PITTSBURGH – The Federal Home Loan Bank of Pittsburgh said last week that mounting losses on its mortgage backed securities could push it up against regulatory risk-based capital limits.
The warning comes after FHLBs in Seattle and Indianapolis made similar disclosures to members in recent days.
The FHLB Pittsburgh estimated the market value of its $8.8 billion portfolio had declined by almost 30% at year-end, doubling its risk-based capital requirement to $4.24 billion.
The FHLBs have run into the same problem as corporate credit unions, that is, the fall in the market value of their mortgage backed securities has created billions of dollars in unrealized losses. The FHLBs, like the corporates, hope to be able to hold the distressed securities to maturity in order to regain some of the market value of the holdings.
