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Table of Contents


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 March 31, 2018
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, Georgia
 
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 April 30, 2018 was 57,367,756.


Table of Contents


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.



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 March 31, 2018
 
As of December 31, 2017
Assets
 
 
 
Cash and due from banks
$
80

 
$
2,357

Interest-bearing deposits (including deposits with other FHLBanks of $3 and $22 as of March 31, 2018 and December 31, 2017, respectively)
2,717

 
2,176

Securities purchased under agreements to resell
6,000

 
2,500

Federal funds sold
10,728

 
9,380

Investment securities:
 
 
 
    Trading securities
55

 
56

    Available-for-sale securities
1,053

 
1,104

    Held-to-maturity securities (fair value of $26,951 and $25,219 as of March 31, 2018 and December 31, 2017, respectively)
26,930

 
25,162

Total investment securities
28,038

 
26,322

Advances
91,733

 
102,440

Mortgage loans held for portfolio, net:
 
 
 
Mortgage loans held for portfolio
417

 
436

Allowance for credit losses on mortgage loans
(1
)
 
(1
)
Total mortgage loans held for portfolio, net
416

 
435

Loan to another FHLBank

 
200

Accrued interest receivable
235

 
208

Derivative assets
322

 
334

Premises and equipment, net
21

 
22

Other assets
170

 
192

Total assets
$
140,460

 
$
146,566

Liabilities
 
 
 
Interest-bearing deposits
$
1,213

 
$
1,177

Consolidated obligations, net:
 
 
 
Discount notes
54,659

 
50,139

Bonds
77,160

 
87,523

Total consolidated obligations, net
131,819

 
137,662

Mandatorily redeemable capital stock
3

 
1

Accrued interest payable
144

 
142

Affordable Housing Program payable
80

 
77

Derivative liabilities
22

 
21

Other liabilities
284

 
219

Total liabilities
133,565

 
139,299

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 March 31, 2018 and December 31, 2017
855

 
819

Subclass B2 issued and outstanding shares: 39 and 44 as of March 31, 2018 and December 31, 2017, respectively
3,893

 
4,335

Total capital stock Class B putable
4,748

 
5,154

Retained earnings:
 
 
 
Restricted
403

 
380

Unrestricted
1,649

 
1,623

Total retained earnings
2,052

 
2,003

Accumulated other comprehensive income
95

 
110

Total capital
6,895

 
7,267

Total liabilities and capital
$
140,460

 
$
146,566


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

3

Table of Contents


FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF INCOME
(Unaudited)
(In millions)
 
 
For the Three Months Ended March 31,
 
2018
 
2017
Interest income
 
 
 
Advances
$
455

 
$
(81
)
Prepayment fees, net

 
1

Interest-bearing deposits
14

 
5

Securities purchased under agreements to resell
6

 
1

Federal funds sold
49

 
19

Trading securities

 
3

Available-for-sale securities
26

 
27

Held-to-maturity securities
127

 
85

Mortgage loans
6

 
7

Total interest income
683

 
67

Interest expense
 
 
 
Consolidated obligations:
 
 
 
 Discount notes
224

 
68

 Bonds
320

 
199

Interest-bearing deposits
4

 
2

Total interest expense
548

 
269

Net interest income (expense)
135

 
(202
)
Noninterest income (loss)
 
 
 
Net losses on trading securities
(1
)
 
(2
)
Net gains on derivatives and hedging activities
22

 
313

Standby letters of credit fees
6

 
7

Other

 
1

Total noninterest income
27

 
319

Noninterest expense
 
 
 
Compensation and benefits
20

 
19

Other operating expenses
9

 
9

Finance Agency
2

 
2

Office of Finance
2

 
2

Other
2

 
2

Total noninterest expense
35


34

Income before assessments
127

 
83

Affordable Housing Program assessments
13

 
8

Net income
$
114


$
75


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

4

Table of Contents


FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF COMPREHENSIVE INCOME
(Unaudited)
(In millions)
 
 
 
For the Three Months Ended March 31,
 
 
2018
 
2017
Net income
 
$
114

 
$
75

Other comprehensive (loss) income:
 
 
 
 
Net noncredit portion of other-than-temporary impairment losses on available-for-sale securities:
 
 
 
 
Net change in fair value on other-than-temporarily impaired available-for-sale securities
 
(16
)
 

Pension and postretirement benefit plans
 
1

 
1

Total other comprehensive (loss) income
 
(15
)
 
1

Total comprehensive income
 
$
99

 
$
76


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

5

Table of Contents


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, 2016
50

 
$
4,955

 
$
310

 
$
1,582

 
$
1,892

 
$
104

 
$
6,951

Issuance of capital stock
20

 
2,034

 

 

 

 

 
2,034

Repurchase/redemption of capital stock
(23
)
 
(2,331
)
 

 

 

 

 
(2,331
)
Net shares reclassified to mandatorily redeemable capital stock

 
(8
)
 

 

 

 

 
(8
)
Comprehensive income

 

 
16

 
59

 
75

 
1

 
76

Cash dividends on capital stock

 

 

 
(57
)
 
(57
)
 

 
(57
)
Balance, March 31, 2017
47

 
$
4,650

 
$
326

 
$
1,584

 
$
1,910

 
$
105

 
$
6,665

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2017
52

 
$
5,154

 
$
380

 
$
1,623

 
$
2,003

 
$
110

 
$
7,267

Issuance of capital stock
35

 
3,495

 

 

 

 

 
3,495

Repurchase/redemption of capital stock
(40
)
 
(3,869
)
 

 

 

 

 
(3,869
)
Net shares reclassified to mandatorily redeemable capital stock

 
(32
)
 

 

 

 

 
(32
)
Comprehensive income (loss)

 

 
23

 
91

 
114

 
(15
)
 
99

Cash dividends on capital stock

 

 

 
(65
)
 
(65
)
 

 
(65
)
Balance, March 31, 2018
47

 
$
4,748

 
$
403

 
$
1,649

 
$
2,052

 
$
95

 
$
6,895


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

6

Table of Contents


FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF CASH FLOWS
(Unaudited)
(In millions)
 
 
For the Three Months Ended March 31,
 
2018
 
2017
Operating activities
 
 
 
Net income
$
114

 
$
75

Adjustments to reconcile net income to net cash provided by operating activities:
 
 
 
Depreciation and amortization
8

 
(18
)
Net change in fair value adjustment on derivatives and related hedging activities
179

 
36

  Net change in fair value adjustment on trading securities
1

 
2

Net change in:
 
 
 
  Accrued interest receivable
(27
)
 
(5
)
  Other assets
22

 
22

  Affordable Housing Program payable
3

 
4

  Accrued interest payable
2

 
49

  Other liabilities
(33
)
 
(31
)
  Total adjustments
155

 
59

Net cash provided by operating activities
269

 
134

Investing activities
 
 
 
Net change in:
 
 
 
  Interest-bearing deposits
(475
)
 
255

  Securities purchased under agreements to resell
(3,500
)
 
(1,000
)
  Federal funds sold
(1,348
)
 
(3,406
)
  Loan to another FHLBank
200

 

Available-for-sale securities:
 
 
 
  Proceeds from principal collected
51

 
71

Held-to-maturity securities:
 
 
 
  Net change in short-term

 
(350
)
  Proceeds from principal collected
1,273

 
1,766

  Purchases of long-term
(2,945
)
 
(2,376
)
Advances:
 
 
 
  Proceeds from principal collected
140,699

 
86,936

  Made
(130,323
)
 
(78,979
)
Mortgage loans:
 
 
 
  Proceeds from principal collected
19

 
28

  Purchases from another FHLBank

 
(18
)
Proceeds from sale of foreclosed assets
1

 
1

Purchases of premises, equipment, and software
(1
)
 
(1
)
Net cash provided by investing activities
3,651

 
2,927

 
 
 
 
 
 
 
 
 
 
 
 

7

Table of Contents


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

 
For the Three Months Ended March 31,
 
2018
 
2017
Financing activities
 
 
 
Net change in interest-bearing deposits
3

 
87

Net payments on derivatives containing a financing element
(1
)
 
(10
)
Proceeds from issuance of consolidated obligations:
 
 
 
 Discount notes
280,479

 
158,899

 Bonds
14,051

 
9,260

Payments for debt issuance costs
(3
)
 
(2
)
Payments for maturing and retiring consolidated obligations:
 
 
 
 Discount notes
(275,982
)
 
(158,123
)
 Bonds
(24,275
)
 
(13,584
)
Proceeds from issuance of capital stock
3,495

 
2,034

Payments for repurchase/redemption of capital stock
(3,869
)
 
(2,331
)
Payments for repurchase/redemption of mandatorily redeemable capital stock
(30
)
 
(8
)
Cash dividends paid
(65
)
 
(57
)
Net cash used in financing activities
(6,197
)
 
(3,835
)
Net decrease in cash and due from banks
(2,277
)
 
(774
)
Cash and due from banks at beginning of the period
2,357

 
1,815

Cash and due from banks at end of the period
$
80

 
$
1,041

Supplemental disclosures of cash flow information:
 
 
 
 Cash paid for:
 
 
 
Interest
$
523

 
$
226

Affordable Housing Program assessments, net
$
9

 
$
4

 Noncash investing and financing activities:
 
 
 
Net shares reclassified to mandatorily redeemable capital stock
$
32

 
$
8

Held-to-maturity securities acquired with accrued liabilities
$
97

 
$
22

Transfers of mortgage loans to real estate owned
$
1

 
$
1


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

 


8

Table of Contents


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, 2018, 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, 2017, which are contained in the Bank’s 2017 Annual Report on Form 10-K filed with the Securities and Exchange Commission (SEC) on March 8, 2018 (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 2017 audited financial statements for a description of all the Bank’s significant accounting policies. There have been no changes to these policies as of March 31, 2018.


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

Table of Contents
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.

Recently Adopted Accounting Guidance

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 became effective for the Bank for the interim and annual periods beginning on January 1, 2018. For the presentation of the service cost component and the other components of net benefit cost on the income statement, this guidance was applied retrospectively. For the capitalization of the service cost component of net benefit cost in assets, this guidance was applied prospectively on and after the effective date. The adoption of this guidance did not 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 was adopted on a retrospective basis and became effective for the Bank beginning on January 1, 2018. The disclosure of cash paid for interest as reported in the supplemental disclosures of cash flow information increased by $68 for the three months ended March 31, 2017 and relates to accreted interest on zero-interest debt instruments. 
​The adoption of this guidance did not have an impact on the Bank’s financial condition, results of operations, or cash flows. 

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, among other things, 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 of 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

10

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


on the balance sheet. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2018. The adoption of this guidance did not have an 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 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 became effective for the Bank for the interim and annual reporting periods beginning on January 1, 2018. Because the majority of the Bank’s financial instruments and other contractual rights that generate revenue are covered by other GAAP, 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 March 31, 2018
 
As of December 31, 2017
Government-sponsored enterprises debt obligations
$
55

 
$
56


The following table presents net losses on trading securities.
 
 
For the Three Months Ended March 31,
 
 
2018
 
2017
Net losses on trading securities held at period end
 
$
(1
)
 
$
(2
)



11

Table of Contents
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 (1)
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Estimated Fair Value
As of March 31, 2018
$
935

 
$
1

 
$
119

 
$

 
$
1,053

As of December 31, 2017
$
970

 
$
1

 
$
135

 
$

 
$
1,104

____________ 
(1) Amounts represent the non-credit portion of an other-than-temporary impairment during the life of the security.


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 March 31, 2018

 
$

 
$

 
3

 
$
9

 
$
1

 
3

 
$
9

 
$
1

As of December 31, 2017
1

 
$
7

 
$
1

 
1

 
$
4

 
$

 
2

 
$
11

 
$
1



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 March 31, 2018
$
620

 
$

 
$
91

 
$

 
$
711

As of December 31, 2017
$
638

 
$
1

 
$
104

 
$

 
$
741




12

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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 March 31, 2018
 
As of December 31, 2017
 
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

 
$
1

 
$

 
$

 
$
1

Government-sponsored enterprises debt obligations
4,862

 
7

 
5

 
4,864

 
5,350

 
8

 
6

 
5,352

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. agency obligations-guaranteed residential
146

 
2

 

 
148

 
157

 
2

 

 
159

Government-sponsored enterprises residential
10,136

 
63

 
51

 
10,148

 
9,357

 
65

 
24

 
9,398

Government-sponsored enterprises commercial
11,253

 
11

 
13

 
11,251

 
9,729

 
16

 
12

 
9,733

Private-label residential
532

 
8

 
1

 
539

 
568

 
8

 

 
576

Total
$
26,930

 
$
91

 
$
70

 
$
26,951

 
$
25,162

 
$
99

 
$
42

 
$
25,219



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 March 31, 2018
 
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
State or local housing agency debt obligations
1

 
$
1

 
$

 

 
$

 
$

 
1

 
$
1

 
$

Government-sponsored enterprises debt obligations
8

 
618

 
1

 
5

 
1,496

 
4

 
13

 
2,114

 
5

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises residential
18

 
1,976

 
33

 
39

 
1,091

 
18

 
57

 
3,067

 
51

Government-sponsored enterprises commercial
49

 
3,197

 
4

 
6

 
901

 
9

 
55

 
4,098

 
13

Private-label residential
12

 
50

 
1

 
11

 
34

 

 
23

 
84

 
1

Total
88

 
$
5,842

 
$
39

 
61

 
$
3,522

 
$
31

 
149

 
$
9,364

 
$
70

 

13

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


 
As of December 31, 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
State or local housing agency debt obligations
1

 
$
1

 
$

 

 
$

 
$

 
1

 
$
1

 
$

Government-sponsored enterprises debt obligations
6

 
996

 
1

 
5

 
1,495

 
5

 
11

 
2,491

 
6

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises residential
12

 
1,466

 
11

 
40

 
1,154

 
13

 
52

 
2,620

 
24

Government-sponsored enterprises commercial
16

 
1,209

 
5

 
7

 
1,029

 
7

 
23

 
2,238

 
12

Private-label residential
7

 
19

 

 
16

 
70

 

 
23

 
89

 

Total
42

 
$
3,691

 
$
17

 
68

 
$
3,748

 
$
25

 
110

 
$
7,439

 
$
42



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 March 31, 2018
 
As of December 31, 2017
 
Amortized
Cost
 
Estimated
Fair Value
 
Amortized
Cost
 
Estimated
Fair Value
Non-mortgage-backed securities:
 
 
 
 
 
 
 
Due in one year or less
$
2,325

 
$
2,323

 
$
2,913

 
$
2,909

Due after one year through five years
2,072

 
2,073

 
1,972

 
1,975

Due after five years through 10 years
406

 
409

 
406

 
409

Due after 10 years
60

 
60

 
60

 
60

Total non-mortgage-backed securities
4,863

 
4,865

 
5,351

 
5,353

Mortgage-backed securities
22,067

 
22,086

 
19,811

 
19,866

Total
$
26,930

 
$
26,951

 
$
25,162

 
$
25,219



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 March 31, 2018
 
$
116

 
$
1

 
$

 
$
117

As of December 31, 2017
 
$
125

 
$
1

 
$

 
$
126




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

Table of Contents
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 March 31,
 
2018
 
2017
Balance, beginning of period
$
394

 
$
455

Increase in cash flows expected to be collected, (accreted as interest income over the remaining lives of the applicable securities)
(16
)
 
(15
)
Balance, end of period
$
378

 
$
440



Note 7—Advances

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

 
As of March 31, 2018