.9 | 4,146.8 | ||||||||||
Retained earnings(4) | 424.4 | 412.5 | 399.8 | 397.3 | 375.8 | ||||||||||
AOCI | (137.0 | ) | (132.1 | ) | (143.5 | ) | (223.3 | ) | (258.9 | ) | |||||
Total capital | 3,771.1 | 3,944.4 | 4,060.9 | 4,160.9 | 4,263.7 |
Three Months Ended September 30, 2011 | ||||||||||||
(in millions) | GAAP Earnings | Lehman Impact | Private Label MBS-OTTI Activity | Non-GAAP Adjusted Earnings | ||||||||
Net interest income before provision for credit losses | $ | 37.5 | $ | — | $ | — | $ | 37.5 | ||||
Provision for credit losses | 2.4 | — | — | 2.4 | ||||||||
Other income (loss): | ||||||||||||
Net OTTI losses | (6.2 | ) | — | 6.2 | — | |||||||
Net losses on derivatives and hedging activities | (5.3 | ) | — | — | (5.3 | ) | ||||||
All other income | 4.2 | (1.9 | ) | — | 2.3 | |||||||
Total other income (loss) | (7.3 | ) | (1.9 | ) | 6.2 | (3.0 | ) | |||||
Other expense | 14.1 | — | — | 14.1 | ||||||||
Income (loss) before assessments | 13.7 | (1.9 | ) | 6.2 | 18.0 | |||||||
Assessments | 1.8 | (0.2 | ) | 0.6 | 2.2 | |||||||
Net income (loss) | $ | 11.9 | $ | (1.7 | ) | $ | 5.6 | $ | 15.8 | |||
Earnings (loss) per share | $ | 0.34 | $ | (0.05 | ) | $ | 0.16 | $ | 0.45 | |||
Return on average equity | 1.23 | % | (0.17 | )% | 0.58 | % | 1.64 | % | ||||
Return on average assets | 0.09 | % | (0.01 | )% | 0.04 | % | 0.12 | % |
Three Months Ended September 30, 2010 | |||||||||
(in millions) | GAAP Earnings | Private Label MBS-OTTI Activity | Non-GAAP Adjusted Earnings | ||||||
Net interest income before provision (reversal) for credit losses | $ | 50.6 | $ | — | $ | 50.6 | |||
Reversal for credit losses | (1.3 | ) | — | (1.3 | ) | ||||
Other income (loss): | |||||||||
Net OTTI losses | (7.0 | ) | 7.0 | — | |||||
Net gains on derivatives and hedging activities | 4.9 | — | 4.9 | ||||||
Net realized gains on AFS securities | 8.4 | (8.4 | ) | — | |||||
All other income | 2.7 | — | 2.7 | ||||||
Total other income | 9.0 | (1.4 | ) | 7.6 | |||||
Other expense | 15.8 | — | 15.8 | ||||||
Income (loss) before assessments | 45.1 | (1.4 | ) | 43.7 | |||||
Assessments (1) | — | 11.6 | 11.6 | ||||||
Net income (loss) | $ | 45.1 | $ | (13.0 | ) | $ | 32.1 | ||
Earnings (loss) per share | $ | 1.11 | $ | (0.32 | ) | $ | 0.79 | ||
Return on average equity | 4.39 | % | (1.26 | )% | 3.13 | % | |||
Return on average assets | 0.31 | % | (0.09 | )% | 0.22 | % |
Nine Months Ended September 30, 2011 | ||||||||||||
(in millions) | GAAP Earnings | Lehman Impact | Private Label MBS-OTTI Activity | Non-GAAP Adjusted Earnings | ||||||||
Net interest income before provision for credit losses | $ | 112.7 | $ | — | $ | — | $ | 112.7 | ||||
Provision for credit losses | 6.4 | — | — | 6.4 | ||||||||
Other income (loss): | ||||||||||||
Net OTTI losses | (37.5 | ) | — | 37.5 | — | |||||||
Net losses on derivatives and hedging activities | (5.2 | ) | — | — | (5.2 | ) | ||||||
Net realized gains on AFS securities | 7.3 | — | (7.3 | ) | — | |||||||
All other income | 9.4 | (1.9 | ) | — | 7.5 | |||||||
Total other income (loss) | (26.0 | ) | (1.9 | ) | 30.2 | 2.3 | ||||||
Other expense | 46.0 | — | — | 46.0 | ||||||||
Income before assessments | 34.3 | (1.9 | ) | 30.2 | 62.6 | |||||||
Assessments | 7.2 | (0.2 | ) | 6.9 | 13.9 | |||||||
Net income (loss) | $ | 27.1 | $ | (1.7 | ) | $ | 23.3 | $ | 48.7 | |||
Earnings (loss) per share | $ | 0.73 | $ | (0.05 | ) | $ | 0.63 | $ | 1.31 | |||
Return on average equity | 0.91 | % | (0.06 | )% | 0.79 | % | 1.64 | % | ||||
Return on average assets | 0.07 | % | (0.01 | )% | 0.06 | % | 0.12 | % |
Nine Months Ended September 30, 2010 | |||||||||
(in millions) | GAAP Earnings | Private Label MBS-OTTI Activity | Non-GAAP Adjusted Earnings | ||||||
Net interest income before reversal for credit losses | $ | 168.7 | $ | — | $ | 168.7 | |||
Reversal for credit losses | (2.7 | ) | — | (2.7 | ) | ||||
Other income (loss): | |||||||||
Net OTTI losses | (145.3 | ) | 145.3 | — | |||||
Net losses on derivatives and hedging activities | (7.7 | ) | — | (7.7 | ) | ||||
Net realized gains on AFS securities | 8.3 | (8.3 | ) | — | |||||
All other income | 7.2 | — | 7.2 | ||||||
Total other income (loss) | (137.5 | ) | 137.0 | (0.5 | ) | ||||
Other expense | 47.1 | — | 47.1 | ||||||
Income (loss) before assessments | (13.2 | ) | 137.0 | 123.8 | |||||
Assessments (1) | — | 32.8 | 32.8 | ||||||
Net income (loss) | $ | (13.2 | ) | $ | 104.2 | $ | 91.0 | ||
Earnings (loss) per share | $ | (0.33 | ) | $ | 2.59 | $ | 2.26 | ||
Return on average equity | (0.45 | )% | 3.56 | % | 3.11 | % | |||
Return on average assets | (0.03 | )% | 0.23 | % | 0.20 | % |
Three Months Ended September 30, | ||||||||||||||
2011 | 2010 | |||||||||||||
(dollars in millions) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | ||||||||
Assets: | ||||||||||||||
Federal funds sold(1) | $ | 5,111.5 | $ | 0.7 | 0.06 | $ | 4,467.3 | $ | 2.0 | 0.18 | ||||
Interest-bearing deposits(2) | 494.6 | 0.1 | 0.08 | 451.5 | 0.2 | 0.19 | ||||||||
Investment securities(3) | 14,005.6 | 75.2 | 2.13 | 14,022.5 | 96.4 | 2.73 | ||||||||
Advances(4) | 26,433.7 | 61.2 | 0.92 | 33,891.9 | 86.5 | 1.01 | ||||||||
Mortgage loans held for portfolio(5) | 4,092.0 | 49.9 | 4.84 | 4,835.0 | 60.2 | 4.94 | ||||||||
Total interest-earning assets | 50,137.4 | 187.1 | 1.48 | 57,668.2 | 245.3 | 1.69 | ||||||||
Allowance for credit losses | (12.0 | ) | (10.3 | ) | ||||||||||
Other assets(6) | 642.2 | 496.5 | ||||||||||||
Total assets | $ | 50,767.6 | $ | 58,154.4 | ||||||||||
Liabilities and capital: | ||||||||||||||
Deposits (2) | $ | 1,229.7 | $ | 0.1 | 0.03 | $ | 1,263.7 | $ | 0.3 | 0.08 | ||||
Consolidated obligation discount notes | 9,635.0 | 1.6 | 0.07 | 12,239.5 | 5.9 | 0.19 | ||||||||
Consolidated obligation bonds(7) | 34,529.5 | 147.9 | 1.70 | 38,722.1 | 188.5 | 1.93 | ||||||||
Other borrowings | 48.9 | 0.07 | 35.7 | — | 0.14 | |||||||||
Total interest-bearing liabilities | 45,443.1 | 149.6 | 1.31 | 52,261.0 | 194.7 | 1.48 | ||||||||
Other liabilities | 1,500.4 | 1,819.0 | ||||||||||||
Total capital | 3,824.1 | 4,074.4 | ||||||||||||
Total liabilities and capital | $ | 50,767.6 | $ | 58,154.4 | ||||||||||
Net interest spread | 0.17 | 0.21 | ||||||||||||
Impact of noninterest-bearing funds | 0.13 | 0.14 | ||||||||||||
Net interest income/net interest margin | $ | 37.5 | 0.30 | $ | 50.6 | 0.35 |
Nine Months Ended September 30, | ||||||||||||||
2011 | 2010 | |||||||||||||
(dollars in millions) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | ||||||||
Assets: | ||||||||||||||
Federal funds sold(1) | $ | 5,052.3 | $ | 3.4 | 0.09 | $ | 4,670.2 | $ | 5.3 | 0.15 | ||||
Interest-bearing deposits(2) | 387.9 | 0.3 | 0.11 | 466.1 | 0.6 | 0.17 | ||||||||
Investment securities(3) | 15,351.9 | 244.4 | 2.13 | 13,807.4 | 303.9 | 2.94 | ||||||||
Advances(4) | 26,972.5 | 187.2 | 0.93 | 37,025.4 | 240.8 | 0.87 | ||||||||
Mortgage loans held for portfolio(5) | 4,219.8 | 153.9 | 4.87 | 4,949.5 | 186.2 | 5.03 | ||||||||
Total interest-earning assets | 51,984.4 | 589.2 | 1.51 | 60,918.6 | 736.8 | 1.62 | ||||||||
Allowance for credit losses | (10.9 | ) | (11.4 | ) | ||||||||||
Other assets(6) | 538.4 | 155.3 | ||||||||||||
Total assets | $ | 52,511.9 | $ | 61,062.5 | ||||||||||
Liabilities and capital: | ||||||||||||||
Deposits (2) | $ | 1,172.1 | $ | 0.4 | 0.04 | $ | 1,283.2 | $ | 0.7 | 0.07 | ||||
Consolidated obligation discount notes | 11,777.5 | 10.2 | 0.12 | 11,258.4 | 13.6 | 0.16 | ||||||||
Consolidated obligation bonds(7) | 34,124.2 | 465.9 | 1.83 | 42,909.2 | 553.8 | 1.73 | ||||||||
Other borrowings | 39.5 | 0.10 | 30.4 | — | 0.23 | |||||||||
Total interest-bearing liabilities | 47,113.3 | 476.5 | 1.35 | 55,481.2 | 568.1 | 1.37 | ||||||||
Other liabilities | 1,415.8 | 1,668.0 | ||||||||||||
Total capital | 3,982.8 | 3,913.3 | ||||||||||||
Total liabilities and capital | $ | 52,511.9 | $ | 61,062.5 | ||||||||||
Net interest spread | 0.16 | 0.25 | ||||||||||||
Impact of noninterest-bearing funds | 0.13 | 0.12 | ||||||||||||
Net interest income/net interest margin | $ | 112.7 | 0.29 | $ | 168.7 | 0.37 |
Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume | ||||||||||||||||||
Three Months Ended September 30 | Nine Months Ended September 30 | |||||||||||||||||
(in millions) | Volume | Rate | Total | Volume | Rate | Total | ||||||||||||
Federal funds sold | $ | 0.3 | $ | (1.6 | ) | $ | (1.3 | ) | $ | 0.4 | $ | (2.3 | ) | $ | (1.9 | ) | ||
Interest-bearing deposits | — | (0.1 | ) | (0.1 | ) | (0.1 | ) | (0.2 | ) | (0.3 | ) | |||||||
Investment securities | (0.1 | ) | (21.1 | ) | (21.2 | ) | 31.3 | (90.8 | ) | (59.5 | ) | |||||||
Advances | (17.8 | ) | (7.5 | ) | (25.3 | ) | (68.9 | ) | 15.3 | (53.6 | ) | |||||||
Mortgage loans held for portfolio | (9.1 | ) | (1.2 | ) | (10.3 | ) | (26.7 | ) | (5.6 | ) | (32.3 | ) | ||||||
Total interest-earning assets | $ | (26.7 | ) | $ | (31.5 | ) | $ | (58.2 | ) | $ | (64.0 | ) | $ | (83.6 | ) | $ | (147.6 | ) |
Interest-bearing deposits | $ | — | $ | (0.2 | ) | $ | (0.2 | ) | $ | — | $ | (0.3 | ) | $ | (0.3 | ) | ||
Consolidated obligation discount notes | (1.1 | ) | (3.2 | ) | (4.3 | ) | 0.6 | (4.0 | ) | (3.4 | ) | |||||||
Consolidated obligation bonds | (19.2 | ) | (21.4 | ) | (40.6 | ) | (118.5 | ) | 30.6 | (87.9 | ) | |||||||
Total interest-bearing liabilities | $ | (20.3 | ) | $ | (24.8 | ) | $ | (45.1 | ) | $ | (117.9 | ) | $ | 26.3 | $ | (91.6 | ) | |
Total increase (decrease) in net interest income | $ | (6.4 | ) | $ | (6.7 | ) | $ | (13.1 | ) | $ | 53.9 | $ | (109.9 | ) | $ | (56.0 | ) |
(in millions) | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||
Product (1) | 2011 | 2010 | 2011 | 2010 | ||||||||
Repo/Mid-Term Repo | $ | 7,353.9 | $ | 12,913.3 | $ | 7,599.1 | $ | 16,108.4 | ||||
Core (Term) | 13,405.7 | 13,327.8 | 13,242.2 | 13,077.4 | ||||||||
Convertible Select | 4,327.4 | 5,994.0 | 4,854.6 | 6,306.6 | ||||||||
Total par value | $ | 25,087.0 | $ | 32,235.1 | $ | 25,695.9 | $ | 35,492.4 |
Three Months Ended September 30, 2011 (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 | $ | 26,433.7 | $ | 61.2 | 0.92 | $ | 197.7 | 2.97 | $ | (136.5 | ) | (2.05 | ) | |||
Mortgage loans held for portfolio | 4,092.0 | 49.9 | 4.84 | 50.5 | 4.90 | (0.6 | ) | (0.06 | ) | |||||||
All other interest-earning assets | 19,611.7 | 76.0 | 1.54 | 76.0 | 1.54 | — | — | |||||||||
Total interest-earning assets | $ | 50,137.4 | $ | 187.1 | 1.48 | $ | 324.2 | 2.57 | $ | (137.1 | ) | (1.09 | ) | |||
Liabilities and capital: | ||||||||||||||||
Consolidated obligation bonds | $ | 34,529.5 | $ | 147.9 | 1.70 | $ | 208.5 | 2.40 | $ | (60.6 | ) | (0.70 | ) | |||
All other interest-bearing liabilities | 10,913.6 | 1.7 | 0.06 | 1.7 | 0.06 | — | — | |||||||||
Total interest-bearing liabilities | $ | 45,443.1 | $ | 149.6 | 1.31 | $ | 210.2 | 1.84 | $ | (60.6 | ) | (0.53 | ) | |||
Net interest income/net interest spread | $ | 37.5 | 0.17 | $ | 114.0 | 0.73 | $ | (76.5 | ) | (0.56 | ) |
Three Months Ended September 30, 2010 (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 | $ | 33,891.9 | $ | 86.5 | 1.01 | $ | 276.5 | 3.24 | $ | (190.0 | ) | (2.23 | ) | |||
Mortgage loans held for portfolio | 4,835.0 | 60.2 | 4.94 | 61.1 | 5.01 | (0.9 | ) | (0.07 | ) | |||||||
All other interest-earning assets | 18,941.3 | 98.6 | 2.07 | 98.6 | 2.07 | — | — | |||||||||
Total interest-earning assets | $ | 57,668.2 | $ | 245.3 | 1.69 | $ | 436.2 | 3.00 | $ | (190.9 | ) | (1.31 | ) | |||
Liabilities and capital: | ||||||||||||||||
Consolidated obligation bonds | $ | 38,722.1 | $ | 188.5 | 1.93 | $ | 272.7 | 2.79 | $ | (84.2 | ) | (0.86 | ) | |||
All other interest-bearing liabilities | 13,538.9 | 6.2 | 0.18 | 6.2 | 0.18 | — | — | |||||||||
Total interest-bearing liabilities | $ | 52,261.0 | $ | 194.7 | 1.48 | $ | 278.9 | 2.12 | $ | (84.2 | ) | (0.64 | ) | |||
Net interest income/net interest spread | $ | 50.6 | 0.21 | $ | 157.3 | 0.88 | $ | (106.7 | ) | (0.67 | ) |
Nine Months Ended September 30, 2011 (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 | $ | 26,972.5 | $ | 187.2 | 0.93 | $ | 606.0 | 3.00 | $ | (418.8 | ) | (2.07 | ) | |||
Mortgage loans held for portfolio | 4,219.8 | 153.9 | 4.87 | 156.0 | 4.94 | (2.1 | ) | (0.07 | ) | |||||||
All other interest-earning assets | 20,792.1 | 248.1 | 1.60 | 248.1 | 1.60 | — | — | |||||||||
Total interest-earning assets | $ | 51,984.4 | $ | 589.2 | 1.51 | $ | 1,010.1 | 2.60 | $ | (420.9 | ) | (1.09 | ) | |||
Liabilities and capital: | ||||||||||||||||
Consolidated obligation bonds | $ | 34,124.2 | $ | 465.9 | 1.83 | $ | 660.3 | 2.59 | $ | (194.4 | ) | (0.76 | ) | |||
All other interest-bearing liabilities | 12,989.1 | 10.6 | 0.11 | 10.6 | 0.11 | — | — | |||||||||
Total interest-bearing liabilities | $ | 47,113.3 | $ | 476.5 | 1.35 | $ | 670.9 | 1.90 | $ | (194.4 | ) | (0.55 | ) | |||
Net interest income/net interest spread | $ | 112.7 | 0.16 | $ | 339.2 | 0.70 | $ | (226.5 | ) | (0.54 | ) |
Nine Months Ended September 30, 2010 (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 | $ | 37,025.4 | $ | 240.8 | 0.87 | $ | 900.6 | 3.25 | $ | (659.8 | ) | (2.38 | ) | |||
Mortgage loans held for portfolio | 4,949.5 | 186.2 | 5.03 | 188.5 | 5.09 | (2.3 | ) | (0.06 | ) | |||||||
All other interest-earning assets | 18,943.7 | 309.8 | 2.19 | 309.8 | 2.19 | — | — | |||||||||
Total interest-earning assets | $ | 60,918.6 | $ | 736.8 | 1.62 | $ | 1,398.9 | 3.07 | $ | (662.1 | ) | (1.45 | ) | |||
Liabilities and capital: | ||||||||||||||||
Consolidated obligation bonds | $ | 42,909.2 | $ | 553.8 | 1.73 | $ | 870.4 | 2.71 | $ | (316.6 | ) | (0.98 | ) | |||
All other interest-bearing liabilities | 12,572.0 | 14.3 | 0.15 | 14.3 | 0.15 | — | — | |||||||||
Total interest-bearing liabilities | $ | 55,481.2 | $ | 568.1 | 1.37 | $ | 884.7 | 2.13 | $ | (316.6 | ) | (0.76 | ) | |||
Net interest income/net interest spread | $ | 168.7 | 0.25 | $ | 514.2 | 0.94 | $ | (345.5 | ) | (0.69 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
(in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||
Services fees | $ | 0.6 | $ | 0.6 | $ | 1.8 | $ | 1.9 | ||||
Net losses on trading securities | (0.5 | ) | — | (0.4 | ) | (0.7 | ) | |||||
Net gains (losses) on derivatives and hedging activities | (5.3 | ) | 4.9 | (5.2 | ) | (7.7 | ) | |||||
Total OTTI losses | (0.1 | ) | — | (3.2 | ) | (22.6 | ) | |||||
Portion of OTTI losses recognized in other comprehensive loss | (6.1 | ) | (7.0 | ) | (34.3 | ) | (122.7 | ) | ||||
Net OTTI credit losses | (6.2 | ) | (7.0 | ) | (37.5 | ) | (145.3 | ) | ||||
Net realized gains on AFS securities | — | 8.4 | 7.3 | 8.3 | ||||||||
Other income, net | 4.1 | 2.1 | 8.0 | 6.0 | ||||||||
Total other income (loss) | $ | (7.3 | ) | $ | 9.0 | $ | (26.0 | ) | $ | (137.5 | ) |
Three Months Ended September 30, 2011 | |||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Total | ||||||||||
Net interest income: | |||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (15.1 | ) | $ | — | $ | — | $ | 8.0 | $ | (7.1 | ) | |||
Net interest settlements included in net interest income (2) | (121.4 | ) | — | — | 52.6 | (68.8 | ) | ||||||||
Total net interest income | $ | (136.5 | ) | $ | — | $ | — | $ | 60.6 | $ | (75.9 | ) | |||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||
Gains (losses) on fair value hedges | $ | (4.3 | ) | $ | — | $ | — | 0.5 | $ | (3.8 | ) | ||||
Gains (losses) on derivatives not receiving hedge accounting | (0.4 | ) | (2.9 | ) | 1.4 | 0.4 | (1.5 | ) | |||||||
Total net gains (losses) on derivatives and hedging activities | $ | (4.7 | ) | $ | (2.9 | ) | $ | 1.4 | $ | 0.9 | $ | (5.3 | ) | ||
Total net effect of derivatives and hedging activities | $ | (141.2 | ) | $ | (2.9 | ) | $ | 1.4 | $ | 61.5 | $ | (81.2 | ) |
Three Months Ended September 30, 2010 | |||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Total | ||||||||||
Net interest income: | |||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (16.1 | ) | $ | 7.3 | $ | (8.8 | ) | |||||||
Net interest settlements included in net interest income (2) | (173.9 | ) | 76.9 | (97.0 | ) | ||||||||||
Total net interest income | $ | (190.0 | ) | $ | — | $ | — | $ | 84.2 | $ | (105.8 | ) | |||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||
Gains (losses) on fair value hedges | $ | 3.9 | $ | 0.4 | $ | 4.3 | |||||||||
Gains (losses) on derivatives not receiving hedge accounting | (0.5 | ) | (0.3 | ) | 1.2 | 0.4 | |||||||||
Other | — | 0.2 | — | 0.2 | |||||||||||
Total net gains (losses) on derivatives and hedging activities | $ | 3.4 | $ | (0.1 | ) | $ | 1.2 | $ | 0.4 | $ | 4.9 | ||||
Total net effect of derivatives and hedging activities | $ | (186.6 | ) | $ | (0.1 | ) | $ | 1.2 | $ | 84.6 | $ | (100.9 | ) |
Nine Months Ended September 30, 2011 | |||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Total | ||||||||||
Net interest income: | |||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (44.6 | ) | $ | — | $ | — | $ | 24.9 | $ | (19.7 | ) | |||
Net interest settlements included in net interest income (2) | (374.2 | ) | — | — | 169.5 | (204.7 | ) | ||||||||
Total net interest income | $ | (418.8 | ) | $ | — | $ | — | $ | 194.4 | $ | (224.4 | ) | |||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||
Gains (losses) on fair value hedges | (3.9 | ) | — | — | 0.8 | $ | (3.1 | ) | |||||||
Gains (losses) on derivatives not receiving hedge accounting | (0.4 | ) | (5.0 | ) | 2.2 | 0.9 | (2.3 | ) | |||||||
Other | — | 0.2 | 0.2 | ||||||||||||
Total net gains (losses) on derivatives and hedging activities | $ | (4.3 | ) | $ | (4.8 | ) | $ | 2.2 | $ | 1.7 | $ | (5.2 | ) | ||
Total net effect of derivatives and hedging activities | $ | (423.1 | ) | $ | (4.8 | ) | $ | 2.2 | $ | 196.1 | $ | (229.6 | ) |
Nine Months Ended September 30, 2010 | |||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Total | ||||||||||
Net interest income: | |||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (29.7 | ) | $ | — | $ | — | $ | 15.6 | $ | (14.1 | ) | |||
Net interest settlements included in net interest income (2) | (630.1 | ) | — | — | 301.0 | (329.1 | ) | ||||||||
Total net interest income | $ | (659.8 | ) | $ | — | $ | — | $ | 316.6 | $ | (343.2 | ) | |||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||
Gains (losses) on fair value hedges | $ | (3.9 | ) | $ | — | $ | — | $ | (0.5 | ) | $ | (4.4 | ) | ||
Gains (losses) on derivatives not receiving hedge accounting | (0.5 | ) | (6.3 | ) | 2.9 | — | (3.9 | ) | |||||||
Other | 0.6 | — | 0.6 | ||||||||||||
Total net gains (losses) on derivatives and hedging activities | $ | (4.4 | ) | $ | (5.7 | ) | $ | 2.9 | $ | (0.5 | ) | $ | (7.7 | ) | |
Total net effect of derivatives and hedging activities | $ | (664.2 | ) | $ | (5.7 | ) | $ | 2.9 | $ | 316.1 | $ | (350.9 | ) |
September 30, | December 31, | |||||
in millions | 2011 | 2010 | ||||
Adjustable/variable-rate indexed: | ||||||
Repo/Mid-Term Repo | $ | 15.0 | $ | 1,020.0 | ||
Core (Term) | 1,748.0 | 998.0 | ||||
Total adjustable/variable-rate indexed | $ | 1,763.0 | $ | 2,018.0 | ||
Fixed rate: | ||||||
Repo/Mid-Term Repo | $ | 7,026.2 | $ | 9,691.9 | ||
Core (Term) | 10,710.3 | 10,898.7 | ||||
Total fixed rate | $ | 17,736.5 | $ | 20,590.6 | ||
Convertible | $ | 4,419.9 | $ | 5,197.2 | ||
Amortizing/mortgage-matched: | ||||||
Core (Term) | $ | 496.7 | $ | 591.2 | ||
Total par balance | $ | 24,416.1 | $ | 28,397.0 | ||
Total callable advances | $ | 2.0 | $ | 22.0 |
September 30, | December 31, | |||
Member Asset Size | 2011 | 2010 | ||
Less than $100 million | 28 | 32 | ||
Between $100 million and $500 million | 115 | 121 | ||
Between $500 million and $1 billion | 44 | 45 | ||
Between $1 billion and $5 billion | 29 | 29 | ||
Greater than $5 billion | 15 | 15 | ||
Total borrowing members during the year | 231 | 242 | ||
Total membership | 300 | 308 | ||
% of members borrowing during the period | 77.0 | % | 78.6 | % |
Total borrowing members with outstanding loan balances at period-end | 194 | 202 | ||
% of members borrowing at period-end | 64.7 | % | 65.6 | % |
September 30, | December 31, | |||||
(in millions) | 2011 | 2010 | ||||
Advances(1) | $ | 25,838.6 | $ | 29,708.4 | ||
Mortgage loans held for portfolio, net(2) | 4,031.2 | 4,483.0 | ||||
Nonaccrual mortgage loans, net(3) | 82.2 | 80.9 | ||||
Mortgage loans 90 days or more delinquent and still accruing interest(4) | 7.9 | 10.4 | ||||
BOB loans, net(5) | 14.6 | 14.1 | ||||
Nonaccrual BOB loans (5) | 0.8 | 19.9 |
in millions | Allowance for Credit Losses (ACL) | Reduction to the ACL due to CE | FLA | Available CE | ||||||||
MPF Original | $ | 1.1 | $ | 1.5 | $ | 2.2 | $ | 85.9 | ||||
MPF Plus | 10.4 | 13.7 | 33.5 | 54.5 |
Carrying Value | ||||||
(in millions) | September 30, 2011 | December 31, 2010 | ||||
Trading securities: | ||||||
U.S. Treasury bills | $ | 729.9 | $ | 879.9 | ||
TLGP investments | 250.1 | 250.1 | ||||
Mutual funds offsetting deferred compensation | 4.1 | 6.0 | ||||
Total trading securities | $ | 984.1 | $ | 1,136.0 | ||
AFS securities: | ||||||
GSE securities | $ | 500.3 | $ | — | ||
MBS: | ||||||
GSE residential MBS | 1,046.6 | — | ||||
Private label residential MBS | 1,777.2 | 2,200.4 | ||||
HELOCs | 16.0 | 15.4 | ||||
Mutual funds partially securing supplemental retirement plan | 2.0 | 2.0 | ||||
Total AFS securities | $ | 3,342.1 | $ | 2,217.8 | ||
HTM securities: | ||||||
Certificates of deposit | $ | 2,200.0 | $ | 3,550.0 | ||
State or local agency obligations | 282.8 | 369.7 | ||||
GSE securities | 292.6 | 803.7 | ||||
MBS: | ||||||
U.S. agency | 2,476.6 | 2,396.0 | ||||
GSE residential MBS | 2,650.2 | 2,646.5 | ||||
Private label residential MBS | 1,735.7 | 2,268.4 | ||||
HELOCs | 18.9 | 23.5 | ||||
Total HTM securities | $ | 9,656.8 | $ | 12,057.8 | ||
Total investment securities | $ | 13,983.0 | $ | 15,411.6 |
(dollars in millions) | Due in 1 year or less | Due after 1 year through 5 years | Due after 5 years through 10 years | Due after 10 years | Carrying Value | ||||||||||
Trading securities: | |||||||||||||||
U.S. Treasury bills | $ | 729.9 | $ | — | $ | — | $ | — | $ | 729.9 | |||||
TLGP investments | 250.1 | — | — | — | 250.1 | ||||||||||
Mutual funds offsetting deferred compensation | 4.1 | — | — | — | 4.1 | ||||||||||
Total trading securities | $ | 984.1 | $ | — | $ | — | $ | — | $ | 984.1 | |||||
Yield on trading securities | 0.53 | % | n/a | n/a | n/a | 0.53 | % | ||||||||
AFS securities: | |||||||||||||||
GSE securities | $ | — | $ | 500.3 | $ | — | $ | — | $ | 500.3 | |||||
MBS: | |||||||||||||||
GSE residential MBS | — | — | 66.2 | 980.4 | 1,046.6 | ||||||||||
Private label residential MBS | — | — | — | 1,777.2 | 1,777.2 | ||||||||||
HELOCs | — | — | — | 16.0 | 16.0 | ||||||||||
Mutual funds partially securing supplemental retirement plan | 2.0 | — | — | — | 2.0 | ||||||||||
Total AFS securities | $ | 2.0 | $ | 500.3 | $ | 66.2 | $ | 2,773.6 | $ | 3,342.1 | |||||
Yield on AFS securities | n/a | 0.56 | % | 2.39 | % | 4.32 | % | 3.79 | % | ||||||
HTM securities: | |||||||||||||||
Certificates of deposit | $ | 2,200.0 | $ | — | $ | — | $ | — | $ | 2,200.0 | |||||
State or local agency obligations | — | 3.9 | 8.1 | 270.8 | 282.8 | ||||||||||
GSE securities | — | 292.6 | — | — | 292.6 | ||||||||||
MBS: | |||||||||||||||
U.S. agency | — | — | 452.3 | 2,024.3 | 2,476.6 | ||||||||||
GSE residential MBS | — | — | 980.4 | 1,669.8 | 2,650.2 | ||||||||||
Private label residential MBS | — | — | 103.8 | 1,631.9 | 1,735.7 | ||||||||||
Private label HELOCs | — | — | — | 18.9 | 18.9 | ||||||||||
Total HTM securities | $ | 2,200.0 | $ | 296.5 | $ | 1,544.6 | $ | 5,615.7 | $ | 9,656.8 | |||||
Yield on HTM securities | 0.19 | % | 1.23 | % | 2.64 | % | 2.08 | % | 1.71 | % | |||||
Total investment securities | $ | 3,186.1 | $ | 796.8 | $ | 1,610.8 | $ | 8,389.3 | $ | 13,983.0 | |||||
Yield on total investment securities | 0.29 | % | 0.81 | % | 2.63 | % | 2.90 | % | 2.18 | % | |||||
Securities purchased under agreements to resell | $ | 500.0 | $ | — | $ | — | $ | — | $ | 500.0 | |||||
Interest-bearing deposits | 13.3 | — | — | — | 13.3 | ||||||||||
Federal funds sold | 2,030.0 | — | — | — | 2,030.0 | ||||||||||
Total investments | $ | 5,729.4 | $ | 796.8 | $ | 1,610.8 | $ | 8,389.3 | $ | 16,526.3 |
Total Book Value | Total Fair Value | |||||
(in millions) | ||||||
Freddie Mac | $ | 2,858.7 | $ | 2,914.4 | ||
Ginnie Mae | 2,024.3 | 2,032.2 | ||||
Fannie Mae | 1,631.1 | 1,656.2 | ||||
U.S. Treasury | 729.9 | 729.9 | ||||
J.P. Morgan Mortgage Trust | 631.1 | 618.2 | ||||
Wells Fargo Mortgage Backed Securities Trust | 450.4 | 434.7 | ||||
National Credit Union Association | 452.3 | 453.3 | ||||
Commonwealth Bank of Australia | 400.0 | 400.0 | ||||
Westpac Banking Corp | 400.0 | 400.0 | ||||
Toronto Dominion Bank | 400.0 | 400.0 | ||||
Total | $ | 9,977.8 | $ | 10,038.9 |
September 30, | June 30, | March 31, | December 31, | |||||||||
(in millions) | 2011 | 2011 | 2011 | 2010 | ||||||||
Permanent capital: | ||||||||||||
Capital stock (1) | $ | 3,531.8 | $ | 3,695.5 | $ | 3,837.7 | $ | 4,021.1 | ||||
Retained earnings | 424.4 | 412.5 | 399.8 | 397.3 | ||||||||
Total permanent capital | $ | 3,956.2 | $ | 4,108.0 | $ | 4,237.5 | $ | 4,418.4 | ||||
RBC requirement: | ||||||||||||
Credit risk capital | $ | 653.7 | $ | 693.2 | $ | 777.4 | $ | 797.6 | ||||
Market risk capital | 268.5 | 397.9 | 484.3 | 448.7 | ||||||||
Operations risk capital | 276.7 | 327.4 | 378.4 | 373.9 | ||||||||
Total RBC requirement | $ | 1,198.9 | $ | 1,418.5 | $ | 1,640.1 | $ | 1,620.2 | ||||
Excess permanent capital over RBC requirements | $ | 2,757.3 | $ | 2,689.5 | $ | 2,597.4 | $ | 2,798.2 | ||||
Note: | ||||||||||||
(1)Capital stock includes mandatorily redeemable capital stock. |
(dollars in millions) | September 30, 2011 | December 31, 2010 | ||||
Capital Ratio | ||||||
Regulatory capital (permanent capital plus off-balance sheet credit reserves) | $ | 3,956.2 | $ | 4,418.6 | ||
Capital ratio (regulatory capital as a % of total assets) - minimum 4.0% | 8.5 | % | 8.3 | % | ||
Leverage Ratio | ||||||
Leverage capital (permanent capital multiplied by a 1.5 weighting factor plus off-balance sheet credit reserves) | $ | 5,934.3 | $ | 6,627.8 | ||
Leverage ratio (leverage capital as a % of total assets) - minimum 5.0% | 12.7 | % | 12.4 | % |
(dollars in millions) | September 30, 2011 | December 31, 2010 | |||||
Commercial banks | $ | 1,904.9 | $ | 2,192.2 | |||
Thrifts | 1,472.1 | 1,705.0 | |||||
Credit unions | 49.9 | 54.9 | |||||
Insurance companies | 56.8 | 34.8 | |||||
Total GAAP capital stock | 3,483.7 | 3,986.9 | |||||
Mandatorily redeemable capital stock | 48.1 | 34.2 | |||||
Total capital stock | $ | 3,531.8 | $ | 4,021.1 |
September 30, 2011 | December 31, 2010 | ||||
Commercial banks | 186 | 191 | |||
Thrifts | 88 | 90 | |||
Credit unions | 23 | 24 | |||
Insurance companies | 3 | 3 | |||
Total | 300 | 308 |
(in years) | Base Case | Up 100 basis points | Up 200 basis points |
Alternative duration of equity: | |||
September 30, 2011 | 1.4 | 2.0 | 3.3 |
December 31, 2010 | 1.3 | 3.2 | 4.1 |
Actual duration of equity: | |||
September 30, 2011 | 2.1 | 2.4 | 3.7 |
December 31, 2010 | 3.0 | 4.2 | 4.5 |
Earned Dividend Spread Yield Curve Shifts(1) (expressed in basis points) | ||||||||||||||||||
Down 100 bps Longer Term Rate Shock | 100 bps Steeper | Forward Rates | 100 bps Flatter | Up 200 bps Parallel Shock | ||||||||||||||
EDS | Volatility | EDS | Volatility | EDS | EDS | Volatility | EDS | Volatility | ||||||||||
Year 1 Return Volatility | ||||||||||||||||||
September 30, 2011 | 136 | 9 | 124 | (3 | ) | 127 | 184 | 57 | 268 | 141 | ||||||||
December 31, 2010 | 129 | (20 | ) | 154 | 5 | 149 | 164 | 15 | 195 | 46 | ||||||||
Year 2 Return Volatility | ||||||||||||||||||
September 30, 2011 | 200 | (19 | ) | 201 | (18 | ) | 219 | 224 | 5 | 350 | 131 | |||||||
December 31, 2010 | 145 | (50 | ) | 206 | 11 | 195 | 185 | (10 | ) | 180 | (15 | ) |
September 30, 2011 | December 31, 2010 | |||||||||
(dollars in millions) | Total Credit Products(1) | % of Total | Total Credit Products | % of Total | ||||||
Sovereign Bank, Reading, PA | $ | 9,345.9 | 29.0 | % | $ | 11,101.3 | 27.7 | % | ||
TD Bank, N.A., Wilmington, DE | 5,764.3 | 17.9 | 8,927.3 | 22.3 | ||||||
Ally Bank, Midvale, UT(2) | 4,110.0 | 12.8 | 5,298.0 | 13.2 | ||||||
Susquehanna Bank, Lititz, PA | 1,324.6 | 4.1 | 1,208.7 | 3.0 | ||||||
Citizens Bank of Pennsylvania, Philadelphia, PA | 1,122.7 | 3.5 | 1,275.8 | 3.2 | ||||||
Northwest Savings Bank, Warren, PA | 732.4 | 2.3 | 782.5 | 2.0 | ||||||
Fulton Bank, NA, Lancaster, PA | 646.7 | 2.0 | 476.9 | 1.2 | ||||||
National Penn Bank, Boyertown, PA | 618.1 | 1.9 | 701.2 | 1.8 | ||||||
PNC Bank, N.A., Wilmington, DE(3) | 594.0 | 1.8 | 1,500.9 | 3.7 | ||||||
Wilmington Savings Fund Society, Wilmington, DE | 568.8 | 1.8 | 489.0 | 1.2 | ||||||
24,827.5 | 77.1 | 31,761.6 | 79.3 | |||||||
Other borrowers | 7,386.2 | 22.9 | 8,303.3 | 20.7 | ||||||
Total TCP outstanding | $ | 32,213.7 | 100.0 | % | $ | 40,064.9 | 100.0 | % |
September 30, 2011 | December 31, 2010 | |||||||||
(dollars in millions) | Loan Balance | % of total | Loan Balance | % of total | ||||||
Sovereign Bank, Reading, PA | $ | 9,345.0 | 38.3 | % | $ | 9,825.0 | 34.6 | % | ||
Ally Bank, Midvale, UT(1) | 4,110.0 | 16.8 | 5,298.0 | 18.7 | ||||||
Susquehanna Bank, Lititz, PA | 914.1 | 3.8 | 899.2 | 3.2 | ||||||
Citizens Bank of Pennsylvania, Philadelphia, PA | 900.0 | 3.7 | 930.0 | 3.3 | ||||||
Northwest Savings Bank, Warren, PA | 695.6 | 2.9 | 745.7 | 2.6 | ||||||
National Penn Bank, Boyertown, PA | 618.1 | 2.5 | 701.2 | 2.5 | ||||||
Wilmington Savings Fund Society FSB, Wilmington, DE | 568.8 | 2.3 | 489.0 | 1.7 | ||||||
PNC Bank, N.A., Wilmington, DE(2) | 500.2 | 2.1 | 1,500.4 | 5.3 | ||||||
Genworth Life Insurance Company, Wilmington, DE | 492.9 | 2.0 | 492.9 | 1.7 | ||||||
Fulton Bank, Lancaster, PA | 398.9 | 1.6 | 439.0 | 1.5 | ||||||
18,543.6 | 76.0 | 21,320.4 | 75.1 | |||||||
Other borrowers | 5,872.5 | 24.0 | 7,076.6 | 24.9 | ||||||
Total advances | $ | 24,416.1 | 100.0 | % | $ | 28,397.0 | 100.0 | % |
(dollars in millions) | September 30, 2011 | December 31, 2010 | ||||
Letters of credit: | ||||||
Public unit deposit | $ | 6,769.1 | $ | 9,694.8 | ||
Tax exempt bonds | 204.0 | 313.5 | ||||
Other | 73.7 | 105.8 | ||||
Total | $ | 7,046.8 | $ | 10,114.1 |
(dollars in millions) | September 30, 2011 | December 31, 2010 | ||||
Expiration terms: | ||||||
One year or less | $ | 6,731.7 | $ | 9,805.3 | ||
After one year through five years | 315.1 | 308.8 | ||||
Total | $ | 7,046.8 | $ | 10,114.1 |
(dollars in millions) All member borrowers | September 30, 2011 | December 31, 2010 | ||||||||
Amount | % | Amount | % | |||||||
One-to-four single family residential mortgage loans | $ | 70,214.0 | 51.7 | % | $ | 63,922.8 | 47.6 | % | ||
High quality investment securities(1) | 4,137.2 | 3.0 | 4,605.9 | 3.4 | ||||||
Other real-estate related collateral/CFI eligible collateral | 53,329.9 | 39.3 | 57,963.9 | 43.2 | ||||||
Multi-family residential mortgage loans | 8,185.1 | 6.0 | 7,743.6 | 5.8 | ||||||
Total eligible collateral value | $ | 135,866.2 | 100.0 | % | $ | 134,236.2 | 100.0 | % | ||
Total TCP outstanding | $ | 32,213.7 | $ | 40,064.9 | ||||||
Collateralization ratio (eligible collateral value to TCP outstanding) | 421.8 | % | 335.0 | % |
(dollars in millions) Ten largest member borrowers | September 30, 2011 | December 31, 2010 | ||||||||
Amount | % | Amount | % | |||||||
One-to-four single family residential mortgage loans | $ | 30,477.1 | 43.4 | % | $ | 25,304.1 | 37.3 | % | ||
High quality investment securities(1) | 531.9 | 0.8 | 1,752.8 | 2.6 | ||||||
Other real-estate related collateral/CFI eligible collateral | 32,643.7 | 46.4 | 34,614.1 | 51.0 | ||||||
Multi-family residential mortgage loans | 6,627.7 | 9.4 | 6,202.7 | 9.1 | ||||||
Total eligible collateral value | $ | 70,280.4 | 100.0 | % | $ | 67,873.7 | 100.0 | % | ||
Total TCP outstanding | $ | 24,827.5 | $ | 31,777.6 | ||||||
Collateralization ratio (eligible collateral value to TCP outstanding) | 283.1 | % | 213.6 | % |
September 30, 2011 | ||||||||||
(dollars in millions) | Number of Members | Number of Members with TCP Outstanding | Total TCP Outstanding | Related Collateral Value | ||||||
Specific collateral pledge - eligible borrowers(1) | 7 | 4 | $ | 520.1 | $ | 652.9 | ||||
Specific collateral pledge - merged borrowers(2) | 2 | 2 | 470.4 | 563.1 | ||||||
Blanket lien delivered | 48 | 38 | 5,236.5 | 7,541.1 | ||||||
Blanket lien undelivered | 248 | 175 | 25,986.7 | 94,446.3 | ||||||
Total | 305 | 219 | $ | 32,213.7 | $ | 103,203.4 |
December 31, 2010 | ||||||||||
(dollars in millions) | Number of Members | Number of Members with TCP Outstanding | Total TCP Outstanding | Related Collateral Value | ||||||
Specific collateral pledge - eligible borrowers(1) | 8 | 2 | $ | 518.8 | $ | 566.8 | ||||
Specific collateral pledge - merged borrowers(2) | 2 | 2 | 381.4 | 413.6 | ||||||
Blanket lien delivered | 58 | 39 | 6,481.9 | 8,098.1 | ||||||
Blanket lien undelivered | 244 | 171 | 32,682.8 | 111,417.1 | ||||||
Total | 312 | 214 | $ | 40,064.9 | $ | 120,495.6 |
September 30, 2011 (1) (2) (3) | |||||||||||||||||||||||||||||||||
Long-Term Rating | Short-Term Rating | ||||||||||||||||||||||||||||||||
(in millions) | AAA | AA | A | BBB | BB | B | Other(4) | A-1/ P-1 | A-2/ P-2 | Not Rated | Total | ||||||||||||||||||||||
Money market investments: | |||||||||||||||||||||||||||||||||
Federal funds sold | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,030.0 | $ | — | $ | — | $ | 2,030.0 | |||||||||||
Securities purchased under agreement to resell | — | — | — | — | — | — | — | — | — | 500.0 | 500.0 | ||||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||||||||||||
Certificates of deposit | — | — | — | — | — | — | — | 2,200.0 | — | — | 2,200.0 | ||||||||||||||||||||||
Treasury bills | — | 729.9 | — | — | — | — | — | — | — | — | 729.9 | ||||||||||||||||||||||
TLGP investments | — | 250.1 | — | — | — | — | — | — | — | — | 250.1 | ||||||||||||||||||||||
GSE securities | — | 792.9 | — | — | — | — | — | — | — | — | 792.9 | ||||||||||||||||||||||
State and local agency obligations | 3.9 | 278.9 | — | — | — | — | — | — | — | — | 282.8 | ||||||||||||||||||||||
Total non-MBS | 3.9 | 2,051.8 | — | — | — | — | — | 2,200.0 | — | — | 4,255.7 | ||||||||||||||||||||||
MBS issued by Federal agencies | — | 2,024.3 | — | — | — | — | — | — | — | — | 2,024.3 | ||||||||||||||||||||||
MBS issued by NCUAs | — | 452.3 | — | — | — | — | — | — | — | — | 452.3 | ||||||||||||||||||||||
MBS issued by GSEs | — | 3,696.8 | — | — | — | — | — | — | — | — | 3,696.8 | ||||||||||||||||||||||
Private label residential MBS | 252.3 | 97.8 | 196.9 | 602.6 | 317.7 | 559.3 | 1,486.3 | — | — | — | 3,512.9 | ||||||||||||||||||||||
Private label HELOCs | — | 16.3 | 2.6 | — | — | 8.5 | 7.5 | — | — | — | 34.9 | ||||||||||||||||||||||
Total MBS | 252.3 | 6,287.5 | 199.5 | 602.6 | 317.7 | 567.8 | 1,493.8 | — | — | — | 9,721.2 | ||||||||||||||||||||||
Total investments | $ | 256.2 | $ | 8,339.3 | $ | 199.5 | $ | 602.6 | $ | 317.7 | $ | 567.8 | $ | 1,493.8 | $ | 4,230.0 | $ | — | $ | 500.0 | $ | 16,506.9 |
December 31, 2010 (1) (2) (3) | ||||||||||||||||||||||||||||||
Long-Term Rating | Short-Term Rating | |||||||||||||||||||||||||||||
(in millions) | AAA | AA | A | BBB | BB | B | Other(4) | A-1/P-1 | A-2/P-2 | Total | ||||||||||||||||||||
Money market investments: | ||||||||||||||||||||||||||||||
Federal funds sold | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,930.0 | $ | 400.0 | $ | 3,330.0 | ||||||||||
Investment securities: | ||||||||||||||||||||||||||||||
Certificates of deposit | — | — | — | — | — | — | — | 3,550.0 | — | 3,550.0 | ||||||||||||||||||||
Treasury bills | 879.9 | — | — | — | — | — | — | — | — | 879.9 | ||||||||||||||||||||
TLGP investments | 250.1 | — | — | — | — | — | — | — | — | 250.1 | ||||||||||||||||||||
GSE securities | 803.7 | — | — | — | — | — | — | — | — | 803.7 | ||||||||||||||||||||
State and local agency obligations | 4.8 | 292.9 | — | 72.0 | — | — | — | — | — | 369.7 | ||||||||||||||||||||
Total non-MBS | 1,938.5 | 292.9 | — | 72.0 | — | — | — | 3,550.0 | — | 5,853.4 | ||||||||||||||||||||
MBS issued by Federal agencies | 2,396.0 | — | — | — | — | — | — | — | — | 2,396.0 | ||||||||||||||||||||
MBS issued by GSEs | 2,646.5 | — | — | — | — | — | — | — | — | 2,646.5 | ||||||||||||||||||||
Private label residential MBS | 1,027.6 | 239.6 | 385.5 | 272.7 | 124.9 | 576.8 | 1,841.7 | — | — | 4,468.8 | ||||||||||||||||||||
Private label HELOCs | — | 19.5 | 4.0 | — | — | 8.3 | 7.1 | — | — | 38.9 | ||||||||||||||||||||
Total MBS | 6,070.1 | 259.1 | 389.5 | 272.7 | 124.9 | 585.1 | 1,848.8 | — | — | 9,550.2 | ||||||||||||||||||||
Total investments | $ | 8,008.6 | $ | 552.0 | $ | 389.5 | $ | 344.7 | $ | 124.9 | $ | 585.1 | $ | 1,848.8 | $ | 6,480.0 | $ | 400.0 | $ | 18,733.6 |
Balances as of September 30, 2011 | |||||||
(in millions) | Private label residential MBS | ||||||
From | To | Carrying Value | Fair Value | ||||
AAA | AA | $ | 52.7 | $ | 49.9 | ||
B | CCC | 17.9 | 17.9 | ||||
B | CC | 169.0 | 169.0 | ||||
CCC | CC | 138.5 | 138.5 | ||||
CCC | C | 14.9 | 14.9 | ||||
CC | C | 388.9 | 388.9 | ||||
$ | 781.9 | $ | 779.1 |
HELOCs | Federal Funds sold | |||||||||||
(in millions) | Carrying Value | Fair Value | Carrying Value | Fair Value | ||||||||
AAA/A-1/P-1 | $ | — | $ | — | $ | 500.0 | $ | 500.0 | ||||
AA | 16.3 | 11.8 | — | — | ||||||||
B | 6.8 | 6.8 | — | — | ||||||||
$ | 23.1 | $ | 18.6 | $ | 500.0 | $ | 500.0 |
September 30, 2011 | December 31, 2010 | |||||||||||||||||
(dollars in millions) | Fixed Rate | Variable Rate | Total | Fixed Rate | Variable Rate | Total | ||||||||||||
Private label residential MBS: | ||||||||||||||||||
Prime | $ | 605.2 | $ | 1,806.5 | $ | 2,411.7 | $ | 860.5 | $ | 2,364.3 | $ | 3,224.8 | ||||||
Alt-A | 699.4 | 857.2 | 1,556.6 | 792.4 | 992.3 | 1,784.7 | ||||||||||||
Subprime | — | 7.6 | 7.6 | — | 8.3 | 8.3 | ||||||||||||
Total | 1,304.6 | 2,671.3 | 3,975.9 | 1,652.9 | 3,364.9 | 5,017.8 | ||||||||||||
HELOC: | ||||||||||||||||||
Alt-A | — | 44.2 | 44.2 | — | 51.8 | 51.8 | ||||||||||||
Total | — | 44.2 | 44.2 | — | 51.8 | 51.8 | ||||||||||||
Total private label MBS | $ | 1,304.6 | $ | 2,715.5 | $ | 4,020.1 | $ | 1,652.9 | $ | 3,416.7 | $ | 5,069.6 |
Private Label MBS by Vintage - Prime | |||||||||||||||
(dollars in millions) | 2007 | 2006 | 2005 | 2004 and earlier | Total | ||||||||||
Par by lowest external long- term rating: | |||||||||||||||
AAA | $ | — | $ | — | $ | 15.3 | $ | 185.5 | $ | 200.8 | |||||
AA | — | — | — | 42.0 | 42.0 | ||||||||||
A | — | — | — | 178.6 | 178.6 | ||||||||||
BBB | — | 84.6 | 9.6 | 301.1 | 395.3 | ||||||||||
Below investment grade: | |||||||||||||||
BB | — | 14.0 | 152.5 | 147.8 | 314.3 | ||||||||||
B | 65.3 | 149.0 | 102.8 | 92.2 | 409.3 | ||||||||||
CCC | 78.2 | — | 93.5 | — | 171.7 | ||||||||||
CC | 330.2 | 243.3 | 69.9 | — | 643.4 | ||||||||||
C | 56.3 | — | — | — | 56.3 | ||||||||||
Total | $ | 530.0 | $ | 490.9 | $ | 443.6 | $ | 947.2 | $ | 2,411.7 | |||||
Amortized cost | $ | 456.3 | $ | 463.4 | $ | 430.9 | $ | 939.6 | $ | 2,290.2 | |||||
Gross unrealized losses | (16.0 | ) | (19.1 | ) | (29.7 | ) | (49.8 | ) | (114.6 | ) | |||||
Fair value | 444.6 | 445.7 | 401.6 | 892.9 | 2,184.8 | ||||||||||
OTTI : | |||||||||||||||
Credit-related OTTI charges taken | $ | (3.2 | ) | $ | (5.7 | ) | $ | (2.9 | ) | $ | (0.2 | ) | $ | (12.0 | ) |
Noncredit-related OTTI charges taken | 3.2 | 4.2 | 1.9 | (0.5 | ) | 8.8 | |||||||||
Total YTD 2011 OTTI charges taken | $ | — | $ | (1.5 | ) | $ | (1.0 | ) | $ | (0.7 | ) | $ | (3.2 | ) | |
Weighted average fair value/par | 83.9 | 90.8 | 90.5 | 94.2 | 90.6 | ||||||||||
Original weighted average credit support | 6.6 | 7.3 | 4.1 | 4.9 | 5.6 | ||||||||||
Weighted-average credit support - current | 3.5 | 5.9 | 5.8 | 10.3 | 7.1 | ||||||||||
Weighted average collateral delinquency(1) | 15.8 | 12.6 | 11.2 | 7.7 | 11.1 |
Private Label MBS by Vintage - Alt-A | |||||||||||||||
(dollars in millions) | 2007 | 2006 | 2005 | 2004 and Earlier | Total | ||||||||||
Par by lowest external long- term rating: | |||||||||||||||
AAA | $ | — | $ | 17.7 | $ | — | $ | 36.2 | $ | 53.9 | |||||
AA | — | — | — | 51.8 | 51.8 | ||||||||||
A | — | — | 14.3 | 5.2 | 19.5 | ||||||||||
BBB | — | — | — | 211.3 | 211.3 | ||||||||||
Below investment grade: | |||||||||||||||
BB | — | — | — | 7.4 | 7.4 | ||||||||||
B | — | — | 135.3 | 46.9 | 182.2 | ||||||||||
CCC | — | 134.1 | 35.3 | — | 169.4 | ||||||||||
CC | — | 96.7 | 11.9 | — | 108.6 | ||||||||||
C | 178.9 | 282.3 | 57.2 | — | 518.4 | ||||||||||
D | 121.7 | 112.4 | — | — | 234.1 | ||||||||||
Total | $ | 300.6 | $ | 643.2 | $ | 254.0 | $ | 358.8 | $ | 1,556.6 | |||||
Amortized cost | $ | 228.5 | $ | 525.4 | $ | 241.6 | $ | 358.2 | $ | 1,353.7 | |||||
Gross unrealized losses | (37.5 | ) | (55.5 | ) | (26.3 | ) | (13.3 | ) | (132.6 | ) | |||||
Fair value | 191.0 | 469.9 | 215.3 | 346.4 | 1,222.6 | ||||||||||
OTTI: | |||||||||||||||
Credit-related OTTI charges taken | $ | (5.0 | ) | $ | (16.7 | ) | $ | (2.3 | ) | $ | (0.6 | ) | $ | (24.6 | ) |
Noncredit-related OTTI charges taken | 5.0 | 16.7 | 2.3 | 0.6 | 24.6 | ||||||||||
Total YTD 2011 OTTI charges taken | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
Weighted average fair value/par | 63.5 | 73.1 | 84.8 | 96.5 | 78.5 | ||||||||||
Original weighted average credit support | 13.5 | 9.9 | 5.8 | 5.3 | 8.9 | ||||||||||
Weighted-average credit Support - current | 3.8 | 3.3 | 7.5 | 12.3 | 6.1 | ||||||||||
Weighted average collateral delinquency(1) | 32.6 | 23.4 | 14.4 | 7.0 | 19.9 |
Original Issuers (in millions) | Total Carrying Value | Total Fair Value | ||||
Lehman Brothers Holdings Inc.(1) | $ | 785.4 | $ | 768.2 | ||
J.P. Morgan Chase & Co. | 751.0 | 738.1 | ||||
Wells Fargo & Co. | 450.4 | 434.7 | ||||
Countrywide Financial Corp.(2) | 392.8 | 386.3 | ||||
Citigroup Inc. | 282.4 | 265.9 | ||||
Other | 885.8 | 850.0 | ||||
Total | $ | 3,547.8 | $ | 3,443.2 |
Current Master Servicers (in millions) | Total Carrying Value | Total Fair Value | ||||
Wells Fargo Bank, NA | $ | 1,317.1 | $ | 1,268.7 | ||
Aurora Loan Services Inc. | 785.4 | 768.2 | ||||
Bank of America Corp | 454.3 | 442.6 | ||||
Citimortgage Inc. | 282.4 | 265.8 | ||||
US Bank | 249.2 | 249.2 | ||||
Other | 459.4 | 448.7 | ||||
Total | $ | 3,547.8 | $ | 3,443.2 |
September 30, 2011 | October 31, 2011(1) | |||||||||||||||||||||
(dollars in millions) | Par | Amort Cost | Gross Unrealized Losses | Wtd-Avg Collateral Del Rate %(2) | % AAA | % AAA | % All Other Inv Grade(3) | % Total Inv Grade | % Below Inv Grade | Current % Watchlist | ||||||||||||
Residential MBS backed by: | ||||||||||||||||||||||
Prime loans: | ||||||||||||||||||||||
First lien | $ | 1,898.1 | $ | 1,800.7 | $ | (114.6 | ) | 12.6 | 2.7 | 0.6 | % | 23.3 | % | 23.9 | % | 76.1 | % | — | % | |||
Alt-A and other: | ||||||||||||||||||||||
Alt-A other | 1,403.7 | 1,208.9 | (132.6 | ) | 21.0 | 2.6 | 2.6 | % | 12.8 | % | 15.4 | % | 84.6 | % | — | % | ||||||
Subprime loans: | ||||||||||||||||||||||
First lien | 7.6 | 6.8 | (1.2 | ) | 31.4 | — | — | % | 65.4 | % | 65.4 | % | 34.6 | % | — | % | ||||||
HELOC backed by: | ||||||||||||||||||||||
Alt-A and other: | ||||||||||||||||||||||
Alt-A other | 40.4 | 36.0 | (8.0 | ) | 8.0 | — | — | % | 46.8 | % | 46.8 | % | 53.2 | % | 65.9 | % |
September 30, 2011 | December 31, 2010 | |||||||||
(in millions) | Private Label MBS | Private Label MBS | State and Local Agency Obligations | |||||||
AMBAC Assurance Corporation (AMBAC) | $ | 11.7 | $ | 14.3 | $ | — | ||||
Financial Guaranty Insurance Co. (FGIC) | 2.7 | 3.1 | — | |||||||
Assured Guaranty Municipal Corp (AGMC) | 16.3 | 19.5 | — | |||||||
MBIA Insurance Corporation (MBIA) | 13.5 | 14.9 | — | |||||||
National Public Finance Guarantee Corp. (NPFG) | — | — | 72.2 | (1) | ||||||
Total | $ | 44.2 | $ | 51.8 | $ | 72.2 |
Moody's | S&P | |||
Ratings | Outlook | Ratings | Outlook | |
AGMC | Aa3 | Negative | AA+ | - |
MBIA | B3 | Negative | B | Negative |
Significant Inputs for Residential MBS | ||||||||||||||||||||
Prepayment Rates | Default Rates | Loss Severities | Current Credit Enhancement | |||||||||||||||||
Year of securitization | Weighted Avg % | Range % | Weighted Avg % | Range % | Weighted Avg % | Range % | Weighted Avg % | Range % | ||||||||||||
Prime: | ||||||||||||||||||||
2007 | 8.3 | 6.0-9.9 | 32.0 | 10.9-58.9 | 47.1 | 39.1-49.7 | 3.5 | 1.5-6.1 | ||||||||||||
2006 | 8.6 | 5.5-10.8 | 17.3 | 2.4-32.5 | 45.1 | 29.2-52.2 | 6.2 | 2.3-10.6 | ||||||||||||
2005 | 7.7 | 5.1-10.9 | 10.4 | 0.9-34.5 | 36.3 | 19.2-55.8 | 6.7 | 0.0-11.9 | ||||||||||||
2004 and prior | 11.8 | 5.8-42.0 | 6.7 | 0.0-23.2 | 27.4 | 0.0-50.1 | 8.5 | 4.2-27.2 | ||||||||||||
Total Prime | 9.3 | 5.1-42.0 | 15.8 | 0.0-58.9 | 38.0 | 0.0-55.8 | 6.4 | 0.0-27.2 | ||||||||||||
Alt-A: | ||||||||||||||||||||
2007 | 7.4 | 6.6-8.5 | 51.2 | 44.1-55.1 | 50.3 | 45.9-55.3 | 3.8 | 0.9-6.3 | ||||||||||||
2006 | 8.1 | 5.9-13.0 | 42.0 | 2.0-62.6 | 48.1 | 17.7-56.7 | 3.0 | 0.0-12.6 | ||||||||||||
2005 | 8.9 | 7.5-14.0 | 24.8 | 12.1-37.3 | 41.6 | 24.6-50.3 | 5.2 | 0.9-15.0 | ||||||||||||
2004 and prior | 10.5 | 6.9-13.0 | 10.8 | 1.0-52.4 | 28.9 | 17.7-41.2 | 13.7 | 5.8-26.6 | ||||||||||||
Total Alt-A | 8.9 | 5.9-14.0 | 31.4 | 1.0-62.6 | 62.6 | 41.2 | 17.7-56.7 | 7.1 | 0.0-26.6 | |||||||||||
Subprime: | ||||||||||||||||||||
2004 and prior | 12.4 | 11.6-12.9 | 42.7 | 36.8-45.8 | 84.5 | 69.9-92.2 | 41.8 | 12.8-57.2 | ||||||||||||
Total Residential MBS | 9.1 | 5.1-42.0 | 22.3 | 0.0-62.6 | 39.4 | 0.0-92.2 | 6.8 | 0.0-57.2 |
Significant Inputs for HELOCs | |||||||||||||||||||||||
Prepayment Rates | Default Rates | Loss Severities | Current Credit Enhancement | ||||||||||||||||||||
Year of Securitization | Weighted Avg % | Range % | Weighted Avg % | Range % | Weighted Avg % | Range % | Weighted Avg % | Range % | |||||||||||||||
HELOCs (Alt-A): | |||||||||||||||||||||||
2006 | 14.6 | 14.6 | 6.3 | 6.3 | 100.0 | 100.0 | — | — | |||||||||||||||
2005 | 10.6 | 10.6 | 0.4 | 0.4 | 100.0 | 100.0 | 49.0 | 49.0 | |||||||||||||||
2004 and prior | 10.5 | 8.8-13.6 | 4.0 | 0.9-8.2 | 100.0 | 100.0 | 2.7 | 0.0-6.1 | |||||||||||||||
Total HELOCs (Alt-A) | 12.0 | 8.8-14.6 | 4.6 | 0.4-8.2 | 100.0 | 100.0 | 4.4 | 0.0-49.0 |
Three Months Ended September 30, 2011 | Three Months Ended September 30, 2010 | |||||||||||||||||
Credit Losses | Net Noncredit Losses | Total Losses | Credit Losses | Net Noncredit Losses | Total Losses | |||||||||||||
Securities newly impaired during the period | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||
Securities previously impaired prior to current period | $ | (6.2 | ) | $ | 6.1 | $ | (0.1 | ) | $ | (7.0 | ) | $ | 7.0 | $ | — | |||
Total | $ | (6.2 | ) | $ | 6.1 | $ | (0.1 | ) | $ | (7.0 | ) | $ | 7.0 | $ | — |
Nine Months Ended September 30, 2011 | Nine Months Ended September 30, 2010 | |||||||||||||||||
Credit Losses | Net Noncredit Losses | Total Losses | Credit Losses | Net Noncredit Losses | Total Losses | |||||||||||||
Securities newly impaired during the period | $ | (0.7 | ) | $ | (2.5 | ) | $ | (3.2 | ) | $ | (2.9 | ) | $ | (19.4 | ) | $ | (22.3 | ) |
Securities previously impaired prior to current period | $ | (36.8 | ) | $ | 36.8 | $ | — | $ | (142.4 | ) | $ | 142.1 | $ | (0.3 | ) | |||
Total | $ | (37.5 | ) | $ | 34.3 | $ | (3.2 | ) | $ | (145.3 | ) | $ | 122.7 | $ | (22.6 | ) |
Housing Price Scenarios | |||||||||||||||||
OTTI Credit Losses - Base vs. Stress Scenario | |||||||||||||||||
For the Three Months Ended September 30, 2011 | |||||||||||||||||
Base Case | Adverse Case | ||||||||||||||||
($ in millions) | # of Securities | Unpaid Principal Balance | OTTI Related to Credit Loss | # of Securities | Unpaid Principal Balance | OTTI Related to Credit Loss | |||||||||||
Prime | 9 | $ | 442.9 | $ | (1.8 | ) | 22 | $ | 1,055.1 | $ | (18.9 | ) | |||||
Alt-A | 5 | 298.7 | (4.2 | ) | 18 | 987.8 | (29.7 | ) | |||||||||
Subprime | — | — | — | 1 | 18.6 | — | |||||||||||
HELOCs | 4 | 19.8 | (0.2 | ) | 5 | 25.2 | (2.8 | ) | |||||||||
Total | 18 | $ | 761.4 | $ | (6.2 | ) | 46 | $ | 2,086.7 | $ | (51.4 | ) |
September 30, 2011 | ||||||||
Rating | Outlook | |||||||
(in millions) | S&P/Fitch/Moody's | S&P/Fitch/Moody's | Unpaid Principal Balance (1) | Maximum Coverage Outstanding (2) | ||||
Republic Mortgage Insurance Company (RMIC) | B+ /- /B1 | — | $ | 6.3 | $ | 2.4 | ||
Mortgage Guaranty Insurance Corp. (MGIC) | B+ /- /Ba3 | Neg / - / Pos | 5.1 | 2.1 | ||||
PMI Mortgage Insurance Co. | R / - / Caa1 | — | 4.7 | 1.7 | ||||
United Guaranty Residential Insurance Co. (UGRIC) | BBB /- / Baa1 | Stable / - / Stable | 2.5 | 0.9 | ||||
Other insurance providers | 4.0 | 1.6 | ||||||
Total | $ | 22.6 | $ | 8.7 |
December 31, 2010 | ||||||||
Rating | Outlook | |||||||
(in millions) | S&P/Fitch/Moody's | S&P/Fitch/Moody's | Unpaid Principal Balance (1) | Maximum Coverage Outstanding (2) | ||||
Republic Mortgage Insurance Company (RMIC) | BBB-/BBB-/Ba1 | Neg/Neg/Neg | $ | 5.4 | $ | 2.0 | ||
PMI Mortgage Insurance Co. | B+/-/B2 | -/-/- | 5.4 | 1.9 | ||||
Mortgage Guaranty Insurance Corp. (MGIC) | B+/-/Ba3 | Neg/-/Pos | 4.7 | 1.8 | ||||
United Guaranty Residential Insurance Co. (UGRIC) | BBB/-/A3 | Stable/-/Neg | 2.5 | 1.0 | ||||
Other insurance providers | 3.6 | 1.4 | ||||||
Total | $ | 21.6 | $ | 8.1 |
September 30, 2011 | |||||||||
(in millions) Credit Rating(1) | Total Notional | Credit Exposure Net of Cash Collateral | Net Credit Exposure | ||||||
AA | $ | 10,654.1 | $ | 28.7 | $ | 28.7 | |||
A | 19,387.0 | 5.8 | 5.8 | ||||||
Subtotal | 30,041.1 | 34.5 | 34.5 | ||||||
Member institutions (2) | 25.7 | 0.3 | 0.3 | ||||||
Total | $ | 30,066.8 | $ | 34.8 | $ | 34.8 |
December 31, 2010 | |||||||||
(in millions) Credit Rating(1) | Total Notional | Credit Exposure Net of Cash Collateral | Net Credit Exposure | ||||||
AA | $ | 9,046.4 | $ | 20.4 | $ | 20.4 | |||
A | 18,358.5 | 2.3 | 2.3 | ||||||
Subtotal | 27,404.9 | 22.7 | 22.7 | ||||||
Member institutions (2) | 21.8 | 0.1 | 0.1 | ||||||
Total | $ | 27,426.7 | $ | 22.8 | $ | 22.8 |
September 30, 2011 | December 31, 2010 | |||||||||||
(dollars in millions) Derivative Counterparty | Credit Rating | Notional | % of Notional | Credit Rating | Notional | % of Notional | ||||||
Deutsche Bank AG | A | $ | 4,519.3 | 15.0 | % | A | $ | 3,701.7 | 13.5 | % | ||
JP Morgan Chase Bank, NA | AA | 4,302.1 | 14.3 | AA | 4,078.7 | 14.9 | ||||||
Credit Suisse International | A | 3,686.0 | 12.3 | A | 4,193.3 | 15.3 | ||||||
Barclays Bank PLC | n/a | — | — | AA | 2,955.7 | 10.8 | ||||||
All others | 17,559.4 | 58.4 | 12,497.3 | 45.5 | ||||||||
Total | $ | 30,066.8 | 100.0 | % | $ | 27,426.7 | 100.0 | % | ||||
September 30, 2011 | December 31, 2010 | |||||||||||
(dollars in millions) Derivative Counterparty | Credit Rating | Net Credit Exposure | % of Total Net Credit Exposure | Credit Rating | Net Credit Exposure | % of Total Net Credit Exposure | ||||||
Royal Bank of Canada | AA | $ | 14.4 | 41.4 | % | AA | $ | 13.3 | 58.5 | % | ||
BNP Paribas | AA | 7.7 | 22.2 | AA | 2.7 | 12.0 | ||||||
HSBC Bank USA, NA | AA | 6.4 | 18.4 | AA | 4.3 | 18.7 | ||||||
UBS AG | A | 5.7 | 16.4 | n/a | — | — | ||||||
All others | 0.6 | 1.6 | 2.5 | 10.8 | ||||||||
Total | $ | 34.8 | 100.0 | % | $ | 22.8 | 100.0 | % | ||||
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||
(in thousands, except per share amounts) | 2011 | 2010 | 2011 | 2010 | ||||||||||
Interest income: | ||||||||||||||
Advances | $ | 59,553 | $ | 86,001 | $ | 184,529 | $ | 238,637 | ||||||
Prepayment fees on advances, net | 1,569 | 443 | 2,571 | 2,163 | ||||||||||
Interest-bearing deposits | 105 | 220 | 312 | 596 | ||||||||||
Securities purchased under agreements to resell | 18 | — | 18 | — | ||||||||||
Federal funds sold | 738 | 2,044 | 3,434 | 5,333 | ||||||||||
Trading securities | 233 | 672 | 1,092 | 2,721 | ||||||||||
AFS securities | 31,850 | 42,126 | 100,439 | 126,197 | ||||||||||
HTM securities | 43,157 | 53,678 | 142,955 | 175,034 | ||||||||||
Mortgage loans held for portfolio | 49,880 | 60,160 | 153,863 | 186,167 | ||||||||||
Total interest income | 187,103 | 245,344 | 589,213 | 736,848 | ||||||||||
Interest expense: | ||||||||||||||
Consolidated obligations - discount notes | 1,661 | 5,943 | 10,225 | 13,577 | ||||||||||
Consolidated obligations - bonds | 147,885 | 188,546 | 465,902 | 553,841 | ||||||||||
Deposits | 96 | 265 | 346 | 677 | ||||||||||
Other borrowings | 8 | 12 | 30 | 52 | ||||||||||
Total interest expense | 149,650 | 194,766 | 476,503 | 568,147 | ||||||||||
Net interest income before provision (reversal) for credit losses | 37,453 | 50,578 | 112,710 | 168,701 | ||||||||||
Provision (reversal) for credit losses | 2,393 | (1,324 | ) | 6,345 | (2,721 | ) | ||||||||
Net interest income after provision (reversal) for credit losses | 35,060 | 51,902 | 106,365 | 171,422 | ||||||||||
Other noninterest income (losses): | ||||||||||||||
Total OTTI losses (Note 5) | (104 | ) | — | (3,223 | ) | (22,598 | ) | |||||||
OTTI losses reclassified from AOCI (Note 5) | (6,069 | ) | (7,060 | ) | (34,306 | ) | (122,766 | ) | ||||||
Net OTTI losses, credit portion (Note 5) | (6,173 | ) | (7,060 | ) | (37,529 | ) | (145,364 | ) | ||||||
Net gains (losses) on trading securities (Note 2) | (550 | ) | 63 | (412 | ) | (659 | ) | |||||||
Net realized gains on sale of AFS securities (Note 3) | — | 8,449 | 7,278 | 8,331 | ||||||||||
Net gains (losses) on derivatives and hedging activities (Note 9) | (5,285 | ) | 4,849 | (5,178 | ) | (7,722 | ) | |||||||
Service fees | 599 | 621 | 1,796 | 1,893 | ||||||||||
Other, net | 4,063 | 2,091 | 8,015 | 5,986 | ||||||||||
Total other noninterest income (loss) | (7,346 | ) | 9,013 | (26,030 | ) | (137,535 | ) | |||||||
Other expense: | ||||||||||||||
Compensation and benefits expense | 6,616 | 9,312 | 23,984 | 26,169 | ||||||||||
Other operating expense | 5,493 | 5,135 | 16,028 | 16,407 | ||||||||||
Finance Agency expense | 1,207 | 870 | 3,799 | 2,720 | ||||||||||
Office of Finance expense | 774 | 529 | 2,244 | 1,808 | ||||||||||
Total other expense | 14,090 | 15,846 | 46,055 | 47,104 | ||||||||||
Income (loss) before assessments | 13,624 | 45,069 | 34,280 | (13,217 | ) | |||||||||
Affordable Housing Program | 1,741 | — | 3,432 | — | ||||||||||
REFCORP | — | — | 3,744 | — | ||||||||||
Total assessments | 1,741 | — | 7,176 | — | ||||||||||
Net income (loss) | $ | 11,883 | $ | 45,069 | $ | 27,104 | $ | (13,217 | ) | |||||
Earnings (loss) per share: | ||||||||||||||
Weighted average shares outstanding (excludes mandatorily redeemable capital stock) | 35,315 | 40,527 | 37,171 | 40,295 | ||||||||||
Basic and diluted earnings (loss) per share | $ | 0.34 | $ | 1.11 | $ | 0.73 | $ | (0.33 | ) |
September 30, 2011 | December 31, 2010 | ||||||
(in thousands, except par value) | |||||||
ASSETS | |||||||
Cash and due from banks | $ | 195,695 | $ | 143,393 | |||
Interest-bearing deposits | 13,291 | 10,094 | |||||
Securities purchased under agreement to resell | 500,000 | — | |||||
Federal funds sold | 2,030,000 | 3,330,000 | |||||
Investment securities: | |||||||
Trading securities (Note 2) | 984,063 | 1,135,981 | |||||
AFS securities, at fair value (Note 3) | 3,342,143 | 2,217,793 | |||||
HTM securities; fair value of $9,607,947 and $11,935,749, respectively (Note 4) | 9,656,766 | 12,057,761 | |||||
Total investment securities | 13,982,972 | 15,411,535 | |||||
Advances (Note 6) | 25,838,638 | 29,708,439 | |||||
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of $11,527 (Note 8) and $3,150, respectively | 4,031,176 | 4,483,059 | |||||
Banking on Business loans, net of allowance for credit losses of $2,705 (Note 8) and $5,753, respectively | 14,594 | 14,154 | |||||
Accrued interest receivable | 137,072 | 153,458 | |||||
Prepaid REFCORP assessment | — | 37,565 | |||||
Premises, software and equipment, net | 16,831 | 19,300 | |||||
Derivative assets (Note 9) | 34,789 | 22,799 | |||||
Other assets | 33,666 | 52,931 | |||||
Total assets | $ | 46,828,724 | $ | 53,386,727 |
September 30, | December 31, | ||||||
(in thousands, except par value) | 2011 | 2010 | |||||
LIABILITIES AND CAPITAL | |||||||
Liabilities | |||||||
Deposits: | |||||||
Interest-bearing | $ | 1,191,094 | $ | 1,128,264 | |||
Noninterest-bearing | 31,560 | 38,736 | |||||
Total deposits | 1,222,654 | 1,167,000 | |||||
Consolidated obligations, net: (Note 10) | |||||||
Discount notes | 7,465,882 | 13,082,116 | |||||
Bonds | 33,657,261 | 34,129,294 | |||||
Total consolidated obligations, net | 41,123,143 | 47,211,410 | |||||
Mandatorily redeemable capital stock (Note 11) | 48,077 | 34,215 | |||||
Accrued interest payable | 168,726 | 167,962 | |||||
Affordable Housing Program payable | 13,136 | 13,602 | |||||
Derivative liabilities (Note 9) | 462,249 | 607,911 | |||||
Other liabilities | 19,639 | 23,745 | |||||
Total liabilities | 43,057,624 | 49,225,845 | |||||
Commitments and contingencies (Note 14) | |||||||
Capital (Note 11) | |||||||
Capital stock - putable ($100 par value) issued and outstanding shares: 34,837 and 39,869 shares | 3,483,737 | 3,986,932 | |||||
Retained earnings: | |||||||
Unrestricted | 422,018 | 397,291 | |||||
Restricted | 2,377 | — | |||||
Total retained earnings | 424,395 | 397,291 | |||||
Accumulated other comprehensive income (loss) (AOCI): | |||||||
Net unrealized gain (loss) on AFS securities | 3,224 | (962 | ) | ||||
Net noncredit portion of OTTI losses on AFS securities | (140,416 | ) | (222,533 | ) | |||
Net unrealized gain relating to hedging activities | 288 | 270 | |||||
Pension and post-retirement benefits | (128 | ) | (116 | ) | |||
Total AOCI | (137,032 | ) | (223,341 | ) | |||
Total capital | 3,771,100 | 4,160,882 | |||||
Total liabilities and capital | $ | 46,828,724 | $ | 53,386,727 |
Nine Months Ended September 30, | ||||||||
(in thousands) | 2011 | 2010 | ||||||
OPERATING ACTIVITIES | ||||||||
Net income (loss) | $ | 27,104 | $ | (13,217 | ) | |||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Depreciation and amortization | 3,726 | 17,169 | ||||||
Change in net fair value adjustment on derivative and hedging activities | 78,121 | 37,030 | ||||||
OTTI credit losses | 37,529 | 145,364 | ||||||
Other adjustments | (1,680 | ) | (11,056 | ) | ||||
Net change in: | ||||||||
Trading securities | 151,918 | 149,967 | ||||||
Accrued interest receivable | 16,402 | 41,576 | ||||||
Other assets | 4,281 | 742 | ||||||
Accrued interest payable | 763 | (93,261 | ) | |||||
Other liabilities(1) | 32,991 | (9,171 | ) | |||||
Total adjustments | 324,051 | 278,360 | ||||||
Net cash provided by operating activities | $ | 351,155 | $ | 265,143 | ||||
INVESTING ACTIVITIES | ||||||||
Net change in: | ||||||||
Interest-bearing deposits (including $(3,197) and $(3,933) from other FHLBanks for mortgage loan program) | $ | (242,827 | ) | $ | 17,875 | |||
Securities purchased under agreement to resell | (500,000 | ) | — | |||||
Federal funds sold | 1,300,000 | (810,000 | ) | |||||
Premises, software and equipment | (1,055 | ) | (2,642 | ) | ||||
AFS securities: | ||||||||
Proceeds from long-term (includes $138,461 and $234,586 from sales of AFS securities) | 599,572 | 659,808 | ||||||
Purchases of long-term | (1,576,013 | ) | — | |||||
HTM securities: | ||||||||
Net change in short-term | 1,350,000 | 50,000 | ||||||
Proceeds from long-term | 1,788,517 | 1,480,731 | ||||||
Purchases of long-term | (814,687 | ) | (2,270,107 | ) | ||||
Advances: | ||||||||
Proceeds | 56,866,598 | 75,396,537 | ||||||
Made | (52,883,955 | ) | (65,528,106 | ) | ||||
Mortgage loans held for portfolio: | ||||||||
Proceeds | 632,520 | 691,286 | ||||||
Purchases | (192,675 | ) | (275,137 | ) | ||||
Net cash provided by investing activities | $ | 6,325,995 | $ | 9,410,245 |
Nine months Ended September 30, | ||||||||
(in thousands) | 2011 | 2010 | ||||||
FINANCING ACTIVITIES | ||||||||
Net change in: | ||||||||
Deposits and pass-through reserves | $ | 67,811 | $ | (90,702 | ) | |||
Net payments for derivative contracts with financing element | (58,070 | ) | (112,731 | ) | ||||
Net proceeds from issuance of consolidated obligations: | ||||||||
Discount notes | 74,493,539 | 47,116,663 | ||||||
Bonds (none from other FHLBanks) | 14,398,186 | 12,492,850 | ||||||
Payments for maturing and retiring consolidated obligations: | ||||||||
Discount notes | (80,106,740 | ) | (45,076,061 | ) | ||||
Bonds (none from other FHLBanks) | (14,930,241 | ) | (25,419,133 | ) | ||||
Proceeds from issuance of capital stock | 55,450 | 160,362 | ||||||
Payments for repurchase/redemption of mandatorily redeemable capital stock | (5,959 | ) | (3,899 | ) | ||||
Payments for repurchase/redemption of capital stock | (538,824 | ) | — | |||||
Net cash (used in) financing activities | $ | (6,624,848 | ) | $ | (10,932,651 | ) | ||
Net increase (decrease) in cash and cash equivalents | $ | 52,302 | $ | (1,257,263 | ) | |||
Cash and due from banks at beginning of the period | 143,393 | 1,418,743 | ||||||
Cash and due from banks at end of the period | $ | 195,695 | $ | 161,480 | ||||
Supplemental disclosures: | ||||||||
Interest paid during the period | $ | 508,974 | $ | 667,978 | ||||
REFCORP payments (receipts), net | (33,821 | ) | — | |||||
AHP payments, net | 3,898 | 9,403 | ||||||
Transfers of mortgage loans to real estate owned | 12,638 | 16,918 | ||||||
Non-cash transfer of OTTI HTM securities to AFS | 90,925 | 319,194 |
Federal Home Loan Bank of Pittsburgh Statement of Changes in Capital (unaudited) | ||||||||||||||||||||||||||
Capital Stock - Putable | Retained Earnings | |||||||||||||||||||||||||
(in thousands) | Shares | Par Value | Unrestricted | Restricted | Total | AOCI | Total Capital | |||||||||||||||||||
December 31, 2009 | 40,181 | $ | 4,018,065 | $ | 388,988 | $ | — | $ | 388,988 | $ | (693,940 | ) | $ | 3,713,113 | ||||||||||||
Proceeds from sale of capital stock | 1,604 | 160,362 | — | — | — | — | 160,362 | |||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (317 | ) | (31,658 | ) | — | — | — | — | (31,658 | ) | ||||||||||||||||
Comprehensive income: | ||||||||||||||||||||||||||
Net income (loss) | — | — | (13,217 | ) | — | (13,217 | ) | — | (13,217 | ) | ||||||||||||||||
Other comprehensive income: | ||||||||||||||||||||||||||
Net unrealized gains (losses) on AFS securities: | ||||||||||||||||||||||||||
Unrealized gains | — | — | — | — | — | 934 | 934 | |||||||||||||||||||
Net noncredit portion of OTTI losses on AFS securities: | ||||||||||||||||||||||||||
Noncredit portion and net change in fair value including losses transferred from HTM securities | — | — | — | — | — | 290,451 | 290,451 | |||||||||||||||||||
Unrealized gains (losses) | 9,567 | 9,567 | ||||||||||||||||||||||||
Reclassification of (losses) included in net income | — | — | — | — | — | (8,331 | ) | (8,331 | ) | |||||||||||||||||
Reclassification of noncredit portion included in net income | — | — | — | — | — | 142,380 | 142,380 | |||||||||||||||||||
Net noncredit portion of OTTI losses on HTM securities: | — | — | ||||||||||||||||||||||||
Net noncredit portion | — | — | — | — | — | (19,614 | ) | (19,614 | ) | |||||||||||||||||
Reclassification of noncredit portion of OTTI losses from HTM to AFS securities | — | — | — | — | — | 19,614 | 19,614 | |||||||||||||||||||
Reclassification adjustment for losses included in net income relating to hedging activities | — | — | — | — | — | (1 | ) | (1 | ) | |||||||||||||||||
Pension and post-retirement benefits | — | — | — | — | — | 41 | 41 | |||||||||||||||||||
Total comprehensive income | — | — | (13,217 | ) | — | (13,217 | ) | 435,041 | 421,824 | |||||||||||||||||
September 30, 2010 | 41,468 | $ | 4,146,769 | $ | 375,771 | $ | — | $ | 375,771 | $ | (258,899 | ) | $ | 4,263,641 | ||||||||||||
Capital Stock - Putable | Retained Earnings | ||||||||||||||||||||||||||
(in thousands) | Shares | Par Value | Unrestricted | Restricted | Total | AOCI | Total Capital | ||||||||||||||||||||
December 31, 2010 | 39,869 | $ | 3,986,932 | $ | 397,291 | $ | — | $ | 397,291 | $ | (223,341 | ) | — | $ | 4,160,882 | ||||||||||||
Proceeds from sale of capital stock | 554 | 55,450 | — | — | 55,450 | ||||||||||||||||||||||
Repurchase/redemption of capital stock | (5,388 | ) | (538,824 | ) | — | — | — | — | (538,824 | ) | |||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (198 | ) | (19,821 | ) | — | — | — | — | (19,821 | ) | |||||||||||||||||
Comprehensive income: | |||||||||||||||||||||||||||
Net income | — | — | 24,727 | 2,377 | 27,104 | — | 27,104 | ||||||||||||||||||||
Other comprehensive income : | |||||||||||||||||||||||||||
Net unrealized gains (losses) on AFS securities: | |||||||||||||||||||||||||||
Unrealized gains | — | — | — | — | — | 4,186 | 4,186 | ||||||||||||||||||||
Net noncredit portion of OTTI losses on AFS securities: | |||||||||||||||||||||||||||
Noncredit portion and net change in fair value including losses transferred from HTM securities | — | — | — | — | — | 44,860 | 44,860 | ||||||||||||||||||||
Unrealized gains (losses) | 7,446 | 7,446 | |||||||||||||||||||||||||
Reclassification of losses included in net income | — | — | — | — | — | (7,278 | ) | (7,278 | ) | ||||||||||||||||||
Reclassification of noncredit portion included in net income | — | — | — | — | — | 37,089 | 37,089 | ||||||||||||||||||||
Net noncredit portion of OTTI losses on HTM securities: | |||||||||||||||||||||||||||
Net noncredit portion | — | — | — | — | — | (2,697 | ) | (2,697 | ) | ||||||||||||||||||
Reclassification of noncredit portion of OTTI losses from HTM to AFS securities | — | — | — | — | — | 2,697 | 2,697 | ||||||||||||||||||||
Reclassification adjustment for gains included in net income relating to hedging activities | — | — | — | — | — | 18 | 18 | ||||||||||||||||||||
Pension and post-retirement benefits | — | — | — | — | — | (12 | ) | (12 | ) | ||||||||||||||||||
Total comprehensive income | — | — | 24,727 | 2,377 | 27,104 | 86,309 | 113,413 | ||||||||||||||||||||
September 30, 2011 | 34,837 | $ | 3,483,737 | $ | 422,018 | $ | 2,377 | $ | 424,395 | $ | (137,032 | ) | $ | 3,771,100 | |||||||||||||
September 30, 2011 | December 31, 2010 | |||||
(in thousands) | ||||||
TLGP investments | $ | 250,057 | $ | 250,094 | ||
U.S. Treasury bills | 729,918 | 879,861 | ||||
Mutual funds offsetting deferred compensation | 4,088 | 6,026 | ||||
Total | $ | 984,063 | $ | 1,135,981 |
Net Gains (Losses) on Trading Securities | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
(in thousands) | 2011 | 2010 | 2011 | 2010 | ||||||||
Net unrealized gains (losses) on trading securities held at period-end | $ | (535 | ) | $ | 50 | $ | (348 | ) | $ | 332 | ||
Net realized gains (losses) on securities sold/matured during the period | (15 | ) | 13 | (64 | ) | (991 | ) | |||||
Net gains (losses) on trading securities | $ | (550 | ) | $ | 63 | $ | (412 | ) | $ | (659 | ) |
September 30, 2011 | |||||||||||||||||||
(in thousands) | Amortized Cost(1) | OTTI Recognized in OCI(2) | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | ||||||||||||||
Mutual funds partially securing supplemental retirement plan | $ | 1,993 | $ | — | $ | 5 | $ | — | $ | 1,998 | |||||||||
GSE securities | 500,000 | — | 403 | — | 500,403 | ||||||||||||||
Subtotal | 501,993 | — | 408 | — | 502,401 | ||||||||||||||
MBS: | |||||||||||||||||||
GSE residential MBS | 1,043,015 | — | 3,766 | (224 | ) | 1,046,557 | |||||||||||||
Private label MBS: | |||||||||||||||||||
Private label residential MBS | 1,915,014 | (140,983 | ) | 4,845 | (1,660 | ) | 1,777,216 | ||||||||||||
HELOCs | 19,313 | (3,344 | ) | — | — | 15,969 | |||||||||||||
Total private label MBS | 1,934,327 | (144,327 | ) | 4,845 | (1,660 | ) | 1,793,185 | ||||||||||||
Total MBS | $ | 2,977,342 | $ | (144,327 | ) | $ | 8,611 | $ | (1,884 | ) | $ | 2,839,742 | |||||||
Total AFS securities | $ | 3,479,335 | $ | (144,327 | ) | $ | 9,019 | $ | (1,884 | ) | $ | 3,342,143 |
December 31, 2010 | |||||||||||||||||||
(in thousands) | Amortized Cost(1) | OTTI Recognized in OCI(2) | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | ||||||||||||||
Mutual funds partially securing supplemental retirement plan | $ | 1,993 | $ | — | $ | 5 | $ | — | $ | 1,998 | |||||||||
Private label MBS: | |||||||||||||||||||
Private label residential MBS | 2,416,874 | (217,396 | ) | 1,927 | (967 | ) | 2,200,438 | ||||||||||||
HELOCs | 22,421 | (7,064 | ) | — | — | 15,357 | |||||||||||||
Total private label MBS | 2,439,295 | (224,460 | ) | 1,927 | (967 | ) | 2,215,795 | ||||||||||||
Total AFS securities | $ | 2,441,288 | $ | (224,460 | ) | $ | 1,932 | $ | (967 | ) | $ | 2,217,793 |
(in thousands) | September 30, 2011 | December 31, 2010 | ||||
Total OTTI loss recognized in OCI | $ | (144,327 | ) | $ | (224,460 | ) |
Subsequent unrecognized changes in fair value | 3,911 | 1,927 | ||||
Net noncredit portion of OTTI losses on AFS securities in AOCI | $ | (140,416 | ) | $ | (222,533 | ) |
September 30, 2011 | |||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses(1) | |||||||||||||||||
MBS: | |||||||||||||||||||||||
GSE residential MBS | $ | 237,777 | $ | (224 | ) | $ | — | $ | — | $ | 237,777 | $ | (224 | ) | |||||||||
Private label: | |||||||||||||||||||||||
Private label residential MBS | 197,346 | (4,409 | ) | 1,391,971 | (138,234 | ) | 1,589,317 | (142,643 | ) | ||||||||||||||
HELOCs | — | — | 13,774 | (3,344 | ) | 13,774 | (3,344 | ) | |||||||||||||||
Total private label MBS | 197,346 | (4,409 | ) | 1,405,745 | (141,578 | ) | 1,603,091 | (145,987 | ) | ||||||||||||||
Total MBS | 435,123 | (4,633 | ) | 1,405,745 | (141,578 | ) | 1,840,868 | (146,211 | ) | ||||||||||||||
Total AFS securities | $ | 435,123 | $ | (4,633 | ) | $ | 1,405,745 | $ | (141,578 | ) | $ | 1,840,868 | $ | (146,211 | ) |
December 31, 2010 | |||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses(1) | |||||||||||||||||
Private label: | |||||||||||||||||||||||
Private label residential MBS | $ | — | $ | — | $ | 2,022,863 | $ | (218,363 | ) | $ | 2,022,863 | $ | (218,363 | ) | |||||||||
HELOCs | — | — | 15,357 | (7,064 | ) | 15,357 | (7,064 | ) | |||||||||||||||
Total private label MBS | — | — | 2,038,220 | (225,427 | ) | 2,038,220 | (225,427 | ) | |||||||||||||||
Total AFS securities | $ | — | $ | — | $ | 2,038,220 | $ | (225,427 | ) | $ | 2,038,220 | $ | (225,427 | ) |
(in thousands) | Amortized Cost | OTTI Recognized in OCI | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Fair Value | ||||||||||
September 30, 2011 transfers | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
June 30, 2011 transfers | — | — | — | — | — | ||||||||||
March 31, 2011 transfers | 93,622 | (2,697 | ) | — | — | 90,925 | |||||||||
Total September 30, 2011 year-to date transfers | $ | 93,622 | $ | (2,697 | ) | $ | — | $ | — | $ | 90,925 | ||||
September 30, 2010 transfers | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
June 30, 2010 transfers | 315,540 | (17,470 | ) | — | — | 298,070 | |||||||||
March 31, 2010 transfers | 23,268 | (2,144 | ) | — | — | 21,124 | |||||||||
Total September 30, 2010 year-to-date transfers | $ | 338,808 | $ | (19,614 | ) | $ | — | $ | — | $ | 319,194 |
(in thousands) | September 30, 2011 | December 31, 2010 | |||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Due in one year or less | $ | 1,993 | $ | 1,998 | $ | 1,993 | $ | 1,998 | |||||||
Due after one year through five years | 500,000 | 500,403 | — | — | |||||||||||
AFS securities excluding MBS | 501,993 | 502,401 | 1,993 | 1,998 | |||||||||||
MBS | 2,977,342 | 2,839,742 | 2,439,295 | 2,215,795 | |||||||||||
Total AFS securities | $ | 3,479,335 | $ | 3,342,143 | $ | 2,441,288 | $ | 2,217,793 |
(in thousands) | September 30, 2011 | December 31, 2010 | |||||
Amortized cost of AFS securities other than MBS: | |||||||
Fixed-rate | $ | 500,000 | $ | — | |||
Total non-MBS | $ | 500,000 | $ | — | |||
Amortized cost of AFS MBS: | |||||||
Pass through securities: | |||||||
Fixed-rate | $ | 776,627 | $ | 964,090 | |||
Variable-rate | 57,609 | 42,236 | |||||
Collateralized mortgage obligations: | |||||||
Fixed-rate | 1,205,634 | 1,365,800 | |||||
Variable-rate | 937,472 | 67,169 | |||||
Total AFS MBS | $ | 2,977,342 | $ | 2,439,295 | |||
Total AFS securities | $ | 3,477,342 | $ | 2,439,295 |
September 30, 2011 | |||||||||||||||
(in thousands) | Amortized Cost | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | |||||||||||
Non MBS: | |||||||||||||||
Certificates of deposit(1) | $ | 2,200,000 | $ | 56 | $ | (1 | ) | $ | 2,200,055 | ||||||
GSE securities | 292,559 | 2,360 | — | 294,919 | |||||||||||
State or local agency obligations | 282,797 | 2,533 | (36,633 | ) | 248,697 | ||||||||||
Subtotal | 2,775,356 | 4,949 | (36,634 | ) | 2,743,671 | ||||||||||
MBS: | |||||||||||||||
U.S. agency | 2,476,586 | 9,866 | (953 | ) | 2,485,499 | ||||||||||
GSE residential MBS | 2,650,227 | 79,613 | (1,087 | ) | 2,728,753 | ||||||||||
Private label MBS: | |||||||||||||||
Private label residential MBS | 1,735,674 | 5,943 | (105,792 | ) | 1,635,825 | ||||||||||
HELOCs | 18,923 | — | (4,724 | ) | 14,199 | ||||||||||
Total private label MBS | 1,754,597 | 5,943 | (110,516 | ) | 1,650,024 | ||||||||||
Total MBS | 6,881,410 | 95,422 | (112,556 | ) | 6,864,276 | ||||||||||
Total HTM securities | $ | 9,656,766 | $ | 100,371 | $ | (149,190 | ) | $ | 9,607,947 |
December 31, 2010 | |||||||||||||||
(in thousands) | Amortized Cost | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | |||||||||||
Non MBS: | |||||||||||||||
Certificates of deposit(1) | $ | 3,550,000 | $ | 149 | $ | — | $ | 3,550,149 | |||||||
GSE securities | 803,661 | 2,216 | (2,346 | ) | 803,531 | ||||||||||
State or local agency obligations | 369,682 | 1,468 | (37,215 | ) | 333,935 | ||||||||||
Subtotal | 4,723,343 | 3,833 | (39,561 | ) | 4,687,615 | ||||||||||
MBS: | |||||||||||||||
U.S. agency | 2,396,004 | 12,978 | (1,135 | ) | 2,407,847 | ||||||||||
GSE residential MBS | 2,646,546 | 35,937 | (21,996 | ) | 2,660,487 | ||||||||||
Private label MBS: | |||||||||||||||
Private label residential MBS | 2,268,411 | 8,678 | (114,333 | ) | 2,162,756 | ||||||||||
HELOCs | 23,457 | — | (6,413 | ) | 17,044 | ||||||||||
Total private label MBS | 2,291,868 | 8,678 | (120,746 | ) | 2,179,800 | ||||||||||
Total MBS | 7,334,418 | 57,593 | (143,877 | ) | 7,248,134 | ||||||||||
Total HTM securities | $ | 12,057,761 | $ | 61,426 | $ | (183,438 | ) | $ | 11,935,749 |
September 30, 2011 | |||||||||||||||||||||||
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: | |||||||||||||||||||||||
Certificates of deposit(1) | $ | 99,999 | $ | (1 | ) | $ | — | $ | — | $ | 99,999 | $ | (1 | ) | |||||||||
State or local agency obligations | — | — | 195,710 | (36,633 | ) | 195,710 | (36,633 | ) | |||||||||||||||
MBS: | |||||||||||||||||||||||
U.S. agency | 462,221 | (492 | ) | 254,365 | (461 | ) | 716,586 | (953 | ) | ||||||||||||||
GSE residential MBS | 183,518 | (234 | ) | 339,475 | (853 | ) | 522,993 | (1,087 | ) | ||||||||||||||
Private label: | |||||||||||||||||||||||
Private label residential MBS | 264,637 | (3,159 | ) | 913,951 | (102,633 | ) | 1,178,588 | (105,792 | ) | ||||||||||||||
HELOCs | — | — | 14,199 | (4,724 | ) | 14,199 | (4,724 | ) | |||||||||||||||
Total private label MBS | 264,637 | (3,159 | ) | 928,150 | (107,357 | ) | 1,192,787 | (110,516 | ) | ||||||||||||||
Total MBS | 910,376 | (3,885 | ) | 1,521,990 | (108,671 | ) | 2,432,366 | (112,556 | ) | ||||||||||||||
Total | $ | 1,010,375 | $ | (3,886 | ) | $ | 1,717,700 | $ | (145,304 | ) | $ | 2,728,075 | $ | (149,190 | ) |
December 31, 2010 | |||||||||||||||||||||||
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: | |||||||||||||||||||||||
GSE securities | $ | 747,654 | $ | (2,346 | ) | $ | — | $ | — | $ | 747,654 | $ | (2,346 | ) | |||||||||
State or local agency obligations | 17,473 | (705 | ) | 207,980 | (36,510 | ) | 225,453 | (37,215 | ) | ||||||||||||||
MBS: | |||||||||||||||||||||||
U.S. agency | 778,624 | (1,135 | ) | — | — | 778,624 | (1,135 | ) | |||||||||||||||
GSE residential MBS | 1,411,340 | (21,900 | ) | 24,776 | (96 | ) | 1,436,116 | (21,996 | ) | ||||||||||||||
Private label: | |||||||||||||||||||||||
Private label residential MBS | 135,401 | (2,020 | ) | 1,385,557 | (112,313 | ) | 1,520,958 | (114,333 | ) | ||||||||||||||
HELOCs | — | — | 17,044 | (6,413 | ) | 17,044 | (6,413 | ) | |||||||||||||||
Total private label MBS | 135,401 | (2,020 | ) | 1,402,601 | (118,726 | ) | 1,538,002 | (120,746 | ) | ||||||||||||||
Total MBS | 2,325,365 | (25,055 | ) | 1,427,377 | (118,822 | ) | 3,752,742 | (143,877 | ) | ||||||||||||||
Total | $ | 3,090,492 | $ | (28,106 | ) | $ | 1,635,357 | $ | (155,332 | ) | $ | 4,725,849 | $ | (183,438 | ) |
(in thousands) | September 30, 2011 | December 31, 2010 | |||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Due in one year or less | $ | 2,200,000 | $ | 2,200,055 | $ | 3,621,973 | $ | 3,623,113 | |||||||
Due after one year through five years | 296,489 | 298,943 | 808,491 | 808,491 | |||||||||||
Due after five years through ten years | 8,050 | 7,759 | 9,415 | 8,998 | |||||||||||
Due after ten years | 270,817 | 236,914 | 283,464 | 247,013 | |||||||||||
HTM securities excluding MBS | 2,775,356 | 2,743,671 | 4,723,343 | 4,687,615 | |||||||||||
MBS | 6,881,410 | 6,864,276 | 7,334,418 | 7,248,134 | |||||||||||
Total HTM securities | $ | 9,656,766 | $ | 9,607,947 | $ | 12,057,761 | $ | 11,935,749 |
September 30, | December 31, | ||||||
(in thousands) | 2011 | 2010 | |||||
Amortized cost of HTM securities other than MBS: | |||||||
Fixed-rate | $ | 2,593,676 | $ | 4,532,868 | |||
Variable-rate | 181,680 | 190,475 | |||||
Total non-MBS | $ | 2,775,356 | $ | 4,723,343 | |||
Amortized cost of HTM MBS: | |||||||
Pass-through securities: | |||||||
Fixed-rate | $ | 885,816 | $ | 1,118,027 | |||
Variable-rate | 1,300,143 | 1,104,575 | |||||
Collateralized mortgage obligations: | |||||||
Fixed-rate | 1,742,297 | 1,748,665 | |||||
Variable-rate | 2,953,154 | 3,363,151 | |||||
Total HTM MBS | $ | 6,881,410 | $ | 7,334,418 | |||
Total HTM securities | $ | 9,656,766 | $ | 12,057,761 |
• | the remaining payment terms for the security; |
• | prepayment speeds and default rates; |
• | loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics; |
• | expected housing price changes; and |
• | interest-rate assumptions. |
Significant Inputs for OTTI Residential MBS | |||||||||||||||||||
Prepayment Rates | Default Rates | Loss Severities | Current Credit Enhancement | ||||||||||||||||
Year of Securitization | Weighted Avg % | Range % | Weighted Avg % | Range % | Weighted Avg % | Range % | Weighted Avg % | Range % | |||||||||||
Prime: | |||||||||||||||||||
2007 | 8.5 | 8.4-8.5 | 22.4 | 14.1-25.3 | 46.3 | 39.1-48.7 | 5.0 | 4.4-5.2 | |||||||||||
2006 | 8.1 | 5.5-8.5 | 24.7 | 16.2-32.5 | 48.3 | 40.2-52.2 | 6.9 | 2.3-10.6 | |||||||||||
Total Prime | 8.2 | 5.5-8.5 | 23.9 | 14.1-32.5 | 47.6 | 39.1-52.2 | 6.3 | 2.3-10.6 | |||||||||||
Alt-A: | |||||||||||||||||||
2006 | 8.8 | 6.9-11.1 | 37.3 | 19.1-47.6 | 47.9 | 39.1-56.7 | 3.5 | 0.0-8.1 | |||||||||||
2005 | 7.8 | 7.7-9.0 | 23.1 | 21.7-37.3 | 43.3 | 42.7-50.3 | 3.2 | 0.9-3.4 | |||||||||||
Total Alt-A | 8.7 | 6.9-11.1 | 35.7 | 19.1-47.6 | 47.3 | 39.1-56.7 | 3.5 | 0.0-8.1 | |||||||||||
Total Residential MBS - OTTI | 8.5 | 5.5-11.1 | 29.6 | 14.1-47.6 | 47.5 | 39.1-56.7 | 4.9 | 0.0-10.6 |
Significant Inputs for OTTI HELOCs | ||||||||||||||||||||
Prepayment Rates | Default Rates | Loss Severities | Current Credit Enhancement | |||||||||||||||||
Year of Securitization | Weighted Avg % | Range % | Weighted Avg % | Range % | Weighted Avg % | Range % | Weighted Avg % | Range % | ||||||||||||
HELOCs (Alt-A): | ||||||||||||||||||||
2004 and prior | 10.0 | 8.8-13.6 | 3.6 | 0.9-8.2 | 100.0 | 100.0 | 1.8 | 0.0-3.6 |
OTTI Recognized During the Three Months Ended September 30, 2011 | OTTI Recognized During the Life of the Security | ||||||||||||||||||||||
(in thousands) | Unpaid Principal Balance | Amortized Cost(1) | Fair Value | Unpaid Principal Balance | Amortized Cost(1) | Fair Value | |||||||||||||||||
Private label residential MBS: | |||||||||||||||||||||||
Prime | $ | 442,939 | $ | 411,043 | $ | 387,385 | $ | 1,168,922 | $ | 1,056,320 | $ | 1,020,702 | |||||||||||
Alt-A | 298,687 | 251,182 | 236,575 | 1,053,366 | 851,909 | 750,908 | |||||||||||||||||
Subprime | — | — | — | 2,632 | 1,812 | 1,358 | |||||||||||||||||
HELOCs | 19,826 | 15,472 | 12,429 | 25,243 | 19,313 | 15,969 | |||||||||||||||||
Total OTTI securities | 761,452 | 677,697 | 636,389 | 2,250,163 | 1,929,354 | 1,788,937 | |||||||||||||||||
Private label MBS with no OTTI | 1,493,684 | 1,256,630 | 1,156,796 | 4,973 | 4,973 | 4,248 | |||||||||||||||||
Total private label MBS | $ | 2,255,136 | $ | 1,934,327 | $ | 1,793,185 | $ | 2,255,136 | $ | 1,934,327 | $ | 1,793,185 |
Three Months Ended September 30, 2011 | Nine Months Ended September 30, 2011 | |||||||||||||||||||||
(in thousands) | OTTI Related to Credit Loss | OTTI Related to Noncredit Loss | Total OTTI Losses | OTTI Related to Credit Loss | OTTI Related to Noncredit Loss | Total OTTI Losses | ||||||||||||||||
Private label residential MBS: | ||||||||||||||||||||||
Prime | $ | (1,805 | ) | $ | 1,701 | $ | (104 | ) | $ | (12,000 | ) | $ | 8,777 | $ | (3,223 | ) | ||||||
Alt-A | (4,218 | ) | 4,218 | — | (24,608 | ) | 24,608 | — | ||||||||||||||
Subprime | — | — | — | (134 | ) | 134 | — | |||||||||||||||
HELOCs | (150 | ) | 150 | — | (787 | ) | 787 | — | ||||||||||||||
Total OTTI on private label MBS | $ | (6,173 | ) | $ | 6,069 | $ | (104 | ) | $ | (37,529 | ) | $ | 34,306 | $ | (3,223 | ) |
Three Months Ended September 30, 2010 | Nine Months Ended September 30, 2010 | |||||||||||||||||||||
(in thousands) | OTTI Related to Credit Loss | OTTI Related to Noncredit Loss | Total OTTI Losses | OTTI Related to Credit Loss | OTTI Related to Noncredit Loss | Total OTTI Losses | ||||||||||||||||
Private label residential MBS: | ||||||||||||||||||||||
Prime | $ | (74 | ) | $ | 74 | $ | — | $ | (107,036 | ) | $ | 84,723 | $ | (22,313 | ) | |||||||
Alt-A | (6,202 | ) | 6,202 | — | (36,927 | ) | 36,642 | (285 | ) | |||||||||||||
Subprime | (303 | ) | 303 | — | (324 | ) | 324 | — | ||||||||||||||
HELOCs | (481 | ) | 481 | — | (1,077 | ) | 1,077 | — | ||||||||||||||
Total OTTI on private label MBS | $ | (7,060 | ) | $ | 7,060 | $ | — | $ | (145,364 | ) | $ | 122,766 | $ | (22,598 | ) |
2011 | ||||||||
(in thousands) | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||
Beginning balance | $ | 312,891 | $ | 317,344 | ||||
Additions: | ||||||||
Credit losses for which OTTI was not previously recognized | — | 659 | ||||||
Additional OTTI credit losses for which an OTTI charge was previously recognized(1) | 6,173 | 36,870 | ||||||
Reductions: | ||||||||
Securities sold and matured during the period | — | (30,687 | ) | |||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities(2) | (2,110 | ) | (7,232 | ) | ||||
Ending balance | $ | 316,954 | $ | 316,954 |
2010 | ||||||||
(in thousands) | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||
Beginning balance | $ | 374,948 | $ | 238,130 | ||||
Additions: | ||||||||
Credit losses for which OTTI was not previously recognized | — | 2,960 | ||||||
Additional OTTI credit losses for which an OTTI charge was previously recognized(1) | 7,060 | 142,404 | ||||||
Reductions: | ||||||||
Securities sold and matured during the period | (73,812 | ) | (73,857 | ) | ||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities(2) | (934 | ) | (2,375 | ) | ||||
Ending balance | $ | 307,262 | $ | 307,262 |
(dollars in thousands) | September 30, 2011 | December 31, 2010 | |||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | |||||||||
Due in 1 year or less | $ | 7,280,764 | 1.48 | % | $ | 10,936,796 | 1.26 | % | |||||
Due after 1 year through 2 years | 3,983,433 | 3.24 | 3,885,825 | 3.83 | |||||||||
Due after 2 years through 3 years | 2,756,808 | 2.47 | 2,882,526 | 3.28 | |||||||||
Due after 3 years through 4 years | 3,689,650 | 3.76 | 2,192,717 | 3.55 | |||||||||
Due after 4 years through 5 years | 2,659,890 | 4.99 | 3,183,627 | 4.58 | |||||||||
Thereafter | 4,045,539 | 4.12 | 5,315,544 | 4.49 | |||||||||
Total par value | 24,416,084 | 3.04 | % | 28,397,035 | 2.97 | % | |||||||
Discount on AHP advances | (433 | ) | (537 | ) | |||||||||
Deferred prepayment fees | (17,282 | ) | (19,502 | ) | |||||||||
Hedging adjustments | 1,440,269 | 1,331,443 | |||||||||||
Total book value | $ | 25,838,638 | $ | 29,708,439 |
Year of Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Convertible Date | |||||||||||
(in thousands) | September 30, 2011 | December 31, 2010 | September 30, 2011 | December 31, 2010 | ||||||||
Due in 1 year or less | $ | 7,282,764 | $ | 10,958,796 | $ | 10,955,514 | $ | 15,419,546 | ||||
Due after 1 year through 2 years | 3,981,433 | 3,883,825 | 3,616,933 | 3,374,325 | ||||||||
Due after 2 years through 3 years | 2,756,808 | 2,882,526 | 2,546,058 | 2,219,526 | ||||||||
Due after 3 years through 4 years | 3,689,650 | 2,172,717 | 3,405,650 | 1,946,967 | ||||||||
Due after 4 years through 5 years | 2,659,890 | 3,183,627 | 1,494,890 | 2,803,127 | ||||||||
Thereafter | 4,045,539 | 5,315,544 | 2,397,039 | 2,633,544 | ||||||||
Total par value | $ | 24,416,084 | $ | 28,397,035 | $ | 24,416,084 | $ | 28,397,035 |
September 30, | December 31, | ||||||
(in thousands) | 2011 | 2010 | |||||
Fixed rate – overnight | $ | 74,635 | $ | 287,515 | |||
Fixed rate – term: | |||||||
Due in 1 year or less | 7,141,579 | 9,602,922 | |||||
Thereafter | 14,469,233 | 15,377,974 | |||||
Total fixed rate | $ | 21,685,447 | $ | 25,268,411 | |||
Variable-rate: | |||||||
Due in 1 year or less | $ | 64,550 | $ | 1,046,359 | |||
Thereafter | 2,666,087 | 2,082,265 | |||||
Total variable-rate | $ | 2,730,637 | $ | 3,128,624 | |||
Total par value | $ | 24,416,084 | $ | 28,397,035 |
(in thousands) | September 30, 2011 | December 31, 2010 | |||||
Fixed medium-term single-family mortgages(1) | $ | 643,858 | $ | 749,280 | |||
Fixed long-term single-family mortgages(1) | 3,355,429 | 3,692,430 | |||||
Total par value | 3,999,287 | 4,441,710 | |||||
Premiums | 41,745 | 44,891 | |||||
Discounts | (12,469 | ) | (14,794 | ) | |||
Hedging adjustments | 14,140 | 14,402 | |||||
Total mortgage loans held for portfolio | $ | 4,042,703 | $ | 4,486,209 |
(in thousands) | September 30, 2011 | December 31, 2010 | |||||
Government-guaranteed/insured loans | $ | 346,731 | $ | 366,443 | |||
Conventional loans | 3,652,556 | 4,075,267 | |||||
Total par value | $ | 3,999,287 | $ | 4,441,710 | |||
Year of maturity | |||||||
Due within one year | $ | 37 | $ | 26 | |||
Due after one year through five years | 4,564 | 4,053 | |||||
Due after five years | 3,994,686 | 4,437,631 | |||||
Total par value | $ | 3,999,287 | $ | 4,441,710 |
2011 | ||||||
(in thousands) | Three Months Ended September 30 | Nine Months Ended September 30 | ||||
Balance, beginning of period | $ | 9,150 | $ | 3,150 | ||
Charge-offs | (41 | ) | (202 | ) | ||
Provision for credit losses | 2,418 | 8,579 | ||||
Balance, end of period | $ | 11,527 | $ | 11,527 | ||
Ending balance, individually evaluated for impairment | $ | 102 | ||||
Ending balance, collectively evaluated for impairment | 11,425 | |||||
Total allowance for credit losses | $ | 11,527 | ||||
Recorded investment balance, end of period: | ||||||
Individually evaluated for impairment, with or without a related allowance | $ | 2,859 | ||||
Collectively evaluated for impairment | 3,706,369 | |||||
Total recorded investment | $ | 3,709,228 |
2010 | ||||||
(in thousands) | Three Months Ended September 30 | Nine Months Ended September 30 | ||||
Balance, beginning of period | $ | 2,926 | $ | 2,680 | ||
Charge-offs | — | (68 | ) | |||
Recoveries | 22 | 22 | ||||
Net (charge-offs) recoveries | 22 | (46 | ) | |||
Provision for credit losses | 207 | 521 | ||||
Balance, end of period | $ | 3,155 | $ | 3,155 |
2011 | ||||||
(in thousands) | Three Months Ended September 30 | Nine Months Ended September 30 | ||||
Balance, beginning of the period | $ | 2,998 | $ | 5,753 | ||
Charge-offs | (353 | ) | (916 | ) | ||
Provision (reversal) for credit losses | 60 | (2,132 | ) | |||
Balance, end of period | $ | 2,705 | $ | 2,705 | ||
Ending balance, individually evaluated for impairment | $ | 87 | ||||
Ending balance, collectively evaluated for impairment | 2,618 | |||||
Total allowance for credit losses | $ | 2,705 | ||||
Recorded investment balance, end of period: | ||||||
Individually evaluated for impairment, with or without a related allowance | $ | 305 | ||||
Collectively evaluated for impairment | 17,143 | |||||
Total recorded investment | $ | 17,448 |
2010 | ||||||
(in thousands) | Three Months Ended September 30 | Nine Months Ended September 30 | ||||
Balance, beginning of period | $ | 7,409 | $ | 9,481 | ||
Charge-offs | — | (293 | ) | |||
Reversal for credit losses | (1,758 | ) | (3,537 | ) | ||
Balance, end of period | $ | 5,651 | $ | 5,651 |
(in thousands) | September 30, 2011 | ||||||||||||
Recorded investment:(1) | Conventional MPF Loans | Government-Guaranteed or Insured Loans | BOB Loans | Total | |||||||||
Past due 30-59 days | $ | 60,675 | $ | 25,809 | $ | — | $ | 86,484 | |||||
Past due 60-89 days | 16,607 | 8,681 | — | 25,288 | |||||||||
Past due 90 days or more | 79,170 | 8,096 | 457 | 87,723 | |||||||||
Total past due loans | $ | 156,452 | $ | 42,586 | $ | 457 | $ | 199,495 | |||||
Total current loans | 3,552,776 | 313,197 | 16,991 | 3,882,964 | |||||||||
Total loans | $ | 3,709,228 | $ | 355,783 | $ | 17,448 | $ | 4,082,459 | |||||
Other delinquency statistics: | |||||||||||||
In process of foreclosures, included above (2) | $ | 62,754 | $ | 1,879 | $ | — | $ | 64,633 | |||||
Serious delinquency rate (3) | 2.1 | % | 2.3 | % | 2.6 | % | 2.1 | % | |||||
Past due 90 days or more still accruing interest | $ | — | $ | 8,096 | $ | — | $ | 8,096 | |||||
Loans on nonaccrual status (4) | $ | 82,237 | $ | — | $ | 837 | $ | 83,074 |
(in thousands) | December 31, 2010 | |||||||||||
Recorded investment:(1) | Conventional MPF Loans | Government-Guaranteed or Insured Loans | BOB Loans | Total | ||||||||
Past due 30-59 days | $ | 70,678 | $ | 24,967 | $ | 171 | $ | 95,816 | ||||
Past due 60-89 days | 23,014 | 9,050 | 143 | 32,207 | ||||||||
Past due 90 days or more | 76,880 | 10,673 | 531 | 88,084 | ||||||||
Total past due loans | $ | 170,572 | $ | 44,690 | $ | 845 | $ | 216,107 | ||||
Total current loans | 3,964,693 | 330,570 | 19,062 | 4,314,325 | ||||||||
Total loans | $ | 4,135,265 | $ | 375,260 | $ | 19,907 | $ | 4,530,432 | ||||
Other delinquency statistics: | ||||||||||||
In process of foreclosures, included above (2) | $ | 46,504 | $ | — | $ | — | $ | 46,504 | ||||
Serious delinquency rate (3) | 1.9 | % | 2.8 | % | 2.7 | % | 1.9 | % | ||||
Past due 90 days or more still accruing interest | $ | — | $ | 10,673 | $ | — | $ | 10,673 | ||||
Loans on nonaccrual status (4) | $ | 80,940 | $ | — | $ | 19,907 | $ | 100,847 |
Three Months Ended September 30, 2011 | ||||||
in thousands | Pre-Modification | Post-Modification | ||||
Conventional MPF loans | $ | 340 | $ | 329 | ||
BOB loans | 305 | 305 | ||||
Total | $ | 645 | $ | 634 |
Nine Months Ended September 30, 2011 | ||||||
in thousands | Pre-Modification | Post-Modification | ||||
Conventional MPF loans | $ | 2,063 | $ | 2,017 | ||
BOB loans | 305 | 305 | ||||
Total | $ | 2,368 | $ | 2,322 |
September 30, 2011 | |||||||||
in thousands | Recorded Investment | Unpaid Principal Balance | Related Allowance for Credit Losses | ||||||
With no related allowance: | |||||||||
Conventional MPF loans | $ | 133 | $ | 132 | $ | — | |||
With a related allowance: | |||||||||
Conventional MPF loans | $ | 2,726 | $ | 2,710 | $ | 102 | |||
BOB loans | 305 | 305 | 87 | ||||||
Total: | |||||||||
Conventional MPF loans | $ | 2,859 | $ | 2,842 | $ | 102 | |||
BOB loans | 305 | 305 | 87 |
Three Months Ended September 30, 2011 | Nine Months Ended September 30, 2011 | |||||||||||
in thousands | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | ||||||||
Conventional MPF loans | $ | 2,749 | $ | 41 | $ | 2,398 | $ | 107 | ||||
BOB loans | 305 | — | 102 | — | ||||||||
Total | $ | 3,054 | $ | 41 | $ | 2,500 | $ | 107 |
September 30, 2011 | |||||||||||
(in thousands) | Notional Amount of Derivatives (1) | Derivative Assets | Derivative Liabilities | ||||||||
Derivatives in hedge accounting relationships: | |||||||||||
Interest rate swaps | $ | 27,818,360 | $ | 421,741 | $ | 1,423,412 | |||||
Total derivatives in hedge accounting relationships | $ | 27,818,360 | $ | 421,741 | $ | 1,423,412 | |||||
Derivatives not in hedge accounting relationships: | |||||||||||
Interest rate swaps | $ | 419,017 | $ | 1,838 | $ | 5,784 | |||||
Interest rate caps | 1,803,750 | 4,573 | 24 | ||||||||
Mortgage delivery commitments | 25,675 | 289 | 25 | ||||||||
Total derivatives not in hedge accounting relationships | $ | 2,248,442 | $ | 6,700 | $ | 5,833 | |||||
Total derivatives before netting and collateral adjustments | $ | 30,066,802 | $ | 428,441 | $ | 1,429,245 | |||||
Netting adjustments | (374,038 | ) | (374,038 | ) | |||||||
Cash collateral and related accrued interest | (19,614 | ) | (592,958 | ) | |||||||
Total collateral and netting adjustments(2) | (393,652 | ) | (966,996 | ) | |||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | 34,789 | $ | 462,249 |
December 31, 2010 | |||||||||||
(in thousands) | Notional Amount of Derivatives (1) | Derivative Assets | Derivative Liabilities | ||||||||
Derivatives in hedge accounting relationships: | |||||||||||
Interest rate swaps | $ | 25,701,174 | $ | 360,210 | $ | 1,297,875 | |||||
Total derivatives in hedge accounting relationships | $ | 25,701,174 | $ | 360,210 | $ | 1,297,875 | |||||
Derivatives not in hedge accounting relationships: | |||||||||||
Interest rate swaps | $ | 50,000 | $ | 456 | $ | — | |||||
Interest rate caps | 1,653,750 | 6,462 | 306 | ||||||||
Mortgage delivery commitments | 21,787 | 126 | 70 | ||||||||
Total derivatives not in hedge accounting relationships | $ | 1,725,537 | $ | 7,044 | $ | 376 | |||||
Total derivatives before netting and collateral adjustments | $ | 27,426,711 | $ | 367,254 | $ | 1,298,251 | |||||
Netting adjustments | (336,997 | ) | (336,997 | ) | |||||||
Cash collateral and related accrued interest | (7,458 | ) | (353,343 | ) | |||||||
Total collateral and netting adjustments(2) | (344,455 | ) | (690,340 | ) | |||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | 22,799 | $ | 607,911 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2011 | 2010 | 2011 | 2010 | ||||||||||||
(in thousands) | Gains (Losses) | Gains (Losses) | Gains (Losses) | Gains (Losses) | |||||||||||
Derivatives and hedged items in fair value hedging relationships: | |||||||||||||||
Interest rate swaps - fair value hedge ineffectiveness | $ | (3,885 | ) | $ | 4,213 | $ | (3,133 | ) | $ | (4,438 | ) | ||||
Derivatives not designated as hedging instruments: | |||||||||||||||
Economic hedges: | |||||||||||||||
Interest rate swaps | $ | 300 | $ | — | $ | 473 | $ | 952 | |||||||
Interest rate caps or floors | (2,813 | ) | (291 | ) | (4,972 | ) | (6,411 | ) | |||||||
Net interest settlements | (337 | ) | (467 | ) | (10 | ) | (1,351 | ) | |||||||
Mortgage delivery commitments | 1,445 | 1,225 | 2,236 | 2,914 | |||||||||||
Other | 5 | 169 | 228 | 612 | |||||||||||
Total net gains (losses) on derivatives not designated as hedging instruments | $ | (1,400 | ) | $ | 636 | $ | (2,045 | ) | $ | (3,284 | ) | ||||
Net gains (losses) on derivatives and hedging activities | $ | (5,285 | ) | $ | 4,849 | $ | (5,178 | ) | $ | (7,722 | ) |
(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 September 30, 2011 | |||||||||||||||
Hedged item type: | |||||||||||||||
Advances | $ | (201,954 | ) | $ | 197,583 | $ | (4,371 | ) | $ | (121,460 | ) | ||||
Consolidated obligations – bonds | 90,356 | (89,870 | ) | 486 | 52,634 | ||||||||||
Total | $ | (111,598 | ) | $ | 107,713 | $ | (3,885 | ) | $ | (68,826 | ) | ||||
Nine months ended September 30, 2011 | |||||||||||||||
Hedged item type: | |||||||||||||||
Advances | $ | (157,356 | ) | $ | 153,389 | $ | (3,967 | ) | $ | (374,229 | ) | ||||
Consolidated obligations – bonds | 106,167 | (105,333 | ) | 834 | 169,540 | ||||||||||
Total | $ | (51,189 | ) | $ | 48,056 | $ | (3,133 | ) | $ | (204,689 | ) |
(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 September 30, 2010 | |||||||||||||||
Hedged item type: | |||||||||||||||
Advances | $ | (131,102 | ) | $ | 134,889 | $ | 3,787 | $ | (173,957 | ) | |||||
Consolidated obligations – bonds | 112,948 | (112,522 | ) | 426 | 76,940 | ||||||||||
Total | $ | (18,154 | ) | $ | 22,367 | $ | 4,213 | $ | (97,017 | ) | |||||
Nine months ended September 30, 2010 | |||||||||||||||
Hedged item type: | |||||||||||||||
Advances | $ | (319,133 | ) | $ | 315,170 | $ | (3,963 | ) | $ | (630,110 | ) | ||||
Consolidated obligations – bonds | 248,181 | (248,656 | ) | (475 | ) | 300,983 | |||||||||
Total | $ | (70,952 | ) | $ | 66,514 | $ | (4,438 | ) | $ | (329,127 | ) |
(in thousands) | Losses Reclassified from AOCI into Income | ||
For the three months ended September 30, 2011 | $ | (9 | ) |
For the nine months ended September 30, 2011 | (36 | ) | |
For the three months ended September 30, 2010 | (7 | ) | |
For the nine months ended September 30, 2010 | (17 | ) |
September 30, | December 31, | |||||
(in thousands) | 2011 | 2010 | ||||
Credit risk exposure(1) | $ | 54,403 | $ | 30,257 | ||
Less: | ||||||
Cash collateral | 19,614 | 7,458 | ||||
Total collateral | 19,614 | 7,458 | ||||
Exposure net of collateral | $ | 34,789 | $ | 22,799 |
September 30, | December 31, | ||||||
(in thousands) | 2011 | 2010 | |||||
Par value of consolidated bonds: | |||||||
Fixed-rate | $ | 31,961,675 | $ | 30,220,916 | |||
Step-up | 550,000 | 215,000 | |||||
Floating-rate | 620,000 | 3,270,000 | |||||
Total par value | 33,131,675 | 33,705,916 | |||||
Bond premiums | 130,327 | 114,253 | |||||
Bond discounts | (24,762 | ) | (30,451 | ) | |||
Hedging adjustments | 420,021 | 339,576 | |||||
Total book value | $ | 33,657,261 | $ | 34,129,294 |
September 30, 2011 | December 31, 2010 | ||||||||||||
Year of Contractual Maturity (dollars in thousands) | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | |||||||||
Due in 1 year or less | $ | 10,535,650 | 0.97 | % | $ | 10,281,400 | 1.53 | % | |||||
Due after 1 year through 2 years | 5,979,555 | 2.64 | 5,224,250 | 2.70 | |||||||||
Due after 2 years through 3 years | 4,004,670 | 2.76 | 4,181,905 | 2.95 | |||||||||
Due after 3 years through 4 years | 4,872,790 | 2.64 | 2,896,350 | 3.13 | |||||||||
Due after 4 years through 5 years | 1,662,690 | 2.97 | 4,061,800 | 2.92 | |||||||||
Thereafter | 3,748,090 | 4.11 | 4,137,400 | 4.32 | |||||||||
Index amortizing notes | 2,328,230 | 4.64 | 2,922,811 | 4.66 | |||||||||
Total par value | $ | 33,131,675 | 2.45 | % | $ | 33,705,916 | 2.81 | % |
September 30, | December 31, | ||||||
(in thousands) | 2011 | 2010 | |||||
Noncallable | 29,633,175 | 30,590,916 | |||||
Callable | 3,498,500 | 3,115,000 | |||||
Total par value | $ | 33,131,675 | $ | 33,705,916 |
Year of Contractual Maturity or Next Call Date | September 30, | December 31, | |||||
(in thousands) | 2011 | 2010 | |||||
Due in 1 year or less | $ | 13,018,650 | $ | 12,849,900 | |||
Due after 1 year through 2 years | 6,095,555 | 5,230,250 | |||||
Due after 2 years through 3 years | 3,677,670 | 3,878,905 | |||||
Due after 3 years through 4 years | 4,596,290 | 2,773,850 | |||||
Due after 4 years through 5 years | 1,247,690 | 3,836,300 | |||||
Thereafter | 2,167,590 | 2,213,900 | |||||
Index amortizing notes | 2,328,230 | 2,922,811 | |||||
Total par value | $ | 33,131,675 | $ | 33,705,916 |
September 30, | December 31, | ||||||
(dollars in thousands) | 2011 | 2010 | |||||
Book value | $ | 7,465,882 | $ | 13,082,116 | |||
Par value | 7,466,407 | 13,085,000 | |||||
Weighted average interest rate (1) | 0.05 | % | 0.17 | % |
September 30, 2011 | December 31, 2010 | ||||||||||||||
(dollars in thousands) | Required | Actual | Required | Actual | |||||||||||
Regulatory capital requirements: | |||||||||||||||
Risk-based capital | $ | 1,198,879 | $ | 3,956,209 | $ | 1,620,189 | $ | 4,418,437 | |||||||
Total capital-to-asset ratio | 4.0 | % | 8.5 | % | 4.0 | % | 8.3 | % | |||||||
Total regulatory capital | $ | 1,873,149 | $ | 3,956,209 | $ | 2,135,469 | $ | 4,418,552 | |||||||
Leverage ratio | 5.0 | % | 12.7 | % | 5.0 | % | 12.4 | % | |||||||
Leverage capital | $ | 2,341,436 | $ | 5,934,314 | $ | 2,669,336 | $ | 6,627,771 |
(dollars in thousands) | September 30, 2011 | December 31, 2010 | |||||||||||
Member | Capital Stock | % of Total | Capital Stock | % of Total | |||||||||
Sovereign Bank, Reading, PA | $ | 524,899 | 14.9 | % | $ | 612,216 | 15.2 | % | |||||
Ally Bank, Midvale, UT(1) | 404,068 | 11.4 | % | 471,286 | 11.7 | % | |||||||
ING Bank, FSB, Wilmington, DE | 389,852 | 11.0 | % | 454,705 | 11.3 | % | |||||||
PNC Bank, N.A., Wilmington, DE (2) (3) | 360,348 | 10.2 | % | 420,314 | 10.5 | % |
Nine Months Ended September 30, | |||||||
(in thousands) | 2011 | 2010 | |||||
Balance, beginning of the period | $ | 34,215 | $ | 8,256 | |||
Capital stock subject to mandatory redemption reclassified from capital stock: | |||||||
Due to withdrawals (includes mergers) | 19,821 | 31,658 | |||||
Redemption of mandatorily redeemable capital stock: | |||||||
Withdrawals | (30 | ) | (3,899 | ) | |||
Other redemptions (1) | (5,929 | ) | — | ||||
Balance, end of the period | $ | 48,077 | $ | 36,015 |
September 30, | December 31, | ||||||
(in thousands) | 2011 | 2010 | |||||
Due in 1 year or less | $ | — | $ | 29 | |||
Due after 1 year through 2 years | 75 | — | |||||
Due after 2 years through 3 years | 3,448 | 88 | |||||
Due after 3 years through 4 years | 25,472 | 4,023 | |||||
Due after 4 years through 5 years | 19,082 | 30,075 | |||||
Total | $ | 48,077 | $ | 34,215 |
(in thousands) | Net Unrealized Gains(Losses) on AFS | Noncredit OTTI Gains(Losses) on AFS | Noncredit OTTI Gains(Losses) on HTM | Net Unrealized Gains(Losses) on Hedging Activities | Pension and Post Retirement Plans | Total | ||||||||||||||||||
Balances as of December 31, 2009 | $ | (2,020 | ) | $ | (691,503 | ) | $ | — | $ | 264 | $ | (681 | ) | $ | (693,940 | ) | ||||||||
Net unrealized gains | 934 | 9,567 | — | — | — | 10,501 | ||||||||||||||||||
Net fair value changes | 310,065 | 310,065 | ||||||||||||||||||||||
Noncredit component of OTTI losses | — | — | (19,614 | ) | — | — | (19,614 | ) | ||||||||||||||||
Reclassification adjustment of noncredit OTTI losses included in net income | — | 142,380 | — | — | — | 142,380 | ||||||||||||||||||
Noncredit OTTI losses transferred from HTM to AFS | — | (19,614 | ) | 19,614 | — | — | — | |||||||||||||||||
Reclassification adjustment for losses included in net income | — | (8,331 | ) | — | — | (1 | ) | — | (8,332 | ) | ||||||||||||||
Pension and post-retirement benefits | — | — | — | — | 41 | 41 | ||||||||||||||||||
Balances as of September 30, 2010 | $ | (1,086 | ) | $ | (257,436 | ) | $ | — | $ | 263 | $ | (640 | ) | $ | (258,899 | ) | ||||||||
Balances as of December 31, 2010 | $ | (962 | ) | $ | (222,533 | ) | $ | — | $ | 270 | $ | (116 | ) | $ | (223,341 | ) | ||||||||
Net unrealized gains | 4,186 | 7,446 | — | — | — | 11,632 | ||||||||||||||||||
Net fair value changes | 47,643 | 47,643 | ||||||||||||||||||||||
Noncredit component of OTTI losses | — | (86 | ) | (2,697 | ) | — | — | (2,783 | ) | |||||||||||||||
Reclassification adjustment of noncredit OTTI losses included in net income | — | 37,089 | — | — | — | 37,089 | ||||||||||||||||||
Noncredit OTTI losses transferred from HTM to AFS | — | (2,697 | ) | 2,697 | — | — | — | |||||||||||||||||
Reclassification adjustment for gains (losses) included in net income | — | (7,278 | ) | — | 18 | — | (7,260 | ) | ||||||||||||||||
Pension and post-retirement benefits | — | — | — | — | (12 | ) | (12 | ) | ||||||||||||||||
Balances as of September 30, 2011 | $ | 3,224 | $ | (140,416 | ) | $ | — | $ | 288 | $ | (128 | ) | $ | (137,032 | ) |
September 30, | December 31, | ||||||
(in thousands) | 2011 | 2010 | |||||
Federal funds sold | $ | 500,000 | $ | 400,000 | |||
Investments | 204,840 | 218,850 | |||||
Advances | 14,818,641 | 17,815,121 | |||||
Letters of credit | 237,435 | 111,983 | |||||
MPF loans | 2,925,509 | 3,439,820 | |||||
Deposits | 31,688 | 40,471 | |||||
Capital stock | 1,766,029 | 2,077,406 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
(in thousands) | 2011 | 2010 | 2011 | 2010 | ||||||||||
Federal funds sold | $ | 32 | $ | 212 | $ | 105 | $ | 410 | ||||||
Interest income on investments | 567 | 2,003 | 1,843 | 6,258 | ||||||||||
Interest income on advances | 25,829 | 41,655 | 80,509 | 110,788 | ||||||||||
Prepayment fees on advances | — | — | — | 21 | ||||||||||
Letters of credit fees | 47 | 93 | 114 | 207 | ||||||||||
Interest income on MPF loans | 40,779 | 52,106 | 128,328 | 162,707 | ||||||||||
Interest expense on deposits | 4 | 5 | 13 | 18 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
(in thousands) | 2011 | 2010 | 2011 | 2010 | ||||||||||
Total MPF loan volume purchased | $ | 80 | $ | 14,196 | $ | 80 | $ | 79,033 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
(in thousands) | 2011 | 2010 | 2011 | 2010 | ||||||||||
Servicing fee expense | $ | 169 | $ | 162 | $ | 500 | $ | 445 | ||||||
Interest income on MPF deposits | — | 3 | 4 | 7 |
(in thousands) | September 30, 2011 | December 31, 2010 | |||||
Interest-bearing deposits maintained with FHLBank of Chicago | $ | 13,291 | $ | 10,094 |
September 30, 2011 | December 31, 2010 | ||||||||||||||
(in thousands) | Carrying Value | Estimated Fair Value | Carrying Value | Estimated Fair Value | |||||||||||
Assets: | |||||||||||||||
Cash and due from banks | $ | 195,695 | $ | 195,695 | $ | 143,393 | $ | 143,393 | |||||||
Interest-bearing deposits | 13,291 | 13,291 | 10,094 | 10,094 | |||||||||||
Securities purchased under agreement to resell | 500,000 | 499,991 | — | — | |||||||||||
Federal funds sold | 2,030,000 | 2,029,965 | 3,330,000 | 3,329,962 | |||||||||||
Trading securities | 984,063 | 984,063 | 1,135,981 | 1,135,981 | |||||||||||
Available-for-sale securities | 3,342,143 | 3,342,143 | 2,217,793 | 2,217,793 | |||||||||||
Held-to-maturity securities | 9,656,766 | 9,607,947 | 12,057,761 | 11,935,749 | |||||||||||
Advances | 25,838,638 | 26,020,238 | 29,708,439 | 29,763,690 | |||||||||||
Mortgage loans held for portfolio, net | 4,031,176 | 4,333,251 | 4,483,059 | 4,761,475 | |||||||||||
BOB loans, net | 14,594 | 14,594 | 14,154 | 14,154 | |||||||||||
Accrued interest receivable | 137,072 | 137,072 | 153,458 | 153,458 | |||||||||||
Derivative assets | 34,789 | 34,789 | 22,799 | 22,799 | |||||||||||
Liabilities: | |||||||||||||||
Deposits | $ | 1,222,654 | $ | 1,222,687 | $ | 1,167,000 | $ | 1,167,028 | |||||||
Consolidated obligations: | |||||||||||||||
Discount notes | 7,465,882 | 7,466,133 | 13,082,116 | 13,082,519 | |||||||||||
Bonds | 33,657,261 | 34,514,029 | 34,129,294 | 34,775,998 | |||||||||||
Mandatorily redeemable capital stock | 48,077 | 48,077 | 34,215 | 34,215 | |||||||||||
Accrued interest payable | 168,726 | 168,726 | 167,962 | 167,962 | |||||||||||
Derivative liabilities | 462,249 | 462,249 | 607,911 | 607,911 |
Interest Rate Curve | Spread Adjustment | |
U.S. Treasury bills | U.S. Treasury | None |
TLGP investments | LIBOR Swap | (5) basis points |
GSE securities | Consolidated Obligations | None |
September 30, 2011 | |||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | ||||||||||||||
Assets: | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. Treasury bills | $ | — | $ | 729,918 | $ | — | $ | — | $ | 729,918 | |||||||||
TLGP investments | — | 250,057 | — | — | 250,057 | ||||||||||||||
Other non-MBS | 4,088 | — | — | — | 4,088 | ||||||||||||||
Total trading securities | $ | 4,088 | $ | 979,975 | $ | — | $ | — | $ | 984,063 | |||||||||
AFS securities: | |||||||||||||||||||
GSE securities | $ | — | $ | 500,403 | $ | — | $ | — | $ | 500,403 | |||||||||
Mutual funds partially securing employee benefit plan obligations | 1,998 | — | — | — | 1,998 | ||||||||||||||
GSE residential MBS | — | 1,046,557 | — | — | 1,046,557 | ||||||||||||||
Private label MBS: | |||||||||||||||||||
Private label residential | — | — | 1,777,216 | — | 1,777,216 | ||||||||||||||
HELOCs | — | — | 15,969 | — | 15,969 | ||||||||||||||
Total AFS securities | $ | 1,998 | $ | 1,546,960 | $ | 1,793,185 | $ | — | $ | 3,342,143 | |||||||||
Derivative assets: | |||||||||||||||||||
Interest rate related | $ | — | $ | 428,152 | $ | — | $ | (393,652 | ) | $ | 34,500 | ||||||||
Mortgage delivery commitments | — | 289 | — | — | 289 | ||||||||||||||
Total derivative assets | $ | — | $ | 428,441 | $ | — | $ | (393,652 | ) | $ | 34,789 | ||||||||
Total assets at fair value | $ | 6,086 | $ | 2,955,376 | $ | 1,793,185 | $ | (393,652 | ) | $ | 4,360,995 | ||||||||
Liabilities: | |||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate related | $ | — | 1,429,220 | $ | — | $ | (966,996 | ) | $ | 462,224 | |||||||||
Mortgage delivery commitments | — | 25 | — | — | 25 | ||||||||||||||
Total liabilities at fair value | $ | — | $ | 1,429,245 | $ | — | $ | (966,996 | ) | $ | 462,249 |
December 31, 2010 | |||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | ||||||||||||||
Assets: | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. Treasury bills | $ | — | $ | 879,861 | $ | — | $ | — | $ | 879,861 | |||||||||
TLGP investments | — | 250,094 | — | — | 250,094 | ||||||||||||||
Mutual funds offsetting deferred compensation | 6,026 | — | — | — | 6,026 | ||||||||||||||
Total trading securities | $ | 6,026 | $ | 1,129,955 | $ | — | $ | — | $ | 1,135,981 | |||||||||
AFS securities: | |||||||||||||||||||
Mutual funds partially securing employee benefit plan obligations | $ | 1,998 | $ | — | $ | — | $ | — | $ | 1,998 | |||||||||
Private label MBS: | |||||||||||||||||||
Private label residential | — | — | 2,200,438 | — | 2,200,438 | ||||||||||||||
HELOCs | — | — | 15,357 | — | 15,357 | ||||||||||||||
Total AFS securities | $ | 1,998 | $ | — | $ | 2,215,795 | $ | — | $ | 2,217,793 | |||||||||
Derivative assets: | |||||||||||||||||||
Interest rate related | $ | — | $ | 367,128 | $ | — | $ | (344,455 | ) | $ | 22,673 | ||||||||
Mortgage delivery commitments | — | 126 | — | — | 126 | ||||||||||||||
Total derivative assets | $ | — | $ | 367,254 | $ | — | $ | (344,455 | ) | $ | 22,799 | ||||||||
Total assets at fair value | $ | 8,024 | $ | 1,497,209 | $ | 2,215,795 | $ | (344,455 | ) | $ | 3,376,573 | ||||||||
Liabilities: | |||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate related | $ | — | $ | 1,298,181 | $ | — | $ | (690,340 | ) | $ | 607,841 | ||||||||
Mortgage delivery commitments | — | 70 | — | — | 70 | ||||||||||||||
Total liabilities at fair value | $ | — | $ | 1,298,251 | $ | — | $ | (690,340 | ) | $ | 607,911 |
(in thousands) | AFS Private Label MBS-Residential Nine Months Ended September 30, 2011 | AFS Private Label MBS- HELOCs Nine Months Ended September 30, 2011 | AFS Private Label MBS-Residential Nine Months Ended September 30, 2010 | AFS Private Label MBS- HELOCs Nine Months Ended September 30, 2010 | |||||||||||
Balance at beginning of period | $ | 2,200,438 | $ | 15,357 | $ | 2,380,973 | $ | 14,335 | |||||||
Total gains (losses) (realized/unrealized): | |||||||||||||||
Included in net gains on sale of AFS securities | 7,278 | — | 8,331 | — | |||||||||||
Included in net OTTI credit losses | (36,320 | ) | (787 | ) | (141,588 | ) | (1,077 | ) | |||||||
Included in AOCI | 83,625 | 4,541 | 430,908 | 6,055 | |||||||||||
Purchases, issuances, sales and settlements: | |||||||||||||||
Sales | (132,362 | ) | — | (220,119 | ) | — | |||||||||
Settlements | (436,368 | ) | (3,142 | ) | (420,884 | ) | (3,795 | ) | |||||||
Transfer to (from) Level 3 | — | — | — | — | |||||||||||
Transfer of OTTI securities, from HTM to AFS | 90,925 | — | 319,194 | — | |||||||||||
Balance at September 30 | $ | 1,777,216 | $ | 15,969 | $ | 2,356,815 | $ | 15,518 | |||||||
Total amount of losses for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30 | $ | (36,320 | ) | $ | (787 | ) | $ | (110,168 | ) | $ | (1,077 | ) |
(in millions) | September 30, 2011 | December 31, 2010 | ||||||||||||
Notional amount | Expire Within One Year | Expire After One Year | Total | Total | ||||||||||
Standby letters of credit outstanding (1) | $ | 6,731.7 | $ | 315.1 | $ | 7,046.8 | $ | 10,114.1 | ||||||
Commitments to fund additional advances and BOB loans | 550.5 | — | 550.5 | 1,554.0 | ||||||||||
Commitments to fund or purchase mortgage loans | 25.7 | — | 25.7 | 21.8 | ||||||||||
Unsettled consolidated obligation bonds, at par(2) | 525.0 | — | 525.0 | 165.0 |
Moody's Investor Service/Outlook | Standard & Poor's/Outlook | |
Consolidated obligation discount notes | P-1 | A-1+ |
Consolidated obligation bonds | Aaa/ Negative | AA+ /Negative |
FHLBank | Moody's | S&P | |||
Long-Term/Short-Term Rating | Outlook | Long-Term/Short-Term Rating | Outlook | ||
Atlanta | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
Boston | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
Chicago | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
Cincinnati | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
Dallas | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
Des Moines | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
Indianapolis | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
New York | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
Pittsburgh | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
San Francisco | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
Seattle | Aaa/P-1 | Negative | AA+/A-1+ | Negative | |
Topeka | Aaa/P-1 | Negative | AA+/A-1+ | Negative |
Exhibit 10.10.3.1 | Amendment of the Amended and Restated Executive Officer Temporary Incentive Plan effective January 1, 2011 | |
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 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 101 | Interactive Data File (XBRL) |
2011 | ||
Participant Level | Base Incentive Award Opportunity | Additional Incentive Award Opportunity |
Level A 1 | Up to 22% | Up to 80% |
Level B | Up to 20% | Up to 54% |
Goal | Weight | 70% | 90% | 110% | ||
MVE/PVCS | Market Value of Equity to par value of capital stock price at December 31, 2011. | 15% | Maintain above 90 | >90 to 95 | >95 | |
Earnings | Achieve core earned dividend spread after assessment consistent with the 2011 Operating Plan while remaining inside Board-level risk limits. Increase Retained Earnings consistent with the 2011 Operating Plan ($ in millions) | 10% 15% | 1.44% $47 | 1.58% $52 | 1.74% $57 | |
Regulatory Exam | Address Matters Requiring Attention (MRA) in existence at December 31, 2010, to the satisfaction of the FHFA and the Board of Directors by December 2011. Improve 2011 Exam Rating | 10% 10% | Complete all MRAs Improve Rating | |||
Member Outreach Member Product Usage Advances Usage of Creditworthy Members | Increase the amount of Member and potential Member Outreach in 2011.1 Increase the average number of Bank product touch points with CFI members.2 Maintain the percentage of average borrowing members among the total membership. | 15% 7.5% 7.5% | 147 Maintain average touch points at 1.97 75% | 157 Increase touch points to 2.02 77% | 165 Increase touch points to 2.10 80% | |
Affordable Housing Mission Product Utilization | Increase the number of members that submit an application, enroll in or participate in a community investment product or initiative in 2011. | 10% | 90 | 95 | 100 |
1. | I have reviewed this quarterly report on Form 10-Q of 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 officer 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 by others within those entities, 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 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 officer 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 of 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 officer 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 by others within those entities, 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 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 officer 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 | the Quarterly Report on Form 10-Q of the registrant for the quarter ended September 30, 2011 (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 | the Quarterly Report on Form 10-Q of the registrant for the quarter ended September 30, 2011 (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. |
Statement of Condition Parenthetical (USD $) In Thousands, except Per Share data | Sep. 30, 2011 | Dec. 31, 2010 |
---|---|---|
Current Assets: | ||
Held to maturity securities - fair value | $ 9,607,947 | $ 11,935,749 |
Allowance for credit losses on mortgage loans held for portfolio | 11,527 | 3,150 |
Allowance for credit losses on BOB loans | $ 2,705 | $ 5,753 |
Shareholders' Equity: | ||
Capital stock par value | $ 100.00 | $ 100.00 |
Capital stock shares outstanding | 34,837 | 39,869 |
Document and Entity Information | 9 Months Ended | |
---|---|---|
Sep. 30, 2011 | Oct. 31, 2011 | |
Entity Information [Line Items] | ||
Entity Registrant Name | Federal Home Loan Bank of Pittsburgh | |
Entity Central Index Key | 0001330399 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2011 | |
Document Fiscal Year Focus | 2011 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 33,170,551 | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filiers | No | |
Entity Current Reporting Status | Yes |
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Note 4 - Held-to-Maturity Securities | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2011 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held To Maturity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
fhlb Held to Maturity Securities [Text Block] | Held-to-Maturity (HTM) Securities The following table presents HTM securities as of September 30, 2011 and December 31, 2010.
Note: (1)Represents certificates of deposit that meet the definition of a security. The following tables summarize the HTM securities with unrealized losses as of September 30, 2011 and December 31, 2010. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
Note: (1)Represents certificates of deposit that meet the definition of a security.
Securities Transferred. During the first nine months of 2011 and 2010, the Bank transferred certain private label MBS from HTM to AFS. See Note 3 for additional information regarding transfers. Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2011 and December 31, 2010 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
At September 30, 2011 and December 31, 2010, the amortized cost of the Bank’s MBS classified as HTM included net purchased discounts of $2.9 million and $10.6 million, respectively. Interest Rate Payment Terms. The following table details interest rate payment terms for HTM securities at September 30, 2011 and December 31, 2010.
Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 5/1, 7/1 and 10/1 hybrid adjustable-rate mortgages (ARMs). In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate. Realized Gains and Losses on HTM Securities. There were no sales of HTM securities and, therefore, no realized gains or losses on sales for the first nine months of 2011 and 2010. |
Note 9- Derivatives and Hedging Activities | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Derivatives and Hedging Activities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Derivatives and Hedging Activities Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and funding sources that finance these assets. The goal of the Bank's interest-rate risk management strategies is not to eliminate interest-rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures, which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and funding sources. For additional information on the Bank's interest-rate exchange agreements and the use of these agreements, see Note 11 to the audited financial statements in the Bank's 2010 Form 10-K. Financial Statement Effect and Additional Financial Information. The following tables summarize the notional and fair value of derivative instruments as of September 30, 2011 and December 31, 2010. Fair Values of Derivative Instruments
Note: (1 The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flow received and paid. It represents neither the actual amounts exchanged nor overall exposure of the Bank to credit or market risk. (2)Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties. The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statement of Operations.
The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the third quarter and first nine months of 2011 and 2010.
Note: (1)Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. The Bank had no active cash flow hedging relationships during the first nine months of 2011 and 2010. The losses reclassified from AOCI into income for the effective portion of the previously terminated cash flow hedges are presented in the table below for the third quarter and first nine months of 2011 and 2010. This activity was reported in interest expense –consolidated obligation-bonds in the Bank’s Statement of Operations.
As of September 30, 2011, the deferred net gains (losses) on derivative instruments in AOCI expected to be reclassified to earnings during the next twelve months were not material. Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to nonperformance by counterparties to the derivative agreements. The degree of counterparty credit risk depends on the extent to which master netting arrangements are included in such contracts to mitigate the risk. The Bank manages counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in its policies and regulations. The deterioration in the credit/financial markets has heightened the Bank’s awareness of derivative default risk. In response, the Bank has worked toward lessening this risk by (1) verifying that the derivative counterparties are in full compliance with existing ISDA requirements through enhanced monitoring efforts; (2) substituting securities for cash collateral, which would allow a more detailed identification of the Bank’s particular collateral; and (3) attempting to negotiate revised ISDA Master Agreement terms, when necessary, that should help to mitigate losses in the event of a counterparty default. These agreement negotiations may include establishing tri-party collateral agreements where possible to further protect the Bank’s collateral. The Bank’s ISDA Master Agreements typically require segregation of the Bank’s collateral posted with the counterparty and typically do not permit rehypothecation. The contractual or notional amount of derivatives reflects the involvement of the Bank in the various classes of financial instruments. The notional amount of derivatives does not measure the credit risk exposure of the Bank, and the maximum credit exposure of the Bank is substantially less than the notional amount. The Bank requires collateral agreements on all derivatives which establish collateral delivery thresholds. The maximum credit risk is defined as the estimated cost of replacing interest-rate swaps, forward interest-rate agreements, mandatory delivery contracts for mortgage loans, and purchased options that have a net positive market value, assuming the counterparty defaults and the related collateral, if any, is of no value to the Bank. The following table presents credit risk exposure on derivative instruments, excluding circumstances where a counterparty's pledged collateral to the Bank exceeds the Bank's net position.
Note: (1) Includes net accrued interest receivable of $8.6 million and $10.0 million at September 30, 2011 and December 31, 2010. Certain of the Bank’s derivative instruments contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in its credit rating. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on derivative instruments in net liability positions. The aggregate fair value of all derivative instruments with credit-risk-related contingent features that were in a net liability position (before cash and securities collateral and related accrued interest) at September 30, 2011 was $1.1 billion for which the Bank has posted cash and securities collateral with a fair value of approximately $979.0 million in the normal course of business. At September 30, 2011, if the Bank’s credit ratings had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would have been required to deliver up to an additional $55.3 million of collateral to its derivative counterparties at September 30, 2011. In August 2011, Moody's reaffirmed the U.S. government's AAA debt rating, as well as the ratings of all U.S. government-related institutions that are directly linked to the U.S. government or are otherwise vulnerable to sovereign risk, and revised the outlook to negative. In addition, in August 2011, S&P lowered its U.S. long-term AAA sovereign credit rating, as well as the long-term credit ratings of all FHLBanks previously rated AAA, including the Bank, to AA+ with negative outlook. See the Executive Summary discussion in Part I, Item 2. Management's Discussion and Analysis in this Form 10-Q for details regarding these actions. |
Background Information | 6 Months Ended |
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Jun. 30, 2011 | |
Background Information [Abstract] | |
Nature of Operations [Text Block] | Background Information The Bank, a federally chartered corporation, is one of 12 district FHLBanks. The FHLBanks serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet certain standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, are not required to hold capital stock. All members must purchase stock in the Bank. The amount of capital stock members own is based on outstanding advances, letters of credit, acquired member asset balances delivered and the Membership Asset Value calculation. See discussion regarding details of these factors in the Capital Resources section in Item 7. Management's Discussion and Analysis in the Bank's 2010 Form 10-K. In addition, the current Capital Plan was filed as Exhibit 4.1.1 to the Second Quarter 2010 Form 10-Q filed on August 9, 2010. The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties. See Note 11 for additional information. The mission of the Finance Agency is to provide effective supervision, regulation and housing mission oversight of the FHLBanks, as well as Fannie Mae and Freddie Mac, to promote their safety and soundness, support housing finance and affordable housing, and support a stable and liquid mortgage market. Each FHLBank operates as a separate entity with its own management, employees and board of directors. The Bank does not consolidate any off-balance sheet special-purpose entities or other conduits. As provided by the Act, as amended, or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are the joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF Program and purchase certain investments. See Note 10 for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all 12 FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement. The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In addition, from time to time certain amounts in the prior period may be reclassified to conform to the current presentation. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2010 included in the Bank's 2010 Form 10-K. |
Note 6 - Advances | 9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Advances [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Bank Advances, Disclosure [Text Block] | Note 6 – Advances Detailed information regarding advances including collateral security terms can be found in Note 8 to the audited financial statements in the Bank's 2010 Form 10-K. At September 30, 2011 and December 31, 2010, the Bank had advances outstanding, including AHP advances, with interest rates ranging from 0% to 7.84%. AHP subsidized loans had interest rates ranging between 0% and 6.50%. The following table details the Bank’s advances portfolio by year of contractual maturity as of September 30, 2011 and December 31, 2010.
The Bank offers certain advances to members that provide a member the right, based upon predetermined option exercise dates, to call the advance prior to maturity without incurring prepayment or termination fees (returnable advances). In exchange for receiving the right to call the advance on a predetermined call schedule, the member pays a higher fixed rate for the advance relative to an equivalent maturity, non-callable, fixed-rate advance. If the call option is exercised, replacement funding may be available. At September 30, 2011 and December 31, 2010, the Bank had returnable advances of $2.0 million and $22.0 million, respectively. The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest-payment term structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow that Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity fixed-rate advance without the conversion feature. Variable- to fixed-rate convertible advances have a defined lockout period during which the interest rates adjust based on a spread to LIBOR. At the end of the lockout period, these advances may convert to fixed-rate advances. The fixed rates on the converted advances are determined at origination. At September 30, 2011 and December 31, 2010, the Bank had convertible advances outstanding of $4.4 billion and $5.2 billion, respectively. The following table summarizes advances by year of contractual maturity or next call date or next convertible date as of September 30, 2011 and December 31, 2010.
Interest Rate Payment Terms. The following table details interest rate payment terms for advances as of September 30, 2011 and December 31, 2010.
At September 30, 2011 and December 31, 2010, 50% and 47%, respectively, of the Bank's fixed-rate advances were swapped to a floating rate. At September 30, 2011 and December 31, 2010, 33% and 29%, respectively, of the Bank's variable-rate advances were swapped to a different variable-rate index. Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of September 30, 2011 and December 31, 2010, the Bank had advances of $16.0 billion and $18.5 billion, respectively, outstanding to the five largest borrowers, which represented 65% of total advances outstanding at both period-ends. Of these five, two each had outstanding loan balances in excess of 10% of the total portfolio at both September 30, 2011 and December 31, 2010. See Note 8 for information related to the Bank's credit risk on advances and allowance for credit losses. |
Note 11 - Capital | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Capital [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Stockholders' Equity Note Disclosure [Text Block] | Capital The Bank is subject to three capital requirements under its current capital plan structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total capital; and (3) leverage capital. See details regarding these requirements and the Bank’s capital plan in Note 17 to the audited financial statements in the Bank’s 2010 Form 10-K. The following table demonstrates the Bank’s compliance with these capital requirements at September 30, 2011 and December 31, 2010. Mandatorily redeemable capital stock is considered capital for determining the Bank's compliance with its regulatory requirements.
On September 30, 2011, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended June 30, 2011. In its determination, the Finance Agency maintained concerns regarding the Bank's capital position and earnings prospects. The Finance Agency believes that the Bank's retained earnings levels are insufficient and the poor quality of its private label MBS portfolio has created uncertainties about its ability to maintain sufficient capital. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended September 30, 2011. Capital Concentrations. The following table presents member holdings of 10% or more of the Bank’s total capital stock outstanding as of September 30, 2011 and December 31, 2010.
Notes: (1)For Bank membership purposes, principal place of business is Horsham, PA. (2)For Bank membership purposes, principal place of business is Pittsburgh, PA. (3)Included a minor amount of mandatorily redeemable capital stock at December 31, 2010. Mandatorily Redeemable Capital Stock. Each FHLBank is a cooperative whose member financial institutions and former members own all of the relevant FHLBank's capital stock. Member shares cannot be purchased or sold except between an FHLBank and its members at its $100 per share par value, as mandated by each FHLBank's capital plan or by regulation. If a member cancels its written notice of redemption or notice of withdrawal, the FHLBank will reclassify mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock would no longer be classified as interest expense. At September 30, 2011 and December 31, 2010, the Bank had $48.1 million and $34.2 million, respectively, in capital stock subject to mandatory redemption with payment subject to a minimum five-year waiting period and the Bank meeting its minimum regulatory capital requirements. No dividends were paid on mandatorily redeemable stock for the first nine months of 2011 or 2010. The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the first nine months of 2011 and 2010.
Note: (1) Reflects the mandatorily redeemable capital stock activity related to the February, April and July 2011 partial excess capital stock repurchases. As of September 30, 2011, the total mandatorily redeemable capital stock reflected balances for nine institutions. Two institutions were taken over by the FDIC and their charters were dissolved. One institution voluntarily dissolved its charter with the Office of Thrift Supervision (OTS). Five institutions were merged out of district and are considered nonmembers. One institution's charter was converted to an uninsured trust company, which is ineligible for membership. The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2011 and December 31, 2010.
The year of redemption in the table above is the end of the five-year redemption period for the mandatorily redeemable capital stock. Under the Finance Agency regulations and the terms of the Bank's Capital Plan, capital stock supporting advances and other activity with the Bank (e.g., letters of credit, mortgage loans, etc.) is not redeemable prior to the payoff or maturity of the associated advance or other activity, which may extend beyond five years. The Bank executed partial repurchases of excess capital stock in each of the previous five quarters, including third quarter 2011. The amount of excess capital stock repurchased from any member in each repurchase transaction was the lesser of 5% of the member's total capital stock outstanding or its excess capital stock outstanding on the date immediately preceding the repurchase date. The total amount of member excess capital stock at September 30, 2011 was $1.6 billion. The total amount of excess capital stock repurchased on October 28, 2011 was approximately $170 million. The Bank has repurchased approximately $715 million in total excess capital stock in 2011. Dividends, Retained Earnings and AOCI. As prescribed in the FHLBanks' Joint Capital Enhancement Agreement (JCEA), upon full satisfaction of the REFCORP obligation, each FHLBank will contribute 20% of its net income each quarter to a restricted retained earnings (RRE) account until the balance of that account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. On August 5, 2011, the Finance Agency certified that the FHLBanks fully satisfied their REFCORP obligation. Therefore, starting in the third quarter of 2011, the Bank was required to allocate 20% of its net income to a separate RRE account. At September 30, 2011, retained earnings were $424.4 million, including $422.0 million of unrestricted retained earnings and $2.4 million of RRE, up $27.1 million from December 31, 2010. This increase reflects the Bank’s net income earned during the first nine months of 2011. The Finance Agency has issued regulatory guidance to the FHLBanks relating to capital management and retained earnings. The guidance directs each FHLBank to assess, at least annually, the adequacy of its retained earnings with consideration given to future possible financial and economic scenarios. The guidance also outlines the considerations that each FHLBank should undertake in assessing the adequacy of the Bank’s retained earnings. The Bank’s retained earnings policy and capital adequacy metric utilize this guidance. Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. As announced on December 23, 2008, the Bank has temporarily suspended dividend payments on a voluntary basis until further notice. The following table summarizes the changes in AOCI for the first nine months of 2011 and 2010.
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Note 7 - Mortgage Loans Held for Portfolio | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mortgage Loans Held For Portfolio [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans on Real Estate, by Loan Disclosure [Text Block] | Mortgage Loans Held for Portfolio Under the MPF Program, the Bank invests in mortgage loans, which it purchases from its participating members. Under the MPF Program, the Bank’s participating members originate, service, and credit enhance residential mortgage loans that are then sold to the Bank. In the past, the Bank has sold participation interests in some of its MPF Program loans to other FHLBanks and purchased participation interests from other FHLBanks. See Note 12 for further information regarding transactions with related parties. The following table presents information as of September 30, 2011 and December 31, 2010 on mortgage loans held for portfolio.
Note: (1)Medium-term is defined as a term of 15 years or less. Long-term is defined as greater than 15 years. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type and by maturity as of September 30, 2011 and December 31, 2010.
See Note 8 for information related to the Bank's credit risk on mortgage loans held for portfolio and the allowance for credit losses. |
Note 5 - Other-Than-Temporary Impairment | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Other Than Temporary Impairment [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Than Temporary Impairment Analysis [Text Block] | Other-Than-Temporary Impairment The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. As part of this process, the Bank considers its intent to sell each debt security and whether it is more likely than not the Bank will be required to sell the security before its anticipated recovery. If either of these conditions is met, the Bank recognizes the maximum OTTI loss in earnings, which is equal to the entire difference between the security’s amortized cost basis and its fair value at the Statement of Condition date. For securities in an unrealized loss position that meet neither of these conditions, the Bank evaluates whether there is OTTI by performing an analysis to determine if any of these securities will incur a credit loss, which could be up to the difference between the security's amortized cost basis and its fair value. Private Label Residential MBS and HELOCs. The Bank invests in MBS, which were rated AAA at the time of purchase with the exception of one pre-2004 vintage security that was rated AA at the time of purchase. Each MBS may contain one or more forms of credit protection/enhancements, including but not limited to guarantee of principal and interest, subordination, over-collateralization, and excess interest and insurance wrap. To ensure consistency among the FHLBanks, the Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the FHLBanks’ OTTI Governance Committee. The OTTI analysis is a cash flow analysis that is run on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio that have available data. Private label MBS backed by HELOCs and certain other securities are not able to be cash flow tested using the FHLBanks’ common platform. For these types of private label MBS and certain securities where underlying collateral data is not available, alternate procedures, as prescribed by the OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. These alternative procedures include using a proxy bond’s loan level results to allocate loan level cash flows, a qualitative analysis of government agency loan-level guarantees, or different models for HELOCs as discussed below. Securities evaluated using alternative procedures during the third quarter were not significant to the Bank, as they represented approximately 5% of the par balance of private label MBS. The Bank's evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as:
To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label residential MBS to its amortized cost basis. For the Bank’s private label residential MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is recalculated. The Bank performed a cash flow analysis using two third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying the Bank's securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (CBSAs), which are based upon an assessment of the individual housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the United States Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area with a population of 10 thousand or more people. The FHLBanks' OTTI Governance Committee's housing price forecast assumed current-to-trough home price declines ranging from 0% (for those housing markets that are believed to have reached their trough) to 8% over the 9-month period beginning July 1, 2011. Thereafter, home prices were projected to recover using one of five different recovery paths that vary by housing market. Under those recovery paths, home prices were projected to increase within a range of 0% to 2.8% in the first year, 0% to 3.0% in the second year, 1.5% to 4.0% in the third year, 2.0% to 5.0% in the fourth year, 2.0% to 6.0% in each of the fifth and sixth years, and 2.3% to 5.6% in each subsequent year. The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. In a securitization in which the credit enhancement (CE) for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in assumptions and expectations. The scenario of cash flows determined based on the model approach described above reflects a best estimate scenario and includes a base case current to trough housing price forecast and a base case housing price recovery path described above. For its HELOCs, the Bank performs a security-level cash flow test on different third-party models because loan-level data is not available. The security-level cash flow test is based on prepayment assumptions, actual six-month average constant default rate, and loss severities of 100%. HELOCs owned by the Bank are insured by third-party bond insurers (monoline insurers), which guarantee the timely payments of principal and interest. The cash flow analysis of the HELOCs looks first to the performance of the underlying security. If these cash flows are insufficient, the Bank considers the capacity of the third-party bond insurer to cover shortfalls. Certain of the monoline insurers have been subject to adverse ratings, rating downgrades, and weakening financial performance measures. Accordingly, the FHLBanks’ OTTI Governance Committee has performed analyses to assess the financial strength of these monoline insurers to establish the time horizon (burnout period) of their ability to fulfill their financial obligations. Any cash flow shortfalls that occurred beyond the burnout period are considered not recoverable. There are four insurers wrapping the Bank’s HELOC investments. The financial guarantee from Assured Guaranty Municipal Corp. (AGMC) (formerly Financial Services Assurance Corp. (FSA)) is considered sufficient to cover all future claims. The Bank has placed no reliance on the financial guarantee from Financial Guarantee Insurance Corp. (FGIC) and AMBAC Assurance Corp. (AMBAC). The Bank established a burnout period ending December 31, 2011 for MBIA Insurance Corp. (MBIA). The Bank monitors these insurers and as facts and circumstances change, the burnout period could significantly change. For those securities for which an OTTI credit loss was determined to have occurred during the three months ended September 30, 2011 (that is, a determination was made that the entire amortized cost bases will not likely be recovered), the following tables present a summary of the significant inputs used to measure the amount of the credit loss recognized in earnings during the three months ended September 30, 2011 as well as the related current CE. Credit enhancement is defined as the percentage of subordinated tranches and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security. The calculated averages represent the dollar weighted averages of the significant inputs used to measure the credit loss. The CUSIP classification (Prime, Alt-A and subprime) is based on the classification as determined by the first model used to run the estimated cash flows for the CUSIP and not the classification at the time of issuance.
All of the Bank's other-than-temporarily impaired securities were classified as AFS as of September 30, 2011. The table below summarizes the Bank’s securities as of September 30, 2011 for which an OTTI has been recognized during third quarter 2011 and during the life of the security, as well as those AFS securities on which an OTTI has not been taken to reflect the entire AFS private label MBS portfolio balance.
Notes: (1)Amortized cost includes adjustments made to the cost basis of an investment for accretion and/or amortization, collection of cash, and/or previous OTTI recognized in earnings. The tables below summarize the impact of OTTI credit and noncredit losses recorded on AFS investment securities for the third quarter and first nine months of 2011 and 2010.
The following tables present the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the third quarter and first nine months of 2011 and 2010.
Notes: (1) For the three months ended September 30, 2011 and 2010, OTTI “previously recognized” represents securities that were impaired prior to July 1, 2011 and 2010, respectively. For the first nine months of 2011 and 2010, OTTI “previously recognized” represents securities that were impaired prior to January 1, 2011 and 2010, respectively. (2) This activity represents the increase in cash flows recognized in interest income during the period. All other AFS and HTM Investments. At September 30, 2011, certain of the Bank's AFS and HTM investment portfolios, including those private label MBS not determined to be other-than-temporarily impaired, have experienced unrealized losses and a decrease in fair value due to interest rate volatility, illiquidity in the marketplace, and credit deterioration in the U.S. mortgage markets. However, the decline is considered temporary as the Bank expects to recover the entire amortized cost basis on the remaining investment securities in an unrealized loss position and neither intends to sell these securities nor considers it more likely than not that the Bank would be required to sell the security before its anticipated recovery. State and Local Housing Finance Agency Obligations. The Bank has determined that all unrealized losses on these investments are temporary given the creditworthiness of the issuers and the underlying collateral. Other U.S. obligations and GSE Investments. For other U.S. obligations, GSE non-MBS investments and GSE MBS investments, the Bank has determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses based on current expectations. As a result, the Bank has determined that, as of September 30, 2011, all of these gross unrealized losses are temporary. This determination includes an evaluation of rating actions that occurred with respect to the U.S. Government during 2011. See the Executive Summary discussion in Part I, Item 2. Management's Discussion and Analysis in this Form 10-Q for details regarding these actions. |
Statement of Cash Flows Parenthetical (USD $) In Thousands | 9 Months Ended | |
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Sep. 30, 2011 | Sep. 30, 2010 | |
Deposits from Other FHLBanks for MPF program | $ 3,197 | $ 3,933 |
Proceeds from sale of long-term AFS securities | $ 138,461 | $ 234,586 |
Note 1 - Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | 9 Months Ended |
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Sep. 30, 2011 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Description of New Accounting Pronouncements Not yet Adopted [Text Block] | Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations Improving Disclosures about Fair Value Measurements. During January 2010, the FASB issued amended guidance specific to fair value disclosures. The amended guidance included additional disclosure requirements with certain requirements having an implementation date in the first quarter of 2011. The additional fair value disclosures in the first quarter of 2011 required the Bank to separately report purchases, sales, issuance and settlement activity in the reconciliation of fair value measurements using significant unobservable inputs (Level 3). These additional disclosures are reflected in Note 13 to these unaudited financial statements, but had no impact on the Bank's Statement of Operations and Statement of Condition. Disclosures about the Credit Quality of Financing Receivables and the Allowance for Credit Losses. During July 2010, the FASB issued new disclosure requirements to provide greater transparency about the allowance for credit losses and credit quality of financing receivables in response to the credit crisis. Beginning in the third quarter of 2011, the amended guidance requires the Bank to disclose additional information to better understand the nature and extent of troubled debt restructurings (TDR). The Bank's adoption of the troubled debt restructuring disclosures resulted in increased financial statement disclosures, but did not affect the Bank's Statement of Operations and Statement of Condition. A Creditor's Determination of Whether a Restructuring is a Troubled Debt Restructuring (TDR). During April 2011, the FASB issued guidance requiring the evaluation of modifications and restructurings as TDRs based on a more principles-based approach. In addition, the new literature provides additional guidance to identify concessions, debtors experiencing financial difficulty, and insignificant delays in cash flows. The guidance also eliminates the evaluation of effective rates to identify TDRs The guidance does not impact the accounting for TDRs. The Bank adopted the guidance effective July 1, 2011, which required the Bank to evaluate all modifications and restructurings entered into since January 1, 2011. The Bank's adoption of the guidance did not have a material impact on its Statement of Operations and Statement of Condition. Reconsideration of Effective Control for Repurchase Agreements. During April 2011, the FASB issued guidance to improve the identification of repurchase transactions as sales or secured borrowings by modifying the requirements to assess effective control. The FASB removed the criterion requiring the transferor to have the ability to repurchase or redeem financial assets on substantially the same terms and removed the requirement of the transferor to possess adequate collateral to fund the cost of purchasing replacement financial assets. The guidance will be effective for the Bank beginning January 1, 2012 and will be applied prospectively. Currently, the Bank's adoption of this guidance is expected to have no material impact on its Statement of Operations and Statement of Condition. Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS. During May 2011, the FASB issued guidance to substantially converge the definition of fair value and related disclosure requirements, but not when fair value accounting is applied. The guidance includes additional disclosure requirements around Level 3 inputs and an increased requirement to report all instruments measured or disclosed at fair value within the fair value hierarchy. The guidance will be effective for the Bank beginning January 1, 2012 and will be applied prospectively. The Bank's adoption of this guidance will have no material impact on the Bank's Statement of Operations and Statement of Condition, but will result in additional disclosure in the Notes to Financial Statements. Presentation of Comprehensive Income. During June 2011, the FASB issued guidance to increase the prominence of items reported in comprehensive income as part of the convergence project. The guidance requires non-owner changes in equity to be reported in either a single continuous statement of comprehensive income, or in two consecutive statements that separately present total net income and total comprehensive income. It also requires the Bank to present on the face of the financial statements amounts reclassified from other comprehensive income to net income. It does not change the accounting for other comprehensive income or the calculation of earnings per share. The guidance will be effective for the Bank for first quarter 2012 and will be applied retrospectively. Multi-employer Pension Plan Disclosures. During September 2011, the FASB issued new disclosure requirements for multi-employer pension plans. The guidance requires additional information about an entity's financial obligations to its multi-employer pension plan. This will require additional disclosures regarding pension commitments and the financial health of the plan. Specifically, the amended guidance will require the Bank to disclose the most recent certified funded status of the plan. The amended guidance does not change the accounting for multi-employer pension plans. The additional disclosures will be effective with the Bank’s December 31, 2011 financial statements. Allowance for Credit Losses. In first quarter 2011, the Bank revised the estimates used to determine the allowance for credit losses on both BOB loans and mortgage loans purchased by the Bank. See Note 8 for details regarding these new estimates. |
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FHLB Trading Securities (and Certain Trading Assets) [Text Block] | Trading Securities The following table presents trading securities as of September 30, 2011 and December 31, 2010.
The mutual funds are held in a Rabbi trust to generate returns that seek to generally offset changes in liabilities related to the market risk of certain deferred compensation agreements. These deferred compensation liabilities were $4.1 million and $6.1 million at September 30, 2011 and December 31, 2010, respectively. The following table presents net gains (losses) on trading securities for the third quarter and first nine months of 2011 and 2010.
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Debt and Capital Leases Disclosures [Text Block] | Consolidated Obligations Detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 14 to the audited financial statements in the Bank's 2010 Form 10-K. The following table details interest rate payment terms for consolidated obligation bonds as of September 30, 2011 and December 31, 2010.
At September 30, 2011 and December 31, 2010, 50% and 41%, respectively, of the Banks' fixed-rate bonds were swapped to a floating rate. At September 30, 2011 and December 31, 2010, 3% and 0.6%, respectively, of the Banks' variable-rate bonds were swapped to a different variable-rate index. Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2011 and December 31, 2010.
The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2011 and December 31, 2010.
The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2011 and December 31, 2010.
Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes, all of which are due within one year, as of September 30, 2011 and December 31, 2010.
Note: (1) Represents an implied rate. |
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Available-for-sale Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
fhlb Available for Sale Securities [Text Block] | Available-for-Sale Securities The following table presents AFS securities as of September 30, 2011 and December 31, 2010.
Notes: (1)Amortized cost includes adjustments made to the cost basis of an investment for accretion and/or amortization, collection of cash, and/or previous OTTI recognized in earnings. (2)Represents the noncredit portion of an OTTI recognized during the life of the security. The mutual funds are held in a Rabbi trust to secure a portion of the Bank’s supplemental retirement obligation. This obligation was $3.1 million and $3.0 million at September 30, 2011 and December 31, 2010, respectively. The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net noncredit portion of OTTI losses on AFS securities in AOCI as of September 30, 2011 and December 31, 2010.
The following tables summarize the AFS securities with unrealized losses as of September 30, 2011 and December 31, 2010. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
Note: (1)Total unrealized losses equal the sum of "OTTI Recognized in OCI" and "Gross Unrealized Holding Losses" in the first two tables of this Note 3. Securities Transferred. The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss had been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so. The Bank transferred a total of four private label MBS from HTM to AFS during the first nine months of 2011 and seven during the first nine months of 2010. These securities had an OTTI credit loss recorded on them during the period in which they were transferred. The following table presents the information on the private label MBS transferred during the nine months ended September 30, 2011 and 2010.
Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2011 and December 31, 2010 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
As of September 30, 2011, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $18.4 million and credit losses of $311.4 million, partially offset by OTTI-related accretion adjustments of $10.6 million. As of December 31, 2010, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $20.1 million and credit losses of $317.6 million, partially offset by OTTI-related accretion adjustments of $13.6 million. Interest Rate Payment Terms. The following table details interest payment terms for AFS non-MBS and MBS at September 30, 2011 and December 31, 2010.
Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 5/1, 7/1 and 10/1 hybrid adjustable-rate mortgages (ARMs). In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate. Realized Gains and Losses on AFS Securities. There were no sales of AFS securities during the third quarter of 2011 and, therefore, no realized gains or losses on sales. For the first nine months of 2011, the Bank sold one other-than-temporarily impaired AFS security, receiving $138.5 million of proceeds and realizing a gain of $7.3 million. During the third quarter of 2010, the Bank received $223.2 million in proceeds from the sale of two other-than-temporarily impaired AFS securities and realized net gains of $8.4 million for the three months ended September 30, 2010. |
Note 13 - Estimated Fair Vales | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Estimated Fair Values [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Text Block] | Estimated Fair Values The fair value amounts presented in this Note disclosure, and reported on the Statement of Condition where applicable, have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at September 30, 2011 and December 31, 2010. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2011 and December 31, 2010 are presented in the table below. This table does not represent an estimate of the overall market value of the Bank as a going-concern, which would take into account future business opportunities and the net profitability of assets versus liabilities. Fair Value Summary Table
Fair Value Hierarchy. The Bank records trading securities, AFS securities, derivative assets and derivative liabilities at fair value. The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value on the Statement of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. A description of the application of the fair value hierarchy is disclosed in Note 20 - Estimated Fair Values in the Bank's 2010 Form 10-K; no changes have been made in the current year. Valuation Techniques and Significant Inputs. A description of the valuation techniques and significant inputs is disclosed in Note 20 - Estimated Fair Values in the Bank's 2010 Form 10-K; only changes or updates are discussed below. Investment Securities – non-MBS. The Bank uses the income approach to determine the estimated fair value of non-MBS investment securities. The significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The following table presents (for those fair value measurements that fell in either Level 2 or Level 3) the significant inputs used to measure fair value for each class of non-MBS investment securities that are carried on the Statement of Condition at fair value as of September 30, 2011.
Investment Securities – MBS. Based on the current lack of significant market activity for private label residential MBS, the fair value measurements for such securities as of September 30, 2011 fell within Level 3 of the fair value hierarchy. Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Changes in the prepayment rates often have a material effect on the fair value estimates. These underlying prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time. Consolidated Obligations. The Bank’s internal valuation model determines fair values of consolidated obligations bonds and discount notes by calculating the present value of expected cash flows using market-based yield curves. Fair Value on a Recurring Basis. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring basis on its Statement of Condition at September 30, 2011 and December 31, 2010.
Note: (1)Amounts represent the effect of legally enforceable master netting agreements on derivatives that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties. There were no transfers between Levels 1 and 2 during the first nine months of 2011. Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the first nine months of 2011 and 2010. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period.
During the first nine months of 2011, the Bank transferred four private label MBS from its HTM portfolio to its AFS portfolio, in the period in which the OTTI charge was recorded. During the first nine months of 2010, the Bank transferred seven private label MBS from its HTM portfolio to its AFS portfolio. Because transfers of OTTI securities are separately reported in the quarter in which they occur, the net OTTI losses and noncredit losses recognized on these securities are not separately reflected in the tables above. Further details, including the OTTI charges relating to this transfer and the rationale for the transfer, are presented in Note 3 to these unaudited financial statements. |
Note 14 - Commitments and Contingencies | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Commitments and Contingencies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies Disclosure [Text Block] | Commitments and Contingencies The following table presents the Bank's various off-balance sheet commitments which are described in detail below.
(1) Includes approved requests to issue future standby letters of credit of $323.6 million and $485.3 million at September 30, 2011 and December 31, 2010, respectively. (2) Includes $455.0 million and $85.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at September 30, 2011 and December 31, 2010, respectively. Commitments to Extend Credit. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s DDA account. Any remaining amounts not covered by the withdrawal from the member’s DDA account are converted into a collateralized advance. The original terms of these standby letters of credit, including related commitments, ranged from less than one month to 4 years, including a final expiration in 2013. Commitments that legally bind and unconditionally obligate the Bank for additional advances, including BOB loans, can be for periods of up to twelve months. Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $638 thousand and $1.7 million as of September 30, 2011 and December 31, 2010, respectively. The Bank monitors the creditworthiness of its standby letters of credit based on an evaluation of the member. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit. Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in other liabilities on the Statement of Condition. At September 30, 2011, the Bank had $100 thousand in outstanding BOB commitments. The Bank does not have any legally binding or unconditional unused lines of credit for advances at September 30, 2011 and December 31, 2010. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding of $7.5 billion at September 30, 2011 and $7.4 billion at December 31, 2010. Commitments to Fund or Purchase Mortgage Loans. Commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF program totaled $25.7 million and $21.8 million at September 30, 2011 and December 31, 2010, respectively. Delivery commitments are generally for periods not to exceed 45 days. Such commitments are recorded as derivatives at their fair value. Pledged Collateral. The Bank generally executes derivatives with major banks and broker-dealers and generally enters into bilateral collateral agreements. As of September 30, 2011, the Bank has pledged total collateral of $979.0 million, including cash of $592.9 million and securities that cannot be sold or repledged with a fair value of $386.1 million, to certain of its derivative counterparties. As of December 31, 2010, the Bank had pledged total collateral of $647.3 million, including cash of $353.3 million and securities that cannot be sold or repledged with a fair value of $294.0 million, to certain of its derivative counterparties. As previously noted, the Bank’s ISDA Master Agreements typically require segregation of the Bank’s collateral posted with the counterparty. The Bank reported $386.1 million and $294.0 million of the collateral as trading securities as of September 30, 2011 and December 31, 2010, respectively. Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank's financial condition, results of operations, cash flow or liquidity except as noted below. During the third quarter of 2011, the Bank and the management of the Lehman bankruptcy estate entered into a termination agreement concluding on the stipulated amount of the Bank’s claim on the Lehman estate. Also during the third quarter, the Bank sold the stipulated claim resulting in a gain of approximately $1.9 million which was recognized in the third quarter of 2011. Notes 6, 9, 10, 11 and 12 also discuss other commitments and contingencies. |
Note 8 - Allowance for Credit Losses | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Allowance for Credit Losses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses The Bank has established an allowance methodology for each of the Bank's portfolio segments: credit products; government-guaranteed or insured mortgage loans held for portfolio; conventional MPF loans held for portfolio; and BOB loans. Credit Products. The Bank manages its credit exposure to credit products (which includes advances, letters of credit, advance commitments, and other credit product exposure) through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower's financial condition and is coupled with collateral/lending policies to limit risk of loss while balancing borrowers' needs for a reliable source of funding. In addition, the Bank lends to its members in accordance with the Federal Home Loan Bank Act of 1932 (the Act) and Finance Agency regulations. Specifically, the Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member's credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, community financial institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. The Bank's capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. The Bank can call for additional or substitute collateral to protect its security interest. Management of the Bank believes that these policies effectively manage the Bank's respective credit risk from credit products. Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically place physical possession or control of the collateral with the Bank or its custodians. However, notwithstanding financial condition, the Bank always takes possession or control of securities collateral if it is used for maximum borrowing capacity (MBC). The Bank perfects its security interest in all pledged collateral. The Act affords any security interest granted to the Bank by a member priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower's financial condition to be indicators of credit quality on its credit products. At September 30, 2011 and December 31, 2010, the Bank had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit. The Bank continues to evaluate and make changes to its collateral guidelines, as necessary, based on current market conditions. At September 30, 2011 and December 31, 2010, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. Based upon the collateral held as security, its credit extension, collateral policies, management's credit analysis and the repayment history on credit products, the Bank did not incur any credit losses on credit products for the first nine months of 2011 and the year ended December 31, 2010, or since inception. Accordingly, the Bank has not recorded any allowance for credit losses. At September 30, 2011 and December 31, 2010, no liability to reflect an allowance for credit losses for off-balance sheet credit products was required to be recorded. Mortgage Loans - Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are mortgage loans insured or guaranteed by the Federal Housing Administration, the Department of Veterans Affairs, the Rural Housing Service of the Department of Agriculture and/or by the Department of Housing and Urban Development. Any losses from such loans are expected to be recovered from those entities. Any losses from such loans that are not recovered from those entities must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans. Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for loan losses includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans. The Bank's allowance for credit losses takes into consideration the CEs associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers primary mortgage insurance, supplemental mortgage insurance, and CE amount. Any incurred losses that are expected to be recovered from the CEs are not reserved as part of the Bank's allowance for credit losses. For conventional MPF loans, credit losses that are not paid by the private mortgage insurance are allocated to the Bank up to an agreed upon amount, referred to as the First Loss Account (FLA). The FLA functions as a tracking mechanism for determining the point after which the participating member (PFI) is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or a supplemental mortgage insurance policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank. Estimated losses exceeding the CE and supplemental mortgage insurance, if any, are incurred by the Bank. The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable is generally established for losses expected to be recovered by withholding CE fees. At September 30, 2011 and December 31, 2010, the MPF exposure under the FLA was $35.1 million and $41.1 million, respectively. This exposure includes both accrual and nonaccrual loans. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $1.1 million and $1.4 million for the third quarter of 2011 and 2010, respectively, and $3.5 million and $4.2 million for the first nine months of 2011 and 2010, respectively. Collectively Evaluated Mortgage Loans. The Bank collectively evaluates the homogeneous mortgage loan portfolio for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program (discussed above) and PMI. In first quarter 2011, the Bank updated its probability of default and loss given default from national statistics (adjusted for actual results) for mortgage loans to the actual 12 month historical performance of the Bank's mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral. The change in estimate also includes a more detailed analysis at the Master Commitment level. Individually Evaluated Mortgage Loans. The Bank evaluates certain mortgage loans for impairment individually. These loans are considered TDRs and are discussed below. BOB Loans. Both the probability of default and loss given default are determined and used to estimate the allowance for credit losses on BOB loans. Loss given default is considered to be 100% due to the fact that the BOB program has no collateral or credit enhancement requirements. In first quarter 2011, the Bank updated its probability of default from national statistics for speculative grade debt to the actual performance of the BOB program. The Bank also eliminated the adjustment to probability of default for trends in gross domestic product. In addition, as a result of the collection history of BOB loans, the Bank no longer has doubt about the ultimate collection of BOB loans that are current and only considers BOB loans that are delinquent to be nonperforming assets. Rollforward of Allowance for Credit Losses. Mortgage Loans. The following tables present a rollforward of the allowance for credit losses on conventional mortgage loans for the third quarter and first nine months of 2011 and 2010, as well as the recorded investment in conventional mortgage loans by impairment methodology at September 30, 2011.
BOB Loans. The following tables present a rollforward of the allowance for credit losses on BOB loans for the third quarter and first nine months of 2011 and 2010, as well as the recorded investment in BOB loans by impairment methodology at September 30, 2011.
Credit Quality Indicators. Key credit quality indicators for mortgage and BOB loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. The tables below summarizes the Bank's key credit quality indicators for mortgage and BOB loans at September 30, 2011 and December 31, 2010.
Notes: (1)The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, adjustments for fair value hedges and direct write-downs. The recorded investment is not net of any valuation allowance. (2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. (4) Generally represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. At December 31, 2010, all BOB loans were considered nonaccrual loans. REO. The Bank had $11.4 million and $12.6 million of REO in other assets at September 30, 2011 and December 31, 2010, respectively. Troubled Debt Restructurings (TDRs). TDRs are considered to have occurred when a concession is granted to the debtor that would not otherwise be considered for economic or legal reasons related to the debtor's financial difficulties. Mortgage Loans - Conventional MPF. The Bank offers a loan modification program for its MPF Program. The loans modified under this program are considered TDRs. The loan modification program modifies borrower's monthly payment for a period of up to 36 months to no more than a housing expense ratio of 38% of their monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years and a housing expense ratio not to exceed 38%. This would result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments is unchanged. If the 38% ratio is still not met, the interest rate is reduced for up to 36 months in 0.125% increments below the original note rate, to a floor rate of 3%, resulting in reduced principal and interest payments, until the target 38% housing expense ratio is met. A TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying or decreasing the original contractual principal and interest, if applicable. All mortgage loans individually evaluated for impairment were considered TDRs at September 30, 2011, totaling $2.8 million. BOB Loans. The Bank offers a BOB loan deferral which the Bank considers a TDR. A deferred BOB loan is not required to pay principal or accrue interest for up to a one-year period. The credit loss is measured by factoring expected shortfalls incurred as of reporting date. All deferred BOB loans, individually evaluated for impairment, were considered TDRs at September 30, 2011, totaling $305 thousand. As a result of adopting the new accounting guidance on a creditor's determination of whether a restructuring is a TDR, as discussed in Note 1, the Bank reassessed all restructurings that occurred on or after January 1, 2011 for identification as TDRs. The Bank identified deferred BOB loans as TDRs for which the allowance for credit losses had previously been measured under a general allowance for credit losses methodology. The impact of accounting for deferred BOB loans as TDRs had an immaterial impact on the Bank's financial statements. TDR Modifications. The following table presents the pre-modification and post-modification recorded investment balance, as of the modification date, for all TDRs for the third quarter and first nine months of 2011.
During the third quarter and first nine months of 2011, certain TDRs within the previous twelve months experienced a payment default. The Bank considers a payment default to be a loan 60 days or more delinquent. Conventional MPF loans totaling $222 thousand had experienced a payment default for the previous three months and nine months ended September 30, 2011. Individually Evaluated Impaired Loans. At September 30, 2011, only certain loans individually evaluated for impairment were considered impaired. The table below presents the recorded investment, unpaid principal balance and related allowance associated with these loans. There were no loans individually evaluated for impairment at December 31, 2010.
The table below presents the average recorded investment of individually impaired loans and related interest income recognized. The Bank included the individually impaired loans as of the date on which they became a TDR, although prior to third quarter 2011, conventional MPF loans were not accounted for as TDRs because they were deemed to be immaterial. Deferred BOB loans were deemed to be TDRs effective July 1, 2011. There were no loans individually assessed at December 31, 2010.
Purchases, Sales and Reclassifications. During the third quarter and first nine months of 2011, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for sale. |
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