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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_____________________________________ 
FORM 10-Q
_____________________________________
ý
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2017
OR 
¨
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission File Number: 000-51845
 _____________________________________ 
FEDERAL HOME LOAN BANK OF ATLANTA
(Exact name of registrant as specified in its charter)
_____________________________________  
Federally chartered corporation
 
56-6000442
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
 
 
1475 Peachtree Street, NE, Atlanta, Ga.
 
30309
(Address of principal executive offices)
 
(Zip Code)

Registrant’s telephone number, including area code: (404) 888-8000
_____________________________________  
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing for the past 90 days.    ý  Yes    ¨  No
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    ý  Yes    ¨  No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and "emerging growth company" in Rule 12b-2 of the Exchange Act.
Large accelerated filer
¨
Accelerated filer
¨
 
 
 
 
Non-accelerated filer
x  (Do not check if a smaller reporting company)
Smaller reporting company
¨
 
 
Emerging growth company
¨
 
 
 
 
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    ¨  Yes    ý  No

The number of shares outstanding of the registrant’s Class B Stock, par value $100, as of July 31, 2017 was 47,634,896.




Table of Contents
 

Item 1.
 
 
 
 
 
 
Item 2.
Item 3.
Item 4.
Item 1.
Item 1A.
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.





PART I. FINANCIAL INFORMATION.

Item 1. Financial Statements.
FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF CONDITION
(Unaudited)
(In millions, except par value)

 
As of June 30, 2017
 
As of December 31, 2016
Assets
 
 
 
Cash and due from banks
$
1,070

 
$
1,815

Interest-bearing deposits (including deposits with another FHLBank of $28 and $5 as of June 30, 2017 and December 31, 2016, respectively)
427

 
1,106

Securities purchased under agreements to resell
1,500

 
1,386

Federal funds sold
11,374

 
7,770

Investment securities:
 
 
 
    Trading securities
258

 
262

    Available-for-sale securities
1,225

 
1,345

    Held-to-maturity securities (fair value of $25,046 and $24,633 as of June 30, 2017 and December 31, 2016, respectively)
24,968

 
24,641

Total investment securities
26,451

 
26,248

Advances
91,590

 
99,077

Mortgage loans held for portfolio, net:
 
 
 
Mortgage loans held for portfolio
487

 
524

Allowance for credit losses on mortgage loans
(1
)
 
(1
)
Total mortgage loans held for portfolio, net
486

 
523

Accrued interest receivable
199

 
171

Derivative assets
354

 
355

Premises and equipment, net
23

 
24

Other assets
203

 
196

Total assets
$
133,677

 
$
138,671

Liabilities
 
 
 
Interest-bearing deposits
$
1,370

 
$
1,118

Consolidated obligations, net:
 
 
 
Discount notes
51,355

 
41,292

Bonds
73,822

 
88,647

Total consolidated obligations, net
125,177

 
129,939

Mandatorily redeemable capital stock
2

 
1

Accrued interest payable
112

 
128

Affordable Housing Program payable
71

 
69

Derivative liabilities
19

 
107

Other liabilities
198

 
358

Total liabilities
126,949

 
131,720

Commitments and contingencies (Note 15)

 

Capital
 
 
 
Capital stock Class B putable ($100 par value) issued and outstanding shares:
 
 
 
Subclass B1 issued and outstanding shares: 8 as of June 30, 2017 and December 31, 2016
817

 
787

Subclass B2 issued and outstanding shares: 39 and 42 as of June 30, 2017 and December 31, 2016, respectively
3,863

 
4,168

Total capital stock Class B putable
4,680

 
4,955

Retained earnings:
 
 
 
Restricted
343

 
310

Unrestricted
1,592

 
1,582

Total retained earnings
1,935

 
1,892

Accumulated other comprehensive income
113

 
104

Total capital
6,728

 
6,951

Total liabilities and capital
$
133,677

 
$
138,671


The accompanying notes are an integral part of these financial statements.

3



FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF INCOME
(Unaudited)
(In millions)
 
 
For the Three Months Ended June 30,
 
For the Six Months Ended June 30,
 
2017
 
2016
 
2017
 
2016
Interest income
 
 
 
 
 
 
 
Advances
$
250

 
$
139

 
$
169

 
$
266

Prepayment fees, net

 

 
1

 

Interest-bearing deposits
6

 
4

 
11

 
8

Securities purchased under agreements to resell
3

 
1

 
4

 
2

Federal funds sold
28

 
9

 
47

 
16

Trading securities
3

 
10

 
6

 
26

Available-for-sale securities
27

 
25

 
54

 
52

Held-to-maturity securities
98

 
71

 
183

 
138

Mortgage loans
6

 
7

 
13

 
16

Total interest income
421

 
266

 
488

 
524

Interest expense
 
 
 
 
 
 
 
Consolidated obligations:
 
 
 
 
 
 
 
 Discount notes
103

 
63

 
171

 
126

 Bonds
202

 
122

 
401

 
223

Interest-bearing deposits
2

 
1

 
4

 
2

Total interest expense
307

 
186

 
576

 
351

Net interest income (expense)
114

 
80

 
(88
)
 
173

Noninterest income (loss)
 
 
 
 
 
 
 
Total other-than-temporary impairment losses

 
(2
)
 

 
(2
)
Net amount of impairment losses (reclassified from) recorded in accumulated other comprehensive income
(2
)
 
1

 
(2
)
 
1

Net impairment losses recognized in earnings
(2
)

(1
)

(2
)
 
(1
)
Net losses on trading securities
(2
)
 
(6
)
 
(4
)
 
(15
)
Net gains on derivatives and hedging activities
7

 
15

 
320

 
13

Standby letters of credit fees
7

 
7

 
14

 
15

Other
2

 
2

 
3

 
2

Total noninterest income
12


17


331

 
14

Noninterest expense
 
 
 
 
 
 
 
Compensation and benefits
19

 
17

 
39

 
37

Other operating expenses
8

 
9

 
17

 
18

Finance Agency
2

 
2

 
4

 
4

Office of Finance
1

 
1

 
3

 
3

Other

 
2

 
1

 
3

Total noninterest expense
30


31


64


65

Income before assessments
96

 
66

 
179

 
122

Affordable Housing Program assessments
10

 
6

 
18

 
12

Net income
$
86


$
60


$
161


$
110


The accompanying notes are an integral part of these financial statements.

4



FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF COMPREHENSIVE INCOME
(Unaudited)
(In millions)
 
 
For the Three Months Ended June 30,
 
For the Six Months Ended June 30,
 
2017
 
2016
 
2017
 
2016
Net income
$
86

 
$
60

 
$
161

 
$
110

Other comprehensive income:
 
 
 
 
 
 
 
Net noncredit portion of other-than-temporary impairment losses on available-for-sale securities:
 
 
 
 
 
 
 
Noncredit losses on available-for-sale securities

 
(1
)
 

 
(1
)
Net change in fair value on other-than-temporarily impaired available-for-sale securities
6

 
27

 
6

 
18

Reclassification of noncredit portion of impairment losses included in net income
2

 

 
2

 

Total net noncredit portion of other-than-temporary impairment losses on available-for-sale securities
8

 
26

 
8

 
17

Pension and postretirement benefit plans

 
1

 
1

 
1

Total other comprehensive income
8

 
27

 
9

 
18

Total comprehensive income
$
94

 
$
87

 
$
170

 
$
128


The accompanying notes are an integral part of these financial statements.

5



FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF CAPITAL
(Unaudited)
(In millions)
 
 
Capital Stock Class B Putable
 
Retained Earnings
 
Accumulated
Other
Comprehensive
Income
 
Total Capital    
 
Shares        
 
Par Value
 
Restricted    
 
Unrestricted    
 
Total        
 
Balance, December 31, 2015
51

 
$
5,101

 
$
255

 
$
1,585

 
$
1,840

 
$
75

 
$
7,016

Issuance of capital stock
29

 
2,954

 

 

 

 

 
2,954

Repurchase/redemption of capital stock
(28
)
 
(2,813
)
 

 

 

 

 
(2,813
)
Net shares reclassified to mandatorily redeemable capital stock

 
(2
)
 

 

 

 

 
(2
)
Comprehensive income

 

 
22

 
88

 
110

 
18

 
128

Cash dividends on capital stock

 

 

 
(111
)
 
(111
)
 

 
(111
)
Balance, June 30, 2016
52

 
$
5,240

 
$
277

 
$
1,562

 
$
1,839

 
$
93

 
$
7,172

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2016
50

 
$
4,955

 
$
310

 
$
1,582

 
$
1,892

 
$
104

 
$
6,951

Issuance of capital stock
43

 
4,351

 

 

 

 

 
4,351

Repurchase/redemption of capital stock
(46
)
 
(4,610
)
 

 

 

 

 
(4,610
)
Net shares reclassified to mandatorily redeemable capital stock

 
(16
)
 

 

 

 

 
(16
)
Comprehensive income

 

 
33

 
128

 
161

 
9

 
170

Cash dividends on capital stock

 

 

 
(118
)
 
(118
)
 

 
(118
)
Balance, June 30, 2017
47

 
$
4,680

 
$
343

 
$
1,592

 
$
1,935

 
$
113

 
$
6,728


The accompanying notes are an integral part of these financial statements.

6



FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF CASH FLOWS
(Unaudited)
(In millions)
 
 
For the Six Months Ended June 30,
 
2017
 
2016
Operating activities
 
 
 
Net income
$
161

 
$
110

Adjustments to reconcile net income to net cash provided by operating activities:
 
 
 
Depreciation and amortization
(9
)
 
(13
)
Net change in fair value adjustment on derivatives and related hedging activities
45

 
79

  Net change in fair value adjustment on trading securities
4

 
15

  Net impairment losses recognized in earnings
2

 
1

Net change in:
 
 
 
  Accrued interest receivable
(28
)
 
3

  Other assets
(8
)
 
42

  Affordable Housing Program payable
1

 
(4
)
  Accrued interest payable
(16
)
 
(17
)
  Other liabilities
(25
)
 
(47
)
  Total adjustments
(34
)
 
59

Net cash provided by operating activities
127

 
169

Investing activities
 
 
 
Net change in:
 
 
 
  Interest-bearing deposits
937

 
(685
)
  Securities purchased under agreements to resell
(114
)
 
2,361

  Federal funds sold
(3,604
)
 
(2,959
)
Trading securities:
 
 
 
  Proceeds from principal collected

 
556

Available-for-sale securities:
 
 
 
  Proceeds from principal collected
157

 
235

Held-to-maturity securities:
 
 
 
  Net change in short-term
(350
)
 

  Proceeds from principal collected
2,984

 
2,124

  Purchases of long-term
(3,098
)
 
(4,021
)
Advances:
 
 
 
  Proceeds from principal collected
180,752

 
128,061

  Made
(173,649
)
 
(130,200
)
Mortgage loans:
 
 
 
  Proceeds from principal collected
53

 
63

  Purchases from another FHLBank
(18
)
 

Proceeds from sale of foreclosed assets
2

 
7

Purchase of premise, equipment, and software
(2
)
 
(1
)
Net cash provided by (used in) investing activities
4,050

 
(4,459
)
 
 
 
 
 
 
 
 
 
 
 
 

7



FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF CASH FLOWS—(Continued)
(Unaudited)
(In millions)

 
For the Six Months Ended June 30,
 
2017
 
2016
Financing activities
 
 
 
Net change in interest-bearing deposits
250

 
62

Net payments on derivatives containing a financing element
(16
)
 
(45
)
Proceeds from issuance of consolidated obligations:
 
 
 
 Discount notes
363,936

 
275,200

 Bonds
24,983

 
32,518

Payments for debt issuance costs
(4
)
 
(5
)
Payments for maturing and retiring consolidated obligations:
 
 
 
 Discount notes
(353,897
)
 
(276,080
)
 Bonds
(39,782
)
 
(27,970
)
Proceeds from issuance of capital stock
4,351

 
2,954

Payments for repurchase/redemption of capital stock
(4,610
)
 
(2,813
)
Payments for repurchase/redemption of mandatorily redeemable capital stock
(15
)
 
(7
)
Cash dividends paid
(118
)
 
(111
)
Net cash (used in) provided by financing activities
(4,922
)
 
3,703

Net decrease in cash and due from banks
(745
)
 
(587
)
Cash and due from banks at beginning of the period
1,815

 
1,751

Cash and due from banks at end of the period
$
1,070

 
$
1,164

Supplemental disclosures of cash flow information:
 
 
 
 Cash paid for:
 
 
 
Interest
$
429

 
$
252

Affordable Housing Program assessments, net
$
16

 
$
15

 Noncash investing and financing activities:
 
 
 
Net shares reclassified to mandatorily redeemable capital stock
$
16

 
$
2

Held-to-maturity securities acquired with accrued liabilities
$

 
$
60

Transfers of mortgage loans to real estate owned
$
2

 
$
3


The accompanying notes are an integral part of these financial statements.

 


8



FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)

Note 1—Basis of Presentation

The accompanying unaudited interim financial statements of the Federal Home Loan Bank of Atlanta (Bank) have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). To prepare the financial statements in conformity with GAAP, management must make estimates and assumptions that affect the reported amounts of assets and liabilities as of the date of the financial statements and income and expenses during the reporting period. Actual results could be different from these estimates. The foregoing interim financial statements are unaudited; however, in the opinion of management, all adjustments, consisting only of normal recurring adjustments necessary for a fair statement of the results for the interim periods, have been included. The results of operations for interim periods are not necessarily indicative of results to be expected for the year ending December 31, 2017, or for other interim periods. The unaudited interim financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2016, which are contained in the Bank’s 2016 Annual Report on Form 10-K filed with the Securities and Exchange Commission (SEC) on March 9, 2017 (Form 10-K).

The Bank has certain financial instruments, including derivative instruments and securities purchased under agreements to resell, that are subject to offset under master netting arrangements or by operation of law. Additional information regarding derivative instruments is provided in Note 13Derivatives and Hedging Activities to the Bank’s interim financial statements. The Bank does not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. Based on the fair value of the related securities held as collateral, the securities purchased under agreements to resell were fully collateralized for the periods presented.

Refer to Note 2Summary of Significant Accounting Policies to the Bank's 2016 audited financial statements for a description of all the Bank’s significant accounting policies. There have been no changes to these policies as of June 30, 2017.


Note 2—Recently Issued and Adopted Accounting Guidance

Recently Issued Accounting Guidance

Premium Amortization on Purchased Callable Debt Securities. In March 2017, the Financial Accounting Standards Board (FASB) issued guidance intended to better align the amortization period of callable debt securities held at a premium to expectations incorporated in market pricing on the underlying securities. This guidance shortens the amortization period for certain callable debt securities held at a premium by requiring that the premium be amortized to the earliest call date. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2018. Early application is permitted although the Bank does not intend to adopt this guidance early. This guidance will be applied on a modified retrospective basis through a cumulative-effect adjustment directly to retained earnings as of the beginning of the fiscal year in which this guidance is adopted. The Bank is in the process of evaluating this guidance, but this guidance is not expected to have a material impact on the Bank's financial condition or results of operations.

Improving the Presentation of Net Periodic Pension Costs and Net Periodic Postretirement Benefit Cost. In March 2017, the FASB issued guidance intended to improve the presentation of net periodic pension and postretirement benefit costs. This guidance requires an employer to report the service cost component in the same line item as compensation costs on the income statement, while the other components of net benefit cost are required to be presented separately from the service cost component. Additionally, this guidance only allows the service cost component to be eligible for capitalization, when applicable. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2017. Early application is permitted although the Bank does not intend to adopt this guidance early. This guidance will be applied on a retrospective basis for the separate presentation of the service cost component and other components on the income statement. This guidance will be applied on a prospective basis for the capitalization of the service cost component in assets. This guidance is not expected to have a material impact on the Bank's financial condition or results of operations.

Classification of Certain Cash Receipts and Cash Payments. In August 2016, the FASB issued guidance intended to reduce diversity in practice in how cash receipts and cash payments are presented and classified on the Statements of Cash Flows for certain transactions. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2017. Early application is permitted although the Bank does not intend to adopt this guidance early. The adoption of this guidance will not have an impact on the Bank's financial condition, results of operations, or cash flows.

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FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)



Measurement of Credit Losses on Financial Instruments. In June 2016, the FASB issued guidance intended to improve the timeliness of recording credit losses on loans and other financial instruments held by financial institutions and other organizations. This guidance requires all expected credit losses for financial assets that are held at the reporting date to be measured based on historical experience, current conditions, and reasonable and supportable forecasts. Credit losses related to available-for-sale securities will be recorded through an allowance for credit losses. Additionally, this guidance amends the accounting for purchased financial assets with credit deterioration and requires enhanced disclosures that provide additional information to help financial statement users better understand significant estimates and judgments. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2019. Early application is permitted for the interim and annual periods beginning after December 15, 2018, although the Bank does not intend to adopt this guidance early. While the Bank is in the process of evaluating this guidance, its adoption may result in an increase in the allowance for credit losses, but its impact on the Bank’s financial condition and results of operations will depend upon the composition of the financial assets held by the Bank at the adoption date, as well as the economic conditions and forecasts at that time.

Leases. In February 2016, the FASB issued guidance on accounting for leases and disclosure of key information about leasing arrangements. This guidance requires lessees to recognize the following for all operating and finance leases at the commencement date: (1) a lease liability, which is the obligation to make lease payments arising from a lease, measured on a discounted basis; and (2) a right-of-use asset representing the lessee’s right to use, or control the use of, the underlying asset for the lease term. A lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities for short-term leases with a term of 12 months or less. This guidance does not fundamentally change lessor accounting; however, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2018. Early application is permitted although the Bank does not intend to adopt this guidance early. This guidance will be applied on a modified retrospective basis for leases existing at, or entered into after, the earliest period presented in the financial statements. The adoption of this guidance is not expected to have a material impact on the Bank's financial condition or results of operations.

Recognition and Measurement of Financial Assets and Financial Liabilities. In January 2016, the FASB issued guidance designed to improve the recognition, measurement, presentation, and disclosure of financial instruments through targeted changes to existing GAAP. This guidance requires the following: (1) use of the exit price notion when measuring the fair value of financial instruments for disclosure purposes; (2) separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (i.e., securities or loans and receivables) on the balance sheet or the accompanying notes to the financial statements; and (3) separate presentation in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk (also referred to as “own credit”) when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. Additionally, these changes eliminate the requirement to disclose the method and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the balance sheet. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 31, 2017. The adoption of this guidance is not expected to have a material impact on the Bank's financial condition or results of operations.

Revenue from Contracts with Customers. In May 2014, the FASB issued guidance on the recognition of revenue from contracts with customers. The core principle of this guidance is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. Financial instruments and other contractual rights are excluded from the scope of this new revenue recognition guidance and will continue to be accounted for under existing guidance. In 2017 and 2016, the FASB issued amendments, which did not change the core principle of the original guidance, but clarified certain aspects of the guidance. This guidance becomes effective for the Bank for the interim and annual reporting periods beginning after December 15, 2017. This guidance will be applied retrospectively either to each prior reporting period or with a cumulative effect recognized at the date of initial application. Early application is permitted although the Bank does not intend to adopt this guidance early. Because the majority of the Bank's financial instruments and other contractual rights that generate revenue are covered by other GAAP, the adoption of this guidance is not expected to have a material impact on the Bank's financial condition or results of operations.

Recently Adopted Accounting Guidance

Contingent Put and Call Options in Debt Instruments. In March 2016, the FASB issued amended guidance to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. This guidance requires entities to apply only the four-step

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FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


decision sequence when performing this assessment. Consequently, when a call (put) option is contingently exercisable, an entity should not assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2017. The adoption of this guidance did not have an impact on the Bank's financial condition or results of operations.


Note 3—Trading Securities

Major Security Types. The following table presents trading securities.
 
As of June 30, 2017
 
As of December 31, 2016
Government-sponsored enterprises debt obligations
$
257

 
$
261

State or local housing agency debt obligations
1

 
1

Total
$
258

 
$
262


The following table presents net losses on trading securities.
 
For the Three Months Ended June 30,
 
For the Six Months Ended June 30, 2016
 
2017
 
2016
 
2017
 
2016
Net losses on trading securities held at period end
$
(2
)
 
$
(5
)
 
$
(4
)
 
$
(7
)
Net losses on trading securities that matured during the period

 
(1
)
 

 
(8
)
Net losses on trading securities
$
(2
)
 
$
(6
)
 
$
(4
)
 
$
(15
)


Note 4—Available-for-sale Securities

Major Security Type. The following table presents information on private-label residential mortgage-backed securities (MBS) that are classified as available-for-sale.
 
Amortized    
Cost
 
Other-than-temporary
Impairment
Recognized in
Accumulated Other
Comprehensive Income
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Estimated Fair Value
As of June 30, 2017
$
1,093

 
$
2

 
$
134

 
$

 
$
1,225

As of December 31, 2016
$
1,221

 
$
6

 
$
130

 
$

 
$
1,345


The following table presents private-label residential MBS that are classified as available-for-sale with unrealized losses. The unrealized losses are aggregated by the length of time that the individual securities have been in a continuous unrealized loss position. 
 
Less than 12 Months
 
12 Months or More
 
Total
 
  Number of  
Positions
 
Estimated
  Fair  Value  
 
Gross
  Unrealized  
Losses
 
  Number of  
Positions
 
Estimated
  Fair  Value  
 
Gross
  Unrealized  
Losses
 
  Number of  
Positions
 
Estimated
  Fair  Value  
 
Gross
  Unrealized  
Losses
As of June 30, 2017
2

 
$
12

 
$
1

 
5

 
$
108

 
$
1

 
7

 
$
120

 
$
2

As of December 31, 2016
1

 
$
14

 
$

 
10

 
$
189

 
$
6

 
11

 
$
203

 
$
6




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FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


The following table presents private-label residential MBS that are classified as available-for-sale and issued by members or affiliates of members, all of which have been issued by Bank of America Corporation, Charlotte, NC.
 
Amortized  
Cost
 
Other-than-temporary  
Impairment
Recognized in
 Accumulated Other
Comprehensive Income
 
Gross
  Unrealized  
Gains
 
Gross
  Unrealized  
Losses
 
Estimated
  Fair  Value  
As of June 30, 2017
$
714

 
$
1

 
$
103

 
$

 
$
816

As of December 31, 2016
$
792

 
$
5

 
$
102

 
$

 
$
889



Note 5—Held-to-maturity Securities

Major Security Types. The following table presents held-to-maturity securities.
 
 
As of June 30, 2017
 
As of December 31, 2016
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair  Value
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair  Value
Certificates of deposit
$
350

 
$

 
$

 
$
350

 
$

 
$

 
$

 
$

State or local housing agency debt obligations
1

 

 

 
1

 
76

 

 

 
76

Government-sponsored enterprises debt obligations
6,323

 
7

 
6

 
6,324

 
6,041

 
3

 
5

 
6,039

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. agency obligations-guaranteed residential
181

 
2

 

 
183

 
209

 
2

 

 
211

Government-sponsored enterprises residential
10,330

 
70

 
15

 
10,385

 
10,752

 
44

 
43

 
10,753

Government-sponsored enterprises commercial
7,104

 
18

 
4

 
7,118

 
6,773

 
2

 
11

 
6,764

Private-label residential
679

 
8

 
2

 
685

 
790

 
5

 
5

 
790

Total
$
24,968

 
$
105

 
$
27

 
$
25,046

 
$
24,641

 
$
56

 
$
64

 
$
24,633




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FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


The following tables present held-to-maturity securities with unrealized losses. The unrealized losses are aggregated by major security type and by the length of time that the individual securities have been in a continuous unrealized loss position.
 
 
As of June 30, 2017
 
Less than 12 Months
 
12 Months or More
 
Total
 
Number of
Positions
 
Estimated
Fair  Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair  Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair  Value
 
Gross
Unrealized
Losses
Government-sponsored enterprises debt obligations
9

 
$
2,441

 
$
6

 

 
$

 
$

 
9

 
$
2,441

 
$
6

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises residential
8

 
897

 
5

 
55

 
1,661

 
10

 
63

 
2,558

 
15

Government-sponsored enterprises commercial
8

 
629

 
3

 
8

 
834

 
1

 
16

 
1,463

 
4

Private-label residential
5

 
13

 

 
32

 
172

 
2

 
37

 
185

 
2

Total
30

 
$
3,980

 
$
14

 
95

 
$
2,667

 
$
13

 
125