Interest Rate Risk Exposure Report

Office of Thrift Supervision

All Reporting CMR Reporting Dockets: 51

Area: PA

March 2003

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

3/31/2003 12/31/2002 3/31/2002

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

4,860

5,459

6,088

6,437

6,325

-1,577

-978

-349

-112

-24 %

-15 %

-5 %

-2 %

7.44 %

8.22 %

9.01 %

9.40 %

9.17 %

-196 bp

-119 bp

-39 bp

-23 bp

9.40 %

8.22 %

119 bp

Minimal

9.93 %

8.69 %

125 bp

Minimal

0.00 %

0.00 %

0 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: 6/24/2003 1:30:30 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue BC/FV Eff.Dur.

Base Case

ASSETS

MORTGAGE LOANS AND SECURITIES

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

30-Year Mortgage Loans 6,158 6,034 5,790 5,501 5,214 5,808 103.90 3.05

30-Year Mortgage Securities 3,451 3,397 3,275 3,096 2,917 3,237 104.95 2.58

15-Year Mortgages and MBS 10,636 10,340 9,890 9,394 8,906 9,991 103.49 3.61

Balloon Mortgages and MBS 771 761 748 733 716 729 104.34 1.49

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

6 Month or Less Reset Frequency 505 504 502 499 496 498 101.21 0.36

7 Month to 2 Year Reset Frequency 1,499 1,485 1,471 1,454 1,431 1,446 102.66 0.94

2+ to 5 Year Reset Frequency 2,814 2,746 2,665 2,575 2,478 2,704 101.54 2.71

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

1 Month Reset Frequency 19 19 19 19 19 19 102.43 0.95

2 Month to 5 Year Reset Frequency 834 822 809 795 780 804 102.13 1.57

Multifamily and Nonresidential Mortgage Loans and Securities

Adjustable-Rate, Balloons 645 642 640 638 637 635 101.15 0.34

Adjustable-Rate, Fully Amortizing 2,697 2,683 2,671 2,658 2,646 2,655 101.08 0.49

Fixed-Rate, Balloon 314 301 289 278 268 272 110.58 4.05

Fixed-Rate, Fully Amortizing 2,019 1,934 1,854 1,779 1,709 1,821 106.18 4.26

Construction and Land Loans

Adjustable-Rate 1,194 1,192 1,190 1,189 1,187 1,191 100.05 0.15

Fixed-Rate 144 136 129 122 116 170 79.99 5.74

Second-Mortgage Loans and Securities

Adjustable-Rate 2,060 2,057 2,055 2,053 2,051 2,100 97.98 0.11

Fixed-Rate 5,130 5,010 4,896 4,787 4,682 4,789 104.61 2.34

Other Assets Related to Mortgage Loans and Securities

Net Nonperforming Mortgage Loans -14 -14 -14 -13 -13 -14 0.00 2.23

Accrued Interest Receivable 167 167 167 167 167 167 100.00 0.00

Advance for Taxes/Insurance 4 4 4 4 4 4 100.00 0.00

Float on Escrows on Owned Mortgages 5 11 18 25 30 -63.48

LESS: Value of Servicing on Mortgages Serviced by Others 9 17 27 32 32 -53.69

TOTAL MORTGAGE LOANS AND SECURITIES 41,043 40,214 39,042 37,721 36,410 39,027 103.04 2.49

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

Present Value Estimates by Interest Rate Scenario

Report Prepared: 6/24/2003 1:30:31 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue BC/FV Eff.Dur.

Base Case

ASSETS (cont.)

NONMORTGAGE LOANS

Commercial Loans

Adjustable-Rate 5,234 5,221 5,208 5,195 5,183 5,231 99.81 0.25

Fixed-Rate 2,051 1,987 1,926 1,867 1,810 1,825 108.91 3.17

Consumer Loans

Adjustable-Rate 384 384 383 383 382 389 98.61 0.15

Fixed-Rate 3,966 3,921 3,876 3,833 3,791 3,880 101.03 1.14

Other Assets Related to Nonmortgage Loans and Securities

Net Nonperforming Nonmortgage Loans -123 -122 -121 -119 -118 -122 0.00 0.98

Accrued Interest Receivable 76 76 76 76 76 76 100.00 0.00

TOTAL NONMORTGAGE LOANS 11,589 11,467 11,349 11,235 11,125 11,279 101.66 1.05

CASH, DEPOSITS, AND SECURITIES

Cash, Non-Int-Earning Deposits, Overnight Fed Funds & Repos 1,313 1,313 1,313 1,313 1,313 1,313 100.00 0.00

Equities and All Mutual Funds 1,259 1,211 1,161 1,112 1,063 1,211 100.00 4.03

Zero-Coupon Securities 47 45 44 43 42 44 103.79 3.02

Government and Agency Securities 356 349 343 337 331 336 103.83 1.86

Term Fed Funds, Term Repos 1,158 1,157 1,155 1,154 1,153 1,156 100.03 0.10

Munis, Mtg-Backed Bonds, Corporates, Commercial Paper 787 758 731 707 684 692 109.50 3.68

Mortgage-Derivative and Structured Securities

Valued by OTS 0 0 0 0 0 0 0.00 0.00

Valued by Institution 4,074 4,067 4,019 3,931 3,833 4,069 99.95 0.67

Structured Securities (Complex) 2,595 2,522 2,418 2,308 2,208 2,467 102.23 3.51

LESS: Valuation Allowances for Investment Securities 0 0 0 0 0 0 0.00 1.27

TOTAL CASH, DEPOSITS, AND SECURITIES 11,589 11,422 11,185 10,905 10,627 11,288 101.18 1.77

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

Present Value Estimates by Interest Rate Scenario

Report Prepared: 6/24/2003 1:30:31 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue BC/FV Eff.Dur.

Base Case

ASSETS (cont.)

REAL ASSETS, INVESTMENTS IN UNCONSOLIDATED SUBSIDIARIES, ETC.

Repossessed Assets 45 45 45 45 45 45 100.00 0.00

Real Estate Held for Investment 16 16 16 16 16 16 100.00 0.00

Investment in Unconsolidated Subsidiaries 91 91 90 85 77 91 100.00 0.43

Office Premises and Equipment 538 538 538 538 538 538 100.00 0.00

TOTAL REAL ASSETS, ETC. 690 690 689 684 676 690 100.00 0.06

MORTGAGE LOANS SERVICED FOR OTHERS

Fixed-Rate Servicing 22 23 30 45 54 -17.92

Adjustable-Rate Servicing 8 9 9 9 9 -3.48

Float on Mortgages Serviced for Others 18 22 29 40 49 -24.63

TOTAL MORTGAGE LOANS SERVICED FOR OTHERS 49 54 68 94 112 -18.23

OTHER ASSETS

Purchased and Excess Servicing 152

Margin Account 0 0 0 0 0 0 0.00 0.00

Miscellaneous I 2,807 2,807 2,807 2,807 2,807 2,807 100.00 0.00

Miscellaneous II 1,595

Deposit Intangibles

Retail CD Intangible 26 30 34 37 40 -12.42

Transaction Account Intangible 444 632 830 1,024 1,238 -30.53

MMDA Intangible 267 366 488 587 675 -30.19

Passbook Account Intangible 388 567 739 913 1,065 -31.00

Non-Interest-Bearing Account Intangible 92 211 323 431 533 -54.93

TOTAL OTHER ASSETS 4,025 4,614 5,222 5,798 6,360 4,554

Miscellaneous Assets

Unrealized Gains Less Unamortized Yield Adjustments 446

TOTAL ASSETS 68,983 68,460 67,555 66,438 65,310 67,285 102/99*** 1.04/1.97***

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

Present Value Estimates by Interest Rate Scenario

Report Prepared: 6/24/2003 1:30:32 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue BC/FV Eff.Dur.

Base Case

LIABILITIES

DEPOSITS

Fixed-Maturity

Fixed-Rate Maturing in 12 Months or Less 9,524 9,481 9,438 9,396 9,354 9,387 100.99 0.45

Fixed-Rate Maturing in 13 Months or More 5,287 5,152 5,023 4,898 4,778 4,889 105.38 2.56

Variable-Rate 284 284 284 284 284 284 99.99 0.03

Demand

Transaction Accounts 8,694 8,694 8,694 8,694 8,694 8,694 100/93* 0.00/2.39*

MMDAs 7,682 7,682 7,682 7,682 7,682 7,682 100/95* 0.00/1.51*

Passbook Accounts 7,608 7,608 7,608 7,608 7,608 7,608 100/93* 0.00/2.50*

Non-Interest-Bearing Accounts 5,060 5,060 5,060 5,060 5,060 5,060 100/96* 0.00/2.38*

TOTAL DEPOSITS 44,140 43,962 43,790 43,623 43,460 43,605 101/97* 0.40/1.84*

BORROWINGS

Fixed-Maturity

Fixed-Rate Maturing in 36 Months or Less 6,810 6,785 6,760 6,736 6,712 6,721 100.95 0.37

Fixed-Rate Maturing in 37 Months or More 1,076 1,009 947 890 838 940 107.38 6.39

Variable-Rate 1,036 1,036 1,036 1,036 1,036 1,036 100.00 0.00

TOTAL BORROWINGS 8,922 8,830 8,743 8,662 8,586 8,696 101.53 1.01

OTHER LIABILITIES

Escrow Accounts

For Mortgages 362 362 362 362 362 362 100.00 0.00

Other Escrow Accounts 17 16 16 15 15 18 93.36 3.07

Miscellaneous Other Liabilities

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

Miscellaneous I 649 649 649 649 649 649 100.00 0.00

Miscellaneous II 0 0 0 0 0 299

TOTAL OTHER LIABILITIES 1,027 1,027 1,026 1,026 1,025 1,327 77.38 0.05

Other Liabilities not Included Above

Self-Valued 8,363 8,080 7,857 7,685 7,453 7,290 110.84 3.13

Unamortized Yield Adjustments 0

TOTAL LIABILITIES 62,451 61,898 61,416 60,995 60,525 60,918 102/99** 0.83/1.86**

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

Present Value Estimates by Interest Rate Scenario

Report Prepared: 6/24/2003 1:30:33 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue BC/FV Eff.Dur.

Base Case

FINANCIAL DERIVATIVES AND OFF-BALANCE-SHEET POSITIONS

OPTIONAL COMMITMENTS TO ORIGINATE

FRMs and Balloon/2-Step Mortgages 38 13 -29 -68 -104

ARMs 2 1 -2 -5 -10

Other Mortgages 1 0 -1 -2 -4

FIRM COMMITMENTS

Purchase/Originate Mortgages and MBS 12 4 -6 -17 -29

Sell Mortgages and MBS -63 -13 57 122 182

Purchase Non-Mortgage Items 2 0 -2 -4 -6

Sell Non-Mortgage Items -34 0 31 60 87

INTEREST-RATE SWAPS

Pay Fixed, Receive Floating 0 0 0 0 0

Pay Floating, Receive Fixed 0 0 0 0 0

Basis Swaps 0 0 0 0 0

Swaptions 0 0 0 0 0

OTHER DERIVATIVES

Options on Mortgages and MBS 0 0 0 0 0

Interest-Rate Caps 0 0 0 0 0

Interest-Rate Floors 0 0 0 0 0

Futures 1 0 1 2 3

Options on Futures 0 0 0 0 0

Construction LIP -13 -19 -24 -30 -35

Self-Valued -154 -111 -75 -41 -10

TOTAL OFF-BALANCE-SHEET POSITIONS -207 -125 -50 17 74

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

Present Value Estimates by Interest Rate Scenario

Report Prepared: 6/24/2003 1:30:34 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

-100 bp 0 bp +100 bp +200 bp +300 bp FaceValue BC/FV Eff.Dur.

Base Case

NET PORTFOLIO VALUE

+ ASSETS 68,983 68,460 67,555 66,438 65,310 67,285 102/99*** 1.04/1.97***

- LIABILITIES 62,451 61,898 61,416 60,995 60,525 60,918 102/99** 0.83/1.86**

+ OFF-BALANCE-SHEET POSITIONS -207 -125 -50 17 74

TOTAL NET PORTFOLIO VALUE 6,325 6,437 6,088 5,459 4,860 6,367# 101.10 1.84

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

** Excl./Incl. deposit intangible values.

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

# Face Value NPV is Sum of Equity Capital and Minority Interest in Consolidated subsidaries

Note: Base Case Value is expressed as a Percent of Face Value

 ** PUBLIC ** Page 7
AGGREGATE SCHEDULE CMR REPORT

ASSETS

Report Prepared: 6/24/2003 1:30:34 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

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 5.00% 5.00 to 5.99% 6.00 to 6.99% 7.00 to 7.99% 8.00% & Above

$38

339 mo

4.67%

$0

$17

345 mo

4.64%

$11

355 mo

4.88%

$87

4.61%

$1,533

4.49%

170 mo

$5

4.74%

$102

4.61%

76 mo

$1,015

340 mo

5.70%

$0

$178

322 mo

5.41%

$40

347 mo

5.19%

$1,034

5.55%

$4,093

5.20%

177 mo

$68

5.49%

$280

5.48%

81 mo

$2,627

335 mo

6.47%

$8

$928

310 mo

6.41%

$1,606

347 mo

6.18%

$1,372

6.43%

$1,113

6.06%

155 mo

$164

6.51%

$13

6.22%

89 mo

$1,522

307 mo

7.35%

$10

$244

307 mo

7.19%

$152

311 mo

7.16%

$468

7.33%

$114

7.17%

133 mo

$74

7.40%

$1

7.06%

97 mo

$606

266 mo

8.73%

$15

$46

246 mo

8.36%

$15

272 mo

8.14%

$161

8.66%

$16

8.32%

124 mo

$23

8.65%

$0

0.00%

102 mo

Coupon

Total Fixed-Rate, Single-Family, First Mortgage Loans, and Mortgage-Backed Securities $19,764

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

 ** PUBLIC ** Page 8
AGGREGATE SCHEDULE CMR REPORT

ASSETS (continued)

Report Prepared: 6/24/2003 1:30:34 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

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

$18

4.74%

$480

173 bp

4.76%

255 mo

3 mo

$26

4.44%

$1,420

254 bp

5.23%

267 mo

10 mo

$0

8.67%

$2,703

258 bp

5.42%

329 mo

47 mo

$0

0.00%

$19

134 bp

4.78%

203 mo

2 mo

$0

0.00%

$804

139 bp

5.50%

262 mo

17 mo

Current Market Index ARMs 

by Coupon Reset Frequency

Total Adjustable-Rate, Single-Family, First Mortgage Loans & Mortgage-Backed Securities $5,471

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

$14

62 bp

$14

334 bp

$434

731 bp

$35

$148

162 bp

$118

$285

$12

92 bp

$70

315 bp

$1,284

670 bp

$80

$1,216

178 bp

$1,056

$473

$1

147 bp

$39

381 bp

$2,632

560 bp

$32

$2,636

198 bp

$2,507

$419

$0

0 bp

$0

350 bp

$18

829 bp

$0

$6

149 bp

$5

$18

$0

121 bp

$12

356 bp

$780

660 bp

$12

$783

179 bp

$764

$534

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: 6/24/2003 1:30:35 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

Balloons Fully Amortizing

$635

94 mo

226 mo

0

143 bp

14 mo

$3

158 bp

$272

66 mo

229 mo

7.55%

$2,655

102 mo

0

199 bp

20 mo

$6

6 bp

$1,821

115 mo

7.11%

Balances

WARM

Margin in Column 1; WAC in Column 2

Reset Frequency

Rate Index Code

$5,231

32 mo

121 bp

5 mo

0

$1,825

44 mo

7.55%

MULTIFAMILY AND NONRESIDENTIAL 

MORTGAGE LOANS AND SECURITIES

CONSTRUCTION AND LAND LOANS

Balances

WARM

Rate Index Code

Margin in Column 1; WAC in Column 2

Reset Frequency

$1,191

34 mo

0

158 bp

4 mo

$170

134 mo

5.94%

Balances

WARM

Rate Index Code

Margin in Column 1; WAC in Column 2

Reset Frequency

$2,100

135 mo

0

42 bp

3 mo

$4,789

159 mo

8.48%

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

$389

59 mo

0

253 bp

3 mo

$3,880

35 mo

8.46%

$252

$7

$103

$14

$0

$0

$0

$0

$0

$0

0.00%

$0

0.00%

$376

$1,118

$2,429

$146

$0

$0

$0

$0

0.00%

$0

0.00%

$3,693

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: 6/24/2003 1:30:36 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

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 5.00% 5.00 to 5.99% 6.00 to 6.99% 7.00 to 7.99% 8.00% & Above

$36

182 mo

23 bp

73 loans

1 loans

15 loans

$1,370

219 mo

26 bp

$3,216

276 mo

28 bp

$1,695

268 mo

31 bp

$572

238 mo

32 bp

Coupon of Fixed-Rate Mortgages Serviced for Others

Total Balances of Mortgage Loans Serviced for Others $7,844

MORTGAGE LOANS SERVICED FOR OTHERS

Total Cash, Deposits, and Securities $7,219

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

$1,313

$1,211

$44

$336

$1,156

$692

$2,467

2.30%

3.39%

1.29%

5.57%

31 mo

23 mo

1 mo

56 mo

Balances WAC WARM

Adjustable-Rate Mortgage Loan Servicing

 Balances Serviced

 WARM (in months)

 Weighted Average Servicing Fee

Current Market

Index on Serviced Loan

$911

279 mo

36 bp

$44

211 mo

45 bp

8 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: 6/24/2003 1:30:36 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

Nonperforming Loans

Accrued Interest Receivable

Advances for Taxes and Insurance

Less: Unamortized Yield Adjustments

 Valuation Allowances

Unrealized Gains (Losses)

$162

$167

$4

$-199

$176

$298

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

$108

$617

$950

$261

$5,032

35 bp

$1,378

28 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

$45

$91

$538

$52

$-9

$0

$152

$2,807

$1,595

MEMORANDUM ITEMS

ITEMS RELATED TO NONMORTAGE LOANS AND SECURITIES

Nonperforming Loans

Accrued Interest Receivable

Less: Unamortized Yield Adjustments

 Valuation Allowances

Unrealized Gains (Losses)

$131

$76

$114

$252

$1

TOTAL ASSETS $67,285

OTHER ITEMS

 ** PUBLIC ** Page 12
AGGREGATE SCHEDULE CMR REPORT

LIABILITIES

Report Prepared: 6/24/2003 1:30:37 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

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 (Optional)

$2,035

2.12%

1 mo

$2,656

2.05%

6 mo

$933

4.05%

1 mo

$3,333

3.46%

8 mo

$2,508

3.29%

18 mo

$104

5.31%

1 mo

$326

5.77%

8 mo

$937

5.49%

25 mo

$1,444

4.73%

55 mo

$31

$53

$21

$5

Original Maturity in Months

Total Fixed-Rate, Fixed Maturity Deposits: $14,277

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

$79

$4,154

3.24 mo

$244

$149

$5,780

5.92 mo

$240

$66

$2,015

6.51 mo

$86

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: 6/24/2003 1:30:37 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

Balances by Coupon Class:

 Under 3.00%

 3.00 to 3.99%

 4.00 to 4.99%

 5.00 to 5.99%

 6.00 to 6.99%

 7.00 to 7.99%

 8.00 to 8.99%

 9.00 and Above

WARM

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

$5,381

$7

$32

$69

$27

$20

$0

$0

1 mo

$122

$50

$428

$119

$353

$113

$0

$1

20 mo

$29

$73

$142

$638

$34

$23

$0

$0

95 mo

0.87%

3.47%

4.55%

5.23%

6.57%

7.22%

8.40%

9.63%

Remaining Maturity

Total Fixed-Rate, Fixed-Maturity Borrowings $7,661

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

$8,609

$0

 ** PUBLIC ** Page 14
AGGREGATE SCHEDULE CMR REPORT

LIABILITIES (continued)

Report Prepared: 6/24/2003 1:30:37 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

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 (Optional)

$8,694

$7,682

$7,608

$5,060

$90

$271

$18

$29,424

$0

$0

$0

$649

$299

1.08%

1.33%

1.43%

0.42%

0.02%

0.12%

$502

$498

$159

$129

TOTAL LIABILITIES $60,918

MINORITY INTEREST AND CAPITAL

MINORITY INTEREST IN CONSOLIDATED SUBSIDIARIES

EQUITY CAPITAL

$137

$6,229

TOTAL LIABILITIES, MINORITY INTEREST, AND CAPITAL $67,284

 ** PUBLIC ** Page 15
AGGREGATE SCHEDULE CMR REPORT

SUPPLEMENTAL REPORTING

Report Prepared: 6/24/2003 1:30:37 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

Contract Code

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

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

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 $41

1008 Opt commitment to orig 3- or 5-yr Treasury ARMs 6 $186

1010 Opt commitment to orig 5- or 7-yr Balloon or 2-step mtgs 6 $8

1012 Opt commitment to orig 10-, 15-, or 20-year FRMs 21 $312

1014 Opt commitment to orig 25- or 30-year FRMs 16 $507

1016 Opt commitment to orig "other" Mortgages 11 $55

2012 Commit/purchase 10-, 15-, or 20-yr FRM loans, svc retained $2

2014 Commit/purchase 25- or 30-yr FRM loans, svc retained $4

2016 Commit/purchase "other" Mortgage loans, svc retained $1

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 $45

2034 Commit/sell 25- to 30-yr FRM loans, svc retained $110

2042 Commit/purchase 1-month COFI ARM MBS $0

2052 Commit/purchase 10-, 15-, or 20-yr FRM MBS $26

2054 Commit/purchase 25- to 30-year FRM MBS $9

2056 Commit/purchase "other" MBS $5

2072 Commit/sell 10-, 15-, or 20-yr FRM MBS $195

2074 Commit/sell 25- or 30-yr FRM MBS $547

2102 Commit/purchase 1-mo COFI ARM loans, svc released $1

2106 Commit/purch 6-mo or 1-yr Treas/LIBOR ARM lns, svc released $74

2130 Commit/sell 5- or 7-yr Balloon/2-step mtg lns, svc released $0

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

2134 Commit/sell 25- or 30-yr FRM loans, svc released $119

2206 Firm commit/originate 6-mo or 1-yr Treas or LIBOR ARM lns $5

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

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

2212 Firm commit/originate 10-, 15-, or 20-year FRM loans 13 $52

 ** PUBLIC ** Page 16
AGGREGATE SCHEDULE CMR REPORT

SUPPLEMENTAL REPORTING

Report Prepared: 6/24/2003 1:30:38 PM Amounts in Millions

Reporting Dockets: 51

All Reporting CMR

Area: PA

Data as of: 6/24/2003

March 2003

Contract Code

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

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

2214 Firm commit/originate 25- or 30-year FRM loans 13 $29

2216 Firm commit/originate "other" Mortgage loans 8 $84

4002 Commit/purchase non-Mortgage financial assets 10 $656

4022 Commit/sell non-Mortgage financial assets $509

8010 Long futures contract on 10-year Treasury note $20

8038 Short futures contract on 5-year Treasury note $21

8040 Short futures contract on 10-year Treasury note $26

9502 Fixed-rate construction loans in process 24 $151

9512 Adjustable-rate construction loans in process 16 $423

 ** PUBLIC ** Page 17