Federal Home Loan Bank of Atlanta - FORM 10-Q - November 8, 2016

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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 September 30, 2016
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 October 31, 2016 was 48,019,363.


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, 2016
 
As of December 31, 2015
Assets
 
 
 
Cash and due from banks
$
1,089

 
$
1,751

Interest-bearing deposits (includes deposits with another FHLBank of $3 as of September 30, 2016 and December 31, 2015)
1,092

 
1,088

Securities purchased under agreements to resell
1,111

 
2,500

Federal funds sold
8,449

 
5,421

Investment securities:
 
 
 
    Trading securities (includes another FHLBank’s bond of $0 and $52 as of September 30, 2016 and December 31, 2015, respectively)
619

 
1,265

    Available-for-sale securities
1,405

 
1,662

    Held-to-maturity securities (fair value of $25,678 and $23,263 as of September 30, 2016 and December 31, 2015, respectively)
25,614

 
23,239

Total investment securities
27,638

 
26,166

Advances
98,005

 
104,168

Mortgage loans held for portfolio, net:
 
 
 
Mortgage loans held for portfolio
484

 
586

Allowance for credit losses on mortgage loans
(1
)
 
(2
)
Total mortgage loans held for portfolio, net
483

 
584

Accrued interest receivable
175

 
171

Derivative assets
434

 
176

Premises and equipment, net
23

 
25

Other assets
157

 
196

Total assets
$
138,656

 
$
142,246

Liabilities
 
 
 
Interest-bearing deposits
$
1,125

 
$
1,084

Consolidated obligations, net:
 
 
 
Discount notes
55,162

 
69,434

Bonds
74,996

 
63,953

Total consolidated obligations, net
130,158

 
133,387

Mandatorily redeemable capital stock
8

 
14

Accrued interest payable
167

 
127

Affordable Housing Program payable
62

 
63

Derivative liabilities
100

 
124

Other liabilities
202

 
431

Total liabilities
131,822

 
135,230

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 and 7 as of September 30, 2016 and December 31, 2015, respectively
786

 
745

Subclass B2 issued and outstanding shares: 41 and 44 as of September 30, 2016 and December 31, 2015, respectively
4,085

 
4,356

Total capital stock Class B putable
4,871

 
5,101

Retained earnings:
 
 
 
Restricted
293

 
255

Unrestricted
1,570

 
1,585

Total retained earnings
1,863

 
1,840

Accumulated other comprehensive income
100

 
75

Total capital
6,834

 
7,016

Total liabilities and capital
$
138,656

 
$
142,246


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

3

FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF INCOME
(Unaudited)
(In millions)
 
 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
2016
 
2015
 
2016
 
2015
Interest income
 
 
 
 
 
 
 
Advances
$
159

 
$
70

 
$
425

 
$
51

Prepayment fees, net
2

 
2

 
2

 
3

Interest-bearing deposits
5

 
1

 
13

 
3

Securities purchased under agreements to resell
1

 
1

 
3

 
3

Federal funds sold
8

 
3

 
24

 
8

Trading securities
8

 
17

 
34

 
51

Available-for-sale securities
26

 
26

 
78

 
82

Held-to-maturity securities
75

 
57

 
213

 
175

Mortgage loans
8

 
9

 
24

 
30

Total interest income
292

 
186

 
816

 
406

Interest expense
 
 
 
 
 
 
 
Consolidated obligations:
 
 
 
 
 
 
 
 Discount notes
70

 
15

 
196

 
33

 Bonds
128

 
75

 
351

 
221

Interest-bearing deposits
1

 
—

 
3

 
—

Mandatorily redeemable capital stock
—

 
1

 
—

 
1

Total interest expense
199

 
91

 
550

 
255

Net interest income
93

 
95

 
266

 
151

(Reversal) provision for credit losses
(1
)
 
1

 
(1
)
 
—

Net interest income after (reversal) provision for credit losses
94


94


267

 
151

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

 
—

 
(2
)
 
—

Net amount of impairment losses reclassified from accumulated other comprehensive income
(1
)
 
(1
)
 
—

 
(5
)
Net impairment losses recognized in earnings
(1
)

(1
)

(2
)
 
(5
)
Net losses on trading securities
(8
)
 
(15
)
 
(23
)
 
(42
)
Net gains on derivatives and hedging activities
29

 
16

 
42

 
228

Standby letters of credit fees
6

 
7

 
21

 
21

Other
2

 
—

 
4

 
1

Total noninterest income
28


7


42

 
203

Noninterest expense
 
 
 
 
 
 
 
Compensation and benefits
20

 
19

 
57

 
55

Other operating expenses
9

 
10

 
27

 
28

Finance Agency
2

 
2

 
6

 
6

Office of Finance
1

 
1

 
4

 
4

Other
2

 
1

 
5

 
5

Total noninterest expense
34


33


99


98

Income before assessments
88

 
68

 
210

 
256

Affordable Housing Program assessments
9

 
7

 
21

 
26

Net income
$
79


$
61


$
189


$
230


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

4

FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF COMPREHENSIVE INCOME
(Unaudited)
(In millions)
 
 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
2016
 
2015
 
2016
 
2015
Net income
$
79

 
$
61

 
$
189

 
$
230

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

 
—

 
(1
)
 
—

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

 
(8
)
 
24

 
(31
)
Reclassification of noncredit portion of impairment losses included in net income
1

 
1

 
1

 
5

Total net noncredit portion of other-than-temporary impairment losses on available-for-sale securities
7

 
(7
)
 
24

 
(26
)
   Other comprehensive income related to pension and postretirement benefit plans
—

 
1

 
1

 
2

Total other comprehensive income (loss)
7

 
(6
)
 
25

 
(24
)
Total comprehensive income
$
86

 
$
55

 
$
214

 
$
206


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, 2014
52

 
$
5,150

 
$
195

 
$
1,551

 
$
1,746

 
$
95

 
$
6,991

Issuance of capital stock
38

 
3,845

 
—

 
—

 
—

 
—

 
3,845

Repurchase/redemption of capital stock
(46
)
 
(4,596
)
 
—

 
—

 
—

 
—

 
(4,596
)
Net shares reclassified to mandatorily redeemable capital stock
—

 
(11
)
 
—

 
—

 
—

 
—

 
(11
)
Comprehensive income (loss)
—

 
—

 
46

 
184

 
230

 
(24
)
 
206

Cash dividends on capital stock
—

 
—

 
—

 
(152
)
 
(152
)
 
—

 
(152
)
Balance, September 30, 2015
44

 
$
4,388

 
$
241

 
$
1,583

 
$
1,824

 
$
71

 
$
6,283

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2015
51

 
$
5,101

 
$
255

 
$
1,585

 
$
1,840

 
$
75

 
$
7,016

Issuance of capital stock
40

 
4,020

 
—

 
—

 
—

 
—

 
4,020

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

 
—

 
—

 
—

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

 
(7
)
 
—

 
—

 
—

 
—

 
(7
)
Comprehensive income
—

 
—

 
38

 
151

 
189

 
25

 
214

Cash dividends on capital stock
—

 
—

 
—

 
(166
)
 
(166
)
 
—

 
(166
)
Balance, September 30, 2016
49

 
$
4,871

 
$
293

 
$
1,570

 
$
1,863

 
$
100

 
$
6,834


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

6

FEDERAL HOME LOAN BANK OF ATLANTA
STATEMENTS OF CASH FLOWS
(Unaudited)
(In millions)
 
 
For the Nine Months Ended September 30,
 
2016
 
2015
Operating activities
 
 
 
Net income
$
189

 
$
230

Adjustments to reconcile net income to net cash provided by operating activities:
 
 
 
Depreciation and amortization
(34
)
 
(150
)
  Reversal of provision for credit losses
(1
)
 
—

Loss due to change in net fair value adjustment on derivative and hedging activities
61

 
53

  Net change in fair value adjustment on trading securities
23

 
42

  Net impairment losses recognized in earnings
2

 
5

Net change in:
 
 
 
  Accrued interest receivable
(4
)
 
9

  Other assets
33

 
26

  Affordable Housing Program payable
(2
)
 
(7
)
  Accrued interest payable
40

 
68

  Other liabilities
(97
)
 
(28
)
  Total adjustments
21

 
18

Net cash provided by operating activities
210

 
248

Investing activities
 
 
 
Net change in:
 
 
 
  Interest-bearing deposits
(623
)
 
(33
)
  Securities purchased under agreements to resell
1,389

 
(540
)
  Federal funds sold
(3,028
)
 
1,545

Trading securities:
 
 
 
  Proceeds from principal collected
623

 
—

Available-for-sale securities:
 
 
 
  Proceeds from principal collected
318

 
250

Held-to-maturity securities:
 
 
 
  Proceeds from principal collected
4,056

 
4,785

  Purchases of long-term
(6,566
)
 
(4,460
)
Advances:
 
 
 
  Proceeds from principal collected
199,870

 
181,439

  Made
(193,356
)
 
(169,612
)
Mortgage loans:
 
 
 
  Proceeds from principal collected
97

 
116

Proceeds from sale of foreclosed assets
11

 
12

Purchase of premises, equipment, and software
(2
)
 
(2
)
Net cash provided by investing activities
2,789

 
13,500

 
 
 
 
 
 
 
 
 
 
 
 

7

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

 
For the Nine Months Ended September 30,
 
2016
 
2015
Financing activities
 
 
 
Net change in:
 
 
 
Interest-bearing deposits
28

 
99

Net payments on derivatives containing a financing element
(58
)
 
(70
)
Proceeds from issuance of consolidated obligations:
 
 
 
 Discount notes
367,545

 
511,053

 Bonds
54,805

 
54,630

Payments for debt issuance costs
(8
)
 
(7
)
Payments for maturing and retiring consolidated obligations:
 
 
 
 Discount notes
(381,845
)
 
(506,358
)
 Bonds
(43,726
)
 
(71,807
)
Proceeds from issuance of capital stock
4,020

 
3,845

Payments for repurchase/redemption of capital stock
(4,243
)
 
(4,596
)
Payments for repurchase/redemption of mandatorily redeemable capital stock
(13
)
 
(13
)
Cash dividends paid
(166
)
 
(152
)
Net cash used in financing activities
(3,661
)
 
(13,376
)
Net (decrease) increase in cash and due from banks
(662
)
 
372

Cash and due from banks at beginning of the period
1,751

 
915

Cash and due from banks at end of the period
$
1,089

 
$
1,287

Supplemental disclosures of cash flow information:
 
 
 
 Cash paid for:
 
 
 
Interest
$
325

 
$
182

Affordable Housing Program assessments, net
$
21

 
$
31

 Noncash investing and financing activities:
 
 
 
Net shares reclassified to mandatorily redeemable capital stock
$
7

 
$
11

Transfers of mortgage loans to real estate owned
$
4

 
$
11


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

 


8

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

Note 1—Basis of Presentation

The accompanying unaudited interim financial statements of the Federal Home Loan Bank of Atlanta (Bank) have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). To prepare the financial statements in conformity with GAAP, management must make estimates and assumptions that affect the reported amounts of assets and liabilities as of the date of the financial statements and income and expenses during the reporting period. Actual results could be different from these estimates. The foregoing interim financial statements are unaudited; however, in the opinion of management, all adjustments, consisting only of normal recurring adjustments necessary for a fair statement of the results for the interim periods, have been included. The results of operations for interim periods are not necessarily indicative of results to be expected for the year ending December 31, 2016, 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, 2015, which are contained in the Bank’s 2015 Annual Report on Form 10-K filed with the Securities and Exchange Commission (SEC) on March 10, 2016 (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.

Refer to Note 2—Summary of Significant Accounting Policies to the 2015 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, 2016, except for a policy update concerning concessions during the first quarter of 2016, which is described below.

The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations. The Federal Home Loan Banks Office of Finance (Office of Finance) prorates the amount of the concession to the Bank based upon the percentage of the debt issued that is assumed by the Bank. As a result of adopting the Financial Accounting Standards Board’s (FASB) guidance, Simplifying the Presentation of Debt Issuance Costs, the Bank records concessions paid on consolidated obligations as a direct deduction from their carrying amounts, consistent with the presentation of discounts on consolidated obligations. The concessions are amortized, using the interest method, over the contractual term of the corresponding consolidated obligations. The amortization of those concessions is included in consolidated obligation interest expense. For additional discussion on this guidance, refer to Note 2—Recently Issued and Adopted Accounting Guidance to the Bank's interim financial statements.


Note 2—Recently Issued and Adopted Accounting Guidance

Recently Issued Accounting Guidance

Classification of Certain Cash Receipts and Cash Payments. In August 2016, the FASB issued guidance intended to reduce diversity in how cash receipts and cash payments are presented and classified on the Statement of Cash Flows for certain transactions. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2017, and early application is permitted. This guidance will be applied using a retrospective transition method to each period presented. The Bank is in the process of evaluating this guidance and its impact on the Bank's Statement of Cash Flows, if any.

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, and early application is permitted for the interim and annual periods beginning after December 15, 2018. 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.

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


Contingent Put and Call Options in Debt Instruments. In March 2016, the FASB issued amended guidance to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. This guidance requires entities to apply only the four-step decision sequence when performing this assessment. Consequently, when a call (put) option is contingently exercisable, an entity should not assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2016, and early application is permitted. This guidance will be applied on a modified retrospective basis to existing debt instruments as of the beginning of the period for which the amendments are effective. The adoption of this guidance will have no impact on the Bank's financial condition or results of operations.

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, and early application is permitted. 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 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.

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. These changes require the following: (1) entities to measure equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) at fair value with changes in fair value recognized in net income; (2) public business entities to use the exit price notion when measuring the fair value of financial instruments for disclosure purposes; (3) entities to separately present 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 (4) reporting entities to separately present in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk (also referred to as “own credit”) when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. Additionally, these changes eliminate the requirement for public business entities to disclose the method and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the balance sheet. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 31, 2017. The 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.

Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern. In August 2014, the 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 the 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 that the financial statements are issued. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2016, and early application is permitted. The adoption of this guidance will have no impact on the Bank's financial condition or results of operations.

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

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


from the scope of this guidance, this guidance is not expected to have a material impact on the Bank's financial condition or results of operations.

Recently Adopted Accounting Guidance

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. In March 2016, the FASB issued amended guidance designed to clarify that a change in the counterparty to a derivative instrument that has been designated as a hedging instrument does not, in and of itself, require dedesignation of that hedging relationship provided that all other hedge accounting criteria continue to be met. The Bank early adopted this guidance prospectively, and it became effective for the interim and annual periods beginning on January 1, 2016. However, the adoption of this guidance did not have an impact on the Bank's financial condition or results of operations.

Simplifying the Presentation of Debt Issuance Costs. In April 2015, the FASB issued guidance that requires that debt issuance costs related to a recognized debt liability be presented on the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2016. This amended guidance is required to be applied on a retrospective basis to each individual period presented on the Statements of Condition. As a result, $7 of debt issuance costs that were included in other assets were reclassified as a reduction in the corresponding consolidated obligations balance. Specifically, the reclassification resulted in a $5 reduction in the consolidated bonds balance and a $2 reduction in the consolidated discount notes balance on the Bank's Statement of Condition as of December 31, 2015. Accordingly, the Bank's total assets and total liabilities each decreased by $7 as of December 31, 2015. However, the adoption of this guidance did not have an impact on the Bank's 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. Additionally, this guidance reduces the frequency of the application of related-party guidance when determining a controlling financial interest in a variable interest entity. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2016. However, this guidance did not have an impact on 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 that eliminates the concept of extraordinary items from GAAP. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2016. However, this guidance did not have an impact on the Bank’s financial condition or results of operations.

11
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, 2016
 
As of December 31, 2015
Government-sponsored enterprises debt obligations
$
618

 
$
1,212

Another FHLBank’s bond (1)
—

 
52

State or local housing agency debt obligations
1

 
1

Total
$
619

 
$
1,265

 ____________
(1) The Federal Home Loan Bank of Chicago is the primary obligor of this consolidated obligation bond.
The following table presents net losses on trading securities.
 
 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
2016
 
2015
 
2016
 
2015
Net losses on trading securities held at period end
$
(7
)
 
$
(15
)
 
$
(13
)
 
$
(42
)
Net losses on trading securities that matured during the period
(1
)
 
—

 
(10
)
 
—

Net losses on trading securities
$
(8
)
 
$
(15
)
 
$
(23
)
 
$
(42
)

Note 4—Available-for-sale Securities

Major Security Type. The following table presents information on private-label residential mortgaged-backed securities (MBS) that are classified as available-for-sale.
 
 
Amortized    
Cost
 
Other-than-temporary
Impairment
Recognized in
Accumulated Other
Comprehensive Income
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Estimated Fair Value
As of September 30, 2016
$
1,286

 
$
10

 
$
129

 
$
—

 
$
1,405

As of December 31, 2015
$
1,567

 
$
19

 
$
114

 
$
—

 
$
1,662


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, 2016
—

 
$
—

 
$
—

 
12

 
$
208

 
$
10

 
12

 
$
208

 
$
10

As of December 31, 2015
3

 
$
107

 
$
2

 
10

 
$
247

 
$
17

 
13

 
$
354

 
$
19



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


The following table presents private-label residential MBS that are classified as available-for-sale and issued by members or affiliates of members, all of which have been issued by Bank of America Corporation, Charlotte, NC.

 
Amortized  
Cost
 
Other-than-temporary  
Impairment
Recognized in
 Accumulated Other
Comprehensive Income
 
Gross
  Unrealized  
Gains
 
Gross
  Unrealized  
Losses
 
Estimated
  Fair  Value  
As of September 30, 2016
$
831

 
$
8

 
$
102

 
$
—

 
$
925

As of December 31, 2015
$
1,037

 
$
16

 
$
77

 
$
—

 
$
1,098


Note 5—Held-to-maturity Securities

Major Security Types. The following table presents held-to-maturity securities.
 
 
As of September 30, 2016
 
As of December 31, 2015
 
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
$
76

 
$
—

 
$
—

 
$
76

 
$
76

 
$
—

 
$
—

 
$
76

Government-sponsored enterprises debt obligations
6,291

 
4

 
—

 
6,295

 
5,693

 
—

 
12

 
5,681

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. agency obligations-guaranteed residential
226

 
2

 
—

 
228

 
279

 
4

 
—

 
283

Government-sponsored enterprises residential
11,297

 
79

 
12

 
11,364

 
11,958

 
88

 
31

 
12,015

Government-sponsored enterprises commercial
6,879

 
7

 
10

 
6,876

 
4,140

 
—

 
16

 
4,124

Private-label residential
845

 
4

 
10

 
839

 
1,093

 
4

 
13

 
1,084

Total
$
25,614

 
$
96

 
$
32

 
$
25,678

 
$
23,239

 
$
96

 
$
72

 
$
23,263


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, 2016
 
Less than 12 Months
 
12 Months or More
 
Total
 
Number of
Positions
 
Estimated
Fair  Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair  Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair  Value
 
Gross
Unrealized
Losses
Government-sponsored enterprises debt obligations
3

 
$
1,000

 
$
—

 
—

 
$
—

 
$
—

 
3

 
$
1,000

 
$
—

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises residential
69

 
2,394

 
9

 
7

 
361

 
3

 
76

 
2,755

 
12

Government-sponsored enterprises commercial
45

 
3,780

 
3

 
22

 
1,656

 
7

 
67

 
5,436

 
10

Private-label residential
16

 
105

 
1

 
58

 
516

 
9

 
74

 
621

 
10

Total
133

 
$
7,279

 
$
13

 
87

 
$
2,533

 
$
19

 
220

 
$
9,812

 
$
32

 

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


 
As of December 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
20

 
$
4,535

 
$
7

 
3

 
$
745

 
$
5

 
23

 
$
5,280

 
$
12

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Government-sponsored enterprises residential
41

 
3,233

 
21

 
8

 
443

 
10

 
49

 
3,676

 
31

Government-sponsored enterprises commercial
31

 
2,680

 
9

 
25

 
1,037

 
7

 
56

 
3,717

 
16

Private-label residential
29

 
407

 
2

 
47

 
428

 
11

 
76

 
835

 
13

Total
121

 
$
10,855

 
$
39

 
83

 
$
2,653

 
$
33

 
204

 
$
13,508

 
$
72


Redemption Terms. The following table presents the amortized cost and estimated fair value of held-to-maturity securities by contractual maturity. 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 September 30, 2016
 
As of December 31, 2015
 
Amortized
Cost
 
Estimated
Fair Value
 
Amortized
Cost
 
Estimated
Fair Value
Non-mortgage-backed securities:
 
 
 
 
 
 
 
Due in one year or less
$
2,215

 
$
2,217

 
$
651

 
$
651

Due after one year through five years
4,151

 
4,153

 
5,118

 
5,106

Due after five years through ten years
1

 
1

 
—

 
—

Total non-mortgage-backed securities
6,367

 
6,371

 
5,769

 
5,757

Mortgage-backed securities
19,247

 
19,307

 
17,470

 
17,506

Total
$
25,614

 
$
25,678

 
$
23,239

 
$
23,263


The following table presents private-label residential MBS that are classified as held-to-maturity and issued by members or affiliates of members, all of which have been issued by Bank of America Corporation, Charlotte, NC.
 
 
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair Value
As of September 30, 2016
 
$
190

 
$
—

 
$
3

 
$
187

As of December 31, 2015
 
$
286

 
$
—

 
$
5

 
$
281



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 that the Bank will be required to sell the security before its anticipated recovery of its amortized cost basis. 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

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


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. To reduce its risk of loss on such securities, the Bank regularly requires high levels of credit enhancements from the structure of the collateralized mortgage obligation. 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 that 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, not credit quality. These securities are guaranteed by government agencies or government-sponsored enterprises, 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 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 September 30, 2016.
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 using 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 (CBSA), 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 September 30, 2016, included a short-term housing price forecast with projected changes ranging from a decrease of one percent to an increase of 10 percent over the 12 month period beginning July 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of three percent to six 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. The second model 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.
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.

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


The following table presents a summary of the significant inputs used to measure the amount of the credit loss recognized in earnings for those securities for which an other-than-temporary impairment was determined to have occurred during the three-month period ended September 30, 2016, as well as related current credit enhancement.
 
 
 
Significant Inputs - Weighted Average (%) 
 
 
Classification of Securities (1)
 
Prepayment Rates
 
Default Rates
 
Loss Severities
 
Current Credit Enhancement (%)
Alt-A
 
12.45
 
19.21
 
43.00
 
0.00
____________
(1) The classification of securities is based on current characteristics and performance, which may be different from the securities’ classification as determined by the originator at the time of origination.

The following table presents a roll-forward of the amount of credit losses on the Bank’s investment securities recognized in earnings during the life of the securities for which a portion of the other-than-temporary loss was recognized in accumulated other comprehensive income.
 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
2016
 
2015
 
2016
 
2015
Balance, beginning of period
$
480

 
$
526

 
$
505

 
$
542

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

 
1

 
2

 
5

Increase in cash flows expected to be collected, (accreted as interest income over the remaining lives of the applicable securities)
(13
)
 
(10
)
 
(39
)
 
(30
)
Balance, end of period
$
468

 
$
517

 
$
468

 
$
517


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 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.


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


Note 7—Advances

Redemption Terms. The following table presents the Bank's advances outstanding.

 
As of September 30, 2016
 
As of December 31, 2015
Overdrawn demand deposit accounts
$
—

 
$
16

Due in one year or less
45,000

 
46,673

Due after one year through two years
8,217

 
12,747

Due after two years through three years
4,394

 
6,360

Due after three years through four years
3,422

 
2,994

Due after four years through five years
11,112

 
4,616

Due after five years
24,211

 
29,458

Total par value
96,356

 
102,864

Discount on AHP (1) advances
(5
)
 
(6
)
Discount on EDGE (2) advances
(4
)
 
(4
)
Hedging adjustments
1,659

 
1,315

Deferred commitment fees
(1
)
 
(1
)
Total
$
98,005

 
$
104,168

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

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

 
As of September 30, 2016
 
As of December 31, 2015
Overdrawn demand deposit accounts
$
—

 
$
16

Due or convertible in one year or less
45,878

 
48,743

Due or convertible after one year through two years
7,460

 
11,434

Due or convertible after two years through three years
4,416

 
5,768

Due or convertible after three years through four years
3,429

 
3,020

Due or convertible after four years through five years
11,139

 
4,609

Due or convertible after five years
24,034

 
29,274

Total par value
$
96,356

 
$
102,864


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

 
As of September 30, 2016
 
As of December 31, 2015
Fixed-rate:
 
 
 
 Due in one year or less
$
38,673

 
$
32,011

 Due after one year
24,511

 
27,051

Total fixed-rate
63,184

 
59,062

Variable-rate:
 
 
 
 Due in one year or less
6,327

 
14,678

 Due after one year
26,845

 
29,124

Total variable-rate
33,172

 
43,802

Total par value
$
96,356

 
$
102,864



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


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 $66,817 and $75,842 as of September 30, 2016 and December 31, 2015, respectively. This concentration represented 69.3 percent and 73.7 percent of total advances outstanding as of September 30, 2016 and December 31, 2015, respectively.
Based on the collateral pledged as security for advances, the Bank's credit analysis of members’ financial condition, and prior repayment history, no allowance for credit losses on advances was deemed necessary by the Bank as of September 30, 2016 and December 31, 2015. No advance was past due as of September 30, 2016 and December 31, 2015.

Note 8—Mortgage Loans Held for Portfolio

The following table presents information on mortgage loans held for portfolio by contractual maturity at the time of purchase.
 
 
As of September 30, 2016
 
As of December 31, 2015
Fixed-rate medium-term (1) residential mortgage loans
 
$
44

 
$
66

Fixed-rate long-term residential mortgage loans
 
441

 
521

Total unpaid principal balance
 
485

 
587

Premiums
 
1

 
2

Discounts
 
(2
)
 
(3
)
Total
 
$
484

 
$
586

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

The following table presents the unpaid principal balance of mortgage loans held for portfolio by collateral or guarantee type.
 
 
As of September 30, 2016
 
As of December 31, 2015
Conventional mortgage loans
 
$
450

 
$
546

Government-guaranteed or insured mortgage loans
 
35

 
41

Total unpaid principal balance
 
$
485

 
$
587


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

Note 9—Allowance for Credit Losses

The following table presents the activity in the allowance for credit losses related to conventional residential mortgage loans.
 
 
For the Three Months Ended September 30,
 
For the Nine Months Ended September 30,
 
 
2016
 
2015
 
2016
 
2015
Balance, beginning of period
 
$
2

 
$
2

 
$
2

 
$
3

(Reversal) provision for credit losses
 
(1
)
 
1

 
(1
)
 
—

Balance, end of period
 
$
1

 
$
3

 
$
1

 
$
3


18
FEDERAL HOME LOAN BANK OF ATLANTA
NOTES TO FINANCIAL STATEMENTS (Unaudited)
(Dollars in millions)



The following table presents the recorded investment in conventional residential mortgage loans by impairment methodology.
 
 
As of September 30, 2016
 
As of December 31, 2015
Allowance for credit losses:
 
 
 
 
   Collectively evaluated for impairment
 
$
1

 
$
2

Recorded investment:
 
 
 
 
   Individually evaluated for impairment
 
$
13

 
$
15

   Collectively evaluated for impairment
 
438

 
532

Total recorded investment
 
$
451

 
$
547


Key credit quality indicators for mortgage loans include the migration of past due mortgage loans, nonaccrual mortgage loans, and mortgage loans in process of foreclosure. The following tables present the Bank's recorded investment in mortgage loans by these key credit quality indicators.
 
As of September 30, 2016
 
Conventional Residential Mortgage Loans
 
Government-guaranteed or Insured Residential Mortgage Loans
 
Total
Past due 30-59 days
$
15

 
$
4

 
$
19

Past due 60-89 days
4

 
1

 
5

Past due 90 days or more
12

 
2

 
14

Total past due mortgage loans
31

 
7

 
38

Total current mortgage loans
420

 
29

 
449

Total mortgage loans (1)
$
451

 
$
36

 
$
487

Other delinquency statistics:
 
 
 
 
 
  In process of foreclosure (2)
$
7

 
$
1

 
$
8

  Seriously delinquent rate (3)
2.69
%
 
5.29
%
 
2.88
%
  Past due 90 days or more and still accruing interest (4)
$
—

 
$
2

 
$
2

  Mortgage loans on nonaccrual status (5)
$
12

 
$
—

 
$
12

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

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



 
As of December 31, 2015
 
Conventional Residential Mortgage Loans
 
Government-guaranteed or Insured Residential Mortgage Loans
 
Total
Past due 30-59 days
$
17

 
$
4

 
$
21

Past due 60-89 days
5

 
1

 
6

Past due 90 days or more
18

 
3

 
21

Total past due mortgage loans
40

 
8

 
48

Total current mortgage loans
507

 
34

 
541

Total mortgage loans (1)
$
547

 
$
42

 
$
589

Other delinquency statistics:
 
 
 
 
 
  In process of foreclosure (2)
$
9

 
$
1

 
$
10

  Seriously delinquent rate (3)
3.32
%
 
6.65
%
 
3.55
%
Past due 90 days or more and still accruing interest (4)
$
—

 
$
3

 
$
3

  Mortgage loans on nonaccrual status (5)
$
18

 
$
—

 
$
18

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

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

Note 10—Consolidated Obligations

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are the joint and several obligations of the 11 Federal Home Loan Banks (FHLBanks) and are backed only by the financial resources of the FHLBanks. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks its specific portion of consolidated obligations for which it is the primary obligor and records it as a liability.
Interest-rate Payment Terms. The following table presents the Bank’s consolidated obligation bonds by interest-rate payment type. 
 
As of September 30, 2016
 
As of December 31, 2015
Fixed-rate
$
28,101

 
$
40,512

Step up/down
1,874

 
4,239

Simple variable-rate
44,868

 
19,022

Total par value
$
74,843

 
$
63,773



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


Redemption Terms. The following table presents the Bank’s participation in consolidated obligation bonds outstanding by year of contractual maturity.
 
 
As of September 30, 2016
 
As of December 31, 2015
 
Amount
 
Weighted-
average
Interest Rate (%)    
 
Amount
 
Weighted-
average
Interest Rate (%)    
Due in one year or less
$
45,882

 
0.93
 
$
32,559

 
0.74
Due after one year through two years
23,177

 
1.04
 
17,132

 
1.41
Due after two years through three years
2,239

 
1.60
 
5,959

 
1.63
Due after three years through four years
1,534

 
1.68
 
2,124

 
1.67
Due after four years through five years
433

 
1.70
 
1,975

 
1.72
Due after five years
1,578

 
2.37
 
4,024

 
2.18
Total par value
74,843

 
1.03
 
63,773

 
1.16
Premiums
26

 
 
 
36

 
 
Discounts
(14
)
 
 
 
(20
)
 
 
Hedging adjustments
141

 
 
 
164

 
 
Total
$
74,996

 
 
 
$
63,953

 
 

The following table presents the Bank’s consolidated obligation bonds outstanding by call feature.
 
 
As of September 30, 2016
 
As of December 31, 2015
Noncallable
$
70,629

 
$
53,432

Callable
4,214

 
10,341

Total par value
$
74,843

 
$
63,773


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

 
As of September 30, 2016
 
As of December 31, 2015
Due or callable in one year or less
$
49,761

 
$
41,410

Due or callable after one year through two years
21,622

 
16,277

Due or callable after two years through three years
1,619

 
3,461

Due or callable after three years through four years
1,155

 
1,055

Due or callable after four years through five years
243

 
1,023

Due or callable after five years
443

 
547

Total par value
$
74,843

 
$
63,773


Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds and have original contractual maturities of up to one year. These consolidated obligation discount notes are issued at less than their face amounts and redeemed at par value when they mature.

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


The following table presents the Bank’s participation in consolidated obligation discount notes.
 
 
Book Value
 
Par Value
 
Weighted-average
Interest Rate (%)
As of September 30, 2016
$
55,162

 
$
55,226

 
0.43
As of December 31, 2015
$
69,434

 
$
69,481

 
0.27

Note 11—Capital and Mandatorily Redeemable Capital Stock

Capital. The following table presents the Bank's compliance with the Federal Housing Finance Agency's (Finance Agency) regulatory capital rules and requirements.
 
 
As of September 30, 2016
 
As of December 31, 2015
 
Required    
 
Actual        
 
Required    
 
Actual        
Risk based capital
$
1,521

 
$
6,742

 
$
1,621

 
$
6,956

Total regulatory capital ratio
4.00
%
 
4.86
%
 
4.00
%
 
4.89
%
Total regulatory capital (1)
$
5,546

 
$