Interest Rate Risk Exposure Report

Office of Thrift Supervision

All Reporting CMR Reporting Dockets: 52

Area: PA

December 2002

Economic Analysis Division

Washington, DC 20552

Interest Rate Sensitivity of Net Portfolio Value (NPV)

Change in Rates

Net Portfolio Value NPV as %

$Amount $Change %Change NPV Ratio Change

(Dollars are in Millions) of PV of Assets

Risk Measure for a Given Rate Shock

12/31/2002 9/30/2002 12/31/2001

Pre-shock NPV Ratio: NPV as % of PV Assets

Post-shock NPV Ratio

Sensitivity Measure: Decline in NPV Ratio

TB 13a Level of Risk

+300 bp

+200 bp

+100 bp

0 bp

-100 bp

5,011

5,623

6,291

6,621

6,504

-1,610

-998

-330

-117

-24 %

-15 %

-5 %

-2 %

7.87 %

8.69 %

9.55 %

9.93 %

9.69 %

-206 bp

-125 bp

-38 bp

-24 bp

9.93 %

8.69 %

125 bp

Minimal

9.85 %

8.44 %

141 bp

Minimal

11.16 %

8.98 %

219 bp

Moderate

Due to the recent abnormally low interest rate environment, OTS has reinterpreted the TB13a sensitivity measure to be based on the more negative outcome of a -100 or a +200 basis 

point interest rate shock. Furthermore, if neither a -100 nor a +200 basis point change in rates produces a reduction in NPV, the institution is presumed to have a sensitivity measure of zero.

 ** PUBLIC ** Page 1
Interest Rate Risk Exposure Report

Present Value Estimates by Interest Rate Scenario

Report Prepared: 4/1/2003 7:57:07 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue Pres.Value PV/FV Eff.Dur.

ASSETS

MORTGAGE LOANS AND SECURITIES

Fixed-Rate Single-Family First-Mortgage Loans and MBS

30-Year Mortgage Loans 5,860 5,770 5,564 5,280 4,997 5,547 5,770 104.02 2.6

30-Year Mortgage Securities 4,337 4,263 4,087 3,836 3,596 4,094 4,263 104.12 2.9

15-Year Mortgages and MBS 8,622 8,442 8,118 7,759 7,409 8,125 8,442 103.91 3.0

Balloon Mortgages and MBS 654 645 632 615 597 619 645 104.18 1.7

Adjustable-Rate Single-Family First-Mortgage Loans and MBS: Current Market Index ARMs

6 Month or Less Reset Frequency 332 331 329 328 325 335 331 98.70 0.4

7 Month to 2 Year Reset Frequency 1,664 1,650 1,635 1,618 1,594 1,616 1,650 102.09 0.9

2+ Month to 5 Year Reset Frequency 2,496 2,433 2,361 2,283 2,198 2,432 2,433 100.04 2.8

Adjustable-Rate Single-Family First-Mortgage Loans and MBS: Lagging Market Index ARMs

1 Month Reset Frequency 23 23 23 23 22 22 23 102.12 0.9

2 Month to 5 Year Reset Frequency 1,391 1,368 1,345 1,321 1,296 1,351 1,368 101.27 1.7

Multifamily and Nonresidential Mortgage Loans and Securities

Adjustable-Rate, Balloons 489 486 484 481 478 484 486 100.56 0.6

Adjustable-Rate, Fully Amortizing 2,514 2,488 2,462 2,437 2,413 2,475 2,488 100.50 1.0

Fixed-Rate, Balloon 292 281 270 259 250 254 281 110.24 4.0

Fixed-Rate, Fully Amortizing 1,670 1,597 1,530 1,467 1,408 1,495 1,597 106.89 4.4

Construction and Land Loans

Adjustable-Rate 1,239 1,237 1,235 1,233 1,232 1,269 1,237 97.48 0.2

Fixed-Rate 298 282 266 252 240 325 282 86.54 5.7

Second-Mortgage Loans and Securities

Adjustable-Rate 1,972 1,961 1,950 1,940 1,929 1,979 1,961 99.09 0.6

Fixed-Rate 4,850 4,741 4,637 4,537 4,442 4,533 4,741 104.58 2.2

Other Assets Related to Mortgage Loans and Securities

Net Nonperforming Mortgage Loans -12 -12 -12 -11 -11 -12 -12 0.00 2.6

Accrued Interest Receivable 173 173 173 173 173 173 173 100.00 0.0

Advance for Taxes/Insurance 5 5 5 5 5 5 5 100.00 0.0

Float on Escrows on Owned Mortgages 4 9 17 24 29 9 -71.8

LESS: Value of Servicing on Mortgages Serviced by Others 10 13 25 33 35 13 -58.5

TOTAL MORTGAGE LOANS AND SECURITIES 38,863 38,158 37,086 35,827 34,586 37,120 38,158 102.79 2.3

 ** PUBLIC ** Page 2
Interest Rate Risk Exposure Report

Present Value Estimates by Interest Rate Scenario

Report Prepared: 4/1/2003 7:57:08 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue Pres.Value PV/FV Eff.Dur.

ASSETS (cont.)

NONMORTGAGE LOANS

Commercial Loans

Adjustable-Rate 5,079 5,068 5,057 5,046 5,036 5,076 5,068 99.83 0.2

Fixed-Rate 2,455 2,364 2,278 2,195 2,116 2,188 2,364 108.05 3.7

Consumer Loans

Adjustable-Rate 392 392 391 391 390 398 392 98.39 0.1

Fixed-Rate 4,180 4,132 4,085 4,039 3,995 4,029 4,132 102.56 1.2

Other Assets Related to Nonmortgage Loans and Securities

Net Nonperforming Nonmortgage Loans -98 -97 -96 -95 -94 -97 -97 0.00 1.1

Accrued Interest Receivable 82 82 82 82 82 82 82 100.00 0.0

TOTAL NONMORTGAGE LOANS 12,091 11,941 11,797 11,658 11,525 11,676 11,941 102.27 1.2

CASH, DEPOSITS, AND SECURITIES

Cash, Non-Int-Earning Deposits, Overnight Fed Funds & Repos 1,230 1,230 1,230 1,230 1,230 1,230 1,230 100.00 0.0

Equities and All Mutual Funds 1,226 1,179 1,131 1,083 1,035 1,179 1,179 100.00 4.0

Zero-Coupon Securities 136 133 131 129 127 129 133 103.20 2.0

Government and Agency Securities 679 652 627 603 581 598 652 109.08 4.0

Term Fed Funds, Term Repos 1,099 1,098 1,096 1,095 1,094 1,097 1,098 100.02 0.1

Munis, Mtg-Backed Bonds, Corporates, Commercial Paper 871 829 791 756 724 934 829 88.80 4.9

Mortgage-Derivative and Structured Securities

Valued by OTS 0 0 0 0 0 0 0 0.00 0.0

Valued by Institution 4,046 4,047 4,019 3,938 3,836 4,034 4,047 100.32 0.3

Structured Securities (Complex) 2,041 1,973 1,881 1,792 1,706 1,968 1,973 100.25 4.1

LESS: Valuation Allowances for Investment Securities 0 0 0 0 0 0 0 0.00 1.4

TOTAL CASH, DEPOSITS, AND SECURITIES 11,329 11,142 10,906 10,625 10,333 11,169 11,142 99.75 1.9

 ** PUBLIC ** Page 3
Interest Rate Risk Exposure Report

Present Value Estimates by Interest Rate Scenario

Report Prepared: 4/1/2003 7:57:08 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue Pres.Value PV/FV Eff.Dur.

ASSETS (cont.)

REAL ASSETS, INVESTMENTS IN UNCONSOLIDATED SUBSIDIARIES, ETC.

Repossessed Assets 39 39 39 39 39 39 39 100.00 0.0

Real Estate Held for Investment 16 16 16 16 16 16 16 100.00 0.0

Investment in Unconsolidated Subsidiaries 81 82 83 80 74 82 82 100.00 -0.7

Office Premises and Equipment 547 547 547 547 547 547 547 100.00 0.0

TOTAL REAL ASSETS, ETC. 684 685 685 682 676 685 685 100.00 -0.1

MORTGAGE LOANS SERVICED FOR OTHERS

Fixed-Rate Servicing 24 29 50 62 66 29 -43.8

Adjustable-Rate Servicing 9 9 10 10 10 9 -5.6

Float on Mortgages Serviced for Others 11 14 17 20 22 14 -21.6

TOTAL MORTGAGE LOANS SERVICED FOR OTHERS 44 53 77 92 98 53 -31.1

OTHER ASSETS

Purchased and Excess Servicing 142

Margin Account 0 0 0 0 0 0 0 0.00 0.0

Miscellaneous I 2,905 2,905 2,905 2,905 2,905 2,905 2,905 100.00 0.0

Miscellaneous II 1,578

Deposit Intangibles

Retail CD Intangible 13 17 21 25 28 17 -24.0

Transaction Account Intangible 428 624 820 1,013 1,233 624 -31.4

MMDA Intangible 267 363 484 576 663 363 -29.9

Passbook Account Intangible 383 559 727 893 1,044 559 -30.8

Non-Interest-Bearing Account Intangible 99 220 334 444 548 220 -53.6

TOTAL OTHER ASSETS 4,094 4,688 5,292 5,856 6,422 4,625 4,688

Miscellaneous Assets

Unrealized Gains Less Unamortized Yield Adjustments 334

TOTAL ASSETS 67,104 66,665 65,842 64,741 63,641 65,609 66,665 102/99*** 0.9/1.9***

 ** PUBLIC ** Page 4
Interest Rate Risk Exposure Report

Present Value Estimates by Interest Rate Scenario

Report Prepared: 4/1/2003 7:57:08 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue Pres.Value PV/FV Eff.Dur.

LIABILITIES

DEPOSITS

Fixed-Maturity

Fixed-Rate Maturing in 12 Months or Less 9,724 9,683 9,642 9,602 9,562 9,597 9,683 100.89 0.4

Fixed-Rate Maturing in 13 Months or More 5,650 5,516 5,387 5,262 5,141 5,230 5,516 105.47 2.4

Variable-Rate 249 249 248 248 248 249 249 99.99 0.0

Demand

Transaction Accounts 8,521 8,521 8,521 8,521 8,521 8,521 8,521 100/93* 0.0/2.5*

MMDAs 7,510 7,510 7,510 7,510 7,510 7,510 7,510 100/95* 0.0/1.5*

Passbook Accounts 7,425 7,425 7,425 7,425 7,425 7,425 7,425 100/92* 0.0/2.5*

Non-Interest-Bearing Accounts 5,154 5,154 5,154 5,154 5,154 5,154 5,154 100/96* 0.0/2.4*

TOTAL DEPOSITS 44,233 44,058 43,888 43,723 43,562 43,686 44,058 101/97* 0.4/1.8*

BORROWINGS

Fixed-Maturity

Fixed-Rate Maturing in 36 Months or Less 5,586 5,564 5,542 5,520 5,499 5,500 5,564 101.15 0.4

Fixed-Rate Maturing in 37 Months or More 1,555 1,474 1,398 1,327 1,260 1,388 1,474 106.22 5.3

Variable-Rate 1,121 1,121 1,121 1,121 1,121 1,121 1,121 100.00 0.0

TOTAL BORROWINGS 8,263 8,159 8,061 7,968 7,880 8,009 8,159 101.87 1.2

OTHER LIABILITIES

Escrow Accounts

For Mortgages 106 106 106 106 106 106 106 100.00 0.0

Other Escrow Accounts 18 17 17 16 16 19 17 92.80 3.1

Miscellaneous Other Liabilities

Collateralized Mortgage Securities Issued 0 0 0 0 0 0 0 0.00 0.0

Miscellaneous I 588 588 588 588 588 588 588 100.00 0.0

Miscellaneous II 0 0 0 0 0 299

TOTAL OTHER LIABILITIES 712 711 711 710 710 1,012 711 70.32 0.1

Other Liabilities not Included Above

Self-Valued 7,203 6,964 6,775 6,628 6,413 6,278 6,964 110.93 3.1

Unamortized Yield Adjustments -7

TOTAL LIABILITIES 60,411 59,893 59,435 59,030 58,566 58,978 59,893 102/99** 0.8/1.9**

 ** PUBLIC ** Page 5
Interest Rate Risk Exposure Report

Present Value Estimates by Interest Rate Scenario

Report Prepared: 4/1/2003 7:57:09 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue Pres.Value PV/FV Eff.Dur.

FINANCIAL DERIVATIVES AND OFF-BALANCE-SHEET POSITIONS

OPTIONAL COMMITMENTS TO ORIGINATE

FRMs and Balloon/2-Step Mortgages 31 15 -18 -53 -83 15

ARMs 0 -1 -3 -5 -8 -1

Other Mortgages 1 0 -1 -2 -3 0

FIRM COMMITMENTS

Purchase/Originate Mortgages and MBS 10 4 -7 -18 -29 4

Sell Mortgages and MBS -44 -13 41 91 136 -13

Purchase Non-Mortgage Items 14 0 -14 -26 -38 0

Sell Non-Mortgage Items -13 0 12 23 34 0

INTEREST-RATE SWAPS

Pay Fixed, Receive Floating 0 0 0 0 0 0

Pay Floating, Receive Fixed 17 13 8 4 0 13

Basis Swaps 0 0 0 0 0 0

Swaptions 0 0 0 0 0 0

OTHER DERIVATIVES

Options on Mortgages and MBS 0 0 0 0 0 0

Interest-Rate Caps 0 0 0 0 0 0

Interest-Rate Floors 0 0 0 0 0 0

Futures -1 0 1 2 2 0

Options on Futures 0 0 0 0 0 0

Construction LIP -23 -32 -40 -48 -55 -32

Self-Valued -182 -137 -96 -57 -22 -137

TOTAL OFF-BALANCE-SHEET POSITIONS -189 -151 -116 -88 -65 -151

 ** PUBLIC ** Page 6
Interest Rate Risk Exposure Report

Present Value Estimates by Interest Rate Scenario

Report Prepared: 4/1/2003 7:57:09 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue Pres.Value PV/FV Eff.Dur.

NET PORTFOLIO VALUE

+ ASSETS 67,104 66,665 65,842 64,741 63,641 65,609 66,665 102/99*** 0.9/1.9***

- LIABILITIES 60,411 59,893 59,435 59,030 58,566 58,978 59,893 102/99** 0.8/1.9**

+ OFF-BALANCE-SHEET POSITIONS -189 -151 -116 -88 -65 -151

TOTAL NET PORTFOLIO VALUE 6,504 6,621 6,291 5,623 5,011 6,631 6,621 99.85 1.6

* Excl./Incl. deposit intangible values listed on asset side of report.

** Excl./Incl. deposit intangible values.

*** Incl./Excl. deposit intangible values.

 ** PUBLIC ** Page 7
AGGREGATE SCHEDULE CMR REPORT

ASSETS

Report Prepared: 4/1/2003 7:57:09 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

30-YEAR MORTGAGES AND MBS

 Mortgage Loans

 WARM

 WAC

 Amount of these that is FHA or VA Guaranteed

 Securities Backed by Conventional Mortgages

 WARM

 Weighted Average Pass-Through Rate

 Securities Backed by FHA or VA Mortgages

 WARM

 Weighted Average Pass-Through Rate

15-YEAR MORTGAGES AND MBS

 Mortgage Loans

 WAC

 Mortgage Securities

 Weighted Average Pass-Through Rate

 WARM (of 15-Year Loans and Securities)

BALLOON MORTGAGES AND MBS

 Mortgage Loans

 WAC

 Mortgage Securities

 Weighted Average Pass-Through Rate

 WARM (of Balloon Loans and Securities)

Less Than 7% 7.00 to 7.99% 8.00 to 8.99% 9.00 to 9.99% 10.00% & Above

$2,899

328 mo

6.42%

$16

$1,487

315 mo

6.25%

$2,024

348 mo

6.19%

$2,287

6.13%

$4,933

5.43%

168 mo

$203

6.39%

$303

5.55%

82 mo

$1,935

310 mo

7.34%

$13

$314

308 mo

7.19%

$195

313 mo

7.17%

$554

7.33%

$148

7.16%

139 mo

$84

7.39%

$1

7.03%

91 mo

$528

285 mo

8.36%

$12

$54

278 mo

8.09%

$14

277 mo

8.11%

$137

8.31%

$16

8.06%

133 mo

$20

8.25%

$0

0.00%

113 mo

$137

259 mo

9.34%

$4

$2

209 mo

9.18%

$2

165 mo

9.03%

$36

9.34%

$3

9.33%

125 mo

$5

9.26%

$0

0.00%

67 mo

$48

179 mo

10.84%

$2

$2

122 mo

10.77%

$0

130 mo

10.42%

$11

10.89%

$1

10.34%

87 mo

$2

11.12%

$0

0.00%

84 mo

Coupon

Total Fixed-Rate, Single-Family, First Mortgage Loans, and Mortgage-Backed Securities $18,384

FIXED-RATE, SINGLE-FAMILY, FIRST MORTGAGE LOANS, AND MORTGAGE-BACKED SECURITIES

 ** PUBLIC ** Page 8
AGGREGATE SCHEDULE CMR REPORT

ASSETS (continued)

Report Prepared: 4/1/2003 7:57:09 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

Teaser ARMs

 Balances Currently Subject to Introductory Rates

 WAC

Non-Teaser ARMs

 Balances of All Non-Teaser ARMs

 Weighted Average Margin

 WAC

 WARM

 Weighted Average Time Until Next Payment Reset

6 Months or Less 7 Months to 2 Years 2+ Years to 5 Years 1 Month 2 Months to 5 Years

$26

4.82%

$309

171 bp

4.97%

285 mo

2 mo

$27

4.56%

$1,589

254 bp

5.51%

268 mo

11 mo

$0

8.83%

$2,432

260 bp

5.74%

326 mo

48 mo

$0

0.00%

$22

141 bp

4.91%

204 mo

2 mo

$0

6.16%

$1,351

139 bp

5.84%

301 mo

19 mo

Current Market Index ARMs 

by Coupon Reset Frequency

Total Adjustable-Rate, Single-Family, First Mortgage Loans & Mortgage-Backed Securities $5,756

ADJUSTABLE-RATE, SINGLE-FAMILY, FIRST MORTGAGE 

LOANS AND MORTGAGE-BACKED SECURITIES

Lagging Market Index ARMs 

by Coupon Reset Frequency

MEMO ITEMS FOR ALL ARMS (Reported at CMR 815)

ARM Balances by Distance from Lifetime Cap

 Balances With Coupon Within 200 bp of Lifetime Cap

 Weighted Average Distance from Lifetime Cap

 Balances With Coupon 201-400 bp from Lifetime Cap

 Weighted Average Distance from Lifetime Cap

 Balances With Coupon Over 400 bp from Lifetime Cap

 Weighted Average Distance from Lifetime Cap

 Balances Without Lifetime Cap

ARM Cap and Floor Detail

 Balances Subject to Periodic Rate Caps

 Weighted Average Periodic Rate Cap

 Balances Subject to Periodic Rate Floors

MBS Included in ARM Balances

6 Months or Less 7 Months to 2 Years 2+ Years to 5 Years 1 Month 2 Months to 5 Years

$16

66 bp

$15

335 bp

$290

679 bp

$14

$95

143 bp

$76

$237

$13

111 bp

$85

319 bp

$1,426

669 bp

$92

$1,346

181 bp

$1,183

$455

$1

124 bp

$40

386 bp

$2,365

563 bp

$26

$2,298

202 bp

$2,150

$366

$0

0 bp

$0

350 bp

$22

806 bp

$1

$6

145 bp

$2

$19

$0

132 bp

$17

349 bp

$1,321

641 bp

$13

$1,328

194 bp

$1,310

$1,058

Current Market Index ARMs 

by Coupon Reset Frequency

Lagging Market Index ARMs 

by Coupon Reset Frequency

 ** PUBLIC ** Page 9
AGGREGATE SCHEDULE CMR REPORT

ASSETS (continued)

Report Prepared: 4/1/2003 7:57:09 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

Balloons Fully Amortizing

$484

87 mo

230 mo

0

153 bp

17 mo

$1

18 bp

$254

66 mo

236 mo

7.76%

$2,475

102 mo

0

199 bp

20 mo

$4

3 bp

$1,495

119 mo

7.58%

Balances

WARM

Margin in Column 1; WAC in Column 2

Reset Frequency

Rate Index Code

$5,076

30 mo

120 bp

5 mo

0

$2,188

53 mo

7.44%

MULTIFAMILY AND 

NONRESIDENTIAL MORTGAGE 

CONSTRUCTION AND LAND 

Balances

WARM

Rate Index Code

Margin in Column 1; WAC in Column 2

Reset Frequency

$1,269

41 mo

0

156 bp

5 mo

$325

112 mo

6.58%

Balances

WARM

Rate Index Code

Margin in Column 1; WAC in Column 2

Reset Frequency

$1,979

97 mo

0

37 bp

3 mo

$4,533

136 mo

8.58%

Balances

WARM

Rate Index Code

Margin in Column 1; WAC in Column 2

Reset Frequency

Collateralized Mortgage Obligations:

 Floating Rate

 Fixed Rate

 Remaining WAL <= 5 Years

 Remaining WAL 5-10 Years

 Remaining WAL Over 10 Years

 Superfloaters

 Inverse Floaters & Super POs

 Other

CMO Residuals:

 Fixed Rate

 Floating Rate 

Stripped Mortgage-Backed Securities:

 Interest-Only MBS

 WAC

 Principal-Only MBS

 WAC

Total Mortgage-Derivative

 Securities - Book Value

$398

58 mo

0

252 bp

3 mo

$4,029

35 mo

8.59%

$1

$604

$170

$6

$0

$0

$0

$0

$0

$0

0.00%

$0

0.00%

$781

$1,354

$1,842

$57

$0

$0

$0

$0

0.00%

$0

0.00%

$3,254

COMMERCIAL LOANS

MORTGAGE-DERIVATIVE 

SECURITIES -- BOOK VALUE

CONSUMER LOANS

Adjustable Rate Fixed Rate

Adjustable Rate Fixed Rate

Adjustable Rate Fixed Rate

Adjustable Rate Fixed Rate

High Risk Low Risk

SECOND MORTGAGE LOANS 

AND SECURITIES

Adjustable-Rate:

 Balances

 WARM

 Remaining Term to Full Amortization

 Rate Index Code

 Margin

 Reset Frequency

 MEMO: ARMs within 300 bp of Lifetime Cap

 Balances

 Wghted Average Distance to Lifetime Cap

Fixed-Rate:

 Balances

 WARM

 Remaining Term to Full Amortization

 WAC

 ** PUBLIC ** Page 10
AGGREGATE SCHEDULE CMR REPORT

ASSETS (continued)

Report Prepared: 4/1/2003 7:57:10 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

Fixed-Rate Mortgage Loan Servicing

 Balances Serviced

 WARM

 Weighted Average Servicing Fee

 Total Number of Fixed Rate Loans Serviced that are:

 Conventional

 FHA/VA

 Subserviced by Others

Less Than 7% 7.00 to 7.99% 8.00 to 8.99% 9.00 to 9.99% 10.00% & Above

$4,172

255 mo

28 bp

74 loans

1 loans

17 loans

$2,059

272 mo

31 bp

$429

247 mo

31 bp

$121

234 mo

40 bp

$103

228 mo

29 bp

Coupon of Fixed-Rate Mortgages Serviced for Others

Total Balances of Mortgage Loans Serviced for Others $7,954

MORTGAGE LOANS SERVICED FOR OTHERS

Total Cash, Deposits, and Securities $7,135

Cash, Non-Interest-Earning Demand Deposits, Overnight Fed Funds, Overnight Repos

Equity Securities (including Mutual Funds) Subject to SFAs No. 115

Zero-Coupon Securities

Government & Agency Securities

Term Fed Funds, Term Repos, and Interest-Earning Deposits

Other (Munis, Mortgage-Backed Bonds, Corporate Securities, Commercial Paper, etc.)

Memo: Complex Securities (from supplemental reporting)

CASH, DEPOSITS, AND SECURITIES

$1,230

$1,179

$129

$598

$1,097

$934

$1,968

2.08%

4.64%

1.18%

5.22%

20 mo

55 mo

1 mo

92 mo

Balances WAC WARM

Adjustable-Rate Mortgage Loan Servicing

 Balances Serviced

 WARM (in months)

 Weighted Average Servicing Fee

Current Market

Index on Serviced Loan

$1,021

284 mo

35 bp

$49

215 mo

46 bp

9 loans

1 loans

Total # of Adjustable-Rate Loans Serviced

 Number of These Subserviced by Others

Lagging Market

 ** PUBLIC ** Page 11
AGGREGATE SCHEDULE CMR REPORT

ASSETS (continued)

Report Prepared: 4/1/2003 7:57:10 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

Nonperforming Loans

Accrued Interest Receivable

Advances for Taxes and Insurance

Less: Unamortized Yield Adjustments

 Valuation Allowances

Unrealized Gains (Losses)

$165

$173

$5

$-143

$177

$269

Mortgage "Warehouse" Loans Reported as Mortgage

 Loans at SC23

Loans Secured by Real Estate Reported as Consumer

 Loans at SC34

Market Vaue of Equity Securities and Mutual Funds Reported 

at CMR464:

 Equity Securities and Non-Mortgage-Related Mutual Funds

 Mortgage-Related Mututal Funds

Mortgage Loans Serviced by Others:

 Fixed-Rate Mortgage Loans Serviced

 Weighted Average Servicing Fee

 Adjustable-Rate Mortgage Loans Serviced

 Weighted Average Servicing Fee

Credit-Card Balances Expected to Pay Off in

 Grace Period

$169

$651

$939

$240

$4,181

40 bp

$1,246

29 bp

$1

ITEMS RELATED TO MORTAGE LOANS AND SECURITIES

Real Estate Held for Investment

Repossessed Assets

Equity Assets Not Subject to 

 SFAs No. 115 (Excluding FHLB Stock)

Office Premises and Equipment

Items Related to Certain Investment Securities

 Unrealized Gains (Losses)

 Less: Unamortized Yield Adjustments

 Valuation Allowances

Other Assets

 Servicing Assets, Interest-Only Strip Receivables,

 and Certain Other Instruments

 Miscellaneous I

 Miscellaneous II

$16

$39

$82

$547

$28

$-8

$0

$142

$2,905

$1,578

MEMORANDUM ITEMS

ITEMS RELATED TO NONMORTAGE LOANS AND SECURITIES

Nonperforming Loans

Accrued Interest Receivable

Less: Unamortized Yield Adjustments

 Valuation Allowances

Unrealized Gains (Losses)

$133

$82

$118

$230

$4

TOTAL ASSETS $65,609

OTHER ITEMS

 ** PUBLIC ** Page 12
AGGREGATE SCHEDULE CMR REPORT

LIABILITIES

Report Prepared: 4/1/2003 7:57:10 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

Balances Maturing in 3 Months or Less

 WAC

 WARM

Balances Maturing in 4 to 12 Months

 WAC

 WARM

Balances Maturing in 13 to 36 Months

 WAC

 WARM

Balances Maturing in 37 or More Months

 WAC

 WARM

12 or Less 13 to 36 37 or More

Early Withdrawals During 

Quarter 

$2,309

2.39%

1 mo

$2,874

2.36%

6 mo

$1,101

4.23%

1 mo

$2,909

3.75%

8 mo

$2,826

3.56%

18 mo

$130

5.56%

2 mo

$274

5.32%

7 mo

$973

5.65%

24 mo

$1,431

4.89%

55 mo

$54

$74

$44

$16

Original Maturity in Months

Total Fixed-Rate, Fixed Maturity Deposits: $14,827

FIXED-RATE, FIXED-MATURITY DEPOSITS

Balances in Brokered Deposits

Deposits with Early-Withdrawal Penalties Stated

in Terms of Months of Forgone Interest:

 Balances Subject to Penalty

 Penalty in Months of Forgone Interest

Balances in New Accounts 

MEMO: FIXED-RATE, FIXED-MATURITY DEPOSITS DETAIL

$69

$4,597

3.24 mo

$271

$140

$5,889

5.90 mo

$343

$95

$2,286

6.61 mo

$80

Balances by Remaining Maturity:

12 or Less 13 to 36 37 or More

Original Maturity in Months

 ** PUBLIC ** Page 13
AGGREGATE SCHEDULE CMR REPORT

LIABILITIES (continued)

Report Prepared: 4/1/2003 7:57:10 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

Balances by Coupon Class:

 Under 5.00%

 5.00 to 5.99%

 6.00 to 6.99%

 7.00 to 7.99%

 8.00 to 8.99%

 9.00 to 9.99%

 10.00 to 10.99%

 11.00 and Above

WARM

0 to 3 Months 4 to 36 Months Over 36 Months WAC

$4,235

$49

$23

$1

$0

$0

$0

$0

1 mo

$439

$176

$442

$134

$0

$1

$0

$0

19 mo

$815

$437

$110

$23

$3

$0

$0

$0

75 mo

1.69%

5.49%

6.47%

7.22%

8.10%

9.63%

0.00%

0.00%

Remaining Maturity

Total Fixed-Rate, Fixed-Maturity Borrowings $6,888

FIXED-RATE, FIXED-MATURITY BORROWINGS

MEMOS

FHLB ADVANCES, OTHER BORROWINGS, 

REDEEMABLE PREFERRED STOCK, AND 

SUBORDINATED DEBT

Variable-Rate, Fixed-Maturity Liabilities

 (from Supplemental Reporting)

Book Value of Redeemable Preferred Stock

$7,648

$0

 ** PUBLIC ** Page 14
AGGREGATE SCHEDULE CMR REPORT

LIABILITIES (continued)

Report Prepared: 4/1/2003 7:57:10 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

NON-MATURITY DEPOSITS

 Transaction Accounts

 Money Market Deposit Accounts (MMDAs)

 Passbook Accounts

 Non-Interest-Bearing Non-Maturity Deposits

ESCROW ACCOUNTS

 Escrow for Mortgages Held in Portfolio

 Escrow for Mortgages Serviced for Others

 Other Escrows

 TOTAL NON-MATURITY DEPOSITS & ESCROW ACCOUNTS

UNAMORTIZED YIELD ADJUSTMENTS ON DEPOSITS

UNAMORTIZED YIELD ADJUSTMENTS ON BORROWINGS

OTHER LIABILITIES

 Collateralized Mortgage Securities Issued

 Miscellaneous I

 Miscellaneous II

Total Balances WAC Balances in New 

Accounts 

$8,521

$7,510

$7,425

$5,154

$91

$16

$19

$28,735

$-7

$-1

$0

$588

$299

1.36%

1.37%

1.58%

0.47%

0.33%

0.02%

$365

$357

$173

$127

TOTAL LIABILITIES $58,978

MINORITY INTEREST AND CAPITAL

MINORITY INTEREST IN CONSOLIDATED SUBSIDIARIES

EQUITY CAPITAL

$137

$6,495

TOTAL LIABILITIES, MINORITY INTEREST, AND CAPITAL $65,610

 ** PUBLIC ** Page 15
AGGREGATE SCHEDULE CMR REPORT

SUPPLEMENTAL REPORTING

Report Prepared: 4/1/2003 7:57:10 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

SUPPLEMENTAL REPORTING FOR FINANCIAL DERIVATIVES AND OFF-BALANCE-SHEET POSITIONS

Contract Code Off-Balance-Sheet Contract Positions # Firms if # > 5 Notional Amount

1002 Opt commitment to orig 1-month COFI ARMs $0

1004 Opt commitment to orig 6-mo or 1-yr COFI ARMs $0

1006 Opt commitment to orig 6-mo or 1-yr Treasury/LIBOR ARMs 8 $46

1008 Opt commitment to orig 3- or 5-yr Treasury ARMs 6 $149

1010 Opt commitment to orig 5- or 7-yr Balloon or 2-step mtgs 7 $10

1012 Opt commitment to orig 10-, 15-, or 20-year FRMs 22 $224

1014 Opt commitment to orig 25- or 30-year FRMs 16 $467

1016 Opt commitment to orig "other" Mortgages 10 $35

2002 Commit/purchase 1-mo COFI ARM loans, svc retained $0

2012 Commit/purchase 10-, 15-, or 20-yr FRM loans, svc retained $7

2014 Commit/purchase 25- or 30-yr FRM loans, svc retained $6

2030 Commit/sell 5- or 7-yr Balloon/2-step mtg lns, svc retained $1

2032 Commit/sell 10-, 15-, or 20-yr FRM loans, svc retained $4

2034 Commit/sell 25- to 30-yr FRM loans, svc retained $54

2046 Commit/purchase 6-mo or 1-yr Treasury or LIBOR ARM MBS $6

2054 Commit/purchase 25- to 30-year FRM MBS $49

2072 Commit/sell 10-, 15-, or 20-yr FRM MBS $178

2074 Commit/sell 25- or 30-yr FRM MBS $423

2082 Commit/purchase low-risk fixed-rate mtg derivative product $2

2106 Commit/purch 6-mo or 1-yr Treas/LIBOR ARM lns, svc released $61

2132 Commit/sell 10-, 15-, or 20-yr FRM loans, svc released $11

2134 Commit/sell 25- or 30-yr FRM loans, svc released $106

2206 Firm commit/originate 6-mo or 1-yr Treas or LIBOR ARM lns $1

2208 Firm commit/originate 3- or 5-yr Treasury ARM loans $8

2210 Firm commit/orig 5- or 7-yr Balloon or 2-step mtg lns $6

2212 Firm commit/originate 10-, 15-, or 20-year FRM loans 11 $36

2214 Firm commit/originate 25- or 30-year FRM loans 12 $24

2216 Firm commit/originate "other" Mortgage loans 6 $70

 ** PUBLIC ** Page 16
AGGREGATE SCHEDULE CMR REPORT

SUPPLEMENTAL REPORTING

Report Prepared: 4/1/2003 7:57:11 AM Amounts in Millions

Reporting Dockets: 52

All Reporting CMR

Area: PA

Data as of: 4/1/2003

December 2002

SUPPLEMENTAL REPORTING FOR FINANCIAL DERIVATIVES AND OFF-BALANCE-SHEET POSITIONS

Contract Code Off-Balance-Sheet Contract Positions # Firms if # > 5 Notional Amount

4002 Commit/purchase non-Mortgage financial assets 10 $322

4022 Commit/sell non-Mortgage financial assets $258

5024 IR swap: pay 1-month LIBOR, receive fixed $300

6004 Interest rate Cap based on 3-month LIBOR $10

8036 Short futures contract on 2-year Treasury note $9

8038 Short futures contract on 5-year Treasury note $4

8040 Short futures contract on 10-year Treasury note $6

8046 Short futures contract on 3-month Eurodollar $40

9502 Fixed-rate construction loans in process 26 $154

9512 Adjustable-rate construction loans in process 16 $432

 ** PUBLIC ** Page 17