 Member Audio/Web
Conference
November 2, 2012
Exhibit 99.1 |
 Cautionary Statement Regarding Forward-
Looking Information and Adjusted Information
2
Data set forth in these slides includes unaudited data. This document contains
“forward-looking statements”- that is, statements related to
future, not past, events. In this context, forward-looking statements often address our expected future
business and financial performance, and often contain words such as “expect,”
“anticipate,” “intend,” “plan,” “believe,” “seek,”
or “will.” These uncertainties may cause our actual future results to be
materially different than those expressed in our forward-looking statements.
Forward looking statements by their nature address matters that are, to different degrees,
uncertain. Actual performance or events may differ materially from that expected or implied
in forward-looking statements because of many factors. Such factors may
include, but are not limited to, other than temporary impairment of investment
securities, regulatory and accounting rule adjustments or requirements, changes in interest
rates, changes in projected business volumes, changes in prepayment speeds on
mortgage assets, the cost of our funding, changes in our membership profile, the
withdrawal of one or more large members, competitive pressures, shifts in demand for our products and
consolidated obligations, changes in the System’s debt rating or the Bank’s
rating, general economic conditions (including effects on among other things,
mortgage-backed securities), applicable Bank policy requirements for retained earnings
levels and the ratio of market value of equity to par value of Bank capital stock, the
Bank’s ability to maintain adequate capital levels (including meeting applicable
regulatory capital requirements), business and capital plan adjustments and
amendments, legislative and regulatory actions or approvals, interest-rate volatility,
our ability to appropriately manage our cost of funds and the cost-effectiveness
of our funding, hedging and asset-liability management activities. We undertake no
obligation to revise or update publicly any forward-looking statements for any reason.
This document also contains non- GAAP financial information. Because of the nature
of (1) OTTI charges and (2) gain on the sale of the Bank’s Lehman derivatives
claim, the Bank believes that adjusting net income for these items and evaluating results as adjusted (which the
Bank defines as “adjusted earnings”) is important in order to understand how the
Bank is performing with respect to its primary business operations and to provide
meaningful comparisons to prior periods. Adjusted earnings are considered to be
a non-GAAP measurement. Management uses this information in its internal analysis of results and believes that this
information may be informative to investors in gauging the quality of our financial
performance, identifying trends in our results and providing meaningful
period-to-period comparisons. |
 Financial Highlights –
Statement of Income
(in millions)
3
2012
2011
Over/
(Under)
Net interest income
142.1
$
112.7
$
29.4
$
Provision for credit losses
-
6.3
(6.3)
Net OTTI credit losses
(11.0)
(37.5)
26.5
All other income
8.3
9.6
(1.3)
Other expenses
52.7
44.2
8.5
Income before assessments
86.7
34.3
52.4
AHP/REFCORP
8.7
7.2
1.5
GAAP net income
78.0
$
27.1
$
50.9
$
Net interest margin (bps)
34
29
5
Nine
months
ended
September
30, |
 Quarterly Adjusted Earnings
3Qtr 12
2Qtr 12
1Qtr 12
4Qtr 11
3Qtr 11
GAAP net income
33.0
$
23.2
$
21.8
$
10.9
$
11.9
$
Adjustments:
Net OTTI credit losses
(0.2)
(3.6)
(7.2)
(7.6)
(6.2)
Sale of Lehman claim
1.9
AHP
0.4
0.7
0.7
0.4
Adjusted earnings
33.2
$
26.4
$
28.3
$
17.8
$
15.8
$
Prepayment fees on
advances, net
2.2
$
7.4
$
4.7
$
5.0
$
1.4
$
(in millions)
4 |
 Quarterly Advance Trend
5
$41.2
$29.7
$25.8
$30.6
$37.7
$20.0
$25.0
$30.0
$35.0
$40.0
$45.0
$50.0
Dec-07
Dec-08
Dec-09
Dec-10
Dec-11
Period End Balances
Sep-12
$73.5 Mar-08
Sep-11 |
 Financial Highlights –
Selected Balance Sheet
(in millions)
(in millions)
6
2012
2011
Amount
Average:
Total assets
56,899
$
52,512
$
4,387
$
8
%
Advances
32,802
26,973
5,829
22
Total investments
19,810
20,792
(982)
(5)
Sept 30,
Dec 31,
2012
2011
Amount
Spot:
Advances
37,739
$
30,605
$
7,134
$
23
%
PLMBS (par)
3,125
3,794
(669)
(18)
Retained earnings
511
435
76
17
Total AOCI
28
(162)
190
117
Percent
Over/(Under)
Over/(Under)
Nine
months
ended
September
30,
Percent |
 •
OTTI credit losses totaled $186 thousand in third quarter 2012 and $453
million life-to-date
•
No new CUSIPs were determined to be other-than-temporarily impaired in
the third quarter of 2012
•
Life-to-date, 51 securities have had an OTTI credit loss recorded with
current par of $1.8 billion. This represents 58% of the PLMBS
portfolio •
Actual cash losses were approximately $43 million life-to-date
•
PLMBS portfolio performance has stabilized in terms of delinquencies
•
Credit enhancement levels continue to decline as foreclosures make their
way through the system
•
Significant increases in cash flows caused an increase in yield on certain
OTTI PLMBS resulting in $2.2 million and $21.6 million of interest income
during the third quarter of 2012, and life-to-date, respectively
OTTI
7 |
 Capital and Risk-Based Requirements
Sept 30,
June 30,
Dec 31,
2012
2012
2011
Permanent capital
(1)
3,791
$
3,796
$
3,871
$
Risk-based capital requirement:
Credit risk capital
651
$
648
$
678
$
Market risk capital
129
105
139
Operations risk capital
234
225
245
Total risk-based capital requirement
1,014
$
978
$
1,062
$
Excess permanent capital
2,777
$
2,818
$
2,809
$
Percentage of requirement
374%
388%
365%
Capital ratio (4% minimum)
6.3%
6.8%
7.4%
Leverage ratio (5% minimum)
9.5%
10.2%
11.2%
Market value/capital stock (MV/CS)
112.2%
105.7%
96.9%
(in millions)
(1)
Permanent
capital
includes
excess
capital
stock
of
$796,
$1,037,
and
$1,294
at
September
30,
2012,
June 30, 2012 and December 31, 2011, respectively.
Second quarter 2012 capital classification “adequately
capitalized.” However, our regulator has
maintained
concerns
regarding
our
level
of
retained
earnings
and
the
poor
quality
of
the
PLMBS
portfolio.
8 |
 •
Dividend declared based on third quarter 2012 results
Equal to third quarter 2012 average three-month LIBOR (annual yield of
0.43%) Based on average stock outstanding for third quarter 2012
Payment date: October 31, 2012
•
Partial excess capital stock repurchase
Excess
capital
stock
repurchased
–
approximately
$300
million
Effective date: October 30, 2012
Payment date: October 31, 2012
•
No significant impact on:
Risk and capital adequacy measures
Members’
excess ownership percentage
•
Decisions for any future repurchases and/or dividend payments will be based on the
following:
Increased retained earnings
PLMBS AOCI levels
Adequate excess regulatory capital
MV/CS > 90%
Positive
GAAP
earnings
which
are
sustainable
for
the
foreseeable
future
Dividend Payment & Excess Stock Repurchase
9 |
 Member Audio/Web
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November 2, 2012 |