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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 September 30, 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 every Interactive Data File required to be submitted 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 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  
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, 2018 was 53,754,054.


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 September 30, 2018
 
As of December 31, 2017
Assets
 
 
 
Cash and due from banks
$
64

 
$
2,357

Interest-bearing deposits (including deposits with other FHLBanks of $3 and $22 as of September 30, 2018 and December 31, 2017, respectively)
5,961

 
2,176

Securities purchased under agreements to resell
2,500

 
2,500

Federal funds sold
10,959

 
9,380

Investment securities:
 
 
 
    Trading securities
54

 
56

    Available-for-sale securities
946

 
1,104

    Held-to-maturity securities (fair value of $24,268 and $25,219 as of September 30, 2018 and December 31, 2017, respectively)
24,260

 
25,162

Total investment securities
25,260

 
26,322

Advances
109,746

 
102,440

Mortgage loans held for portfolio, net:
 
 
 
Mortgage loans held for portfolio
377

 
436

Allowance for credit losses on mortgage loans
(1
)
 
(1
)
Total mortgage loans held for portfolio, net
376

 
435

Loan to another FHLBank

 
200

Accrued interest receivable
255

 
208

Derivative assets
291

 
334

Premises and equipment, net
19

 
22

Other assets
160

 
192

Total assets
$
155,591

 
$
146,566

Liabilities
 
 
 
Interest-bearing deposits
$
965

 
$
1,177

Consolidated obligations, net:
 
 
 
Discount notes
62,632

 
50,139

Bonds
83,761

 
87,523

Total consolidated obligations, net
146,393

 
137,662

Mandatorily redeemable capital stock
2

 
1

Accrued interest payable
175

 
142

Affordable Housing Program payable
85

 
77

Derivative liabilities
25

 
21

Other liabilities
194

 
219

Total liabilities
147,839

 
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: 9 and 8 as of September 30, 2018 and December 31, 2017, respectively
890

 
819

Subclass B2 issued and outstanding shares: 47 and 44 as of September 30, 2018 and December 31, 2017, respectively
4,667

 
4,335

Total capital stock Class B putable
5,557

 
5,154

Retained earnings:
 
 
 
Restricted
446

 
380

Unrestricted
1,658

 
1,623

Total retained earnings
2,104

 
2,003

Accumulated other comprehensive income
91

 
110

Total capital
7,752

 
7,267

Total liabilities and capital
$
155,591

 
$
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 September 30,
 
For the Nine Months Ended September 30,
 
2018
 
2017
 
2018
 
2017
Interest income
 
 
 
 
 
 
 
Advances
$
585

 
$
306

 
$
1,577

 
$
475

Prepayment fees, net

 

 

 
1

Interest-bearing deposits
29

 
6

 
60

 
17

Securities purchased under agreements to resell
13

 
3

 
30

 
7

Federal funds sold
57

 
41

 
165

 
88

Trading securities

 
2

 
1

 
8

Available-for-sale securities
25

 
26

 
77

 
80

Held-to-maturity securities
159

 
106

 
439

 
289

Mortgage loans
5

 
7

 
16

 
20

Total interest income
873

 
497

 
2,365

 
985

Interest expense
 
 
 
 
 
 
 
Consolidated obligations:
 
 
 
 
 
 
 
 Discount notes
290

 
130

 
796

 
301

 Bonds
435

 
241

 
1,147

 
642

Interest-bearing deposits
5

 
3

 
13

 
7

Total interest expense
730

 
374

 
1,956

 
950

Net interest income
143

 
123

 
409

 
35

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

 

 

 

Net amount of impairment losses reclassified from accumulated other comprehensive income

 

 
(1
)
 
(2
)
Net impairment losses recognized in earnings




(1
)
 
(2
)
Net losses on trading securities

 
(1
)
 
(2
)
 
(5
)
Net gains on derivatives and hedging activities
13

 
11

 
49

 
331

Standby letters of credit fees
6

 
6

 
19

 
20

Other

 
2

 
2

 
5

Total noninterest income
19


18


67

 
349

Noninterest expense
 
 
 
 
 
 
 
Compensation and benefits
32

 
20

 
71

 
57

Other operating expenses
9

 
10

 
27

 
27

Finance Agency
2

 
3

 
6

 
7

Office of Finance
2

 
1

 
5

 
4

Other
(1
)
 
2

 
3

 
5

Total noninterest expense
44


36


112


100

Income before assessments
118

 
105

 
364

 
284

Affordable Housing Program assessments
11

 
10

 
36

 
28

Net income
$
107


$
95


$
328


$
256


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 September 30,
 
For the Nine Months Ended September 30,
 
2018
 
2017
 
2018
 
2017
Net income
$
107

 
$
95

 
$
328

 
$
256

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
(8
)
 
9

 
(26
)
 
15

Reclassification of noncredit portion of impairment losses included in net income

 

 
1

 
2

Total net noncredit portion of other-than-temporary impairment losses on available-for-sale securities
(8
)
 
9

 
(25
)
 
17

Pension and postretirement benefit plans
4

 
1

 
6

 
2

Total other comprehensive (loss) income
(4
)
 
10

 
(19
)
 
19

Total comprehensive income
$
103

 
$
105

 
$
309

 
$
275


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
69

 
6,949

 

 

 

 

 
6,949

Repurchase/redemption of capital stock
(69
)
 
(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

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2017
52

 
$
5,154

 
$
380

 
$
1,623

 
$
2,003

 
$
110

 
$
7,267

Issuance of capital stock
84

 
8,399

 

 

 

 

 
8,399

Repurchase/redemption of capital stock
(80
)
 
(7,960
)
 

 

 

 

 
(7,960
)
Net shares reclassified to mandatorily redeemable capital stock

 
(36
)
 

 

 

 

 
(36
)
Comprehensive income (loss)

 

 
66

 
262

 
328

 
(19
)
 
309

Cash dividends on capital stock

 

 

 
(227
)
 
(227
)
 

 
(227
)
Balance, September 30, 2018
56

 
$
5,557

 
$
446

 
$
1,658

 
$
2,104

 
$
91

 
$
7,752


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 Nine Months Ended September 30,
 
2018
 
2017
Operating activities
 
 
 
Net income
$
328

 
$
256

Adjustments to reconcile net income to net cash provided by operating activities:
 
 
 
Depreciation and amortization
22

 
3

Net change in fair value adjustment on derivatives and related hedging activities
389

 
47

  Net change in fair value adjustment on trading securities
2

 
5

  Net impairment losses recognized in earnings
1

 
2

Net change in:
 
 
 
  Accrued interest receivable
(48
)
 
(23
)
  Other assets
34

 
34

  Affordable Housing Program payable
7

 
3

  Accrued interest payable
33

 
8

  Other liabilities
(22
)
 
(34
)
  Total adjustments
418

 
45

Net cash provided by operating activities
746

 
301

Investing activities
 
 
 
Net change in:
 
 
 
  Interest-bearing deposits
(3,709
)
 
(318
)
  Securities purchased under agreements to resell

 
(114
)
  Federal funds sold
(1,579
)
 
(5,257
)
  Loan to another FHLBank
200

 
(250
)
Trading securities:
 
 
 
  Proceeds from principal collected

 
200

Available-for-sale securities:
 
 
 
  Proceeds from principal collected
179

 
243

Held-to-maturity securities:
 
 
 
  Proceeds from principal collected
4,856

 
4,691

  Purchases of long-term
(3,956
)
 
(4,203
)
Advances:
 
 
 
  Proceeds from principal collected
314,627

 
269,917

  Made
(322,491
)
 
(271,087
)
Mortgage loans:
 
 
 
  Proceeds from principal collected
58

 
78

  Purchases from another FHLBank

 
(18
)
Proceeds from sale of foreclosed assets
2

 
2

Purchases of premises, equipment, and software
(3
)
 
(3
)
Net cash used in investing activities
(11,816
)
 
(6,119
)
 
 
 
 
 
 
 
 
 
 
 
 

7

Table of Contents


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

 
For the Nine Months Ended September 30,
 
2018
 
2017
Financing activities
 
 
 
Net change in interest-bearing deposits
(236
)
 
(38
)
Net payments on derivatives containing a financing element
(3
)
 
(25
)
Proceeds from issuance of consolidated obligations:
 
 
 
 Discount notes
786,081

 
609,565

 Bonds
55,082

 
52,403

Payments for debt issuance costs
(8
)
 
(6
)
Payments for maturing and retiring consolidated obligations:
 
 
 
 Discount notes
(773,652
)
 
(601,181
)
 Bonds
(58,664
)
 
(55,489
)
Proceeds from issuance of capital stock
8,399

 
6,949

Payments for repurchase/redemption of capital stock
(7,960
)
 
(6,839
)
Payments for repurchase/redemption of mandatorily redeemable capital stock
(35
)
 
(22
)
Cash dividends paid
(227
)
 
(176
)
Net cash provided by financing activities
8,777

 
5,141

Net decrease in cash and due from banks
(2,293
)
 
(677
)
Cash and due from banks at beginning of the period
2,357

 
1,815

Cash and due from banks at end of the period
$
64

 
$
1,138

Supplemental disclosures of cash flow information:
 
 
 
 Cash paid for:
 
 
 
Interest
$
1,858

 
$
897

Affordable Housing Program assessments, net
$
28

 
$
25

 Noncash investing and financing activities:
 
 
 
Net shares reclassified to mandatorily redeemable capital stock
$
36

 
$
24

Held-to-maturity securities acquired with accrued liabilities
$

 
$
50

Transfers of mortgage loans to real estate owned
$
2

 
$
3


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 September 30, 2018.


9

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


Note 2—Recently Issued and Adopted Accounting Guidance

The following tables provide a summary of accounting guidance issued by the Financial Accounting Standards Board that was adopted during 2018 and recently issued guidance not yet adopted as of September 30, 2018, which may impact the Bank’s financial statements.

Recently Adopted Accounting Guidance
Accounting Standard Update (ASU)
 
Description
 
Effective Date
 
Effect on Financial Statements or Other Significant Matters
Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost
(ASU 2017-07)
 
This guidance requires entities to report the service cost component in the same line items as compensation cost 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.
 
January 1, 2018

 
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
(ASU 2016-15)
 
This guidance is intended to reduce diversity in practice in how cash receipts and cash payments are presented and classified in the statement of cash flows for certain transactions.
 
January 1, 2018



 
Upon adoption, interest paid as reported in the supplemental disclosures of cash flow information increased by $245 for the nine months ended September 30, 2017, relating to accreted interest on zero-interest debt instruments. However, the adoption of this guidance did not have any other effect on the Bank's financial condition, results of operations, or cash flows.
Recognition and Measurement of Financial Assets and Financial Liabilities
(ASU 2016-01)
 
This guidance amends certain requirements for accounting for the recognition and measurement of financial instruments. Most notably, this guidance revises the accounting for equity securities, financial instruments measured under the fair value option, and certain disclosure requirements for fair value of financial instruments.
 
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
(ASU 2014-09)
 
This guidance requires entities to 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.
 
January 1, 2018


 
Given that 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 did not have an impact on the Bank’s financial condition or results of operations.



10

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


Recently Issued Accounting Guidance Not Yet Adopted
Accounting Standard Update (ASU)
 
Description
 
Effective Date
 
Effect on Financial Statements or Other Significant Matters
Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedging Purposes
(ASU 2018-16)

 
This guidance permits the use of the OIS rate based on SOFR as a U.S. benchmark interest rate for hedge accounting purposes.
 
January 1, 2019

Early adoption is permitted. Must be adopted concurrently with ASU 2017-12

 
The Bank does not intend to adopt this guidance early. This guidance is not expected to have any impact on the Bank’s financial condition or results of operations upon adoption on January 1, 2019.

Disclosure Framework–Changes to the Disclosure Requirements for Defined Benefit Plans
(ASU 2018-14)
 
This guidance amends the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans.
 
December 31, 2020

Early adoption is permitted
 
The Bank does not intend to adopt this guidance early. This guidance is not expected to have any impact on the Bank’s financial condition or results of operations.

Disclosure Framework–Changes to the Disclosure Requirements for Fair Value Measurement
(ASU 2018-13)
 
This guidance amends the disclosure requirements on fair value measurements.
 
January 1, 2020

Early adoption is permitted
 
The Bank does not intend to adopt this guidance early. This guidance is not expected to have any impact on the Bank’s financial condition or results of operations.

Targeted Improvements to Accounting for Hedging Activities
(ASU 2017-12)
 
This guidance amends the accounting for derivatives and hedging activities to better portray the economics of the transactions.
 
January 1, 2019

Early adoption is permitted
 
The Bank does not intend to adopt this guidance early. 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
(ASU 2017-08)
 
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, rather than contractual maturity.
 
January 1, 2019

Early adoption is permitted
 
The Bank does not intend to adopt this guidance early. This guidance is not expected to have a material impact on the Bank’s financial condition or results of operations.
Measurement of Credit Losses on Financial Instruments
(ASU 2016-13)
 
This guidance replaces the incurred loss impairment methodology in current GAAP with a methodology that reflects lifetime expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates.
 
January 1, 2020

Early adoption is permitted

 
The Bank does not intend to adopt this guidance early. While the Bank is in the process of evaluating this guidance, the Bank expects the adoption of this guidance may result in an increase in the allowance for credit losses. The effect 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
(ASU 2016-02)
 
The guidance amends the accounting for leases. It will require lessees to recognize a right-of-use asset and lease liability for virtually all leases.
 
January 1, 2019

Early adoption is permitted

 
The Bank does not intend to adopt this guidance early. This guidance is not expected to have a material impact on the Bank’s financial condition or results of operations.





11

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



Note 3—Trading Securities

Major Security Types. The following table presents trading securities.
 
As of September 30, 2018
 
As of December 31, 2017
Government-sponsored enterprises debt obligations
$
54

 
$
56


The following table presents net losses on trading securities.
 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
2018
 
2017
 
2018
 
2017
Net gains (losses) on trading securities held at period end
$

 
$
1

 
$
(2
)
 
$
1

Net losses on trading securities that matured during the period

 
(2
)
 

 
(6
)
Net losses on trading securities
$

 
$
(1
)
 
$
(2
)
 
$
(5
)


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 September 30, 2018
$
838

 
$
1

 
$
109

 
$

 
$
946

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 September 30, 2018
1

 
$

 
$

 
1

 
$
4

 
$
1

 
2

 
$
4

 
$
1

As of December 31, 2017
1

 
$
7

 
$
1

 
1

 
$
4

 
$

 
2

 
$
11

 
$
1




12

Table of Contents
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 (1)
 
Gross
  Unrealized  
Gains
 
Gross
  Unrealized  
Losses
 
Estimated
  Fair  Value  
As of September 30, 2018
$
566

 
$

 
$
84

 
$

 
$
650

As of December 31, 2017
$
638

 
$
1

 
$
104

 
$

 
$
741


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

Note 5—Held-to-maturity Securities

Major Security Types. The following table presents held-to-maturity securities.
 
 
As of September 30, 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
3,237

 
7

 
2

 
3,242

 
5,350

 
8

 
6

 
5,352

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. agency obligations-guaranteed residential
126

 
1

 

 
127

 
157

 
2

 

 
159

Government-sponsored enterprises residential
9,636

 
58

 
60

 
9,634

 
9,357

 
65

 
24

 
9,398

Government-sponsored enterprises commercial
10,812

 
11

 
14

 
10,809

 
9,729

 
16

 
12

 
9,733

Private-label residential
448

 
8

 
1

 
455

 
568

 
8

 

 
576

Total
$
24,260

 
$
85

 
$
77

 
$
24,268

 
$
25,162

 
$
99

 
$
42

 
$
25,219




13

Table of Contents
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 September 30, 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
1

 
97

 
2

 
1

 
40

 

 
2

 
137

 
2

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises residential
12

 
1,863

 
20

 
19

 
1,037

 
40

 
31

 
2,900

 
60

Government-sponsored enterprises commercial
46

 
3,237

 
7

 
8

 
785

 
7