Federal Home Loan Bank of Atlanta - FORM 10-Q - May 8, 2015

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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_____________________________________ 
FORM 10-Q
_____________________________________
  
ý
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2015
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, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting 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
¨

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, 2015 was 45,074,138.


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, 2015
 
As of December 31, 2014
Assets
 
 
 
Cash and due from banks
$
519

 
$
915

Interest-bearing deposits (including deposits with another FHLBank of $2 as of March 31, 2015 and December 31, 2014)
341

 
1,010

Securities purchased under agreements to resell
1,745

 
1,960

Federal funds sold
4,780

 
6,385

Investment securities:
 
 
 
    Trading securities (includes another FHLBank’s bond of $58 and $60 as of March 31, 2015 and December 31, 2014, respectively)
1,258

 
1,269

    Available-for-sale securities
1,905

 
1,981

    Held-to-maturity securities (fair value of $24,177 and $23,988 as of March 31, 2015 and December 31, 2014, respectively)
24,055

 
23,897

Total investment securities
27,218

 
27,147

Advances
85,416

 
99,644

Mortgage loans held for portfolio, net:
 
 
 
Mortgage loans held for portfolio
709

 
749

Allowance for credit losses on mortgage loans
(2
)
 
(3
)
Total mortgage loans held for portfolio, net
707

 
746

Accrued interest receivable
178

 
179

Derivative assets
151

 
112

Premises and equipment, net
26

 
27

Other assets
196

 
219

Total assets
$
121,277

 
$
138,344

Liabilities
 
 
 
Interest-bearing deposits
$
1,482

 
$
1,110

Consolidated obligations, net:
 
 
 
Discount notes
26,902

 
37,162

Bonds
86,072

 
92,088

Total consolidated obligations, net
112,974

 
129,250

Mandatorily redeemable capital stock
17

 
19

Accrued interest payable
209

 
145

Affordable Housing Program payable
65

 
65

Derivative liabilities
149

 
184

Other liabilities
206

 
580

Total liabilities
115,102

 
131,353

Commitments and contingencies (Note 15)

 

Capital
 
 
 
Capital stock Class B putable ($100 par value) issued and outstanding shares:
 
 
 
Subclass B1 issued and outstanding shares: 7 as of March 31, 2015 and December 31, 2014
748

 
726

Subclass B2 issued and outstanding shares: 36 and 45 as of March 31, 2015 and December 31, 2014, respectively
3,571

 
4,424

Total capital stock Class B putable
4,319

 
5,150

Retained earnings:
 
 
 
Restricted
212

 
195

Unrestricted
1,565

 
1,551

Total retained earnings
1,777

 
1,746

Accumulated other comprehensive income
79

 
95

Total capital
6,175

 
6,991

Total liabilities and capital
$
121,277

 
$
138,344


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 March 31,
 
 
2015
 
2014
Interest income
 
 
 
 
Advances
 
$
62

 
$
57

Prepayment fees on advances, net
 
1

 
—

Interest-bearing deposits
 
1

 
1

Securities purchased under agreements to resell
 
1

 
—

Federal funds sold
 
3

 
2

Trading securities
 
17

 
19

Available-for-sale securities
 
28

 
32

Held-to-maturity securities
 
60

 
62

Mortgage loans
 
11

 
13

Total interest income
 
184

 
186

Interest expense
 
 
 
 
Consolidated obligations:
 
 
 
 
 Discount notes
 
9

 
8

 Bonds
 
71

 
88

Total interest expense
 
80

 
96

Net interest income
 
104

 
90

Reversal of provision for credit losses
 
(1
)
 
(4
)
Net interest income after reversal of provision for credit losses
 
105

 
94

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

 
—

Net amount of impairment losses reclassified from accumulated other comprehensive income
 
(1
)
 
(1
)
Net impairment losses recognized in earnings
 
(1
)
 
(1
)
Net losses on trading securities
 
(12
)
 
(14
)
Net gains on derivatives and hedging activities
 
24

 
15

Gain on extinguishment of debt
 
—

 
15

Letters of credit fees
 
7

 
7

Other
 
2

 
1

Total noninterest income
 
20

 
23

Noninterest expense
 
 
 
 
Compensation and benefits
 
19

 
16

Other operating expenses
 
9

 
10

Finance Agency
 
3

 
3

Office of Finance
 
1

 
1

Other
 
2

 
1

Total noninterest expense
 
34

 
31

Income before assessments
 
91

 
86

Affordable Housing Program assessments
 
9

 
9

Net income
 
$
82

 
$
77


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 March 31,
 
2015
 
2014
Net income
$
82

 
$
77

Other comprehensive 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
(17
)
 
4

Reclassification of noncredit portion of impairment losses included in net income
1

 
1

Total other comprehensive (loss) income
(16
)
 
5

Total comprehensive income
$
66

 
$
82


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, 2013
49

 
$
4,883

 
$
141

 
$
1,516

 
$
1,657

 
$
112

 
$
6,652

Issuance of capital stock
10

 
1,023

 
—

 
—

 
—

 
—

 
1,023

Repurchase/redemption of capital stock
(15
)
 
(1,492
)
 
—

 
—

 
—

 
—

 
(1,492
)
Net shares reclassified to mandatorily redeemable capital stock
—

 
(2
)
 
—

 
—

 
—

 
—

 
(2
)
Comprehensive income
—

 
—

 
15

 
62

 
77

 
5

 
82

Cash dividends on capital stock
—

 
—

 
—

 
(44
)
 
(44
)
 
—

 
(44
)
Balance, March 31, 2014
44

 
$
4,412

 
$
156

 
$
1,534

 
$
1,690

 
$
117

 
$
6,219

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2014
52

 
$
5,150

 
$
195

 
$
1,551

 
$
1,746

 
$
95

 
$
6,991

Issuance of capital stock
9

 
994

 
—

 
—

 
—

 
—

 
994

Repurchase/redemption of capital stock
(18
)
 
(1,821
)
 
—

 
—

 
—

 
—

 
(1,821
)
Net shares reclassified to mandatorily redeemable capital stock
—

 
(4
)
 
—

 
—

 
—

 
—

 
(4
)
Comprehensive income (loss)
—

 
—

 
17

 
65

 
82

 
(16
)
 
66

Cash dividends on capital stock
—

 
—

 
—

 
(51
)
 
(51
)
 
—

 
(51
)
Balance, March 31, 2015
43

 
$
4,319

 
$
212

 
$
1,565

 
$
1,777

 
$
79

 
$
6,175


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 Three Months Ended March 31,
 
2015
 
2014
Operating activities
 
 
 
Net income
$
82

 
$
77

Adjustments to reconcile net income to net cash provided by operating activities:
 
 
 
Depreciation and amortization
(45
)
 
(25
)
  Reversal of provision for credit losses
(1
)
 
(4
)
  Gain due to change in net fair value adjustment on derivative and hedging activities
(13
)
 
(16
)
  Net change in fair value adjustment on trading securities
12

 
14

  Net impairment losses recognized in earnings
1

 
1

  Gain on extinguishment of debt
—

 
(15
)
Net change in:
 
 
 
  Accrued interest receivable
1

 
5

  Other assets
22

 
9

  Accrued interest payable
64

 
47

  Other liabilities
(27
)
 
(11
)
  Total adjustments
14

 
5

Net cash provided by operating activities
96

 
82

Investing activities
 
 
 
Net change in:
 
 
 
  Interest-bearing deposits
533

 
34

  Securities purchased under agreements to resell
215

 
(1,000
)
  Federal funds sold
1,605

 
(3,675
)
Trading securities:
 
 
 
  Proceeds from maturities
—

 
200

Available-for-sale securities:
 
 
 
  Proceeds from maturities
69

 
87

Held-to-maturity securities:
 
 
 
  Proceeds from maturities of long-term
950

 
564

  Purchases of long-term
(1,455
)
 
(1,745
)
Advances:
 
 
 
  Proceeds from principal collected
57,614

 
48,534

  Made
(43,198
)
 
(43,021
)
Mortgage loans:
 
 
 
  Proceeds from principal collected
35

 
38

Proceeds from sale of foreclosed assets
5

 
7

Purchase of premises, equipment, and software
(1
)
 
(1
)
Net cash provided by investing activities
16,372

 
22

 
 
 
 
 
 
 
 
 
 
 
 

7

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

 
For the Three Months Ended March 31,
 
2015
 
2014
Financing activities
 
 
 
Net change in interest-bearing deposits
390

 
(280
)
Net payments on derivatives containing a financing element
(21
)
 
(22
)
Proceeds from issuance of consolidated obligations:
 
 
 
 Discount notes
209,007

 
115,262

 Bonds
19,926

 
18,943

Payments for debt issuance costs
(3
)
 
(2
)
Payments for maturing and retiring consolidated obligations:
 
 
 
 Discount notes
(219,266
)
 
(124,663
)
 Bonds
(26,013
)
 
(11,478
)
Proceeds from issuance of capital stock
994

 
1,023

Payments for repurchase/redemption of capital stock
(1,821
)
 
(1,492
)
Payments for repurchase/redemption of mandatorily redeemable capital stock
(6
)
 
(3
)
Cash dividends paid
(51
)
 
(44
)
Net cash used in financing activities
(16,864
)
 
(2,756
)
Net decrease in cash and due from banks
(396
)
 
(2,652
)
Cash and due from banks at beginning of the period
915

 
4,374

Cash and due from banks at end of the period
$
519

 
$
1,722

Supplemental disclosures of cash flow information:
 
 
 
 Cash paid for:
 
 
 
Interest
$
19

 
$
49

Affordable Housing Program assessments, net
$
9

 
$
8

 Noncash investing and financing activities:
 
 
 
Net shares reclassified to mandatorily redeemable capital stock
$
4

 
$
2

Transfers of mortgage loans to real estate owned
$
5

 
$
5


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 at 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, 2015, 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, 2014, which are contained in the Bank’s 2014 Annual Report on Form 10-K filed with the Securities and Exchange Commission (SEC) on March 13, 2015 (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 13—Derivatives 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.

A description of the Bank’s significant accounting policies is included in Note 2—Summary of Significant Accounting Policies to the 2014 audited financial statements contained in the Bank’s Form 10-K.

Revision

The Bank identified a classification error in its previously reported Statements of Cash Flows for the three-month period ended March 31, 2014, contained in the previously filed Quarterly Reports on Form 10-Q for that period. After evaluating the quantitative and qualitative aspects of the classification error, the Bank determined that the error was not material to the previously issued Statements of Cash Flows. Accordingly, the classification error has been corrected in this Quarterly Report on Form 10-Q. The correction had no impact on the Bank’s financial condition or results of operations for any period.

The following table summarizes the revisions made to the Bank’s Statement of Cash Flows for the three-month period ended March 31, 2014:

 
For the Three Months Ended March 31, 2014
 
As Originally Reported
 
As Revised
Operating activities
 
 
 
Net change in:
 
 
 
Other liabilities
$
(320
)
 
$
(11
)
Total adjustments
(304
)
 
5

Net cash (used in) provided by operating activities
(227
)
 
82

 
 
 
 
Investing activities
 
 
 
Held-to-maturity securities:
 
 
 
Purchases of long-term
(1,436
)
 
(1,745
)
Net cash provided by investing activities
331

 
22



9
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


Note 2—Recently Issued and Adopted Accounting Guidance

Recently Issued Accounting Guidance

Simplifying the Presentation of Debt Issuance Costs. In April 2015, the Financial Accounting Standards Board (FASB) issued guidance that requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2015, and early adoption is permitted. The amended guidance will be applied on a retrospective basis. The adoption of this guidance is not expected to have a material effect on the Bank's financial condition or results of operations.

Amendments to the Consolidation Analysis. In February 2015, the FASB issued amended guidance intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance places more emphasis on risk of loss when determining a controlling financial interest. The guidance also reduces the frequency of the application of related-party guidance when determining a controlling financial interest in a variable interest entity. This guidance becomes effective for the Bank for the interim and annual periods ending after December 15, 2015, and early adoption is permitted. The adoption of this guidance is not expected to effect the Bank's financial condition or results of operations.

Simplifying Income Statement Presentation by Eliminating the Concept of Extraordinary Items. In January 2015, the FASB issued amended guidance which eliminates from GAAP the concept of extraordinary items. The amended guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2015. A reporting entity may apply the amended guidance prospectively or retrospectively to all prior periods presented in the financial statements. Early adoption is permitted, provided that the amended guidance is applied from the beginning of the fiscal year of adoption. The adoption of this guidance will have no effect on the Bank’s financial condition or results of operations.

Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern. In August 2014, the Financial Accounting Standards Board (FASB) issued guidance about management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related footnote disclosures. This guidance requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year after the date the financial statements are issued. The guidance becomes effective for the Bank for the interim and annual periods ending after December 15, 2016, and early application is permitted. The adoption of this guidance will have no effect 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 the 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. This guidance is effective for public entities for annual reporting periods beginning after December 15, 2016, including interim periods within that reporting period, and will be applied retrospectively either to each prior reporting period or with a cumulative effect recognized at the date of initial application. The Bank is in the process of evaluating this guidance and its effects on the Bank’s financial condition and results of operations has not yet been determined.

Recently Adopted Accounting Guidance

Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure. In August 2014, the FASB issued amended guidance related to the classification and measurement of certain government-guaranteed mortgage loans upon foreclosure. The amendments in this guidance require that a mortgage loan be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. The Bank adopted this guidance prospectively on January 1, 2015. The adoption of this guidance did not have a material effect on the Bank’s financial condition or results of operations.

Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. In June 2014, the FASB issued amended guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. Specifically, this guidance requires entities to account for (1) repurchase-to-maturity transactions as secured borrowings rather than as sales with forward repurchase agreements; and (2) repurchase agreements executed contemporaneously with the initial transfer of the underlying financial asset with the same counterparty as separate transactions only. In addition, this guidance requires a transferor to disclose additional information about certain transactions, including those in which it retains substantially all of the

10
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


exposure to the economic returns of the underlying transferred asset over the transaction’s term. The Bank adopted this guidance effective January 1, 2015. The adoption of this guidance had no effect on the Bank’s financial condition or results of operations.

Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. In January 2014, the FASB issued guidance intended to clarify when a creditor should be considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan such that the loan should be derecognized and the real estate recognized. The guidance clarifies that an in-substance repossession or foreclosure occurs, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, upon either: (a) the creditor obtaining legal title to the residential real estate property upon completion of a foreclosure; or (b) the borrower conveying all interest in the residential real estate property to the creditor to satisfy that loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. The Bank adopted this guidance prospectively on January 1, 2015. The adoption of this guidance did not have a material effect on the Bank’s financial condition or results of operations.

Note 3—Trading Securities

Major Security Types. Trading securities were as follows:
 
 
As of March 31, 2015
 
As of December 31, 2014
Government-sponsored enterprises debt obligations
$
1,199

 
$
1,208

Another FHLBank’s bond (1)
58

 
60

State or local housing agency debt obligations
1

 
1

Total
$
1,258

 
$
1,269

 ____________
(1) The Federal Home Loan Bank of Chicago is the primary obligor of this consolidated obligation bond.
Net losses on trading securities were as follows:
 
 
For the Three Months Ended March 31,
 
2015
 
2014
Net losses on trading securities held at period end
$
(12
)
 
$
(14
)

Note 4—Available-for-sale Securities

Major Security Type. Private-label residential mortgaged-backed securities (MBS) were as follows:
 
 
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, 2015
$
1,803

 
$
21

 
$
123

 
$
—

 
$
1,905

As of December 31, 2014
$
1,863

 
$
19

 
$
137

 
$
—

 
$
1,981






11
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


The following tables summarize the private-label residential MBS with unrealized losses. The unrealized losses are aggregated by major security type and length of time that 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, 2015
4

 
$
189

 
$
5

 
9

 
$
183

 
$
16

 
13

 
$
372

 
$
21

As of December 31, 2014
4

 
$
140

 
$
2

 
9

 
$
191

 
$
17

 
13

 
$
331

 
$
19


A summary of available-for-sale MBS issued by members or affiliates of members, Bank of America Corporation, Charlotte, NC, follows:
 
 
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, 2015
$
1,174

 
$
20

 
$
78

 
$
—

 
$
1,232

As of December 31, 2014
$
1,213

 
$
17

 
$
90

 
$
—

 
$
1,286


Note 5—Held-to-maturity Securities

Major Security Types. Held-to-maturity securities were as follows:
 
 
As of March 31, 2015
 
As of December 31, 2014
 
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
$
79

 
$
1

 
$
—

 
$
80

 
$
81

 
$
1

 
$
—

 
$
82

Government-sponsored enterprises debt obligations
6,637

 
4

 
3

 
6,638

 
6,667

 
2

 
13

 
6,656

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. agency obligations-guaranteed single-family residential
346

 
4

 
—

 
350

 
366

 
5

 
—

 
371

Government-sponsored enterprises single-family residential
13,158

 
127

 
11

 
13,274

 
13,665

 
125

 
24

 
13,766

Government-sponsored enterprises multi-family commercial
2,462

 
3

 
4

 
2,461

 
1,663

 
3

 
7

 
1,659

Private-label residential
1,373

 
10

 
9

 
1,374

 
1,455

 
9

 
10

 
1,454

Total
$
24,055

 
$
149

 
$
27

 
$
24,177

 
$
23,897

 
$
145

 
$
54

 
$
23,988



12
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


The following tables summarize the held-to-maturity securities with unrealized losses. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
 
 
As of March 31, 2015
 
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
1

 
$
200

 
$
—

 
5

 
$
1,141

 
$
3

 
6

 
$
1,341

 
$
3

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises single-family residential
22

 
1,238

 
1

 
21

 
1,062

 
10

 
43

 
2,300

 
11

Government-sponsored enterprises multi-family commercial
31

 
1,685

 
2

 
2

 
289

 
2

 
33

 
1,974

 
4

Private-label residential
20

 
239

 
2

 
33

 
399

 
7

 
53

 
638

 
9

Total
74

 
$
3,362

 
$
5

 
61

 
$
2,891

 
$
22

 
135

 
$
6,253

 
$
27

 
 
As of December 31, 2014
 
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
4

 
$
899

 
$
1

 
6

 
$
1,233

 
$
12

 
10

 
$
2,132

 
$
13

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises single-family residential
8

 
496

 
1

 
26

 
1,828

 
23

 
34

 
2,324

 
24

Government-sponsored enterprises multi-family commercial
14

 
758

 
1

 
2

 
285

 
6

 
16

 
1,043

 
7

Private-label residential
22

 
229

 
1

 
32

 
415

 
9

 
54

 
644

 
10

Total
48

 
$
2,382

 
$
4

 
66

 
$
3,761

 
$
50

 
114

 
$
6,143

 
$
54



13
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


Redemption Terms. The amortized cost and estimated fair value of held-to-maturity securities by contractual maturity are shown below. Expected maturities of some securities 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, 2015
 
As of December 31, 2014
 
Amortized
Cost
 
Estimated
Fair Value
 
Amortized
Cost
 
Estimated
Fair Value
Non-mortgage-backed securities:
 
 
 
 
 
 
 
Due in one year or less
$
968

 
$
969

 
$
1,166

 
$
1,166

Due after one year through five years
5,748

 
5,749

 
5,582

 
5,572

Total non-mortgage-backed securities
6,716

 
6,718

 
6,748

 
6,738

Mortgage-backed securities
17,339

 
17,459

 
17,149

 
17,250

Total
$
24,055

 
$
24,177

 
$
23,897

 
$
23,988


A summary of held-to-maturity MBS issued by members or affiliates of members, Bank of America Corporation, Charlotte, NC, follows:
 
 
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair Value
As of March 31, 2015
 
$
390

 
$
2

 
$
3

 
$
389

As of December 31, 2014
 
$
419

 
$
2

 
$
4

 
$
417


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. As part of this process, the Bank considers its intent to sell each debt security and whether it is more likely than not the Bank will be required to sell the security before its anticipated recovery. If either of these conditions is met, the Bank recognizes the maximum impairment loss in earnings which is equal to the entire difference between the security’s amortized cost basis and its fair value as of the Statements of Condition dates. For securities in an unrealized loss position that meet neither of these conditions, the Bank evaluates whether there is other-than-temporary impairment by performing an analysis to determine if any of these securities will incur a credit loss, which could be up to the difference between the security’s amortized cost basis and its fair value.
Mortgage-backed Securities. The Bank’s investments in MBS consist of U.S. agency guaranteed securities and senior tranches of private-label MBS. The Bank has increased exposure to the risk of loss on its investments in MBS when the loans backing the MBS exhibit high rates of delinquency and foreclosures, as well as losses on the sale of foreclosed properties. The Bank regularly requires high levels of credit enhancements from the structure of the collateralized mortgage obligation to reduce its risk of loss on such securities. Credit enhancements are defined as the percentage of subordinate tranches, overcollateralization, or excess spread, or the support of monoline insurance, if any, in a security structure that will absorb the losses before the security the Bank purchased will take a loss. The Bank does not purchase credit enhancements for its MBS from monoline insurance companies.
The Bank’s investments in private-label MBS were rated “AAA” (or its equivalent) by a nationally recognized statistical rating organization (NRSRO), such as Moody’s Investors Service (Moody’s) and Standard and Poor’s Ratings Services (S&P), at their purchase dates. The “AAA”-rated securities achieved their ratings through credit enhancement, overcollateralization, and senior-subordinated shifting interest features; the latter results in subordination of payments by junior classes to ensure cash flows to the senior classes. The ratings on all of the Bank’s private-label MBS have changed since their purchase dates.
Non-private-label MBS. The unrealized losses related to U.S. agency MBS are caused by interest rate changes and not credit quality. These securities are guaranteed by government agencies or government-sponsored enterprises (GSEs) and the Bank does not expect these securities to be settled at a price less than their amortized cost basis. In addition, the Bank does not intend to sell these investments and it is not more likely than not that the Bank will be required to sell these investments

14
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


before recovery of their amortized cost basis, which may be at maturity. The Bank does not consider these investments to be other-than-temporarily impaired as of March 31, 2015.
Private-label MBS. To assess whether the entire amortized cost basis of its private-label MBS will be recovered, the Bank performs a cash flow analysis for each of its private-label MBS. In performing the cash flow analysis for each of these securities, the Bank uses two third-party models. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults, and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (CBSAs), which are based upon an assessment of the individual housing markets. The term CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the United States Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people. The Bank’s housing price forecast as of March 31, 2015 included a short-term housing price forecast with projected changes ranging from a decrease of three percent to an increase of eight percent over the 12 month period beginning January 1, 2015. For the vast majority of markets, the projected short-term housing price changes range from an increase of one percent to five percent. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults, and loss severities, were then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. The model classifies securities based on current characteristics and performance, which may be different from the securities’ classification as determined by the originator at the time of origination.
At each quarter end, the Bank compares the present value of the cash flows (discounted at the securities' effective yield) expected to be collected with respect to its private-label MBS to the amortized cost basis of the security to determine whether a credit loss exists. For the Bank’s variable rate and hybrid private-label MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. The Bank then uses the effective interest rate for the security prior to impairment for determining the present value of the future estimated cash flows. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis.
The following table represents a summary of the significant inputs used to measure the amount of the credit loss recognized in earnings for those Alt-A securities for which an other-than-temporary impairment was determined to have occurred during the three-month period ended March 31, 2015, as well as related current credit enhancement:
 
 
Significant Inputs
 
 
 
Prepayment Rates (%)
 
Default Rates (%)
 
Loss Severities (%)
 
Current Credit Enhancement (%)
Year of
Securitization
 
Weighted    
Average
(%)
 
Weighted    
Average
(%)
 
Weighted    
Average
(%)
 
Weighted    
Average
(%)
2007
 
14.82
 
23.95
 
36.98
 
0.06

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,
 
2015
 
2014
Balance, beginning of period
$
542

 
$
574

Amount related to credit loss for which an other-than-temporary impairment was previously recognized
1

 
1

Increase in cash flows expected to be collected, (accreted as interest income over the remaining lives of the applicable securities)
(10
)
 
(8
)
Balance, end of period
$
533

 
$
567


Certain other private-label MBS that have not been designated as other-than-temporarily impaired have experienced unrealized losses and decreases in fair value due to interest rate volatility and illiquidity in the marketplace. These declines in

15
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


fair value are considered temporary as the Bank expects to recover the amortized cost basis of the securities, the Bank does not intend to sell these securities, and it is not more likely than not that the Bank will be required to sell these securities before the anticipated recovery of the securities’ remaining amortized cost basis, which may be at maturity. This assessment is based on the fact that the Bank has sufficient capital and liquidity to operate its business and has no need to sell these securities, nor has the Bank entered into any contractual constraints that would require the Bank to sell these securities.

Note 7—Advances

Redemption Terms. The Bank had advances outstanding, as summarized below.  
 
As of March 31, 2015
 
As of December 31, 2014
Overdrawn demand deposit accounts
$
2

 
$
—

Due in one year or less
46,608

 
57,675

Due after one year through two years
9,467

 
12,283

Due after two years through three years
10,075

 
9,435

Due after three years through four years
4,046

 
5,146

Due after four years through five years
2,825

 
2,910

Due after five years
10,443

 
10,433

Total par value
83,466

 
97,882

Discount on AHP (1) advances
(7
)
 
(7
)
Discount on EDGE (2) advances
(5
)
 
(5
)
Hedging adjustments
1,965

 
1,778

Deferred commitment fees
(3
)
 
(4
)
Total
$
85,416

 
$
99,644

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

The following table summarizes advances by year of contractual maturity or, for convertible advances, next conversion date:
 
 
As of March 31, 2015
 
As of December 31, 2014
Overdrawn demand deposit accounts
$
2

 
$
—

Due or convertible in one year or less
49,360

 
60,551

Due or convertible after one year through two years
9,019

 
12,040

Due or convertible after two years through three years
8,508

 
7,866

Due or convertible after three years through four years
3,468

 
4,241

Due or convertible after four years through five years
2,850

 
2,900

Due or convertible after five years
10,259

 
10,284

Total par value
$
83,466

 
$
97,882



16
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


Interest-rate Payment Terms. The following table details interest-rate payment terms for advances:
 
 
As of March 31, 2015
 
As of December 31, 2014
Fixed-rate:
 
 
 
 Due in one year or less
$
33,357

 
$
42,839

 Due after one year
29,680

 
30,089

Total fixed-rate
63,037

 
72,928

Variable-rate:
 
 
 
 Due in one year or less
13,253

 
14,836

 Due after one year
7,176

 
10,118

Total variable-rate
20,429

 
24,954

Total par value
$
83,466

 
$
97,882


Credit Risk. The Bank’s potential credit risk from advances is concentrated in commercial banks, thrifts, 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 $59,290 and $72,799, as of March 31, 2015 and December 31, 2014, respectively. This concentration represented 71.0 percent and 74.4 percent, of total advances outstanding as of March 31, 2015 and December 31, 2014, 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 March 31, 2015 and December 31, 2014. No advance was past due as of March 31, 2015 and December 31, 2014.

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 March 31, 2015
 
As of December 31, 2014
Fixed-rate medium-term (1) single-family residential mortgage loans
 
$
93

 
$
103

Fixed-rate long-term single-family residential mortgage loans
 
617

 
648

Total unpaid principal balance
 
710

 
751

Premiums
 
2

 
2

Discounts
 
(3
)
 
(4
)
Total
 
$
709

 
$
749

____________
(1) Medium-term is defined as a term of 15 years or less.

The following table details the unpaid principal balance of mortgage loans held for portfolio by collateral or guarantee type:
 
 
As of March 31, 2015
 
As of December 31, 2014
Conventional loans
 
$
659

 
$
698

Government-guaranteed or insured loans
 
51

 
53

Total unpaid principal balance
 
$
710

 
$
751


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


17
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


Note 9—Allowance for Credit Losses

The activity in the allowance for credit losses related to conventional single-family residential mortgage loans was as follows:

 
 
For the Three Months Ended March 31,
 
 
2015
 
2014
Balance, beginning of period
 
$
3

 
$
11

Reversal of provision for credit losses
 
(1
)
 
(4
)
Charge-offs
 
—

 
(3
)
Balance, end of period
 
$
2

 
$
4


The recorded investment in conventional single-family residential mortgage loans by impairment methodology was as follows:
 
 
As of March 31, 2015
 
As of December 31, 2014
Allowance for credit losses:
 
 
 
 
   Individually evaluated for impairment
 
$
—

 
$
1

   Collectively evaluated for impairment
 
2

 
2

Total allowance for credit losses
 
$
2

 
$
3

Recorded investment:
 
 
 
 
   Individually evaluated for impairment
 
$
14

 
$
15

   Collectively evaluated for impairment
 
647

 
685

Total recorded investment
 
$
661

 
$
700










18
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 loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. The tables below summarize the Bank's recorded investment in mortgage loans by these key credit quality indicators:
 
As of March 31, 2015
 
Conventional Single-family Residential Mortgage Loans
 
Government-guaranteed or Insured Single-family Residential Mortgage Loans
 
Total
Past due 30-59 days
$
19

 
$
4

 
$
23

Past due 60-89 days
5

 
1

 
6

Past due 90 days or more
25

 
5

 
30

Total past due mortgage loans
49

 
10

 
59

Total current mortgage loans
612

 
41

 
653

Total mortgage loans (1)
$
661

 
$
51

 
$
712

Other delinquency statistics:
 
 
 
 
 
  In process of foreclosure (2)
$
15

 
$
2

 
$
17

  Seriously delinquent rate (3)
3.87
%
 
10.70
%
 
4.36
%
  Past due 90 days or more and still accruing interest (4)
$
—

 
$
5

 
$
5

  Loans on nonaccrual status (5)
$
26

 
$
—

 
$
26

____________
(1) The difference between the recorded investment and the carrying value of total mortgage loans of $3 relates to accrued interest.
(2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in lieu has been reported. Loans in the process of foreclosure are included in past due or current loans depending on their delinquency status.
(3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total 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.


19
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


 
As of December 31, 2014
 
Conventional Single-family Residential Mortgage Loans
 
Government-guaranteed or Insured Single-family Residential Mortgage Loans
 
Total
Past due 30-59 days
$
22

 
$
6

 
$
28

Past due 60-89 days
6

 
2

 
8

Past due 90 days or more
33

 
6

 
39

Total past due mortgage loans
61

 
14

 
75

Total current mortgage loans
639

 
39

 
678

Total mortgage loans (1)
$
700

 
$
53

 
$
753

Other delinquency statistics:
 
 
 
 
 
  In process of foreclosure (2)
$
19

 
$
1

 
$
20

  Seriously delinquent rate (3)
4.73
%
 
10.33
%
 
5.13
%
Past due 90 days or more and still accruing interest (4)
$
—

 
$
5

 
$
5

  Loans on nonaccrual status (5)
$
33

 
$
—

 
$
33

____________
(1) The difference between the recorded investment and the carrying value of total mortgage loans of $4 relates to accrued interest.
(2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in lieu has been reported. Loans in the process of foreclosure are included in past due or current loans depending on their delinquency status.
(3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total 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.

A troubled debt restructuring is considered to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower's financial difficulties and that concession would not have been considered otherwise. The Bank has granted a concession when it does not expect to collect all amounts due under the original contract as a result of the restructuring. The Bank's conventional single-family residential mortgage loan troubled debt restructurings primarily involve modifying the borrower's monthly payment for a period of up to 36 months to achieve a target housing expense ratio of 31.0 percent of their qualifying monthly income. The outstanding principal balance is first re-amortized to reflect a principal and interest payment for a term not to exceed 40 years. This would result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments are not adjusted. If the 31.0 percent housing expense ratio is not achieved through re-amortization, the interest rate is reduced in 0.125 percent increments below the original note rate, to a floor rate of 3.00 percent, resulting in reduced principal and interest payments, for the temporary payment modification period of up to 36 months, until the target 31.0 percent housing expense ratio is met. A conventional single-family residential mortgage loan in which the borrower filed for Chapter 7 bankruptcy and the bankruptcy court discharged the borrower's obligation to the Bank is considered a troubled debt restructuring. Troubled debt restructurings are evaluated individually for impairment.

The table below presents the Bank's recorded investment balance in mortgage loans classified as troubled debt restructurings:
 
 
As of March 31, 2015
 
As of December 31, 2014
 
 
Performing
 
Non-performing
 
Total
 
Performing
 
Non-performing
 
Total
Conventional single-family residential loans
 
$
11

 
$
3

 
$
14

 
$
11

 
$
4

 
$
15


Due to the minimal change in terms of modified loans (i.e., no write-offs of principal), the Bank's pre-modification recorded investment was not materially different than the post-modification recorded investment in troubled debt restructurings during the three months ended March 31, 2015 and 2014.

The financial amounts related to the Bank's troubled debt restructurings are not material to the Bank's financial condition or results of operations for the periods reported.



20
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


Note 10—Consolidated Obligations

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are the joint and several obligations of the 12 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 and records as a liability its specific portion of consolidated obligations for which it is the primary obligor.
Interest-rate Payment Terms. The following table details the Bank’s consolidated obligation bonds by interest-rate payment type: 
 
As of March 31, 2015
 
As of December 31, 2014
Fixed-rate
$
74,419

 
$
77,912

Step up/down
5,901

 
6,301

Simple variable-rate
5,375

 
7,550

Variable-rate capped floater
—

 
25

Total par value
$
85,695

 
$
91,788


Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding, by year of contractual maturity:
 
 
As of March 31, 2015
 
As of December 31, 2014
 
Amount
 
Weighted-
average
Interest Rate (%)    
 
Amount
 
Weighted-
average
Interest Rate (%)    
Due in one year or less
$
44,203

 
0.29
 
$
52,081

 
0.24
Due after one year through two years
15,676

 
1.39
 
16,116

 
1.27
Due after two years through three years
12,407

 
1.99
 
9,683

 
2.22
Due after three years through four years
4,826

 
1.63
 
4,971

 
1.67
Due after four years through five years
3,681

 
1.71
 
3,094

 
1.56
Due after five years
4,902

 
2.19
 
5,843

 
2.12
Total par value
85,695

 
0.98
 
91,788

 
0.86
Premiums
65

 
 
 
73

 
 
Discounts
(19
)
 
 
 
(21
)
 
 
Hedging adjustments
331

 
 
 
248

 
 
Total
$
86,072

 
 
 
$
92,088

 
 

The following presents the Bank’s consolidated obligation bonds outstanding by call feature:
 
 
As of March 31, 2015
 
As of December 31, 2014
Noncallable
$
59,833

 
$
69,164

Callable
25,862

 
22,624

Total par value
$
85,695

 
$
91,788



21
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


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

 
As of March 31, 2015
 
As of December 31, 2014
Due or callable in one year or less
$
62,826

 
$
67,980

Due or callable after one year through two years
11,092

 
12,220

Due or callable after two years through three years
7,769

 
7,796

Due or callable after three years through four years
2,538

 
2,177

Due or callable after four years through five years
803

 
875

Due or callable after five years
667

 
740

Total par value
$
85,695

 
$
91,788


Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Consolidated obligation discount notes are consolidated obligations with 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 Bank’s participation in consolidated obligation discount notes was as follows:
 
 
Book Value
 
Par Value
 
Weighted-average
Interest Rate (%)
As of March 31, 2015
$
26,902

 
$
26,913

 
0.11
As of December 31, 2014
$
37,162

 
$
37,169

 
0.10

Note 11—Capital and Mandatorily Redeemable Capital Stock

Capital. The Bank was in compliance with the Federal Housing Finance Agency's (Finance Agency) regulatory capital rules and requirements as shown in the following table:
 
 
As of March 31, 2015
 
As of December 31, 2014
 
Required    
 
Actual        
 
Required    
 
Actual        
Risk based capital
$
2,010

 
$
6,113

 
$
2,113

 
$
6,914

Total capital-to-assets ratio
4.00
%
 
5.04
%
 
4.00
%
 
5.00
%
Total regulatory capital (1)
$
4,851

 
$
6,113

 
$
5,534

 
$
6,914

Leverage ratio
5.00
%
 
7.56
%
 
5.00
%
 
7.50
%
Leverage capital
$
6,064

 
$
9,169

 
$
6,917

 
$
10,371

____________
(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 provides the activity in mandatorily redeemable capital stock:

 
For the Three Months Ended March 31,
 
2015
 
2014
Balance, beginning of period
$
19

 
$
24

Capital stock subject to mandatory redemption reclassified from equity
4

 
2

Repurchase/redemption of mandatorily redeemable capital stock
(6
)
 
(3
)
Balance, end of period
$
17


$
23



22
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)


The following table shows the amount of mandatorily redeemable capital stock by year of redemption. The year of redemption in the table is the end of the five-year redemption period, or with respect to activity-based stock, the later of the expiration of the five-year redemption period or the activity’s maturity date.
 
 
As of March 31, 2015
 
As of December 31, 2014
Due in one year or less
$
10

 
$
9

Due after one year through two years
6

 
8

Due after two years through three years
—

 
1

Due after four years through five years
1

 
1

Total
$
17

 
$
19


Note 12—Accumulated Other Comprehensive Income

Components comprising accumulated other comprehensive income were as follows:

 
Pension and
Postretirement
Benefits
 
Noncredit Portion
of Other-than-
temporary
Impairment  Losses
on Available-for-
sale Securities
 
Total  Accumulated
Other
Comprehensive
Income
Balance, December 31, 2013
$
(13
)
 
$
125

 
$
112

Other comprehensive income (loss) before reclassifications:
 
 
 
 
 
     Net change in fair value
—

 
4

 
4

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

 
1

 
1

Net current period other comprehensive income
—

 
5

 
5

Balance, March 31, 2014
$
(13
)
 
$
130

 
$
117

 
 
 
 
 
 
Balance, December 31, 2014
$
(23
)
 
$
118

 
$
95

Other comprehensive income before reclassifications:
 
 
 
 
 
     Net change in fair value
—

 
(17
)
 
(17
)
Reclassification from accumulated other comprehensive income to net income:
 
 
 
 
 
     Noncredit other-than-temporary impairment losses
—

 
1

 
1

Net current period other comprehensive loss
—

 
(16
)
 
(16
)
Balance, March 31, 2015
$
(23
)
 
$
102

 
$
79


Note 13—Derivatives and Hedging Activities

Nature of Busi