10-Q 1 fhlb-atlq32017.htm 10-Q Document


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 September 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 October 31, 2017 was 50,607,834.




Table of Contents
 






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 September 30, 2017
 
As of December 31, 2016
Assets
 
 
 
Cash and due from banks
$
1,138

 
$
1,815

Interest-bearing deposits (including deposits with another FHLBank of $4 and $5 as of September 30, 2017 and December 31, 2016, respectively)
1,751

 
1,106

Securities purchased under agreements to resell
1,500

 
1,386

Federal funds sold
13,027

 
7,770

Investment securities:
 
 
 
    Trading securities
57

 
262

    Available-for-sale securities
1,164

 
1,345

    Held-to-maturity securities (fair value of $24,134 and $24,633 as of September 30, 2017 and December 31, 2016, respectively)
24,065

 
24,641

Total investment securities
25,286

 
26,248

Advances
99,812

 
99,077

Mortgage loans held for portfolio, net:
 
 
 
Mortgage loans held for portfolio
462

 
524

Allowance for credit losses on mortgage loans
(1
)
 
(1
)
Total mortgage loans held for portfolio, net
461

 
523

Loan to another FHLBank
250

 

Accrued interest receivable
194

 
171

Derivative assets
321

 
355

Premises and equipment, net
22

 
24

Other assets
162

 
196

Total assets
$
143,924

 
$
138,671

Liabilities
 
 
 
Interest-bearing deposits
$
1,080

 
$
1,118

Consolidated obligations, net:
 
 
 
Discount notes
49,727

 
41,292

Bonds
85,517

 
88,647

Total consolidated obligations, net
135,244

 
129,939

Mandatorily redeemable capital stock
3

 
1

Accrued interest payable
136

 
128

Affordable Housing Program payable
72

 
69

Derivative liabilities
14

 
107

Other liabilities
239

 
358

Total liabilities
136,788

 
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 September 30, 2017 and December 31, 2016
825

 
787

Subclass B2 issued and outstanding shares: 42 as of September 30, 2017 and December 31, 2016
4,216

 
4,168

Total capital stock Class B putable
5,041

 
4,955

Retained earnings:
 
 
 
Restricted
362

 
310

Unrestricted
1,610

 
1,582

Total retained earnings
1,972

 
1,892

Accumulated other comprehensive income
123

 
104

Total capital
7,136

 
6,951

Total liabilities and capital
$
143,924

 
$
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 September 30,
 
For the Nine Months Ended September 30,
 
2017
 
2016
 
2017
 
2016
Interest income
 
 
 
 
 
 
 
Advances
$
306

 
$
159

 
$
475

 
$
425

Prepayment fees, net

 
2

 
1

 
2

Interest-bearing deposits
6

 
5

 
17

 
13

Securities purchased under agreements to resell
3

 
1

 
7

 
3

Federal funds sold
41

 
8

 
88

 
24

Trading securities
2

 
8

 
8

 
34

Available-for-sale securities
26

 
26

 
80

 
78

Held-to-maturity securities
106

 
75

 
289

 
213

Mortgage loans
7

 
8

 
20

 
24

Total interest income
497

 
292

 
985

 
816

Interest expense
 
 
 
 
 
 
 
Consolidated obligations:
 
 
 
 
 
 
 
 Discount notes
130

 
70

 
301

 
196

 Bonds
241

 
128

 
642

 
351

Interest-bearing deposits

3

 
1

 
7

 
3

Total interest expense
374

 
199

 
950

 
550

Net interest income
123

 
93

 
35

 
266

Reversal of provision for credit losses

 
(1
)
 

 
(1
)
Net interest income after reversal of provision for credit losses
123


94


35

 
267

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

 

 

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

 
(1
)
 
(2
)
 

Net impairment losses recognized in earnings


(1
)

(2
)
 
(2
)
Net losses on trading securities
(1
)
 
(8
)
 
(5
)
 
(23
)
Net gains on derivatives and hedging activities
11

 
29

 
331

 
42

Standby letters of credit fees
6

 
6

 
20

 
21

Other
2

 
2

 
5

 
4

Total noninterest income
18


28


349

 
42

Noninterest expense
 
 
 
 
 
 
 
Compensation and benefits
21

 
20

 
60

 
57

Other operating expenses
10

 
9

 
27

 
27

Finance Agency
3

 
2

 
7

 
6

Office of Finance
1

 
1

 
4

 
4

Other
1

 
2

 
2

 
5

Total noninterest expense
36


34


100


99

Income before assessments
105

 
88

 
284

 
210

Affordable Housing Program assessments
10

 
9

 
28

 
21

Net income
$
95


$
79


$
256


$
189


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 September 30,
 
For the Nine Months Ended September 30,
 
2017
 
2016
 
2017
 
2016
Net income
$
95

 
$
79

 
$
256

 
$
189

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
)
Net change in fair value on other-than-temporarily impaired available-for-sale securities
9

 
6

 
15

 
24

Reclassification of noncredit portion of impairment losses included in net income

 
1

 
2

 
1

Total net noncredit portion of other-than-temporary impairment losses on available-for-sale securities
9

 
7

 
17

 
24

Pension and postretirement benefit plans
1

 

 
2

 
1

Total other comprehensive income
10

 
7

 
19

 
25

Total comprehensive income
$
105

 
$
86

 
$
275

 
$
214


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
40

 
4,020

 

 

 

 

 
4,020

Repurchase/redemption of capital stock
(42
)
 
(4,243
)
 

 

 

 

 
(4,243
)
Net shares reclassified to mandatorily redeemable capital stock

 
(7
)
 

 

 

 

 
(7
)
Comprehensive income

 

 
38

 
151

 
189

 
25

 
214

Cash dividends on capital stock

 

 

 
(166
)
 
(166
)
 

 
(166
)
Balance, September 30, 2016
49

 
$
4,871

 
$
293

 
$
1,570

 
$
1,863

 
$
100

 
$
6,834

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2016
50

 
$
4,955

 
$
310

 
$
1,582

 
$
1,892

 
$
104

 
$
6,951

Issuance of capital stock
7

 
6,949

 

 

 

 

 
6,949

Repurchase/redemption of capital stock
(7
)
 
(6,839
)
 

 

 

 

 
(6,839
)
Net shares reclassified to mandatorily redeemable capital stock

 
(24
)
 

 

 

 

 
(24
)
Comprehensive income

 

 
52

 
204

 
256

 
19

 
275

Cash dividends on capital stock

 

 

 
(176
)
 
(176
)
 

 
(176
)
Balance, September 30, 2017
50

 
$
5,041

 
$
362

 
$
1,610

 
$
1,972

 
$
123

 
$
7,136


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 Nine Months Ended September 30,
 
2017
 
2016
Operating activities
 
 
 
Net income
$
256

 
$
189

Adjustments to reconcile net income to net cash provided by operating activities:
 
 
 
Depreciation and amortization
3

 
(34
)
  Reversal of provision for credit losses

 
(1
)
Net change in fair value adjustment on derivatives and related hedging activities
47

 
61

  Net change in fair value adjustment on trading securities
5

 
23

  Net impairment losses recognized in earnings
2

 
2

Net change in:
 
 
 
  Accrued interest receivable
(23
)
 
(4
)
  Other assets
34

 
33

  Affordable Housing Program payable
3

 
(2
)
  Accrued interest payable
8

 
40

  Other liabilities
(34
)
 
(97
)
  Total adjustments
45

 
21

Net cash provided by operating activities
301

 
210

Investing activities
 
 
 
Net change in:
 
 
 
  Interest-bearing deposits
(318
)
 
(623
)
  Securities purchased under agreements to resell
(114
)
 
1,389

  Federal funds sold
(5,257
)
 
(3,028
)
  Loan to another FHLBank
(250
)
 

Trading securities:
 
 
 
  Proceeds from principal collected
200

 
623

Available-for-sale securities:
 
 
 
  Proceeds from principal collected
243

 
318

Held-to-maturity securities:
 
 
 
  Proceeds from principal collected
4,691

 
4,056

  Purchases of long-term
(4,203
)
 
(6,566
)
Advances:
 
 
 
  Proceeds from principal collected
269,917

 
199,870

  Made
(271,087
)
 
(193,356
)
Mortgage loans:
 
 
 
  Proceeds from principal collected
78

 
97

  Purchases from another FHLBank
(18
)
 

Proceeds from sale of foreclosed assets
2

 
11

Purchase of premise, equipment, and software
(3
)
 
(2
)
Net cash (used in) provided by investing activities
(6,119
)
 
2,789

 
 
 
 
 
 
 
 
 
 
 
 

7



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

 
For the Nine Months Ended September 30,
 
2017
 
2016
Financing activities
 
 
 
Net change in interest-bearing deposits
(38
)
 
28

Net payments on derivatives containing a financing element
(25
)
 
(58
)
Proceeds from issuance of consolidated obligations:
 
 
 
 Discount notes
609,565

 
367,545

 Bonds
52,403

 
54,805

Payments for debt issuance costs
(6
)
 
(8
)
Payments for maturing and retiring consolidated obligations:
 
 
 
 Discount notes
(601,181
)
 
(381,845
)
 Bonds
(55,489
)
 
(43,726
)
Proceeds from issuance of capital stock
6,949

 
4,020

Payments for repurchase/redemption of capital stock
(6,839
)
 
(4,243
)
Payments for repurchase/redemption of mandatorily redeemable capital stock
(22
)
 
(13
)
Cash dividends paid
(176
)
 
(166
)
Net cash provided by (used in) financing activities
5,141

 
(3,661
)
Net decrease in cash and due from banks
(677
)
 
(662
)
Cash and due from banks at beginning of the period
1,815

 
1,751

Cash and due from banks at end of the period
$
1,138

 
$
1,089

Supplemental disclosures of cash flow information:
 
 
 
 Cash paid for:
 
 
 
Interest
$
652

 
$
325

Affordable Housing Program assessments, net
$
25

 
$
21

 Noncash investing and financing activities:
 
 
 
Net shares reclassified to mandatorily redeemable capital stock
$
24

 
$
7

Held-to-maturity securities acquired with accrued liabilities
$
50

 
$

Transfers of mortgage loans to real estate owned
$
3

 
$
4


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 September 30, 2017.


Note 2—Recently Issued and Adopted Accounting Guidance

Recently Issued Accounting Guidance

Targeted Improvements to Accounting for Hedging Activities. In August 2017, the Financial Accounting Standards Board (FASB) issued amended guidance intended to better portray the economic results of an entity’s risk management activities in its financial statements. This guidance requires that, for fair value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line item that is used to present the earnings effect of the hedged item. In addition, the amendments permit (1) measuring the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at hedged inception; (2) measuring the hedged item in a partial-term fair value hedge of interest-rate risk by assuming that the hedged item has a term that reflects only the designated cash flows being hedged; and (3) considering only how changes in the benchmark interest rate affect a decision to settle a prepayable instrument before its scheduled maturity in calculating the change in the fair value of the hedged item attributable to interest-rate risk. 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. The amended presentation and disclosure guidance will be applied prospectively. The Bank is in the process of evaluating this guidance, and its impact on the Bank’s financial condition and results of operations has not yet been determined.

Premium Amortization on Purchased Callable Debt Securities. In March 2017, the 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.


9

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


Improving the Presentation of Net Periodic Pension Cost 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.

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 an impact on the Bank’s financial condition or results of operations.


10

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


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 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 September 30, 2017
 
As of December 31, 2016
Government-sponsored enterprises debt obligations
$
57

 
$
261

State or local housing agency debt obligations

 
1

Total
$
57

 
$
262

The following table presents net losses on trading securities.
 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
2017
 
2016
 
2017
 
2016
Net gains (losses) on trading securities held at period end
$
1

 
$
(7
)
 
$
1

 
$
(13
)
Net losses on trading securities that matured during the period
(2
)
 
(1
)
 
(6
)
 
(10
)
Net losses on trading securities
$
(1
)
 
$
(8
)
 
$
(5
)
 
$
(23
)


11

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


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 September 30, 2017
$
1,023

 
$
2

 
$
143

 
$

 
$
1,164

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 September 30, 2017
1

 
$
6

 
$
1

 
2

 
$
23

 
$
1

 
3

 
$
29

 
$
2

As of December 31, 2016
1

 
$
14

 
$

 
10

 
$
189

 
$
6

 
11

 
$
203

 
$
6


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 September 30, 2017
$
670

 
$
1

 
$
110

 
$

 
$
779

As of December 31, 2016
$
792

 
$
5

 
$
102

 
$

 
$
889



12

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


Note 5—Held-to-maturity Securities

Major Security Types. The following table presents held-to-maturity securities.
 
 
As of September 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
State or local housing agency debt obligations
$
1

 
$

 
$

 
$
1

 
$
76

 
$

 
$

 
$
76

Government-sponsored enterprises debt obligations
6,078

 
7

 
5

 
6,080

 
6,041

 
3

 
5

 
6,039

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. agency obligations-guaranteed residential
169

 
2

 

 
171

 
209

 
2

 

 
211

Government-sponsored enterprises residential
9,818

 
64

 
13

 
9,869

 
10,752

 
44

 
43

 
10,753

Government-sponsored enterprises commercial
7,389

 
12

 
5

 
7,396

 
6,773

 
2

 
11

 
6,764

Private-label residential
610

 
8

 
1

 
617

 
790

 
5

 
5

 
790

Total
$
24,065

 
$
93

 
$
24

 
$
24,134

 
$
24,641

 
$
56

 
$
64

 
$
24,633


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 September 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
8

 
$
1,943

 
$
4

 
2

 
$
499

 
$
1

 
10

 
$
2,442

 
$
5

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises residential
11

 
1,023

 
5

 
45

 
1,216

 
8

 
56

 
2,239

 
13

Government-sponsored enterprises commercial
25

 
1,279

 
3

 
9

 
941

 
2

 
34

 
2,220

 
5

Private-label residential
2

 
4

 

 
19

 
107

 
1

 
21

 
111

 
1

Total
46

 
$
4,249

 
$
12

 
75

 
$
2,763

 
$
12

 
121

 
$
7,012

 
$
24

 

13

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


 
As of December 31, 2016
 
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
10

 
$
2,532

 
$
5

 

 
$

 
$

 
10

 
$
2,532

 
$
5

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises residential
46

 
2,813

 
22

 
63

 
2,206

 
21

 
109

 
5,019

 
43

Government-sponsored enterprises commercial
52

 
4,147

 
6

 
22

 
1,540

 
5

 
74

 
5,687

 
11

Private-label residential
6

 
10

 

 
56

 
432

 
5

 
62

 
442

 
5

Total
114

 
$
9,502

 
$
33

 
141

 
$
4,178

 
$
31

 
255

 
$
13,680

 
$
64


Redemption Terms. The following table presents the amortized cost and estimated fair value of held-to-maturity securities by contractual maturity. MBS are not presented by contractual maturity because their actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
 
As of September 30, 2017
 
As of December 31, 2016
 
Amortized
Cost
 
Estimated
Fair Value
 
Amortized
Cost
 
Estimated
Fair Value
Non-mortgage-backed securities:
 
 
 
 
 
 
 
Due in one year or less
$
3,101

 
$
3,097

 
$
2,454

 
$
2,455

Due after one year through five years
2,462

 
2,466

 
3,487

 
3,484

Due after five years through 10 years
456

 
458

 
176

 
176

Due after ten years
60

 
60

 

 

Total non-mortgage-backed securities
6,079

 
6,081

 
6,117

 
6,115

Mortgage-backed securities
17,986

 
18,053

 
18,524

 
18,518

Total
$
24,065

 
$
24,134

 
$
24,641

 
$
24,633


The following table presents private-label residential MBS that are classified as held-to-maturity and issued by members or affiliates of members, all of which have been issued by Bank of America Corporation, Charlotte, NC.
 
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair Value
As of September 30, 2017
 
$
136

 
$
1

 
$

 
$
137

As of December 31, 2016
 
$
177

 
$

 
$
2

 
$
175



Note 6—Other-than-temporary Impairment

The Bank evaluates its individual available-for-sale and held-to-maturity securities holdings in an unrealized loss position for other-than-temporary impairment on a quarterly basis. The financial amounts related to the Bank's other-than-temporary impairment are not material to the Bank's financial condition or results of operations for the periods presented.


14

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


The following table presents a roll-forward of the amount of credit losses on the Bank’s investment securities recognized in earnings during the life of the securities for which a portion of the other-than-temporary loss was recognized in accumulated other comprehensive income.
 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
2017
 
2016
 
2017
 
2016
Balance, beginning of period
$
426

 
$
480

 
$
455

 
$
505

Amount related to credit loss for which an other-than-temporary impairment was previously recognized

 
1

 
2

 
2

Increase in cash flows expected to be collected, (accreted as interest income over the remaining lives of the applicable securities)
(16
)
 
(13
)
 
(47
)
 
(39
)
Balance, end of period
$
410

 
$
468

 
$
410

 
$
468


Note 7—Advances

Redemption Terms. The following table presents the Bank’s advances outstanding by year of contractual maturity.

 
As of September 30, 2017
 
As of December 31, 2016
Overdrawn demand deposit accounts
$
19

 
$

Due in one year or less
51,920

 
47,325

Due after one year through two years
13,999

 
8,244

Due after two years through three years
18,053

 
5,904

Due after three years through four years
5,188

 
5,859

Due after four years through five years
2,404

 
11,846

Due after five years
7,878

 
19,110

Total par value
99,461

 
98,288

Discount on AHP (1) advances
(5
)
 
(5
)
Discount on EDGE (2) advances
(3
)
 
(4
)
Hedging adjustments
359

 
798

Total
$
99,812

 
$
99,077

___________
(1) The Affordable Housing Program
(2) The Economic Development and Growth Enhancement Program

The following table presents advances by year of contractual maturity or, for convertible advances, next conversion date.

 
As of September 30, 2017
 
As of December 31, 2016
Overdrawn demand deposit accounts
$
19

 
$

Due or convertible in one year or less
51,999

 
47,935

Due or convertible after one year through two years
14,038

 
7,724

Due or convertible after two years through three years
18,149

 
5,943

Due or convertible after three years through four years
5,212

 
5,867

Due or convertible after four years through five years
2,375

 
11,866

Due or convertible after five years
7,669

 
18,953

Total par value
$
99,461

 
$
98,288



15

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


Interest-rate Payment Terms. The following table presents interest-rate payment terms for advances.

 
As of September 30, 2017
 
As of December 31, 2016
Fixed-rate:
 
 
 
 Due in one year or less
$
38,007

 
$
38,597

 Due after one year
20,925

 
24,528

Total fixed-rate
58,932

 
63,125

Variable-rate:
 
 
 
 Due in one year or less
13,932

 
8,728

 Due after one year
26,597

 
26,435

Total variable-rate
40,529

 
35,163

Total par value
$
99,461

 
$
98,288


Credit Risk. The Bank’s potential credit risk from advances is concentrated in commercial banks, savings institutions, and credit unions and further is concentrated in certain larger borrowing relationships. The concentration of the Bank’s advances to its 10 largest borrowers was $68,213 and $67,493 as of September 30, 2017 and December 31, 2016, respectively. This concentration represented 68.6 percent and 68.7 percent of total advances outstanding as of September 30, 2017 and December 31, 2016, respectively.
Based on the collateral pledged as security for advances, the Bank’s credit analysis of members’ financial condition, and prior repayment history, no allowance for credit losses on advances was deemed necessary by the Bank as of September 30, 2017 and December 31, 2016. No advance was past due as of September 30, 2017 and December 31, 2016.

Note 8—Mortgage Loans Held for Portfolio

The following table presents information on mortgage loans held for portfolio by contractual maturity at the time of purchase.
 
 
As of September 30, 2017
 
As of December 31, 2016
Medium-term (15 years or less)
 
$
23

 
$
40

Long-term (greater than 15 years)
 
439

 
485

Total unpaid principal balance
 
462

 
525

Premiums
 
2

 
2

Discounts
 
(2
)
 
(3
)
Total
 
$
462

 
$
524



The following table presents the unpaid principal balance of mortgage loans held for portfolio by collateral or guarantee type.
 
 
As of September 30, 2017
 
As of December 31, 2016
Conventional mortgage loans
 
$
434

 
$
492

Government-guaranteed or insured mortgage loans
 
28

 
33

Total unpaid principal balance
 
$
462

 
$
525


Refer to Note 9Allowance for Credit Losses to the Bank’s interim financial statements for information related to the Bank’s credit risk on mortgage loans and allowance for credit losses.


16

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


Note 9—Allowance for Credit Losses

The following table presents the activity in the allowance for credit losses related to conventional residential mortgage loans.
 
 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
 
2017
 
2016
 
2017
 
2016
Balance, beginning of period
 
$
1

 
$
2

 
$
1

 
$
2

Reversal of provision for credit losses
 

 
(1
)
 

 
(1
)
Balance, end of period
 
$
1

 
$
1

 
$
1

 
$
1


The following table presents the recorded investment in conventional residential mortgage loans by impairment methodology.
 
 
As of September 30, 2017
 
As of December 31, 2016
Allowance for credit losses:
 
 
 
 
   Collectively evaluated for impairment
 
$
1

 
$
1

Recorded investment:
 
 
 
 
   Individually evaluated for impairment
 
$
12

 
$
12

   Collectively evaluated for impairment
 
423

 
481

Total recorded investment
 
$
435

 
$
493



17

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


Key credit quality indicators for mortgage loans include the migration of past due mortgage loans, nonaccrual mortgage loans, and mortgage loans in process of foreclosure. The following tables present the Bank’s recorded investment in mortgage loans by these key credit quality indicators.
 
As of September 30, 2017
 
Conventional Residential Mortgage Loans
 
Government-guaranteed or Insured Residential Mortgage Loans
 
Total
Past due 30-59 days
$
12

 
$
3

 
$
15

Past due 60-89 days
2

 
1

 
3

Past due 90 days or more
9

 

 
9

Total past due mortgage loans
23

 
4

 
27

Total current mortgage loans
412

 
25

 
437

Total mortgage loans (1)
$
435

 
$
29

 
$
464

Other delinquency statistics:
 
 
 
 
 
  In process of foreclosure (2)
$
4

 
$

 
$
4

  Seriously delinquent rate (3)
2.05
%
 
1.31
%
 
2.01
%
  Past due 90 days or more and still accruing interest (4)
$

 
$

 
$

  Mortgage loans on nonaccrual status (5)
$
9

 
$

 
$
9

____________
(1) The difference between the recorded investment and the carrying value of total mortgage loans of $2 relates to accrued interest.
(2) Includes mortgage loans where the decision of foreclosure or similar alternative, such as a pursuit of deed-in-lieu, has been reported. Mortgage loans in the process of foreclosure are included in past due or current mortgage loans depending on their delinquency status.
(3) Mortgage loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total mortgage loan portfolio segment.
(4) Mortgage loans insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs.
(5) Represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest.

 
As of December 31, 2016
 
Conventional Residential Mortgage Loans
 
Government-guaranteed or Insured Residential Mortgage Loans
 
Total
Past due 30-59 days
$
17

 
$
4

 
$
21

Past due 60-89 days
3

 
1

 
4

Past due 90 days or more
12

 
1

 
13

Total past due mortgage loans
32

 
6

 
38

Total current mortgage loans
461

 
27

 
488

Total mortgage loans (1)
$
493

 
$
33

 
$
526

Other delinquency statistics:
 
 
 
 
 
  In process of foreclosure (2)
$
6

 
$
1

 
$
7

  Seriously delinquent rate (3)
2.44
%
 
3.75
%
 
2.53
%
Past due 90 days or more and still accruing interest (4)
$

 
$
1

 
$
1

  Mortgage loans on nonaccrual status (5)
$
12

 
$

 
$
12

____________
(1) The difference between the recorded investment and the carrying value of total mortgage loans of $2 relates to accrued interest.
(2) Includes mortgage loans where the decision of foreclosure or similar alternative, such as a pursuit of deed-in-lieu, has been reported. Mortgage loans in the process of foreclosure are included in past due or current mortgage loans depending on their delinquency status.
(3) Mortgage loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total mortgage loan portfolio segment.
(4) Mortgage loans insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs.
(5) Represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest.

18

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



The financial amounts related to the Bank’s impaired loans and troubled debt restructurings are not material to the Bank’s financial condition or results of operations for the periods presented.

Note 10—Consolidated Obligations

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are the joint and several obligations of the 11 Federal Home Loan Banks (FHLBanks) and are backed only by the financial resources of the FHLBanks. The Federal Home Loan Banks Office of Finance (Office of Finance) tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks its specific portion of consolidated obligations for which it is the primary obligor and records it as a liability.
Interest-rate Payment Terms. The following table presents the Bank’s consolidated obligation bonds by interest-rate payment type. 
 
As of September 30, 2017
 
As of December 31, 2016
Fixed-rate
$
19,503

 
$
23,674

Step up/down
1,799

 
2,534

Simple variable-rate
64,230

 
62,408

Total par value
$
85,532

 
$
88,616


Redemption Terms. The following table presents the Bank’s participation in consolidated obligation bonds outstanding by year of contractual maturity.
 
 
As of September 30, 2017
 
As of December 31, 2016
 
Amount
 
Weighted-
average
Interest Rate (%)    
 
Amount
 
Weighted-
average
Interest Rate (%)    
Due in one year or less
$
53,613

 
1.20
 
$
65,378

 
0.91
Due after one year through two years
24,710

 
1.22
 
17,065

 
1.05
Due after two years through three years
3,336

 
1.66
 
1,849

 
1.67
Due after three years through four years
623

 
1.76
 
1,482

 
1.68
Due after four years through five years
2,146

 
1.99
 
1,117

 
1.58
Due after five years
1,104

 
3.02
 
1,725

 
2.37
Total par value
85,532

 
1.26
 
88,616

 
1.00
Premiums
15

 
 
 
24

 
 
Discounts
(10
)
 
 
 
(12
)
 
 
Hedging adjustments
(20
)
 
 
 
19

 
 
Total
$
85,517

 
 
 
$
88,647

 
 

The following table presents the Bank’s consolidated obligation bonds outstanding by call feature.
 
 
As of September 30, 2017
 
As of December 31, 2016
Noncallable
$
79,588

 
$
83,487

Callable
5,944

 
5,129

Total par value
$
85,532

 
$
88,616



19

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


The following table presents the Bank’s consolidated obligation bonds outstanding, by year of contractual maturity, or for callable consolidated obligation bonds, by next call date.

 
As of September 30, 2017
 
As of December 31, 2016
Due or callable in one year or less
$
58,402

 
$
70,232

Due or callable after one year through two years
23,635

 
15,250

Due or callable after two years through three years
2,522

 
1,399

Due or callable after three years through four years
403

 
1,103

Due or callable after four years through five years
171

 
162

Due or callable after five years
399

 
470

Total par value
$
85,532

 
$
88,616


Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds and have original contractual maturities of up to one year. These consolidated obligation discount notes are issued at less than their face amounts and redeemed at par value when they mature.
The following table presents the Bank’s participation in consolidated obligation discount notes.
 
 
Book Value
 
Par Value
 
Weighted-average
Interest Rate (%)
As of September 30, 2017
$
49,727

 
$
49,814

 
1.04
As of December 31, 2016
$
41,292

 
$
41,334

 
0.48


20

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


Note 11—Capital and Mandatorily Redeemable Capital Stock

Capital. The following table presents the Bank’s compliance with the Federal Housing Finance Agency’s (Finance Agency) regulatory capital rules and requirements.
 
 
As of September 30, 2017
 
As of December 31, 2016
 
Required    
 
Actual        
 
Required    
 
Actual        
Risk based capital
$
1,502

 
$
7,016

 
$
1,701

 
$
6,848

Total regulatory capital ratio
4.00
%
 
4.87
%
 
4.00
%
 
4.94
%
Total regulatory capital (1)
$
5,757

 
$
7,016

 
$
5,547

 
$
6,848

Leverage capital ratio
5.00
%
 
7.31
%
 
5.00
%
 
7.41
%
Leverage capital
$
7,196

 
$
10,524

 
$
6,934

 
$
10,273

____________
(1) Total regulatory capital does not include accumulated other comprehensive income, but does include mandatorily redeemable capital stock.
Mandatorily Redeemable Capital Stock. The following table presents the activity in mandatorily redeemable capital stock.

 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
2017
 
2016
 
2017
 
2016
Balance, beginning of period
$
2

 
$
9

 
$
1

 
$
14

Net reclassification from capital during the period
8

 
5

 
24

 
7

Repurchase/redemption of mandatorily redeemable capital stock
(7
)
 
(6
)
 
(22
)
 
(13
)
Balance, end of period
$
3

 
$
8

 
$
3


$
8


The following table presents the amount of mandatorily redeemable capital stock by year of redemption. The year of redemption in the table is the end of the five years redemption period, or with respect to activity-based stock, the later of the expiration of the five years redemption period or the activity’s maturity date.
 
 
As of September 30, 2017
 
As of December 31, 2016
Due in one year or less
$
3

 
$

Due after three years through four years

 
1

Total
$
3

 
$
1



21

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


Note 12—Accumulated Other Comprehensive Income

The following tables present the components comprising accumulated other comprehensive income.

 
Pension and
Postretirement
Benefits
 
Noncredit Portion
of Other-than-
temporary
Impairment  Losses
on Available-for-
sale Securities
 
Total  Accumulated
Other
Comprehensive
Income
Balance, June 30, 2016
$
(19
)
 
$
112

 
$
93

Other comprehensive income before reclassifications:
 
 
 
 
 
     Net change in fair value

 
6

 
6

Reclassification from accumulated other comprehensive income to net income:
 
 
 
 
 
     Noncredit other-than-temporary impairment losses

 
1

 
1

Net current period other comprehensive income

 
7

 
7

Balance, September 30, 2016
$
(19
)
 
$
119

 
$
100

 
 
 
 
 
 
Balance, June 30, 2017
$
(19
)
 
$
132

 
$
113

Other comprehensive income before reclassifications: