10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x 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

o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from              to             

Commission File No. 000-51401

Federal Home Loan Bank of Chicago

(Exact name of registrant as specified in its charter)

Federally chartered corporation	36-6001019
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)
200 East Randolph Drive Chicago, IL	60601
(Address of principal executive offices)	(Zip Code)

Registrant's telephone number, including area code: (312) 565-5700

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 requirements for the past 90 days. Yes x No o

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 (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o

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. (Check one)

Large accelerated filer   o	Accelerated filer  o
Non-accelerated filer   x  (Do not check if a smaller reporting company)	Smaller reporting company   o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes o No x

As of September 30, 2016, including mandatorily redeemable capital stock, registrant had 19,376,924 total outstanding shares of Class B Capital Stock.

1

TABLE OF CONTENTS

PART I - FINANCIAL INFORMATION
Item 1.	Financial Statements (unaudited).	3
	Statements of Condition	3
	Statements of Income	4
	Statements of Comprehensive Income	5
	Statements of Capital	6
	Condensed Statements of Cash Flows	7
	Note 1 - Background and Basis of Presentation	8
	Note 2 - Summary of Significant Accounting Policies	9
	Note 3 - Recently Issued but Not Yet Adopted Accounting Standards	9
	Note 4 - Interest Income and Interest Expense	12
	Note 5 - Investment Securities	13
	Note 6 - Advances	19
	Note 7 - MPF Loans Held in Portfolio	20
	Note 8 - Allowance for Credit Losses	21
	Note 9 - Derivatives and Hedging Activities	23
	Note 10 - Consolidated Obligations	28
	Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS)	29
	Note 12 - Accumulated Other Comprehensive Income (Loss)	30
	Note 13 - Fair Value	31
	Note 14 - Commitments and Contingencies	34
	Note 15 – Transactions with Related Parties and Other FHLBs	34
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations.	35
Item 3.	Quantitative and Qualitative Disclosures about Market Risk.	57
Item 4.	Controls and Procedures.	59
PART II - OTHER INFORMATION
Item 1.	Legal Proceedings.	60
Item 1A.	Risk Factors.	60
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	60
Item 3.	Defaults upon Senior Securities.	60
Item 4.	Mine Safety Disclosures.	60
Item 5.	Other Information.	61
Item 6.	Exhibits.	62
Glossary of Terms		63
Signatures		S-1

2

PART I - FINANCIAL INFORMATION

Item 1.    Financial Statements.

Statements of Condition (unaudited)

(Dollars in millions, except capital stock par value)

	September 30, 2016			December 31, 2015
Assets
Cash and due from banks	$	31		$	499
Interest bearing deposits	650			650
Federal Funds sold	3,807			1,702
Securities purchased under agreements to resell	1,000			1,375
Investment securities -
Trading, $90 and $62 pledged	1,047			1,160
Available-for-sale	15,561			17,470
Held-to-maturity, $5,308 and $6,513 fair value	4,788			5,967
Investment securities	21,396			24,597
Advances, $703 and $511 carried at fair value	43,117			36,778
MPF Loans held in portfolio, net of allowance for credit losses of $(3) and $(3)	4,720			4,828
Derivative assets	21			2
Other assets, $58 and $54 carried at fair value	241			240
Assets	$	74,983		$	70,671
Liabilities
Deposits -
Noninterest bearing	$	59		$	41
Interest bearing, $15 and $12 from other FHLBs	453			497
Deposits	512			538
Consolidated obligations, net -
Discount notes, $12,537 and $9,006 carried at fair value	39,144			41,564
Bonds, $7,058 and $952 carried at fair value	30,139			22,582
Consolidated obligations, net	69,283			64,146
Derivative liabilities	48			55
Affordable Housing Program assessment payable	90			89
Mandatorily redeemable capital stock	302			8
Other liabilities	233			239
Subordinated notes	—			944
Liabilities	70,468			66,019
Commitments and contingencies - see notes to the financial statements
Capital
Class B1 activity stock - putable $100 par value - 11 million and 13 million shares issued and outstanding	1,063			1,313
Class B2 membership stock - putable $100 par value - 6 million and 6 million shares issued and outstanding	573			637
Capital stock	1,636			1,950
Retained earnings - unrestricted	2,577			2,407
Retained earnings - restricted	374			323
Retained earnings	2,951			2,730
Accumulated other comprehensive income (loss) (AOCI)	(72		)	(28		)
Capital	4,515			4,652
Liabilities and capital	$	74,983		$	70,671

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

3

Statements of Income (unaudited)

(Dollars in millions)

	Three months ended September 30,					Nine months ended September 30,
	2016		2015			2016			2015
Interest income	$	309	$	304		$	944		$	934
Interest expense	196		182			600			561
Net interest income	113		122			344			373
Provision for (reversal of) credit losses	—		1			—			5
Net interest income after provision for (reversal of) credit losses	113		121			344			368
Noninterest gain (loss) on -
Trading securities	—		(1		)	—			(2		)
Derivatives and hedging activities	7		(15		)	(7		)	(17		)
Instruments held under fair value option	—		1			6			4
Litigation settlement awards	—		2			38			13
Other gain (loss), net	7		7			24			15
Noninterest gain (loss)	14		(6		)	61			13
Noninterest expense -
Compensation and benefits	26		20			71			57
Operating expenses	15		13			44			38
Other	1		2			13			6
Noninterest expense	42		35			128			101
Income before assessments	85		80			277			280
Affordable Housing Program assessment	9		8			28			28
Net income	$	76	$	72		$	249		$	252

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

4

Statements of Comprehensive Income (unaudited)

(Dollars in millions)

	Three months ended September 30,						Nine months ended September 30,
	2016			2015			2016			2015
Net income	$	76		$	72		$	249		$	252
Other comprehensive income (loss) -
Net unrealized gain (loss) available-for-sale securities	(13		)	(79		)	(113		)	(214		)
Non-credit OTTI held-to-maturity securities	9			11			30			37
Net unrealized gain (loss) cash flow hedges	83			(31		)	38			8
Post-retirement plans	—			1			1			(7		)
Other comprehensive income (loss)	79			(98		)	(44		)	(176		)
Comprehensive income	$	155		$	(26	)	$	205		$	76

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

5

Statements of Capital (unaudited)

(Dollars and shares in millions)

	Capital Stock - Putable - B1 Activity					Capital Stock - Putable - B2 Membership					Capital Stock					Retained Earnings											Total Capital
	Shares		Value			Shares		Value			Shares		Value			Unrestricted			Restricted		Total			AOCI
December 31, 2015	13		$	1,313		6		$	637		19		$	1,950		$	2,407		$	323	$	2,730		$	(28	)	$	4,652
Comprehensive income																198			51		249			(44		)	205
Proceeds from issuance of capital stock	10		952			—		12			10		964														964
Repurchases of capital stock	(6	)	(586		)	(3	)	(392		)	(9	)	(978		)												(978		)
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)	(3	)	(295		)	—		(5		)	(3	)	(300		)												(300		)
Transfers between classes of capital stock	(3	)	(321		)	3		321
Cash dividends - class B1																(25		)			(25		)				(25		)
Class B1 annualized rate																											2.73		%
Cash dividends - class B2																(3		)			(3		)				(3		)
Class B2 annualized rate																											0.60		%
Total change in period	(2	)	(250		)	—		(64		)	(2	)	(314		)	170			51		221			(44		)	(137		)
September 30, 2016	11		$	1,063		6		$	573		17		$	1,636		$	2,577		$	374	$	2,951		$	(72	)	$	4,515
December 31, 2014	8		$	827		11		$	1,075		19		$	1,902		$	2,152		$	254	$	2,406		$	217		$	4,525
Comprehensive income																202			50		252			(176		)	76
Proceeds from issuance of capital stock	3		228			—		15			3		243														243
Repurchases of capital stock	—		(29		)	(3	)	(223		)	(3	)	(252		)												(252		)
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)	—		—			—		(1		)	—		(1		)												(1		)
Transfers between classes of capital stock	(1	)	(60		)	1		60
Cash dividends - class B1																(14		)			(14		)				(14		)
Class B1 annualized rate																											2.25		%
Cash dividends - class B2																(4		)			(4		)				(4		)
Class B2 annualized rate																											0.50		%
Total change in period	2		139			(2	)	(149		)	—		(10		)	184			50		234			(176		)	48
September 30, 2015	10		$	966		9		$	926		19		$	1,892		$	2,336		$	304	$	2,640		$	41		$	4,573

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

6

Condensed Statements of Cash Flows (unaudited)

(Dollars in millions)

	Nine months ended September 30,	2016				2015
Operating	Net cash provided by (used in) operating activities	$	184			$	375
Investing	Net change Federal Funds sold	(2,105		)		805
	Net change securities purchased under agreements to resell	375				—
	Trading securities -
	Sales	2,158				—
	Proceeds from maturities and paydowns	108				109
	Purchases	(2,156		)		(101		)
	Available-for-sale securities -
	Proceeds from maturities and paydowns	1,777				1,452
	Purchases	(2		)		(12		)
	Held-to-maturity securities -
	Short-term held-to-maturity securities, net	543			a	675			a
	Proceeds from maturities and paydowns	740				793
	Purchases	(30		)		(16		)
	Advances -
	Principal collected	548,381				251,066
	Issued	(554,570		)		(253,574		)
	MPF Loans held in portfolio -
	Principal collected	867				1,085
	Purchases	(759		)		(117		)
	Other investing activities	27				39
	Net cash provided by (used in) investing activities	(4,646		)		2,204
Financing	Net change deposits	(26		)		(156		)
	Discount notes -
	Net proceeds from issuance	438,057				210,023
	Payments for maturing and retiring	(440,500		)		(203,798		)
	Consolidated obligation bonds -
	Net proceeds from issuance	24,439				8,503
	Payments for maturing and retiring	(16,943		)		(16,777		)
	Net proceeds (payments) on derivative contracts with financing element	(38		)		(47		)
	Net proceeds (payments) on bond transfers with other FHLBs	—				(35		)
	Payments for retiring of subordinated debt	(944		)		—
	Capital stock -
	Proceeds from issuance of capital stock	964				243
	Repurchase of capital stock	(978		)		(252		)
	Cash dividends paid	(28		)		(18		)
	Other financing activities	(9		)		(1		)
	Net cash provided by (used in) financing activities	3,994				(2,315		)
	Net increase (decrease) in cash and due from banks	(468		)		264
	Cash and due from banks at beginning of period	499				342
	Cash and due from banks at end of period	$	31			$	606
Noncash	Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)	$	300			$	1

^a  Short-term held-to-maturity securities, net, consists of investment securities with a maturity of less than 90 days when purchased.

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

7

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 1 – Background and Basis of Presentation

The Federal Home Loan Bank of Chicago is a federally chartered corporation and one of 11 Federal Home Loan Banks (the FHLBs) that, with the Office of Finance, comprise the Federal Home Loan Bank System (the System).  The FHLBs are government-sponsored enterprises (GSE) of the United States of America and were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLB Act), in order to improve the availability of funds to support home ownership.  We are supervised and regulated by the Federal Housing Finance Agency (FHFA), an independent federal agency in the executive branch of the United States (U.S.) government.

Each FHLB is a member-owned cooperative with members from a specifically defined geographic district. Our defined geographic district is Illinois and Wisconsin. All federally-insured depository institutions, insurance companies engaged in residential housing finance, credit unions and community development financial institutions located in our district are eligible to apply for membership with us. All our members are required to purchase our capital stock as a condition of membership. Our capital stock is not publicly traded, and is issued, repurchased or redeemed at par value, $100 per share, subject to certain statutory and regulatory limits. As a cooperative, we do business with our members, and former members (under limited circumstances). Specifically, we provide credit principally in the form of secured loans called advances. We also provide liquidity for home mortgage loans to members approved as Participating Financial Institutions (PFIs) through the Mortgage Partnership Finance^® (MPF^®) Program.

Our accounting and financial reporting policies conform to generally accepted accounting principles in the United States of America (GAAP). Amounts in prior periods may be reclassified to conform to the current presentation and if material are disclosed in the following notes.

In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements and the following footnotes should be read in conjunction with the audited financial statements and footnotes for the year ended December 31, 2015, included in our Annual Report on Form 10-K (2015 Form 10-K) starting on page F-1, as filed with the Securities and Exchange Commission (SEC).

Unless otherwise specified, references to we, us, our, and the Bank are to the Federal Home Loan Bank of Chicago.

“Mortgage Partnership Finance”, “MPF”, “MPF Xtra”, and "Community First" are registered trademarks of the Federal Home Loan Bank of Chicago.

Refer to the Glossary of Terms starting on page 63 for the definitions of certain terms used herein.

Use of Estimates

The preparation of financial statements in accordance with GAAP requires us to make assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these assumptions and estimates applies to fair value measurements and allowance for credit losses. Actual results could differ from these assumptions and estimates.

Consolidation of Variable Interest Entities

We would consolidate a variable interest entity if we determine that we are its primary beneficiary, which occurs when both conditions shown below are met.

• We have the power to direct the activities of a variable interest entity that most significantly impact the entity’s economic performance.

• We have the obligation to absorb losses of the entity that could potentially be significant to the variable interest entity or the right to receive benefits from the entity that could potentially be significant to the variable interest entity.

We did not consolidate any of our investments in variable interest entities since we are not the primary beneficiary. We classify variable interest entities as investment securities in our statements of condition. Such investment securities include, but are not limited to, senior interests in private-label mortgage backed securities (MBS) and Federal Family Education Loan Program asset backed securities (FFELP ABS). Our maximum loss exposure for these investment securities is limited to their carrying amounts. We have no liabilities related to these investments in variable interest entities. We have not provided financial or other support (explicitly or implicitly) to these investment securities that we were not previously contractually required to provide, nor do we intend to provide such support in the future.

8

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Gross versus Net Presentation of Financial Instruments

We present derivative assets and liabilities on a net basis in our statements of condition on the basis that our right to net amounts due to our clearing agents and/or our counterparties is enforceable at law upon early termination. We include accrued interest receivable/payable and cash collateral, including initial and variation margin, in the carrying amount of a derivative. Derivatives are netted by contract (e.g., master netting agreement), to discharge all or a portion of the amounts that would be owed to our counterparty by applying them against the amounts that our counterparty owes to us. Additionally, we clear certain derivatives transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO), through Futures Commission Merchants (FCM). If these netted amounts are positive, they are classified as a derivative asset and if negative, they are classified as a derivative liability.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or asset.

Refer to Note 9 - Derivatives and Hedging Activities for further details.

Our policy is to report securities purchased under agreements to resell and securities sold under agreements to repurchase, if any, and securities borrowing transactions, if any, on a gross basis.

Note 2 – Summary of Significant Accounting Policies

Our Summary of Significant Accounting Policies through December 31, 2015, can be found in Note 2 – Summary of Significant Accounting Policies to the financial statements in our 2015 Form 10-K. We adopted the following policies in 2016:

Simplifying the Presentation of Debt Issuance Cost (i.e., Concession Fees)

In April of 2015, the FASB issued new guidance requiring any concession fee to be presented as a direct deduction from the debt it relates to rather than separately presented as a deferred cost in Other Assets. We retrospectively adopted the new guidance January 1, 2016 by reclassifying deferred concession fees from Other Assets to its related debt, which at the time of adoption included our Consolidated obligation discount notes, Consolidated obligation bonds and Subordinated notes. This reclassification did not have a material effect on our financial condition, results of operations, cash flows, or percentage net interest yield on our consolidated obligations at the time of adoption.

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships

In March of 2016, the FASB issued new guidance clarifying that a change in counterparty (novation) to a derivative instrument that has been designated as the hedging instrument in an existing hedging relationship would not, in and of itself, be considered a termination of the derivative instrument or be considered a change in the critical term of the hedging relationship. We early adopted this new guidance on a prospective basis effective January 1, 2016. The new guidance had no effect on our financial condition, results of operations, or cash flows at the time of adoption.

Note 3 – Recently Issued but Not Yet Adopted Accounting Standards

Classification of Certain Cash Receipts and Cash Payments in the Statement of Cash Flows

In August of 2016, the FASB issued statement of cash flows classification guidance governing certain cash receipts and cash payments. The new guidance becomes effective January 1, 2018, with earlier adoption permitted. The new guidance must be applied retrospectively to each period our statements of cash flows are presented at the time of adoption. Key provisions relevant to us are outlined below. Our existing practice is consistent with the provisions of the guidance outlined below pertaining to debt prepayment or extinguishment costs and the classification of accreted interest expense. We are in the process of reviewing the expected effect of the remaining provisions of the guidance on our financial condition, results of operations, and cash flows.

• Cash payments for debt prepayment or extinguishment costs are classified as cash outflows for financing activities.

9

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

• At settlement, the portion of the cash payment attributable to accreted interest expense is classified as cash outflows for operating activities, and the portion of the cash payment attributable to the principal would be classified as cash outflows for financing activities. The cash paid attributable to accreted interest expense also needs to be included in the supplemental disclosure of the amount of interest expense paid.

• A transferor’s beneficial interest obtained in a securitization of financial assets is disclosed as a noncash activity.

• Additional guidance is provided to clarify when an entity should separate cash receipts and cash payments and classify them into more than one class of cash flows and when an entity should classify the aggregate of those cash receipts and payments into one class of cash flows on the basis of predominance.

Measurement of Credit Losses on Financial Instruments

In June of 2016, the FASB amended existing GAAP guidance applicable to measuring credit losses on financial instruments. The amendments are expected to result in recognizing credit losses in the financial statements on a timelier basis by utilizing forward looking information. Key provisions of the amendments relevant to us are outlined below.

• Replaces the “incurred loss” impairment methodology applied under current GAAP with an “expected credit losses” methodology.

• The expected credit losses methodology requires us to estimate all credit losses on financial instruments carried on an amortized cost basis and off-balance-sheet credit exposures over their contractual term. On balance sheet financial instruments include, but are not limited to, advances, MPF Loans held in portfolio, and Held-to-maturity (HTM) securities. Off-balance-sheet credit exposure refers to unfunded credit exposures, such as standby letters of credit.

• The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the financial instrument’s reported amount.

• Aligns the income statement recognition of credit losses for securities with the reporting period in which changes in collectability occur by recording credit losses (and subsequent reversals) through an allowance rather than a write-down as currently required under GAAP.

• Requires recognition of a credit loss on available-for-sale (AFS) securities into the income statement if the present value of cash flows expected to be collected on the security is less than its amortized cost basis. Additionally, the allowance on AFS debt securities will be limited to the amount by which fair value is less than the amortized cost.

• Expands upon the current credit quality disclosures by requiring further disaggregation of financial instruments by their year of origination. This disclosure is expected to help financial statement users better understand credit quality trends of asset portfolios.

The amendments become effective January 1, 2020, with early adoption permitted effective January 1, 2019. We plan to implement the expected credit loss methodology through a cumulative-effect adjustment to our beginning retained earnings as of the first reporting period in which the new guidance becomes effective for us. The cumulative effect adjustment will equal the amount required to adjust our existing allowance for credit losses for our on balance-sheet financial instruments and other liabilities for our off-balance sheet financial instruments to the amounts determined under the expected credit losses methodology. A prospective transition approach is required for debt securities for which an other-than-temporary impairment had been recognized before our effective date. This means write-downs recognized prior to our effective date on securities may not be reversed at the time of our adoption. Instead, improvements in expected cash flows that exist at the time we adopt will continue to be accreted into income over the remaining life of the security. Additionally, recoveries of amounts previously written off prior to the date of adoption will be recorded in earnings when received. We are in the process of reviewing the expected effect of this guidance on our financial condition, results of operations, and cash flows.

Contingent Put and Call Options in Debt Instruments

In March of 2016, the FASB issued new guidance clarifying the requirements for assessing whether a contingent call (put) option embedded in a debt instrument is clearly and closely related to that debt instrument, which is referred to as the "host contract". Specifically, entities no longer will be required to assess whether the event triggering the acceleration of an embedded contingent call (put) option within a debt instrument is clearly and closely related to its host contract. We plan to adopt the new guidance using the modified retrospective approach on January 1, 2017. The new guidance is not expected to have a material effect on our financial condition, results of operations, or cash flows at the time of adoption.

10

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Leases

In February of 2016, the FASB issued new guidance pertaining to lease accounting. Key lessee accounting provisions relevant to us are outlined below. Our existing practice is to record our operating leases off-balance sheet.

• Recognize operating leases and right-to-use assets in our statements of condition; however, we would be permitted to elect off-balance sheet recognition of such leases having a term of 12 months or less.

• Recognize a single lease cost over the lease term on a straight-line basis.

• Classify all cash payments within operating activities in our statement of cash flows.

The new guidance becomes effective January 1, 2019. A modified retrospective transition approach is required to be applied to leases existing at, or entered into after, the beginning of the earliest comparative period presented in the financial statements. We do not expect the new guidance to have a significant effect on our financial condition, results of operations, and cash flows since our existing off-balance sheet operating leases are not material.

Recognition and Measurement of Financial Assets and Financial Liabilities

In January of 2016, the FASB issued new guidance governing recognition and measurement of financial assets and financial liabilities. The key provisions applicable to us include, but are not limited to, the following:

• The ability to elect the fair value option will continue to be permitted.

• Requires recognizing the portion of the total change in fair value of a liability resulting from a change in the instrument-specific credit risk in other comprehensive income when we elect to carry that liability at fair value under the fair value option.

• Requires separate presentation of financial assets and financial liabilities by measurement category, such as amortized cost, and form, such as securities or loans, on our statements of condition or the accompanying notes to the financial statements.

The new guidance becomes effective January 1, 2018. We are in the process of reviewing its expected effect on our financial condition, results of operations, and cash flows.

Revenue from Contracts with Customers

In May of 2014, the FASB issued new guidance governing revenue recognition from contracts with customers. In August of 2015, the FASB deferred the effective date of this new guidance until January 1, 2018. Subsequently, the FASB has issued several pronouncements that provide additional guidance and clarifications to the revenue recognition guidance issued in May of 2014. The new revenue recognition guidance is not expected to have a material effect on our financial condition, results of operations, or cash flows at the time of adoption because the majority of our financial instruments and other contractual rights are within the scope of other GAAP guidance; and accordingly, are excluded from the scope of this new revenue recognition guidance.

11

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 4 – Interest Income and Interest Expense

The following table presents interest income and interest expense for the periods indicated:

	Three months ended September 30,				Nine months ended September 30,
	2016		2015		2016		2015
Interest income -
Trading	$	2	$	—	$	7	$	2
Available-for-sale	116		132		367		396
Held-to-maturity	56		63		171		201
Investment securities	174		195		545		599
Advance interest income	73		44		203		125
Advance prepayment fees	1		1		8		7
Advances	74		45		211		132
MPF Loans held in portfolio	53		62		165		197
Other interest bearing assets	8		2		23		6
Interest income	309		304		944		934
Interest expense -
Discount notes	95		72		272		216
Bonds	99		96		299		304
Consolidated obligations	194		168		571		520
Subordinated notes	—		14		24		41
Other interest bearing liabilities	2		—		5		—
Interest expense	196		182		600		561
Net interest income	113		122		344		373
Provision for (reversal of) credit losses	—		1		—		5
Net interest income after provision for (reversal of) credit losses	$	113	$	121	$	344	$	368

12

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 5 – Investment Securities

We classify securities as either trading, held-to-maturity (HTM), or available-for-sale (AFS). Our security disclosures within these classifications are disaggregated by major security types as shown below. Our major security types are based on the nature and risks of the security.

• U.S. Government & other government related may consist of the sovereign debt of the United States; debt issued by government sponsored enterprises (GSE); and non-mortgage-backed securities of the Small Business Administration and Tennessee Valley Authority.

• Federal Family Education Loan Program - asset backed securities (FFELP ABS).

• GSE residential mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac.

• Government-guaranteed MBS.

• Private-label residential MBS.

• State or local housing agency obligations.

Pledged Collateral

We disclose the amount of investment securities pledged as collateral pertaining to our derivatives activity on our statements of condition. Also see Note 9 - Derivatives and Hedging Activities for further details.

Trading Securities

The following table presents the fair value of our trading securities. We did not hold a material amount of securities we issued through our MPF Government MBS product as of the dates presented. We had no material unrealized gains or losses on trading securities.

As of	September 30, 2016		December 31, 2015
U.S. Government & other government related	$	1,003	$	1,108
Residential MBS:
GSE	42		50
Government-guaranteed	2		2
Residential MBS	44		52
Trading securities	$	1,047	$	1,160

13

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Amortized Cost Basis and Fair Value – Available-for-Sale Securities (AFS)

	Amortized Cost Basis		Gross Unrealized Gains in AOCI		Gross Unrealized (Losses) in AOCI			Carrying Amount and Fair Value
As of September 30, 2016
U.S. Government & other government related	$	350	$	20	$	(3	)	$	367
State or local housing agency	19		1		—			20
FFELP ABS	4,561		158		(25		)	4,694
Residential MBS:
GSE	8,578		353		(9		)	8,922
Government-guaranteed	1,457		43		—			1,500
Private-label	51		7		—			58
Residential MBS	10,086		403		(9		)	10,480
Available-for-sale securities	$	15,016	$	582	$	(37	)	$	15,561
As of December 31, 2015
U.S. Government & other government related	$	405	$	21	$	(4	)	$	422
State or local housing agency	18		—		—			18
FFELP ABS	5,090		233		(24		)	5,299
Residential MBS:
GSE	9,427		383		(12		)	9,798
Government-guaranteed	1,811		57		—			1,868
Private-label	61		4		—			65
Residential MBS	11,299		444		(12		)	11,731
Available-for-sale securities	$	16,812	$	698	$	(40	)	$	17,470

14

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Amortized Cost Basis, Carrying Amount, and Fair Value - Held-to-Maturity Securities (HTM)

	Amortized Cost Basis		Non-credit OTTI Recognized in AOCI (Loss)			Carrying Amount		Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)			Fair Value
As of September 30, 2016
U.S. Government & other government related	$	1,271	$	—		$	1,271	$	74	$	—		$	1,345
State or local housing agency	13		—			13		—		—			13
Residential MBS:
GSE	1,928		—			1,928		133		—			2,061
Government-guaranteed	834		—			834		13		—			847
Private-label	929		(187		)	742		301		(1		)	1,042
Residential MBS	3,691		(187		)	3,504		447		(1		)	3,950
Held-to-maturity securities	$	4,975	$	(187	)	$	4,788	$	521	$	(1	)	$	5,308
As of December 31, 2015
U.S. Government & other government related	$	1,932	$	—		$	1,932	$	64	$	(1	)	$	1,995
State or local housing agency	16		—			16		—		—			16
Residential MBS:
GSE	2,163		—			2,163		134		—			2,297
Government-guaranteed	969		—			969		16		—			985
Private-label	1,104		(217		)	887		334		(1		)	1,220
Residential MBS	4,236		(217		)	4,019		484		(1		)	4,502
Held-to-maturity securities	$	6,184	$	(217	)	$	5,967	$	548	$	(2	)	$	6,513

15

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Aging of Unrealized Temporary Losses

The following tables present unrealized temporary losses on our AFS and HTM portfolio for periods less than 12 months and for 12 months or more. We recognized no OTTI charges on these unrealized loss positions because we expect to recover the entire amortized cost basis, we do not intend to sell these securities, and we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported.

Available-for-Sale Securities

	Less than 12 Months					12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of September 30, 2016
U.S. Government & other government related	$	—	$	—		$	86	$	(3	)	$	86	$	(3	)
State or local housing agency	1		—			—		—			1		—
FFELP ABS	—		—			774		(25		)	774		(25		)
Residential MBS:
GSE	658		—			1,217		(9		)	1,875		(9		)
Government-guaranteed	24		—			—		—			24		—
Private-label	—		—			1		—			1		—
Residential MBS	682		—			1,218		(9		)	1,900		(9		)
Available-for-sale securities	$	683	$	—		$	2,078	$	(37	)	$	2,761	$	(37	)
As of December 31, 2015
U.S. Government & other government related	$	30	$	(1	)	$	45	$	(3	)	$	75	$	(4	)
State or local housing agency	4		—			—		—			4		—
FFELP ABS	64		(1		)	787		(23		)	851		(24		)
Residential MBS:
GSE	1,081		(3		)	1,006		(9		)	2,087		(12		)
Government-guaranteed	90		—			—		—			90		—
Private-label	—		—			8		—			8		—
Residential MBS	1,171		(3		)	1,014		(9		)	2,185		(12		)
Available-for-sale securities	$	1,269	$	(5	)	$	1,846	$	(35	)	$	3,115	$	(40	)

16

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Held-to-Maturity Securities

	Less than 12 Months				12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)		Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of September 30, 2016
U.S. Government & other government related	$	—	$	—	$	16	$	—		$	16	$	—
State or local housing agency	9		—		1		—			10		—
Residential MBS:
GSE	4		—		—		—			4		—
Private-label	—		—		1,000		(188		)	1,000		(188		)
Residential MBS	4		—		1,000		(188		)	1,004		(188		)
Held-to-maturity securities	$	13	$	—	$	1,017	$	(188	)	$	1,030	$	(188	)
As of December 31, 2015
U.S. Government & other government related	$	606	$	—	$	16	$	(1	)	$	622	$	(1	)
State or local housing agency	1		—		10		—			11		—
Residential MBS:
GSE	4		—		—		—			4		—
Private-label	—		—		1,167		(218		)	1,167		(218		)
Residential MBS	4		—		1,167		(218		)	1,171		(218		)
Held-to-maturity securities	$	611	$	—	$	1,193	$	(219	)	$	1,804	$	(219	)

Contractual Maturity Terms

The following table primarily presents the amortized cost basis and fair value of U.S. Government & other government related AFS and HTM securities by contractual maturity. ABS and MBS securities are excluded since their expected maturities may differ from their contractual maturities if borrowers of the underlying loans elect to prepay their loans.

	Available-for-Sale				Held-to-Maturity
As of September 30, 2016	Amortized Cost Basis		Carrying Amount and Fair Value		Carrying Amount		Fair Value
Year of Maturity -
Due in one year or less	$	17	$	17	$	176	$	177
Due after one year through five years	44		46		285		298
Due after five years through ten years	30		32		86		88
Due after ten years	278		292		737		795
ABS and MBS without a single maturity date	14,647		15,174		3,504		3,950
Total securities	$	15,016	$	15,561	$	4,788	$	5,308

17

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Other-Than-Temporary Impairment Analysis

We had no OTTI for the periods presented based on the significant inputs, key modeling assumptions, and methodologies outlined below.

We assess an HTM or AFS private-label MBS security for OTTI whenever its fair value is less than its amortized cost basis as of the reporting date. Specifically, we determine OTTI, if any, by performing a cash flow analysis for substantially all of these private-label MBS securities utilizing two independent third party models, which are described further below. Our analysis generates cash flow projections utilizing significant inputs, key modeling assumptions, and methodologies provided by the FHLB System OTTI Committee, which was established to achieve consistent OTTI analyses for private-label MBS among FHLBs. We are still responsible, however, for making our own OTTI determination, which involves determining the reasonableness of these significant inputs, assumptions, and methodologies, as well as performing the required present value calculations using appropriate historical cost bases and yields.  We then utilize these cash flow projections to determine if OTTI exists on our private-label MBS.

• First model. This model considers borrower characteristics and the particular attributes of the loans underlying the securities, in conjunction with assumptions about future changes in home prices and interest rates, prepayment rates, default rates, 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. Outputs from this first model are then used as inputs by the second model as follows.

• Second model. This model uses the month-by-month projections of future loan performance derived from the first model and 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.

As of September 30, 2016, we had a short-term housing price forecast over all markets with projected changes ranging from -1.0% to +10.0% over the twelve month period beginning July 1, 2016. For the vast majority of markets, the short-term forecast has changes ranging from +3.0% to +6.0%. 

The following table presents the changes in the cumulative amount of previously recorded OTTI credit losses (recognized into earnings) on investment securities for the reporting periods indicated.

	Three months ended September 30,						Nine months ended September 30,
	2016			2015			2016			2015
Beginning Balance	$	542		$	591		$	568		$	620
Reductions:
Increases in expected future cash flows recorded as accretion into interest income	(11		)	(12		)	(37		)	(41		)
Ending Balance	$	531		$	579		$	531		$	579

Ongoing Litigation

On October 15, 2010, we instituted litigation relating to 64 private-label MBS bonds we purchased in an aggregate original principal amount of $4.29 billion. In April 2016, we received a payment of $37.5 million (partially offset by $5.0 million of related legal fees and other expenses) resulting from a settlement with some of the defendants. As of September 30, 2016, the remaining litigation covers four private-label MBS bonds in the aggregate original principal amount of $77.5 million.

18

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 6 – Advances

We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality.

The following table presents our advances by terms of maturity. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties.

As of September 30, 2016	Weighted Average Contractual Interest Rate			Amount
Due in one year or less	0.60	%		$	12,719
One to two years	0.77	%		8,966
Two to three years	0.56	%	a	7,283
Three to four years	0.58	%	a	8,120
Four to five years	1.34	%		1,536
More than five years	1.67	%		4,168
Par value	0.76	%		$	42,792

^a  The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates.

See Note 8 - Allowance for Credit Losses for information related to our credit risk on advances and allowance methodology for credit losses.

The following table reconciles the par value of our advances to the carrying amount on our statements of condition as of the dates indicated.

As of	September 30, 2016		December 31, 2015
Par value	$	42,792	$	36,605
Fair value hedging adjustments	300		159
Other adjustments	25		14
Advances	$	43,117	$	36,778

The following advance borrowers exceeded 10% of our total advances outstanding:

As of September 30, 2016	Par Value			% of Total Outstanding
One Mortgage Partners Corp.	$	11,000	a	26	%
BMO Harris Bank, N.A.	4,875			11	%

^a  One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA.

19

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 7 – MPF Loans Held in Portfolio

We acquire MPF Loans from PFIs to hold in our portfolio, and in some cases we purchased participations in pools of eligible mortgage loans from other FHLBs (MPF Banks). MPF Loans that are held in portfolio are fixed-rate conventional and government mortgage loans secured by one-to-four family residential properties with maturities ranging from 5 years to 30 years or participations in pools of similar eligible mortgage loans from other MPF Banks.

The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase.

As of	September 30, 2016			December 31, 2015
Medium term (15 years or less)	$	448		$	662
Long term (greater than 15 years)	4,209			4,112
Unpaid principal balance	4,657			4,774
Net premiums, credit enhancement and deferred loan fees	36			20
Fair value hedging adjustments	30			37
MPF Loans held in portfolio, before allowance for credit losses	4,723			4,831
Allowance for credit losses on MPF Loans	(3		)	(3		)
MPF Loans held in portfolio, net	$	4,720		$	4,828
Conventional mortgage loans	$	3,543		$	3,568
Government Loans	1,114			1,206
Unpaid principal balance	$	4,657		$	4,774

See Note 8 - Allowance for Credit Lossesto the financial statements for information related to our credit losses on MPF Loans held in portfolio.

In addition to our portfolio MPF Products, PFIs sell eligible MPF Loans to us through the MPF Program infrastructure and we concurrently sell them to third party investors or hold MPF Loans in our held for sale portfolio in other assets for a short period of time until such loans are pooled into MBS.

20

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 8 – Allowance for Credit Losses

See Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2015 Form 10-K for further details pertaining to the methodologies and factors we consider when determining the amount to recognize as an allowance for credit losses, if any, for each portfolio segment identified below.

We have identified our portfolio segments as shown below:

•Member credit products (advances, letters of credit and other extensions of credit to borrowers);

•Conventional MPF Loans held in portfolio;

•Government Loans held in portfolio; and

•Federal Funds Sold and Securities Purchased Under Agreements to Resell.

Member Credit Products

We have not recorded any allowance for credit losses for our member credit products portfolio segment based upon our credit analysis and the repayment history on member credit products. We had no member credit products that were past due, on nonaccrual status, involved in a troubled debt restructuring or otherwise considered impaired. We have not recorded a separate liability to reflect credit losses on our member credit products with off-balance sheet credit exposure.

Conventional MPF Loans Held in Portfolio

For further detail of our MPF Risk Sharing Structure see page F-14 in our 2015 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2015. The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. Recorded investment in a conventional MPF Loan is its amortized cost basis plus related accrued interest receivable, if any. Recorded investment is not net of its allowance for credit losses but is net of any direct charge-off on the conventional MPF Loan.

As of	September 30, 2016		December 31, 2015
Recorded investment in conventional MPF Loans -
Individually evaluated for impairment	$	78	$	107
Collectively evaluated for impairment	3,533		3,519
Recorded investment	$	3,611	$	3,626
Allowance for credit losses on conventional MPF Loans -
Homogeneous pools of loans collectively evaluated for impairment	$	3	$	3

Government Loans Held in Portfolio

Servicing PFIs are responsible for absorbing any losses incurred on Government Loans held in portfolio that are not recovered from the government insurer or guarantor. We did not establish an allowance for credit losses on our Government Loans held in portfolio for the reporting periods presented based on our assessment that our servicing PFIs have the ability to absorb such losses. Further, Government Loans were not placed on nonaccrual status or disclosed as troubled debt restructurings for the same reason.

21

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Credit Quality Indicators - MPF Loans Held in Portfolio

The following table summarizes our recorded investment in MPF Loans by our key credit quality indicators, which include:

• "Serious delinquency rate" consists of MPF Loans that are 90 days or more past due or in the process of foreclosure, as a percentage of the total recorded investment. MPF Loans that are both 90 days or more past due and in the process of foreclosure are only included once in our serious delinquency rate calculation.

• "Past due 90 days or more still accruing interest" consists of MPF Loans that are either insured or guaranteed by the government or conventional mortgage loans that are well secured (by collateral that have a realizable value sufficient to discharge the debt or by the guarantee or insurance, such as Primary Mortgage Insurance, of a financially responsible party) and in the process of collection.

	September 30, 2016									December 31, 2015
As of	Conventional			Government			Total			Conventional			Government			Total
Past due 30-59 days	$	81		$	53		$	134		$	99		$	63		$	162
Past due 60-89 days	26			17			43			32			21			53
Past due 90 days or more	71			21			92			100			15			115
Past due	178			91			269			231			99			330
Current	3,433			1,044			4,477			3,395			1,130			4,525
Recorded investment	$	3,611		$	1,135		$	4,746		$	3,626		$	1,229		$	4,855
In process of foreclosure	$	36		$	5		$	41		$	51		$	3		$	54
Serious delinquency rate	2.02		%	1.87		%	1.98		%	2.77		%	1.23		%	2.38		%
Past due 90 days or more still accruing interest	$	7		$	21		$	28		$	10		$	15		$	25
On nonaccrual status	$	78		$	—		$	78		$	107		$	—		$	107

Individually Evaluated Impaired MPF Loans

The following table summarizes the recorded investment, unpaid principal balance, and related allowance for credit losses attributable to individually evaluated impaired conventional MPF Loans. Conventional MPF Loans are individually evaluated for impairment when they are adversely classified. There is no allowance for credit losses attributable to conventional MPF Loans that are individually evaluated for impairment, since the related allowance for credit losses have been charged off.

As of	September 30, 2016		December 31, 2015
Recorded investment without an allowance for credit losses	$	78	$	107
Unpaid principal balance without an allowance for credit losses	84		117

The following table summarizes the average recorded investment of impaired conventional MPF Loans. We do not recognize interest income on impaired loans.

	Three months ended September 30,				Nine months ended September 30,
	2016		2015		2016		2015
Average recorded investment without allowance for credit losses	$	81	$	118	$	89	$	132

Term Federal Funds Sold and Term Securities Purchased Under Agreements to Resell

We only had credit risk exposure to overnight Federal Funds sold and Securities Purchased Under Agreements to Resell as of September 30, 2016, and December 31, 2015. We did not have any term Federal Funds sold and Securities Purchased Under Agreements to Resell arrangements. We did not establish an allowance for credit losses for our overnight Federal Funds sold since all Federal Funds sold were repaid according to their contractual terms. We also did not establish an allowance for credit losses for overnight Securities Purchased Under Agreements to Resell since all payments due under the contractual terms have been received and we hold sufficient underlying collateral.

22

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 9 – Derivatives and Hedging Activities

Refer to Note 2 - Summary of Significant Accounting Policies in our 2015 Form 10-K for our accounting policies for derivatives.

We transact most of our derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Derivative transactions may be entered into through an over-the-counter bilateral agreement with an individual counterparty. Additionally, we clear some derivatives transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO) through a Futures Commission Merchant (FCM), a clearing member of the DCO. We are not a derivatives dealer and do not trade derivatives for speculative purposes.

Managing Credit Risk on Derivative Agreements

We are subject to credit risk due to the risk of nonperformance by counterparties to our derivative agreements. For bilateral derivative agreements, the degree of counterparty risk depends on the extent to which master netting arrangements, collateral requirements and other credit enhancements are included in such contracts to mitigate the risk. We manage counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies and FHFA regulations. We require collateral agreements on all derivatives that establish collateral delivery thresholds. Additionally, collateral related to derivatives with member institutions includes collateral assigned to us, as evidenced by a written security agreement, and held by the member institution for our benefit. Based on credit analyses and collateral requirements, we do not anticipate any credit losses on our derivative agreements. SeeNote 16 - Fair Value to the financial statements in our 2015 Form 10-K for discussion regarding our fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk.

Our over-the-counter bilateral derivative agreements may contain provisions that require us to post additional collateral with our counterparties if there is deterioration in our credit rating, except for those derivative agreements with a zero unsecured collateral threshold for both parties, in which case positions are required to be fully collateralized regardless of credit rating. If our credit rating is lowered by a major credit rating agency, such as Standard and Poor's or Moody’s, we would be required to deliver additional collateral on derivatives in net liability positions. If our credit rating had been lowered from its current rating to the next lower rating, we would have been required to deliver up to an additional $43 million of collateral at fair value to our derivatives counterparties at September 30, 2016.

Cleared swaps are subject to variation and initial margin requirements established by the DCO and its clearing members. We post variation and initial margin through the FCM, on behalf of the DCO, which could expose us to institutional credit risk in the event that an FCM or the DCO fail to meet their obligations. Clearing derivatives through a DCO mitigates counterparty credit risk exposure because the DCO is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives through an FCM. The DCO determines initial margin requirements for cleared derivatives. In this regard, an FCM may require additional initial margin to be posted based on credit considerations, including but not limited to, credit rating downgrades.  We had no requirement to post additional initial margin by our FCMs at September 30, 2016.

We present our derivative assets and liabilities on a net basis in our statements of condition. Refer to Note 1 - Background and Basis of Presentation for further discussion. In addition to the cash collateral as noted in the following table, we also pledged $90 million of investment securities that can be sold or repledged, as part of our initial margin related to cleared derivative transactions at September 30, 2016.

23

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

The following table presents our gross and net derivative assets and liabilities by contract type and amount for our derivative agreements.

	September 30, 2016										December 31, 2015
As of	Notional Amount		Derivative Assets				Derivative Liabilities				Notional Amount		Derivative Assets				Derivative Liabilities
Derivatives in hedge accounting relationships-
Interest rate swaps	$	24,256	$	40			$	1,156			$	25,140	$	30			$	1,082
Derivatives not in hedge accounting relationships-
Interest rate swaps	36,692		514				414				28,866		456				341
Interest rate swaptions	550		56				—				1,270		40				—
Interest rate caps or floors	1,129		51				—				1,131		76				—
Mortgage delivery commitments	1,178		1				1				479		1				1
Other	127		1				—				121		—				—
Derivatives not in hedge accounting relationships	39,676		623				415				31,867		573				342
Gross derivative amount before adjustments	$	63,932	663				1,571				$	57,007	603				1,424
Netting adjustments and cash collateral			(642		)	a	(1,523		)	a			(601		)	a	(1,369		)	a
Derivatives on statements of condition			$	21			$	48					$	2			$	55

^a  Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same FCM and/or counterparty. Cash collateral posted was $910 million and $793 million at September 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million.

The following table presents our gross recognized amount of offsetting derivative assets and liabilities for derivatives with legal right of offset as well as derivatives without the legal right of offset.

	Derivative Assets										Derivative Liabilities
As of September 30, 2016	Bilateral			Cleared				Total			Bilateral			Cleared			Total
Derivatives with legal right of offset -
Gross recognized amount	$	485		$	177			$	662		$	998		$	572		$	1,570
Netting adjustments and cash collateral	(483		)	(159		)		(642		)	(951		)	(572		)	(1,523		)
Derivatives with legal right of offset - net	2			18				20			47			—			47
Derivatives without legal right of offset	1			—				1			1			—			1
Derivatives on statements of condition	3			18				21			48			—			48
Cash collateral for initial margin				(1		)		(1		)
Noncash collateral received (pledged) and cannot be sold or repledged	1			(71		)	a	(70		)	—			—			—
Net amount	$	2		$	90			$	92		$	48		$	—		$	48
As of December 31, 2015
Derivatives with legal right of offset -
Gross recognized amount	$	509		$	93			$	602		$	1,182		$	241		$	1,423
Netting adjustments and cash collateral	(508		)	(93		)		(601		)	(1,140		)	(229		)	(1,369		)
Derivatives with legal right of offset - net	1			—				1			42			12			54
Derivatives without legal right of offset	1			—				1			1			—			1
Derivatives on statements of condition	2			—				2			43			12			55
Noncash collateral received (pledged) and cannot be sold or repledged	—			—				—			—			12			12
Net amount	$	2		$	—			$	2		$	43		$	—		$	43

^a  Represents noncash collateral pledged for initial margin for cleared derivatives.

At September 30, 2016, we had $19 million of additional net credit exposure on cleared derivatives due to our pledging of non-cash collateral to a DCO for initial margin, which exceeded our net derivative liability position. We had $50 million comparable exposure at December 31, 2015.

24

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

The following table presents the gains (losses) of derivatives and hedging activities as presented in the statements of income.

	Three months ended September 30,						Nine months ended September 30,
For the periods ending	2016			2015			2016			2015
Fair value hedges -
Interest rate swaps	$	5		$	(17	)	$	(7	)	$	(30	)
Fair value hedges	5			(17		)	(7		)	(30		)
Cash flow hedges	—			1			4			2
Economic hedges -
Interest rate swaps	(1		)	(14		)	(40		)	(43		)
Interest rate swaptions	(2		)	4			16			7
Interest rate caps or floors	(14		)	(4		)	(25		)	(12		)
Net interest settlements	16			16			44			60
Other	3			(1		)	1			(1		)
Economic hedges	2			1			(4		)	11
Gains (losses) on derivatives and hedging activities	$	7		$	(15	)	$	(7	)	$	(17	)

25

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Fair Value Hedges

The following table presents our fair value hedging results by the type of hedged item. We had no gain (loss) for hedges that no longer qualified as a fair value hedge. Additionally, the table indicates where fair value hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following:

• The amortization of closed fair value hedging adjustments, which are included in the interest income/expense line item of the respective hedged item type.

• The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type.

	On Derivative			On Hedged Item			Total Ineffectiveness Recognized in Derivatives and Hedging Activities			Amount Recorded in Net Interest Income
Three months ended September 30, 2016
Available-for-sale securities	$	51		$	(50	)	$	1		$	(31	)
Advances	35			(34		)	1			(17		)
MPF Loans held for portfolio	—			—			—			(2		)
Consolidated obligation bonds	(34		)	37			3			12
Total	$	52		$	(47	)	$	5		$	(38	)
Three months ended September 30, 2015
Available-for-sale securities	$	(40	)	$	29		$	(11	)	$	(33	)
Advances	(77		)	78			1			(22		)
MPF Loans held for portfolio	—			—			—			(4		)
Consolidated obligation bonds	87			(94		)	(7		)	54
Total	$	(30	)	$	13		$	(17	)	$	(5	)
Nine months ended September 30, 2016
Available-for-sale securities	$	(4	)	$	—		$	(4	)	$	(93	)
Advances	(143		)	143			—			(57		)
MPF Loans held for portfolio	—			—			—			(7		)
Consolidated obligation bonds	42			(45		)	(3		)	51
Total	$	(105	)	$	98		$	(7	)	$	(106	)
Nine months ended September 30, 2015
Available-for-sale securities	$	(28	)	$	15		$	(13	)	$	(111	)
Advances	(49		)	49			—			(63		)
MPF Loans held for portfolio	—			—			—			(11		)
Consolidated obligation bonds	117			(134		)	(17		)	169
Total	$	40		$	(70	)	$	(30	)	$	(16	)

26

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Cash Flow Hedges

We reclassify amounts in AOCI into our statements of income in the same periods during which the hedged forecasted transaction affects our earnings. We had no discontinued hedges. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were $(8) million as of September 30, 2016. The maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is 4 years.

The following table presents our cash flow hedging results by type of hedged item. Additionally, the table indicates where cash flow hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following:

• The amortization of closed cash flow hedging adjustments, which are reclassified from AOCI into the interest income/expense line item of the respective hedged item type.

• The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type.

		Ineffective Portion Recorded in Derivatives and Hedging Activities		Effective Portion Recorded in AOCI			Amount Recorded in Net Interest Income
Three months ended September 30, 2016
Advances	Interest rate floors	$	—	$	—		$	1
Discount notes	Interest rate swaps	—		84			(49		)
Total		$	—	$	84		$	(48	)
Three months ended September 30, 2015
Advances	Interest rate floors	$	—	$	—		$	2
Discount notes	Interest rate swaps	1		(29		)	(62		)
Total		$	1	$	(29	)	$	(60	)
Nine months ended September 30, 2016
Advances	Interest rate floors	$	—	$	—		$	7
Discount notes	Interest rate swaps	4		46			(147		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	4	$	46		$	(142	)
Nine months ended September 30, 2015
Advances	Interest rate floors	$	—	$	—		$	8
Discount notes	Interest rate swaps	2		14			(187		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	2	$	14		$	(181	)

27

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 10 – Consolidated Obligations

The FHLBs issue consolidated obligations through the Office of Finance as their agent. Consolidated obligations consist of discount notes and consolidated obligation bonds. Consolidated discount notes are issued to raise short-term funds, are issued at less than their face amount and redeemed at par value when they mature. The maturity of consolidated bonds may range from less than one year to over 20 years, but they are not subject to any statutory or regulatory limits on maturity.

The following table presents our consolidated obligation bonds, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates.

As of September 30, 2016	Contractual Maturity		Weighted Average Interest Rate		By Maturity or Next Call Date
Due in one year or less	$	9,756	1.16	%	$	20,922
One to two years	7,686		1.31	%	4,460
Two to three years	4,591		1.26	%	3,105
Three to four years	979		1.28	%	474
Four to five years	2,808		1.99	%	363
Thereafter	4,354		2.85	%	850
Par value	$	30,174	1.54	%	$	30,174

The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less.

As of	September 30, 2016			December 31, 2015
Carrying Amount	$	39,144		$	41,564
Par Value	39,164			41,584
Weighted Average Interest Rate	0.39		%	0.22		%

The following table presents consolidated obligation bonds outstanding by call feature:

As of	September 30, 2016			December 31, 2015
Noncallable	$	18,288		$	10,148
Callable	11,886			12,536
Par value	30,174			22,684
Fair value hedging adjustments	(49		)	(101		)
Other adjustments	14			(1		)
Consolidated obligation bonds	$	30,139		$	22,582

The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of September 30, 2016, and December 31, 2015. Refer to Note 17 - Commitments and Contingencies to the financial statements in our 2015 Form 10-K for further details.

	September 30, 2016									December 31, 2015
Par values as of	Bonds			Discount Notes			Total			Bonds			Discount Notes			Total
FHLB System total consolidated obligations	$	532,920		$	434,808		$	967,728		$	410,859		$	494,343		$	905,202
FHLB Chicago as primary obligor	30,174			39,164			69,338			22,684			41,584			64,268
As a percent of the FHLB System	6		%	9		%	7		%	6		%	8		%	7		%

28

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 11 – Capital and Mandatorily Redeemable Capital Stock (MRCS)

Under our Capital Plan our stock consists of two sub-classes of stock, Class B1 activity stock and Class B2 membership stock (together, Class B stock), both with a par value of $100 and redeemable on five years' written notice, subject to certain conditions. Under the Capital Plan, each member is required to own capital stock in an amount equal to the greater of a membership stock requirement or an activity stock requirement. Class B1 activity stock is available for purchase only to support a member's activity stock requirement. Class B2 membership stock is available to be purchased to support a member's membership stock requirement and any activity stock requirement.

Minimum Capital Requirements

For details on our minimum capital requirements, including how the ratios below were calculated, see Minimum Capital Requirements on page F-42 of our 2015 Form 10-K. We complied with our minimum regulatory capital requirements as shown below.

	September 30, 2016						December 31, 2015
	Requirement			Actual			Requirement			Actual
Risk-based capital	$	971		$	4,889		$	1,027		$	4,688
Total regulatory capital	$	2,999		$	4,889		$	2,827		$	4,688
Total regulatory capital ratio	4.00		%	6.52		%	4.00		%	6.63		%
Leverage capital	$	3,749		$	7,332		$	3,534		$	7,032
Leverage capital ratio	5.00		%	9.78		%	5.00		%	9.95		%

Total regulatory capital and leverage capital includes mandatorily redeemable capital stock (MRCS) but does not include AOCI. Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized.

The following members' regulatory capital stock exceeded 10% of our total regulatory capital stock outstanding:

As of September 30, 2016	Regulatory Capital Stock Outstanding			% of Total Outstanding
One Mortgage Partners Corp.	$	245	a	13	%
BMO Harris Bank, N.A.	$	219		11	%

^a  One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA.

Transfer of Capital Stock to Mandatorily Redeemable Capital Stock (MRCS)

During the first quarter of 2016, we transferred $294 million of our captive insurance company members' capital stock from equity to MRCS in liabilities on our statement of condition. The transfer was triggered by the issuance of the final FHFA rule on FHLB membership making captive insurance companies ineligible for FHLB membership, which was issued on January 20, 2016 and became effective February 19, 2016. Under this rule, our three captive insurance company members will have their memberships terminated by February 2021. The transfer from equity to MRCS in liabilities was required because the new rule creates an unconditional obligation requiring us to redeem our capital stock from our captive insurance company members after their membership terminates. We reclassify our capital stock from equity to MRCS in liabilities at fair value, which is its par value plus any dividends related to the capital stock. Par value represents fair value since our capital stock can only be acquired and redeemed or repurchased at par value. Further, our capital stock is not traded and no market mechanism exists for the exchange of stock outside our cooperative structure. Upon reclassification to MRCS, subsequent dividends are accrued at the expected dividend rate and reported as a component of interest expense in our statements of income.

Excess Capital Stock

In February 2016, we announced significant reductions in our membership stock and activity stock requirements, which went into effect on April 1, 2016. As a result of these changes, we held $593 million of excess capital stock on April 1, 2016. As of September 30, 2016, we held excess capital stock of $419 million. The reduction was a result of members requesting repurchase of their excess stock and members utilizing excess stock to support new advance borrowing activities.

29

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 12 - Accumulated Other Comprehensive Income (Loss)

The following table summarizes the gains (losses) in AOCI for the reporting periods indicated.

	Net Unrealized -			Non-credit OTTI -			Net Unrealized - Cash Flow Hedges
	Available-for-sale Securities			Held-to-maturity Securities						Post-Retirement Plans			AOCI
Three months ended September 30, 2016
Beginning balance	$	558		$	(196	)	$	(508	)	$	(5	)	$	(151	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(13		)	9			84			—			80
Amounts reclassified in period to statements of income:
Net interest income	—			—			(1		)				(1		)
Other comprehensive income in the period	(13		)	9			83			—			79
Ending balance	$	545		$	(187	)	$	(425	)	$	(5	)	$	(72	)
Three months ended September 30, 2015
Beginning balance	$	925		$	(238	)	$	(541	)	$	(7	)	$	139
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(79		)	11			(29		)	1			(96		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(1		)				(1		)
Non-interest gain (loss)	—			—			(1		)				(1		)
Other comprehensive income in the period	(79		)	11			(31		)	1			(98		)
Ending balance	$	846		$	(227	)	$	(572	)	$	(6	)	$	41
Nine months ended September 30, 2016
Beginning balance	$	658		$	(217	)	$	(463	)	$	(6	)	$	(28	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(113		)	30			46			1			(36		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(4		)				(4		)
Non-interest gain (loss)	—			—			(4		)				(4		)
Other comprehensive income in the period	(113		)	30			38			1			(44		)
Ending balance	$	545		$	(187	)	$	(425	)	$	(5	)	$	(72	)
Nine months ended September 30, 2015
Beginning balance	$	1,060		$	(264	)	$	(580	)	$	1		$	217
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(214		)	37			14			(7		)	(170		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(4		)				(4		)
Non-interest gain (loss)	—			—			(2		)				(2		)
Other comprehensive income in the period	(214		)	37			8			(7		)	(176		)
Ending balance	$	846		$	(227	)	$	(572	)	$	(6	)	$	41

30

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 13 - Fair Value

Fair value represents the exit price that we would receive to sell an asset or pay to transfer a liability in an orderly transaction with a market participant at the measurement date. Refer to Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2015 Form 10-K for our fair value measurement policies. For a description of the valuation techniques and significant inputs see Note 16 - Fair Value to the financial statements in our 2015 Form 10-K.

The following tables are a summary of the fair value estimates and related levels in the fair value hierarchy. The carrying amounts are as recorded in the statements of condition. These tables do not represent an estimate of our overall market value as a going concern; as they do not take into account future business opportunities and future net profitability of assets and liabilities. We had no transfers between levels in the fair value hierarchy for the periods shown.

The following table shows the fair values of financial instruments that are measured at amortized cost on our statements of condition, unless we elect the fair value option for such instruments, in which case, such instruments are measured at fair value on our statements of condition. Financial instruments for which we elected the fair value option are measured at fair value on a recurring basis and are shown on our statements of condition and are also included in the table on the following page, which details instruments carried at fair value on a recurring basis.

	Carrying Amount						Fair Value Hierarchy
				Fair Value			Level 1			Level 2			Level 3
September 30, 2016
Financial Assets -
Cash and due from banks	$	31		$	31		$	31		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	3,807			3,807			—			3,807			—
Securities purchased under agreements to resell	1,000			1,000			—			1,000			—
Held-to-maturity securities	4,788			5,308			—			4,266			1,042
Advances	43,117			43,149			—			43,149			—
MPF Loans held in portfolio, net	4,720			5,032			—			5,007			25
Financial Liabilities -
Deposits	(512		)	(512		)	—			(512		)	—
Consolidated obligation discount notes	(39,144		)	(39,146		)	—			(39,146		)	—
Consolidated obligation bonds	(30,139		)	(30,594		)	—			(30,594		)	—
Mandatorily redeemable capital stock	(302		)	(302		)	(302		)	—			—
December 31, 2015
Financial Assets -
Cash and due from banks	$	499		$	499		$	499		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	1,702			1,702			—			1,702			—
Securities purchased under agreements to resell	1,375			1,375			—			1,375			—
Held-to-maturity securities	5,967			6,513			—			5,293			1,220
Advances	36,778			36,736			—			36,736			—
MPF Loans held in portfolio, net	4,828			5,190			—			5,155			35
Financial Liabilities -
Deposits	(538		)	(538		)	—			(538		)	—
Consolidated obligation discount notes	(41,564		)	(41,563		)	—			(41,563		)	—
Consolidated obligation bonds	(22,582		)	(22,986		)	—			(22,931		)	(55		)	a
Mandatorily redeemable capital stock	(8		)	(8		)	(8		)	—			—
Subordinated notes	(944		)	(966		)	—			(966		)	—

^a  Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option.

31

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

The following table presents financial instruments measured at fair value on a recurring basis on our statements of condition. The Netting adjustment shown in the table reflects our policy of presenting derivative assets and liabilities on a net basis in our statements of condition. See Note 1 - Background and Basis of Presentation and Note 9 - Derivatives and Hedging Activities for further details. Advances, consolidated obligation discount notes and bonds, and mortgage loans held for sale resulted from our electing the fair value option.

September 30, 2016	Level 2			Level 3				Netting			Fair Value
Financial assets -
U.S. Government & other government related non-MBS	$	1,003		$	—						$	1,003
GSE residential MBS	42			—							42
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,047			—							1,047
U.S. Government & other government related non-MBS	367			—							367
State or local housing agency non-MBS	20			—							20
FFELP ABS	4,694			—							4,694
GSE residential MBS	8,922			—							8,922
U.S. Government-guaranteed residential MBS	1,500			—							1,500
Private-label residential MBS	—			58							58
Available-for-sale securities	15,503			58							15,561
Advances	703			—							703
Derivative assets	663			—				$	(642	)	21
Other assets - Mortgage loans held for sale	58			—							58
Financial assets at fair value	$	17,974		$	58			$	(642	)	$	17,390
Financial liabilities -
Consolidated obligation discount notes	$	(12,537	)	$	—						$	(12,537	)
Consolidated obligation bonds	(7,058		)	—							(7,058		)
Derivative liabilities	(1,571		)	—				$	1,523		(48		)
Financial liabilities at fair value	$	(21,166	)	$	—			$	1,523		$	(19,643	)
December 31, 2015
Financial assets -
U.S. Government & other government related non-MBS	$	1,108		$	—						$	1,108
GSE residential MBS	50			—							50
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,160			—							1,160
U.S. Government & other government related non-MBS	422			—							422
State or local housing agency non-MBS	18			—							18
FFELP ABS	5,299			—							5,299
GSE residential MBS	9,798			—							9,798
U.S. Government-guaranteed residential MBS	1,868			—							1,868
Private-label residential MBS	—			65							65
Available-for-sale securities	17,405			65							17,470
Advances	511			—							511
Derivative assets	598			5				$	(601	)	2
Other assets - Mortgage loans held for sale	54			—							54
Financial assets at fair value	$	19,728		$	70			$	(601	)	$	19,197
Financial liabilities -
Consolidated obligation discount notes	$	(9,006	)	$	—						$	(9,006	)
Consolidated obligation bonds	(952		)	(55		)	a				(1,007		)
Derivative liabilities	(1,424		)	—				$	1,369		(55		)
Financial liabilities at fair value	$	(11,382	)	$	(55	)		$	1,369		$	(10,068	)

^a  Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option.

32

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Fair Value Option

We elect the fair value option for financial instruments, such as advances, MPF Loans held for sale, discount notes, and consolidated obligation bonds, in cases where hedge accounting treatment may not be achieved. Specifically, hedge accounting may not be achieved in cases where it may be difficult to pass prospective or retrospective effectiveness testing under derivative hedge accounting guidance even though the derivatives used to hedge these financial instruments have matching terms. Accordingly, electing the fair value option allows us to better match the change in fair value of these financial instruments with the derivative economically hedging them.

The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status.

	September 30, 2016				December 31, 2015
As of	Advances		Consolidated Obligation Bonds		Advances		Consolidated Obligation Bonds
Unpaid principal balance	$	689	$	7,047	$	509	$	953
Fair value over (under) UPB	14		11		2		(1		)
Fair value	$	703	$	7,058	$	511	$	952

33

Notes to Financial Statements - (Unaudited)

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 14 – Commitments and Contingencies

The following table shows our commitments outstanding, which represent off-balance sheet obligations.

	September 30, 2016							December 31, 2015
As of	Expire within one year		Expire after one year			Total		Expire within one year		Expire after one year			Total
Unsettled consolidated obligation bonds	$	748	$	—		$	748	$	105	$	—		$	105
Unsettled consolidated obligation discount notes	500		—			500		—		—			—
Member standby letters of credit	8,283		2,140		a	10,423		5,063		1,615		a	6,678
Housing authority standby bond purchase agreements	46		262			308		49		362			411
Advance commitments	45		1			46		163		5			168
MPF delivery commitments	632		—			632		279		—			279
Other commitments	28		—			28		48		3			51
Commitments	$	10,282	$	2,403		$	12,685	$	5,707	$	1,985		$	7,692

^a  Contains $372 million and $637 million of member standby letters of credit at September 30, 2016, and December 31, 2015, which were renewable annually.

For a description of previously defined terms see Note 17 - Commitments and Contingencies to the financial statements in our 2015 Form 10-K.

Note 15 – Transactions with Related Parties and Other FHLBs

We define related parties as members that own 10% or more of our capital stock or members whose officers or directors also serve on our Board of Directors. Capital stock ownership is a prerequisite to transacting any member business with us. Members and former members own all of our capital stock.

In the normal course of business, we extend credit to or enter into other transactions with these related parties. All transactions are done at market terms that are no more favorable than the terms of comparable transactions with other members who are not considered related parties.

Members

The following table summarizes balances we had with our members who are related parties as defined above (including their affiliates). Members represented in these tables may change between periods presented, to the extent that our related parties change, based on changes in the composition of our Board membership or percentage of capital stock ownership over 10% as noted in Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS).

As of	September 30, 2016		December 31, 2015
Assets - Interest bearing deposits	$	650	$	650
Assets - Advances	16,016		15,168
Liabilities - Deposits	33		20
Equity - Capital Stock	483		467

Other FHLBs

From time to time, we may loan to, or borrow from, other FHLBs. All transactions are done at market terms that are no more favorable than the terms of comparable transactions with other counterparties. These transactions are overnight, maturing the following business day.  These transactions with other FHLBs, if any, are identified on the face of our Financial Statements.

34

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations.

Selected Financial Data

As of or for the three months ended	September 30, 2016			June 30, 2016			March 31, 2016			December 31, 2015			September 30, 2015
Selected statements of condition data
Total investments a	$	26,853		$	28,964		$	27,597		$	28,324		$	28,883
Advances	43,117			46,424			38,353			36,778			35,044
MPF Loans held in portfolio, gross	4,723			4,670			4,681			4,831			5,082
Less: allowance for credit losses	(3		)	(3		)	(2		)	(3		)	(3		)
Total assets	74,983			80,662			70,913			70,671			69,824
Consolidated obligation discount notes, net	39,144			45,876			40,293			41,564			37,290
Consolidated obligation bonds, net	30,139			29,091			24,021			22,582			26,062
Total capital stock	1,636			1,774			1,733			1,950			1,892
Total retained earnings	2,951			2,884			2,790			2,730			2,640
Mandatorily redeemable capital stock (MRCS)	302			302			302			8			9
Total capital	4,515			4,507			4,413			4,652			4,573
Other selected data at period end
MPF off-balance sheet loans outstanding FHLB System b	$	16,594		$	16,061		$	15,664		$	15,399		$	15,083
MPF off-balance sheet loans outstanding FHLB Chicago PFIs b	8,100			7,892			7,827			7,785			7,765
FHLB systemwide consolidated obligations (par)	967,728			963,810			896,828			905,202			856,511
Number of members	730			732			737			740			742
Total employees (full and part time)	443			432			425			422			410
Selected statements of income data
Net interest income after provision for credit losses	$	113		$	111		$	120		$	135		$	121
Non-interest gain (loss)	14			50			(3		)	10			(6		)
Non-interest expense	42			46			40			37			35
Net income	76			104			69			97			72
Other selected data during the periods
MPF off-balance sheet loan volume funded FHLB System b	$	1,298		$	960		$	703		$	849		$	807
MPF off-balance sheet loan volume funded FHLB Chicago PFIs b	609			395			277			329			363
Selected ratios (rates annualized)
Total regulatory capital to assets ratio	6.52		%	6.15		%	6.81		%	6.63		%	6.50		%
Market value of equity to book value of equity	108		%	107		%	107		%	108		%	108		%
Total investments - % of total assets	36		%	36		%	39		%	40		%	41		%
Advances - % of total assets	58		%	58		%	54		%	52		%	50		%
MPF Loans held in portfolio, net - % of total assets	6		%	6		%	7		%	7		%	7		%
Dividend rate class B1 activity stock-period paid	2.80		%	2.80		%	2.60		%	2.50		%	2.25		%
Dividend rate class B2 membership stock-period paid	0.60		%	0.60		%	0.60		%	0.50		%	0.50		%
Return on average assets	0.38		%	0.53		%	0.38		%	0.53		%	0.42		%
Return on average equity	6.70		%	9.38		%	5.87		%	8.44		%	6.31		%
Average equity to average assets	5.67		%	5.65		%	6.47		%	6.28		%	6.66		%
Net yield on average interest-earning assets	0.57		%	0.57		%	0.66		%	0.75		%	0.72		%
Return on average Regulatory Capital spread to three month LIBOR index	5.34		%	7.97		%	5.17		%	7.94		%	6.15		%
Cash dividends	$	9		$	10		$	9		$	7		$	7
Dividend payout ratio	12		%	10		%	13		%	7		%	10		%

^a  Total investments includes investment securities, interest bearing deposits, Federal Funds sold, and securities purchased under agreements to resell.

^b  MPF off-balance sheet loans are MPF Loans purchased from PFIs and concurrently resold to Fannie Mae or other third party investors under the MPF Xtra and MPF Direct products or pooled and securitized in Ginnie Mae MBS under the MPF Government MBS product. See Mortgage Partnership Finance Program beginning on page 7 in our 2015 Form 10-K.

35

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Forward-Looking Information

Statements contained in this report, including statements describing the objectives, projections, estimates, or future predictions of management, may be “forward-looking statements.” These statements may use forward-looking terminology, such as “anticipates,” “believes,” “expects,” “could,” “estimates,” “may,” “should,” “will,” their negatives, or other variations of these terms. We caution that, by their nature, forward-looking statements involve risks and uncertainties related to our operations and business environment, all of which are difficult to predict and many of which are beyond our control. These risks and uncertainties could cause actual results to differ materially from those expressed or implied in these forward-looking statements and could affect the extent to which a particular objective, projection, estimate, or prediction is realized. As a result, undue reliance should not be placed on such statements.

These forward-looking statements involve risks and uncertainties including, but not limited to, the following:

• changes in the demand by our members for advances, including the impact of the availability of other sources of funding for our members, such as deposits; 

• limits on our investments in long-term assets;

• the impact of new business strategies, including our ability to develop and implement business strategies focused on maintaining net interest income; the impact of our efforts to simplify our balance sheet on our market risk profile and future hedging costs; our ability to execute our business model, implement business process improvements and scale our size to our members' borrowing needs; the extent to which our members use our advances as part of their core financing rather than just as a back-up source of liquidity; and our ability to implement product enhancements and new products and generate enough volume in new products to cover our costs related to developing such products;

• the extent to which amendments to our Capital Plan, including our ability to reduce capital stock requirements for certain future advance borrowings, and our ability to continue to pay enhanced dividends on our activity stock, impact borrowing by our members;

• our ability to meet required conditions to repurchase and redeem capital stock from our members (including maintaining compliance with our minimum regulatory capital requirements and determining that our financial condition is sound enough to support such repurchases), and the amount and timing of such repurchases or redemptions;

• general economic and market conditions, including the timing and volume of market activity, inflation/deflation, unemployment rates, housing prices, the condition of the mortgage and housing markets, increased delinquencies and/or loss rates on mortgages, prolonged or delayed foreclosure processes, and the effects on, among other things, mortgage-backed securities; volatility resulting from the effects of, and changes in, various monetary or fiscal policies and regulations, such as those determined by the Federal Reserve Board and Federal Deposit Insurance Corporation; impacts from various measures to stimulate the economy and help borrowers refinance home mortgages and student loans; disruptions in the credit and debt markets and the effect on future funding costs, sources, and availability;

• volatility of market prices, rates, and indices, or other factors, such as natural disasters, that could affect the value of our investments or collateral; changes in the value or liquidity of collateral securing advances to our members;

• changes in the value of and risks associated with our investments in mortgage loans, mortgage-backed securities, and FFELP ABS and the related credit enhancement protections;

• changes in our ability or intent to hold mortgage-backed securities to maturity;

• changes in mortgage interest rates and prepayment speeds on mortgage assets;

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

• membership changes, including the withdrawal of members due to restrictions on our dividends or the loss of members through mergers and consolidations or through regulatory requirements; changes in the financial health of our members, including the resolution of some members; risks related to expanding our membership to include more institutions with regulators and resolution processes with which we have less experience;

• increased reliance on short-term funding and changes in investor demand and capacity for consolidated obligations and/or the terms of interest rate derivatives and similar agreements, including changes in the relative attractiveness of consolidated obligations as compared to other investment opportunities; changes in our cost of funds due to concerns over U.S. fiscal policy, and any related rating agency actions impacting FHLB consolidated obligations;

• political events, including legislative, regulatory, judicial, or other developments that affect us, our members, our counterparties and/or investors in consolidated obligations, including, among other things, the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) and related regulations and proposals and legislation related to housing finance and GSE reform; changes by our regulator and changes in the FHLB Act or applicable regulations as a result of the Housing and Economic Recovery Act of 2008 or as may otherwise be issued by our regulator, including regulatory changes to FHLB membership requirements proposed by the FHFA; the potential designation of us as a nonbank financial company for supervision by the Federal Reserve;

• the ability of each of the other FHLBs to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which we have joint and several liability;

• the pace of technological change and our ability to develop and support technology and information systems, including our ability to protect the security of our information systems and manage any failures, interruptions or breaches in our information systems or technology services provided to us through third-party vendors;

• our ability to attract and retain skilled employees;

• the impact of new accounting standards and the application of accounting rules, including the impact of regulatory guidance on our application of such standards and rules;

• the impact of the application of auditor independence rules to our independent auditor;

• the volatility of reported results due to changes in the fair value of certain assets and liabilities; and

• our ability to identify, manage, mitigate, and/or remedy internal control weaknesses and other operational risks.

For a more detailed discussion of the risk factors applicable to us, see Risk Factors in our 2015 Form 10-K on page 19.

These forward-looking statements are representative only as of the date they are made, and we undertake no obligation to update any forward-looking statement as a result of new information, future events, changed circumstances, or any other reason.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

Executive Summary

Third Quarter 2016 Financial Highlights

• We recorded net income of $76 million for the third quarter of 2016, up from $72 million in the third quarter of 2015.

• Net interest income for the third quarter of 2016 was $113 million, which included $9 million of income from investment security prepayments during the period. For the third quarter of 2015, net interest income was $122 million, which included $11 million of income from investment security prepayments during the period. While our legacy investment portfolio continues to pay down, investments that were indexed to three-month LIBOR benefited from the increase in three-month LIBOR rates. Separately, debt hedged with three-month LIBOR swaps was negatively impacted by higher three-month LIBOR rates. In addition, we have issued more long term debt at higher rates.

• Noninterest gain (loss) for the third quarter of 2016 was $14 million, up from a loss of $6 million for the third quarter of 2015 as we experienced increased gains on our balance sheet hedging activities.

• Noninterest expense increased to $42 million for the third quarter of 2016, compared to $35 million for the third quarter of 2015, with the increase driven mainly by an increase in compensation and benefits.

• Total investment securities decreased $3.2 billion to $21.4 billion at September 30, 2016, down 13% from $24.6 billion at December 31, 2015, as our investment portfolio continued to pay down during the period.

• Advances outstanding increased $6.3 billion to $43.1 billion at September 30, 2016, up 17% from $36.8 billion at December 31, 2015, as members continue to support investment activities and high loan growth in their communities.

• MPF Loans held in portfolio remained relatively flat from December 31, 2015, to September 30, 2016, as new MPF Loan volume helped offset paydown and maturity activity during the period.

• Total assets increased $4.3 billion to $75.0 billion as of September 30, 2016, up 6% compared to $70.7 billion as of December 31, 2015.

• We reached $2.95 billion in retained earnings at September 30, 2016.

• We remained in compliance with all of our regulatory capital requirements as of September 30, 2016.

Summary and Outlook

Third Quarter 2016 Dividend

On October 27, 2016, the Bank's Board of Directors maintained the dividend levels for the third quarter of 2016. The Board again recognized our members that borrow from the Bank by declaring a dividend of 2.80% (annualized) for Class B1 activity capital stock, based on the Bank’s preliminary financial results for the third quarter of 2016. The Board also declared a 0.60% dividend (annualized) for Class B2 membership capital stock.

Member Owned and Member Focused

At September 30, 2016, advances were $43.1 billion, up 17% from December 31, 2015, and letters of credit were $10.4 billion, up 56% from December 31, 2015. As the Bank’s members seek ways to increase their non-interest income, the volume in the traditional MPF products has continued to grow as well.

The Bank continues to focus on its members by striving to understand what members need from the Bank beyond serving as a reliable source of liquidity. The Bank continues to evaluate its performance by measuring how well it is enhancing the value of membership in the Bank.

The Bank’s Community First^® Disaster Relief Program is one way in which the Bank is supporting its members and their needs. In late September, the Bank funded the program with $500,000 to help northern Wisconsin communities hit by the severe storms and flooding that occurred on July 11-12, 2016.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

Results of Operations

Net Interest Income

Net interest income is the difference between the amount we recognize into interest income on our interest earning assets and the amount we recognize into interest expense on our interest bearing liabilities. These amounts were determined in accordance with GAAP and were based on the underlying contractual interest rate terms of our interest earning assets and interest bearing liabilities as well as the following items:

• Net interest paid or received on interest rate swaps that are accounted for as fair value or cash flow hedges;

• Amortization of premiums;

• Accretion of discounts and OTTI reversals;

• Amortization of hedge adjustments;

• Advance and investment prepayment fees; and

• MPF credit enhancement fees.

The tables on the following page present the increase or decrease in interest income and expense due to volume or rate variances. The calculation of these components includes the following considerations:

• Amortized cost basis is used to compute average daily balances for most of our financial instruments, including available for sale securities. Fair value is used to compute average daily balances for our trading securities and financial instruments carried at fair value under the fair value option.

• MPF Loans held in portfolio that are on nonaccrual status are included in average daily balances used to determine the effective yield/rate. Amounts included in interest income on MPF Loans held in portfolio are presented as detailed in MPF Loans Held in Portfolio, Net of Allowance for Credit Losses on page 46.

• Interest and effective yield/rate includes all components of net interest income as discussed above. Yields/rates are calculated on an annualized basis.

• Any changes due to the combined volume/rate variance have been allocated ratably to volume and rate.

39

(Dollars in tables in millions except per share amounts unless otherwise indicated)

	September 30, 2016						September 30, 2015						Increase (decrease) due to
For the three months ended	Average Balance		Total Interest		Yield/ Rate		Average Balance		Total Interest		Yield/ Rate		Volume			Rate			Net Change
Investment securities	$	21,547	$	174	3.23	%	$	24,188	$	195	3.22	%	$	(22	)	$	1		$	(21	)
Advances	44,300		74		0.67	%	33,318		45		0.54	%	18			11			29
MPF Loans held in portfolio	4,657		53		4.55	%	5,140		62		4.82	%	(6		)	(3		)	(9		)
Other interest bearing assets	8,443		8		0.38	%	5,506		2		0.15	%	3			3			6
Interest income on assets	78,947		309		1.57	%	68,152		304		1.78	%	41			(36		)	5
Consolidated obligation discount notes	44,417		95		0.86	%	34,080		72		0.85	%	22			1			23
Consolidated obligation bonds	29,461		99		1.34	%	28,565		96		1.34	%	3			—			3
Subordinated notes	—		—		—	%	944		14		5.93	%	(14		)	—			(14		)
Other interest bearing liabilities	845		2		0.95	%							2			—			2
Interest expense on liabilities	74,723		196		1.05	%	63,589		182		1.14	%	28			(14		)	14
Net yield on interest-earning assets	$	78,947	$	113	0.57	%	$	68,152	$	122	0.72	%	$	17		$	(26	)	$	(9	)
For the nine months ended
Investment securities	$	22,342	$	545	3.25	%	$	24,754	$	599	3.23	%	$	(58	)	$	4		$	(54	)
Advances	42,141		211		0.67	%	32,633		132		0.54	%	47			32			79
MPF Loans held in portfolio	4,684		165		4.70	%	5,455		197		4.82	%	(27		)	(5		)	(32		)
Other interest bearing assets	7,346		23		0.42	%	7,297		6		0.11	%	—			17			17
Interest income on assets	76,513		944		1.65	%	70,139		934		1.78	%	78			(68		)	10
Consolidated obligation discount notes	44,647		272		0.81	%	33,890		216		0.85	%	66			(10		)	56
Consolidated obligation bonds	26,184		299		1.52	%	30,769		304		1.32	%	(51		)	46			(5		)
Subordinated notes	565		24		5.66	%	944		41		5.79	%	(16		)	(1		)	(17		)
Other interest bearing liabilities	825		5		0.81	%							5			—			5
Interest expense on liabilities	72,221		600		1.11	%	65,603		561		1.14	%	54			(15		)	39
Net yield on interest-earning assets	$	76,513	$	344	0.60	%	$	70,139	$	373	0.71	%	$	29		$	(58	)	$	(29	)

Net interest income changed mainly due to the following:

• Interest income from investment securities declined primarily due to the decline in average investment balances as securities matured or paid down during the periods. Although we are no longer required to obtain FHFA approval for any new investments that have a term to maturity in excess of 270 days, we are currently unable to make additional investments in MBS/ABS under FHFA regulatory limits as discussed in Investments on page 12 in our 2015 Form 10-K. This decline in interest income was also negatively impacted by declines in accretion into interest income of expected improvements in future cash flows on securities that were previously charged with credit related OTTI. For the quarter ended September 30, 2016, we recorded accretion of $11 million compared to $12 million for the same period in 2015; and $37 million and $41 million for the comparable year to date periods ended September 30. Accretion is dependent upon how estimated market conditions impact future cash flows, and may vary from past experience.

• Interest income from advances increased due to higher member demand for advances along with increases in interest rates, primarily as a result of the Federal Reserve Bank's actions at year end 2015. The key factor resulting in the increased demand for advances was the result of our continuing the Reduced Capitalization Advance Program (RCAP), which is designed to make the net cost of borrowing through advances more attractive to members by allowing members to borrow new advances using less activity based capital stock.

• Interest income from MPF Loans held in portfolio declined due to the decrease in our outstanding MPF Loans held in portfolio. Though we have recently resumed purchasing MPF Loans, our purchases were not large enough to offset our loan paydown activity year over year.

40

(Dollars in tables in millions except per share amounts unless otherwise indicated)

• Interest income from other interest bearing assets comes primarily from interest bearing deposits, Federal Funds sold and securities sold under agreements to repurchase. The increase is primarily due to increases in rates as a result of the Federal Reserve Bank's actions at year end 2015 to raise short term interest rates by 25 bps.

• Interest expense increased, primarily due to higher volume outstanding on our consolidated obligations used to fund the growth in our assets. Rates overall on our consolidated obligations did not change materially during the periods presented.

• Our hedging activities also contributed a net reduction to net interest income. The low interest rate environment resulted in negative net interest settlements on derivative contracts in active hedge accounting relationships. For further details see Trading Securities, Derivatives and Hedging Activities, and Instruments Held at Fair Value Option in the following table.

Non-Interest Gain (Loss)

	Three months ended September 30,					Nine months ended September 30,
	2016		2015			2016			2015
Trading securities	$	—	$	(1	)	$	—		$	(2	)
Derivatives and hedging activities	7		(15		)	(7		)	(17		)
Instruments held under fair value option	—		1			6			4
Trading Securities, Derivatives and Hedging Activities, and Instruments Held Under Fair Value Option	7		(15		)	(1		)	(15		)
Litigation settlement awards	—		2			38			13
Other gain (loss), net	7		7			24			15
Noninterest gain (loss)	$	14	$	(6	)	$	61		$	13

Trading Securities, Derivatives and Hedging Activities, and Instruments Held Under Fair Value Option

Gains or (losses) on these activities have generally stabilized in recent years primarily as a result of less volatile hedging costs, which is consistent with the hedging strategies for our more simplified balance sheet, along with a more stable economy. However, most of our total net effect from hedging activities was recorded as a component of net interest income, not in the above non-interest gain (loss) line items. The low interest rate environment resulted in significant negative net interest settlements on derivative contracts. Details are in the table on the following page.

Litigation settlement awards

On October 15, 2010, we instituted litigation relating to 64 private-label MBS bonds we purchased in an aggregate original principal amount of $4.29 billion. In April 2016, we received a payment of $37.5 million (partially offset by $5.0 million of related legal fees and expenses recorded in Noninterest expense) resulting from a settlement with some of the defendants. We continue to pursue litigation related to these matters. As of September 30, 2016, the remaining litigation covers four private-label MBS bonds in the aggregate original principal amount of $77.5 million. We cannot predict to what extent we will be successful in this remaining litigation. See Legal Proceedings on page 60 for further details.

Other gain (loss), net

Other gain (loss), net, consists primarily of income from the sale of MPF Loans to third party investors and fees other FHLBs pay us to support their participation in the MPF Program, which offsets a portion of the expenses we incur.

41

(Dollars in tables in millions except per share amounts unless otherwise indicated)

The following table shows the impact of Trading Securities, Derivatives and Hedging Activities, and Instruments Held Under Fair Value Option on our results of operations. The largest contributor to the total net effect gain (loss) of hedging activities is net interest settlements. Net interest settlements are attributable to open derivative hedging instruments and are included in the interest income/expense line item of the respective fair value or cash flow hedged item type.The amortization/accretion amount pertains to both closed fair value and cash flow hedging adjustments, which are included in the interest income/expense line item of the respective hedged item type. For further details please see Note 9 - Derivatives and Hedging Activities to the Financial Statements in this Form 10-Q.

	Advances			Investments			MPF Loans			Discount Notes			Bonds			Total
Three months ended September 30, 2016
Recorded in net interest income	$	(16	)	$	(31	)	$	(2	)	$	(49	)	$	12		$	(86	)
Recorded in derivatives & hedging activities	6			1			6			(3		)	(3		)	7
Recorded on instruments held under fair value option	(4		)	—			(1		)	(2		)	7			—
Total net effect gain (loss) of hedging activities	$	(14	)	$	(30	)	$	3		$	(54	)	$	16		$	(79	)
Three months ended September 30, 2015
Recorded in net interest income	$	(20	)	$	(33	)	$	(4	)	$	(62	)	$	54		$	(65	)
Recorded in derivatives & hedging activities	(1		)	(11		)	(2		)	3			(4		)	(15		)
Recorded on instruments held under fair value option	1			—			—			—			—			1
Total net effect gain (loss) of hedging activities	$	(20	)	$	(44	)	$	(6	)	$	(59	)	$	50		$	(79	)
Nine months ended September 30, 2016
Recorded in net interest income	$	(50	)	$	(93	)	$	(7	)	$	(147	)	$	49		$	(248	)
Recorded in derivatives & hedging activities	(14		)	(5		)	13			2			(3		)	(7		)
Recorded in trading securities - hedged only	—			(1		)	—			—			—			(1		)
Recorded on instruments held under fair value option	12			—			(1		)	(7		)	2			6
Total net effect gain (loss) of hedging activities	$	(52	)	$	(99	)	$	5		$	(152	)	$	48		$	(250	)
Nine months ended September 30, 2015
Recorded in net interest income	$	(55	)	$	(111	)	$	(11	)	$	(187	)	$	167		$	(197	)
Recorded in derivatives & hedging activities	(4		)	(13		)	(3		)	9			(6		)	(17		)
Recorded on instruments held under fair value option	2			—			—			(2		)	4			4
Total net effect gain (loss) of hedging activities	$	(57	)	$	(124	)	$	(14	)	$	(180	)	$	165		$	(210	)

42

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Noninterest Expense

	Three months ended September 30,				Nine months ended September 30,
	2016		2015		2016		2015
Compensation and benefits	$	26	$	20	$	71	$	57
Operating expenses	15		13		44		38
Other	1		2		13		6
Noninterest expense	$	42	$	35	$	128	$	101

Compensation and benefits increased primarily due to defined benefit pension costs and other post retirement benefit related expenses (driven in part by the continued low interest rate environment and a change in the mortality tables used to calculate the estimated pension liability), and increased headcount and incentive compensation expenses. We had 443 employees as of September 30, 2016, compared to 410 as of September 30, 2015.

Other consists of legal fees and expenses related to litigation settlements and costs related to our share of funding the Office of Finance and the Federal Housing Finance Agency.

Assessments

We fund the Affordable Housing Program (AHP) program at a calculated rate of 10% of income before assessments.

43

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Other Comprehensive Income (Loss)

	Three months ended September 30,						Nine months ended September 30,
	2016			2015			2016			2015
Net unrealized gain (loss) available-for-sale securities	$	(13	)	$	(79	)	$	(113	)	$	(214	)
Non-credit OTTI held-to-maturity securities	9			11			30			37
Net unrealized gain (loss) cash flow hedges	83			(31		)	38			8
Post-retirement plans	—			1			1			(7		)
Other comprehensive income (loss)	$	79		$	(98	)	$	(44	)	$	(176	)

Net unrealized gain (loss) on available-for-sale securities

Our available-for-sale portfolio securities are in a net unrealized gain position (net of any offsetting related fair value hedge losses) as market interest rates have declined since we acquired these securities. As these securities mature, the net unrealized gain position gradually reverses to zero as we will only collect the face value at their maturity. Such reversals result in periodic net unrealized losses as individual securities mature. Our unrealized net gain position related to our available-for-sale securities portfolio in AOCI was $545 million as of September 30, 2016.

Non-credit OTTI on held-to-maturity securities

We accrete the non-credit related OTTI amount in AOCI to the carrying amount of each related held-to-maturity security over its remaining life. The decrease in the periods presented resulted from a decline in our outstanding non-credit OTTI balance, which drove a reduction in the accretion amounts. Our remaining non-credit OTTI amount on held-to-maturity securities in AOCI was $(187) million as of September 30, 2016. We expect this remaining amount to continue to decline as our OTTI held-to-maturity securities approach maturity.

Net unrealized gain (loss) on cash flow hedges

Our cash flow hedges are more sensitive to changes in longer-term market interest rates than to changes in shorter-term market interest rates. The net unrealized gains during 2016 resulted from an increase in interest rates compared to the beginning of the year, especially in the third quarter of 2016, offsetting losses recorded in earlier quarters when rates declined. As of September 30, 2016, we had a net unrealized (loss) of $(425) million in AOCI related to our cash flow hedges.

Post-retirement plans

In the first quarter of 2015, we recorded an unrealized loss in OCI of $(8) million due to a revision to the mortality tables used for our post-retirement healthcare and supplemental defined benefit equalization plan. This loss is being amortized into compensation and benefits expense over the average number of years of employment remaining before retirement. The annual amount of amortization is expected to be no more than $1 million.

For further information on the activity in Other Comprehensive Income (Loss) see Note 12 - Accumulated Other Comprehensive Income (Loss) to the financial statements.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

Statements of Condition

	September 30, 2016			December 31, 2015
Cash and due from banks, interest bearing deposits, Federal Funds sold, and securities purchased under agreement to resell	$	5,488		$	4,226
Investment securities	21,396			24,597
Advances	43,117			36,778
MPF Loans held in portfolio, net of allowance for credit losses	4,720			4,828
Other	262			242
Assets	$	74,983		$	70,671
Consolidated obligation discount notes	$	39,144		$	41,564
Consolidated obligation bonds	30,139			22,582
Subordinated notes	—			944
Other	1,185			929
Liabilities	70,468			66,019
Capital stock	1,636			1,950
Retained earnings	2,951			2,730
Accumulated other comprehensive income (loss)	(72		)	(28		)
Capital	4,515			4,652
Total liabilities and capital	$	74,983		$	70,671

Cash and due from banks, interest bearing deposits, Federal Funds sold, and securities purchased under agreements to resell

Amounts held in these accounts will vary each day based on the following:

• Interest rate spreads between Federal Funds sold and securities purchased under agreements to resell and our debt;

• Liquidity requirements;

• Counterparties available; and

• Collateral availability on securities purchased under agreements to resell.

Investment Securities

Although we are no longer required to obtain FHFA approval for any new investments that have a term to maturity in excess of 270 days, we are currently unable to make additional investments in MBS/ABS under FHFA regulatory limits as discussed in Investments on page 12 in our 2015 Form 10-K.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

Advances

Advances increased in 2016 primarily due to our members' interest in the benefits we offer our members through our continuing Reduced Capitalization Advance Program (RCAP), which is designed to make the net cost of borrowing through advances more attractive to members and allows members to borrow new advances using less activity stock.

While our advances increased, it is possible that member demand for our advances could decline in future periods should their funding needs change, or to the extent they elect alternative funding resources. In addition, as our advances with captive insurance companies mature, our total advance levels could decrease as further discussed in Legislative and Regulatory Developments on page 54 in our Form 10-Q for the quarter ended March 31, 2016.

MPF Loans Held in Portfolio, Net of Allowance for Credit Losses

We had a small net decrease in our outstanding MPF Loans from year end, as we resumed purchasing a higher volume of new loans during 2016 to help offset maturities and paydowns experienced in our MPF Loan portfolio. In the third quarter of 2016, our purchases were slightly greater than our current loan paydowns in the quarter. A portion of our new loans were refinancings, and this activity is dependent upon interest rates. If rates were to rise significantly, our refinancings may decline. For the year to date period ended September 30, 2016, we acquired $759 million in new MPF Loans to our portfolio, compared to $117 million in the same period in 2015.

In addition to our MPF Loans held in portfolio, we have MPF off-balance sheet products, where we buy and concurrently resell MPF Loans to Fannie Mae or other third party investors or pool and securitize them into Ginnie Mae MBS.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

Liquidity, Funding, & Capital Resources

Liquidity

For the period ending September 30, 2016, we have maintained a liquidity position in accordance with FHFA regulations and guidance, and policies established by our Board of Directors. Based upon our excess liquidity position described below, we anticipate remaining in compliance with our liquidity requirements. See Liquidity, Funding, & Capital Resources on page 48 in our 2015 Form 10-K for a detailed description of our liquidity requirements. We use different measures of liquidity as follows:

Overnight Liquidity – Our policy requires us to maintain overnight liquid assets at least equal to 3.5% of total assets. As of September 30, 2016, our overnight liquidity was $9.0 billion or 12% of total assets, giving us an excess overnight liquidity of $6.3 billion.

Deposit Coverage – To support our member deposits, FHFA regulations require us to have an amount equal to the current deposits invested in obligations of the U.S. Government, deposits in eligible banks or trust companies, or advances with maturities not exceeding five years. As of September 30, 2016, we had excess liquidity of $43.7 billion to support member deposits.

Contingency Liquidity – The cumulative five business day liquidity measurement assumes there is a localized credit crisis for all FHLBs where the FHLBs do not have the ability to issue new consolidated obligations or borrow unsecured funds from other sources (e.g., purchasing Federal Funds or customer deposits). Our net liquidity in excess of our total uses and reserves over a cumulative five-business-day period was $16.4 billion as of September 30, 2016.

In addition to the liquidity measures discussed above, FHFA guidance requires us to maintain daily liquidity through short-term investments in an amount at least equal to our anticipated cash outflows under two different scenarios. One scenario assumes that we cannot access the capital markets for 15 days and that during that time members do not renew any maturing, prepaid, and called advances. The second scenario assumes that we cannot access the capital markets for 5 days and that during that period we will automatically renew maturing and called advances for all members except for very large, highly rated members. These additional requirements are more stringent than the Contingency Liquidity requirement discussed above and are designed to enhance our protection against temporary disruptions in access to the FHLB debt markets in response to a rise in capital markets volatility. As a result of this guidance, we maintain increased balances in short-term investments. In addition, we fund certain overnight or shorter-term investments and advances with debt that has a maturity that extends beyond the maturities of the related investments or advances. For a discussion of how this may impact our earnings, see page 22 in the Risk Factors section of our 2015 Form 10-K.

We are sensitive to maintaining an appropriate liquidity and funding balance between our financial assets and liabilities, and we measure and monitor the risk of refunding such assets as liabilities mature (refunding risk). In measuring the level of assets requiring refunding, we take into account their contractual maturities, as further described in the notes to the financial statements. In addition, we make certain assumptions about their expected cash flows. These assumptions include: calls for assets with such features, projected prepayments and scheduled amortizations for our MPF Loans held in portfolio, MBS and ABS investments. The following table presents the unpaid principal balances of (1) MPF Loans held in portfolio, (2) AFS securities, and (3) HTM securities (including ABS and MBS investments), by expected principal cash flows. The table is illustrative of our assumptions about the expected cash flow of our assets, including prepayments made in advance of maturity.

	MPF Loans Held in Portfolio		Investment Securities
As of September 30, 2016			Available-for Sale		Held-to-Maturity
Year of Expected Principal Cash Flows
One year or less	$	1,329	$	1,347	$	1,707
After one year through five years	2,280		10,783		2,812
After five years through ten years	740		1,742		588
After ten years	308		795		162
Total	$	4,657	$	14,667	$	5,269

We consider our liabilities available to fund assets until their contractual maturity. For further discussion of the liquidity risks related to our access to funding, see page 24 of the Risk Factors section in our 2015 Form 10-K.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

Funding

Conditions in Financial Markets

During the third quarter of 2016, the Federal Open Market Committee (FOMC) delayed further interest rate hikes due to fragile economic growth and tepid inflation. Market indicators suggest a 25 basis point interest rate hike in December 2016 by the FOMC, one year after its last rate increase. The 10 year Treasury Note rose 13 basis points over the quarter ending at 1.60 percent.

We maintained ready access to funding during the quarter.

Cash flows from operating activities with significant changes

Nine months ended September 30,	2016			2015			Change
Net cash provided by (used in) operating activities -
Net income	$	249		$	252		$	(3	)
Non cash (gain) loss on derivatives and hedging activities	(44		)	133			(177		)
Other	(21		)	(10		)	(11		)
Net cash provided by (used in) operating activities	$	184		$	375		$	(191	)

Our operating assets and liabilities support our mission to provide our member shareholders competitively priced funding, a reasonable return on their investment in our capital stock, and support for community investment activities.  Operating assets and liabilities can vary significantly in the normal course of business due to the amount and timing of cash flows, which are affected by member-driven activities and market conditions. We believe cash flows from operations, available cash balances and our ability to generate cash through short- and long-term borrowings are sufficient to fund our operating liquidity needs. The $(191) million change in net cash provided by (used in) operating activities primarily resulted from the following:

• The non-cash adjustment attributable to the unrealized net changes in the fair value of our derivative instruments.

Cash flows from investing activities with significant changes

Nine months ended September 30,	2016			2015			Change
Net cash provided by (used in) investing activities -
Net change in Federal Funds sold, and securities purchased under agreements to resell	$	(1,730	)	$	805		$	(2,535	)
Net change in available-for-sale securities	1,775			1,440			335
Net change in held-to-maturity securities	1,253			1,452			(199		)
Net change in advances	(6,189		)	(2,508		)	(3,681		)
Net change in MPF Loans held in portfolio	108			968			(860		)
Other	137			47			90
Net cash provided by (used in) investing activities	$	(4,646	)	$	2,204		$	(6,850	)

Our investing activities predominantly include advances, MPF Loans held in portfolio, investment securities, and other

short-term interest-earning assets. The $(6.9) billion change in net cash provided by (used in) investing activities primarily resulted from the following:

• The increase in net cash (used in) funding advances reflects our objective to make advances to our members our

primary business;

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

• The increase in net cash (used in) acquiring Federal Funds sold and securities purchased under agreements to resell reflects our objective to invest in liquid assets to meet the needs of our members; and

• The decrease in net cash (used in) purchasing MPF Loans Held in Portfolio reflects our decision in mid 2015

to resume these purchases.

Cash flows from financing activities with significant changes

Nine months ended September 30,	2016			2015			Change
Net cash provided by (used in) financing activities -
Net change in discount notes	(2,443		)	6,225			(8,668		)
Net change in consolidated obligation bonds	7,496			(8,274		)	15,770
Payments for retiring of subordinated debt	(944		)	—			(944		)
Other	(115		)	(266		)	151
Net cash provided by (used in) financing activities	$	3,994		$	(2,315	)	$	6,309

Our financing activities primarily reflect cash flows related to issuing and repaying consolidated obligations. The proceeds from the net increases in our consolidated obligation discount notes and consolidated obligations bonds were primarily utilized to fund the net increases in our investing activities as noted above. The $6.3 billion change in net cash provided by (used in) financing activities primarily resulted from the following:

• A net increase in our consolidated obligation debt outstanding, with a shift in funding from our consolidated obligation discount notes to consolidated obligation bonds; and

• The retirement of our subordinated notes.

Capital Resources

Capital Rules

Under our Second Amended and Restated Capital Plan of the Federal Home Loan Bank of Chicago, effective October 1, 2015 (Capital Plan), our stock consists of two sub-classes of stock, Class B1 activity stock and Class B2 membership stock (together, Class B stock), both with a par value of $100 and redeemable on five years' written notice, subject to certain conditions. Each member is required to own capital stock in an amount equal to the greater of a membership stock requirement or an activity stock requirement. Class B1 activity stock is available for purchase only to support a member's activity stock requirement. Class B2 membership stock is available to be purchased to support a member's membership stock requirement and any activity stock requirement.

Under our Capital Plan, our Board of Directors may set a threshold of between $10,000 and $75 million on the amount of Class B2 membership stock that would otherwise be held for membership if a member has advances outstanding that have an activity stock requirement in excess of the threshold amount. In that case, the amount of Class B2 membership stock that exceeds such threshold and is necessary to support advance activity is automatically converted into Class B1 activity stock. That threshold is currently set at $10,000, which means that we will convert to Class B1 activity capital stock any capital stock supporting advances that exceeds the lesser of the member's membership requirement or $10,000.

The Board of Directors may periodically adjust members' activity stock requirement for certain new advances within a range of 2% and 6% of a member's outstanding advances. Our Board implemented this provision through RCAP as further discussed below. In addition, our Board reduced each member's activity stock requirement from 5% to 4.5% for non-RCAP advances, effective April 1, 2016.

Our Capital Plan allows for an activity stock requirement for MPF Loans acquired for our portfolio within a range of 0% and 6%, which our Board has set at 0%. Should the Board decide to introduce this capital requirement, we intend to notify members sufficiently in advance of the change and apply that change only to future acquisitions.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

The Board may periodically adjust members’ membership stock requirement within a range of 0.20% to 2% of a member’s mortgage assets. In February 2016, our Board reduced the membership stock requirement to the greater of either $10,000 or 0.40% of a member's mortgage assets. A member’s investment in membership stock is subject to a cap equal to the lesser of (1) a dollar cap set by the Board within a range of $10,000 and $75 million, and (2) 9.9% of our total capital stock outstanding as of the prior December 31. Also in February 2016 , the Board reduced the dollar cap on membership stock from $25 million to $5 million, which is less than 9.9% of the Bank’s total capital stock at December 31, 2015, and thus the operative cap during the remainder of 2016 unless the Board sets a new cap.

Membership stock requirements will continue to be recalculated annually, whereas the activity stock requirement and any automatic conversion of Class B2 membership stock to Class B1 activity stock related to the threshold will apply on a daily basis. The revised membership stock and activity stock requirements discussed above went into effect on April 1, 2016. As a result of these changes, we held $593 million of excess capital stock on April 1, 2016. As of September 30, 2016, we held excess capital stock of $419 million. The reduction was a result of members requesting repurchase of their excess stock and members utilizing excess stock to support new advance borrowing activities.

We may only redeem or repurchase capital stock from a member if, following the redemption or repurchase, the member continues to meet its minimum investment requirement and we remain in compliance with our regulatory capital requirements discussed below.

Members that withdraw from membership must wait at least five years after their membership was terminated and all of their capital stock was redeemed or repurchased before being readmitted to membership in any FHLB.

Under the terms of our Capital Plan, our Board of Directors is authorized to amend the Capital Plan, and the FHFA must approve all such amendments before they become effective.

Reduced Capitalization Advance Program

RCAP allows members to borrow one or more advances with an activity stock requirement of only 2% for the life of the advance instead of the 4.5% requirement under our Capital Plan’s general provisions. Since June 1, 2016, we have offered a more flexible version of RCAP, under which members can borrow both short- and long-term funding, including overnight advances, with the reduced activity stock capital requirement.

Capital Amounts

The following table reconciles our capital reported in our statements of condition to the amount of capital stock reported for regulatory purposes. MRCS is included in the calculation of the regulatory capital and leverage ratios but is recorded in Other liabilities in our statements of condition.

	September 30, 2016			December 31, 2015			Change
Capital stock	$	1,636		$	1,950		$	(314	)
Total retained earnings	2,951			2,730			221
Accumulated other comprehensive income (loss)	(72		)	(28		)	(44		)
Total GAAP capital	$	4,515		$	4,652		$	(137	)
Capital Stock	$	1,636		$	1,950		$	(314	)
MRCS	302			8			294
Total retained earnings	2,951			2,730			221
Regulatory capital	$	4,889		$	4,688		$	201

Although we have had no OTTI in 2016, credit deterioration may negatively impact our remaining private-label MBS portfolio.  We believe that future impairments of this portfolio are possible if unemployment rates, default, delinquency, or loss rates on mortgages were to increase, or there is a further decline in residential real estate value. We cannot predict if or when such impairments will occur, or the impact such impairments may have on our retained earnings and capital position. See page 28 of the Risk Factors section of our 2015 Form 10-K.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

We may not pay dividends if we fail to satisfy our minimum capital and liquidity requirements under the FHLB Act and FHFA regulations.

On October 27, 2016, our Board of Directors approved maintaining the dividend levels for the third quarter of 2016 and declared a 2.80% dividend (annualized) for Class B1 activity stock and a 0.60% dividend (annualized) for Class B2 membership stock based on our preliminary financial results for the third quarter of 2016. This dividend, including dividends on mandatorily redeemable capital stock, totaled $11 million and will be paid on November 14, 2016.  With this action, the Board continues the practice of rewarding members that use the Bank’s advances and support the financial health of the entire cooperative. Although we continue to work to maintain our financial strength to support a reasonable dividend, any future dividend determination by our Board will be at our Board's sole discretion and will depend on future operating results, our Retained Earnings and Dividend Policy and any other factors the Board determines to be relevant. For further information about our Retained Earnings and Dividend Policy, see Retained Earnings and Dividend Policy on page 57 in our 2015 Form 10-K.

We continue to allocate 20% of our net income each quarter to a restricted retained earnings account in accordance with the Joint Capital Enhancement Agreement that we entered into with the other FHLBs, as further discussed in Joint Capital Enhancement Agreement on page F-43 in our 2015 Form 10-K.

The increase in MRCS and decrease in Capital Stock in the above table is mostly due to the transfer in the first quarter of 2016 of $294 million of our captive insurance company members' capital stock from equity to MRCS in liabilities on our statement of condition. For further details see Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements.

Critical Accounting Policies

The table below identifies our critical accounting policies and estimates and the page number where a detailed description of each can be found in our 2015 Form 10-K.

Estimating Credit Losses	Page 60
Estimating Fair Value	Pages 60-61

See Note 2 - Summary of Significant Accounting Policies and Note 3 - Recently Issued but Not Yet Adopted Accounting Standards to the financial statements in this Form 10-Q for the impact of changes in accounting policies and recently issued accounting standards on our financial results.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

Risk Management - Credit Risk

Managing Our Credit Risk Exposure Related to Member Credit Products

Our credit risk rating system focuses primarily on our member's overall financial health and takes into account the member's asset quality, earnings, and capital position. For further information please see Member Credit Risk Ratings on page 63 in our 2015 Form 10-K.

The following table presents the number of members and related credit outstanding to them by credit risk rating. Credit outstanding consists primarily of outstanding advances and letters of credit. MPF credit enhancement obligations, member derivative exposures, and other obligations make up the rest. Of the total credit outstanding, $42.8 billion were advances (par value) and $10.4 billion were letters of credit at September 30, 2016, compared to $36.6 billion and $6.7 billion at December 31, 2015.

	September 30, 2016									December 31, 2015
Rating	Borrowing Members	% of Total		Credit Outstanding		% of Total		Collateral Loan Value		Borrowing Members	% of Total		Credit Outstanding		% of Total		Collateral Loan Value
1-3	492	97	%	$	53,218	100	%	$	99,480	482	94	%	$	43,090	100	%	$	90,366
4	6	1	%	47		—	%	129		12	2	%	158		—	%	318
5	12	2	%	100		—	%	242		20	4	%	145		—	%	353
Total	510	100	%	$	53,365	100	%	$	99,851	514	100	%	$	43,393	100	%	$	91,037

MPF Loans and Related Exposures

For details on our allowance for credit losses on MPF Loans, please see Note 8 - Allowance for Credit Losses to the financial statements.

Mortgage Repurchase Risk

We are exposed to mortgage repurchase risk in connection with our sale of MPF Loans to third party investors and MPF Loans securitized into MBS when a loan eligibility requirement or other warranty is breached. We may require the PFI from which we purchased the ineligible MPF Loan to repurchase that loan from us or indemnify us for related losses.

For the three and nine months ended September 30, 2016, we have repurchased $2 million and $8 million of unpaid principal balances related to MPF Loans. Due to recoveries from PFIs, we incurred no material losses on these loans. As of September 30, 2016, we have $21 million of unpaid principal with respect to mortgage loans that represent unresolved claims with investors in which a repurchase demand may occur, compared to $38 million at December 31, 2015.

For further details, see Mortgage Repurchase Risk on page 66 in our 2015 Form 10-K.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

Investment Securities

We hold a variety of investment securities, mostly government backed or insured securities such as GSE debt and FFELP ABS, and we believe these investments are low risk. There was no material change in the credit ratings of these AA or better rated securities since December 31, 2015, and except for private-label MBS as noted below, we have never taken an impairment charge on these securities. For further details see page 69 in our 2015 Form 10-K.

Our private-label MBS are predominantly variable rate securities rated below investment grade (BBB). There was no material change in overall credit quality since December 31, 2015, nor have we acquired any new private-label MBS. We last had an other-than-temporary impairment (OTTI) loss on private-label MBS in 2012. We currently have unrealized gains on these securities as their market values have improved from the impaired values and subsequent to 2012 we have begun recording accretion gains on these securities back into income. For further details see Note 5 - Investments Securities to the financial statements in this Form 10-Q as well as pages F-27 and F-28 in our 2015 Form 10-K.

Unsecured Short-Term Investments Credit Exposure

For further details on our unsecured short-term investments as well as policies and procedures to limit and monitor our unsecured credit risk exposure, see page 72 in our 2015 Form 10-K.

The following table presents the credit ratings of our unsecured investment credit exposures by the domicile of the counterparty or the domicile of the counterparty's parent for U.S. branches and agency offices of foreign commercial banks. This table does not reflect the foreign sovereign government's credit rating. The unsecured investment credit exposure presented in the table may not reflect the average or maximum exposure during the period as the table reflects only the balances at period end.

As of September 30, 2016	AA		A		BBB		Unrated		Total
Domestic U.S.
Interest-Bearing Deposits	$	—	$	650	$	—	$	—	$	650
Fed Funds Sold	—		—		188		19		207
U.S. branches and agency offices of foreign commercial banks - Federal Funds sold:
Australia	500		—		—		—		500
Canada	—		1,100		—		—		1,100
Finland	500		—		—		—		500
Netherlands	—		500		—		—		500
Norway	—		500		—		—		500
Sweden	—		500		—		—		500
Total unsecured credit exposure	$	1,000	$	3,250	$	188	$	19	$	4,457

All $4.5 billion of the unsecured credit exposure shown in the above table were overnight investments.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

Managing Our Credit Risk Exposure Related to Derivative Agreements

Refer to Note 9 - Derivatives and Hedging Activities to the financial statements for a discussion of how we manage our credit risk exposure related to derivative agreements. We have credit exposure on net asset positions where we have not received adequate collateral from our counterparties. We also have credit exposure on net liability positions where we have pledged collateral in excess of our liability to a counterparty.

The following table presents our derivative positions where we have such credit exposures. The rating used was the lowest rating among the three largest Nationally Recognized Statistical Rating Organizations. Non-cash collateral pledged consists of initial margin we posted through our FCMs, on behalf of the DCOs for cleared derivatives and is included in our derivative positions with credit exposure.

	Net Fair Value Before Collateral			Cash Collateral Pledged		Non-cash Collateral Pledged		Net Credit Exposure to Counterparties
As of September 30, 2016
Non-member counterparties -
Undercollateralized asset positions -
Bilateral derivatives -
Cleared derivatives	$	—		$	1	$	—	$	1
Overcollateralized liability positions -
Bilateral derivatives -
AA rated	(17		)	17		—		—
A rated	(29		)	29		—		—
Cleared derivatives	(395		)	413		90		108
Non-member counterparties	(441		)	460		90		109
Member institutions	1			—		—		1
Total	$	(440	)	$	460	$	90	$	110
As of December 31, 2015
Non-member counterparties -
Overcollateralized liability positions -
Bilateral derivatives -
AA rated	$	(14	)	$	14	$	—	$	—	a
A rated	(4		)	4		—		—		a
Cleared derivatives	(147		)	136		62		51
Non-member counterparties	(165		)	154		62		51
Member institutions	1			—		—		1
Total	$	(164	)	$	154	$	62	$	52

^a  Less than $1 million.

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(Dollars in tables in millions except per share amounts unless otherwise indicated)

Legislative and Regulatory Developments

Significant regulatory actions and developments are summarized below.

Minority and Women Inclusion

On October 27, 2016, the FHFA proposed amendments to its Minority and Women Inclusion regulations that, if adopted, would clarify the scope of the FHLBs’ obligation to promote diversity and ensure inclusion. These proposed amendments update existing FHFA regulations aimed at promoting diversity and the inclusion and utilization of minorities, women, and individuals with disabilities in all Bank business and activities, including management, employment and contracting.

The proposed amendments would:

• require the FHLBs to develop standalone diversity and inclusion strategic plans or incorporate diversity and inclusion into their existing strategic planning processes and adopt strategies for promoting diversity and ensuring inclusion;

• encourage the FHLBs to expand contracting opportunities for minorities, women, and individuals with disabilities through subcontracting arrangements;

• require the FHLBs to amend their policies on equal opportunity in employment and contracting by adding sexual orientation, gender identity, and status as a parent to the list of protected classifications; and

• require the FHLBs to provide information in their annual reports to the FHFA about their efforts to advance diversity and inclusion through capital market transactions, affordable housing and community investment programs, initiatives to improve access to mortgage credit, and strategies for promoting the diversity of supervisors and managers.

Comments on the proposed amendments are due by December 27, 2016. We are currently assessing the effect the proposed amendments would have on us if adopted.

FHLB Membership for Non-Federally-Insured Credit Unions

On September 28, 2016, the FHFA proposed amendments to regulations governing FHLB membership that would implement statutory amendments to the FHLB Act authorizing FHLBs to accept applications for membership from state-chartered credit unions without Federal share insurance, provided that certain prerequisites have been met. The new rule, if adopted, would generally treat these credit unions the same as other depository institutions with an additional requirement that they obtain an affirmative statement from their state regulator that they meet the requirements for Federal insurance as of the date of their application for FHLB membership; a written statement from the state regulator that it cannot or will not make any determination regarding eligibility for Federal insurance; or if the regulator fails or refuses to respond to the credit union’s request within six months, confirmation of the failure to receive a response.

Comments are due on the proposed rule by November 28, 2016. We are currently assessing the effect of the proposed rule but do not anticipate that, if adopted, it would materially impact us.

Indemnification Payments

On September 20, 2016, the FHFA issued a re-proposed rule that, if adopted, would establish standards for identifying whether an indemnification payment by a FHLB or the Office of Finance to an officer, director, employee, or other entity-affiliated party in connection with an administrative proceeding or civil action instituted by the FHFA is prohibited or permissible. Under the proposed rule, those payments with respect to an administrative proceeding or civil action initiated by the FHFA are only permitted if they relate to:

• premiums for professional liability insurance or fidelity bonds for directors and officers, to the extent that the insurance or fidelity bond covers expenses and restitution, but not a judgment in favor of the FHFA or a civil money penalty;

• expenses of defending an action, subject to an agreement to repay those expenses in certain instances; and

• amounts due under an indemnification agreement entered into on or prior to September 20, 2016.

The proposed rule also outlines the process a board of directors must undertake prior to making any permitted indemnification payment for expenses of defending an action instituted by the FHFA.

Comments are due on the proposed rule by December 21, 2016. We are currently assessing the effect the proposed rule would have on us if adopted.

55

(Dollars in tables in millions except per share amounts unless otherwise indicated)

FRB Framework for Implementing the U.S. Basel III Countercyclical Capital Buffer

On September 8, 2016, the FRB adopted a final policy statement (“Policy Statement”) describing the framework that the FRB will follow in setting the countercyclical capital buffer (“CCyB”) for banking organizations that are subject to the advanced approaches capital rules, generally those with more than $250 billion in assets or $10 billion in on-balance-sheet foreign exposures, and to any depository institution subsidiary of such banking organizations. The CCyB supplements the minimum capital requirements and other capital buffers included in existing regulations, which were designed to provide resilience to unexpected losses created by normal fluctuations in economic and financial conditions.

Although the Policy Statement does not directly impact us, the potential impact on borrowings by our few larger members is uncertain.

FHLB New Business Activities

On August 23, 2016, the FHFA proposed a rule that, if adopted, would reduce the scope of new business activities (“NBAs”) for which a FHLB must seek approval from the FHFA and would establish more certain timelines for FHFA review and approval of NBA notices. The proposed rule also would clarify the protocol for FHFA review of NBAs. Under the proposed rule, acceptance of new types of legally permissible collateral by the FHLBs would not constitute a new business activity or require approval from the FHFA prior to acceptance. Instead, the FHFA would review new collateral types as part of the annual exam process.

On October 24, 2016, the FHLBs provided comments to the proposed rule, which primarily relate to certain procedures under the proposed rule. We do not anticipate that the proposed rule, if adopted, would materially impact us.

Mandatory Contractual Stay Requirements for Qualified Financial Contracts (“QFCs”)

On August 19, 2016, the Office of the Comptroller of the Currency (“OCC”) issued a proposed rule, which, if adopted, would require certain systemically important financial institutions (“SIFI”) regulated by the OCC to amend their covered qualified financial contracts (“QFCs”) to limit a counterparty’s immediate termination or exercise of default rights in the event of bankruptcy or receivership of the SIFI or an affiliate of the SIFI. Covered QFCs include derivatives, repurchase agreements (known as “repos”) and reverse repos, and securities lending and borrowing agreements. On May 3, 2016, the Federal Reserve Board (“FRB”) issued a substantively identical proposed rule with respect to QFCs entered into with globally systemically important banking organizations (“GSIBs”) and their affiliates that are subject to regulation in the U.S. Further, on October 26, 2016, the Federal Deposit Insurance Corporation ("FDIC") issued a substantively identical proposed rule with respect to QFCs entered into with certain FDIC-supervised institutions.

The FHLBs provided comments on the FRB proposed rule on August 5, 2016 and to the OCC proposed rule on October 18, 2016, which primarily seek clarification of an exemption and the recognition of a safe harbor. The FHLBs are considering whether to comment on the FDIC's proposed rule. We do not anticipate that the proposed rules, if adopted, would materially impact us.

European Union (“EU”) Market Abuse Regulation

The EU issued updated Market Abuse Regulations (“MAR”) that became effective July 3, 2016 which contain rules on insider dealing, unlawful disclosure of inside information and market manipulation for debt and equity securities on European securities exchanges, which differ in certain respects from U.S. regulations. MAR applies to issuers with securities admitted to trading on the EU exchanges, including EU exchanges on which FHLB consolidated obligations are listed. MAR contains an exemption to its requirements for certain public bodies and central banks of third countries. The OF and the FHLBs are examining whether this exemption applies. If the exemption does not apply, we anticipate that the most significant impact of the MAR on us will be more stringent and detailed recordkeeping, creation of detailed lists on parties who have access to inside information, and notification requirements.

Financial Industry Regulatory Authority (“FINRA”) Rule 4210 establishing margin requirements for the TBA Market

On June 15, 2016, the SEC approved a proposed rule by FINRA to require the margining of certain “to-be-announced” (“TBA”) transactions. Specifically, the approved FINRA Rule 4210 will require FINRA members to collect from, but not post to, their customers maintenance margin (i.e. initial margin) and variation margin on transactions that are "Covered Transactions" (as defined in FINRA rules), subject to certain exemptions. Under the rule, we are exempt from posting initial margin but would be required to post variation margin to our FINRA-member counterparty in connection with covered transactions, provided we have more than $10 million in gross open positions with the counterparty.

FINRA members will be required to comply with the new margin requirements beginning in December 2017. We are currently assessing the financial and operational impacts of this rule.

56

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Measurement of Market Risk Exposure

To measure our exposure, we discount the cash flows generated from modeling the terms and conditions of all interest rate-sensitive securities using current interest rates to determine their fair values or spreads to the swap curve for securities where third party prices are used. This includes considering explicit and embedded options using a lattice model or Monte Carlo simulation. We estimate yield curve, option, and basis risk exposures by calculating the fair value change in relation to various parallel changes in interest rates, implied volatility, prepayment speeds, spreads to the swap curve and mortgage rates.

The table below summarizes our sensitivity to various interest rate risk exposures in terms of changes in market value.

				Option Risk						Basis Risk
	Yield Curve Risk			Implied Volatility			Prepayment Speeds			Spread to Swap Curve			Mortgage Spread
As of September 30, 2016
Advances	$	(4	)	$	—		$	—		$	(10	)	$	—
MPF Loans	(1		)	(1		)	(3		)	(2		)	1
Mortgage Backed Securities	(3		)	—			(1		)	(4		)	—
Other interest earning assets	(1		)	—			—			(3		)	—
Interest-bearing liabilities	5			3			—			5			—
Derivatives	3			(2		)	—			—			—
Total	$	(1	)	$	—		$	(4	)	n/m			$	1
As of December 31, 2015
Advances	$	(3	)	$	—		$	—		$	(10	)	$	—
MPF Loans	(1		)	(2		)	(2		)	(2		)	1
Mortgage Backed Securities	(4		)	(1		)	(1		)	(5		)	—
Other interest earning assets	(1		)	—			—			(3		)	—
Interest-bearing liabilities	6			5			—			6			—
Derivatives	3			(3		)	—			—			—
Total	$	—		$	(1	)	$	(3	)	n/m			$	1

n/m Spread movements to the swap curve within each category are independent of the other categories and therefore a total is not meaningful.

Yield curve risk – Change in market value for a one basis point parallel increase in the swap curve.

Option risk (implied volatility) – Change in market value for a one percent parallel increase in the swaption volatility.

Option risk (prepayment speeds) – Change in market value for a one percent increase in prepayment speeds.

Basis risk (spread to swap curve) – Change in market value for a one basis point parallel increase in the spread to the swap curve.

Basis risk (mortgage spread) – Change in market value for a one basis point increase in mortgage rates.

As of September 30, 2016, our sensitivity to changes in implied volatility was zero. At December 31, 2015, our sensitivity to changes in implied volatility was $(1) million. These sensitivities are limited in that they do not incorporate other risks, including but not limited to, non-parallel changes in yield curves, and basis risk related to differences between the swap and the other curves. Option positions embedded in our mortgage assets and callable debt impact our yield curve risk profile, such that swap curve changes significantly greater than one basis point cannot be linearly interpolated from the table above.

57

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Duration of equity is another measure to express interest rate sensitivity. We report the results of our duration of equity calculations to the FHFA each quarter. We measure duration of equity in a base case using the actual yield curve as of a specified date and then shock it with an instantaneous shift of the entire curve. The following table presents the duration of equity reported by us to the FHFA in accordance with the FHFA's guidance, which prescribes that down and up interest-rate shocks equal 200 basis points. The results are shown in years of duration equity.

September 30, 2016			December 31, 2015
Down 200 bps	Base	Up 200 bps	Down 200 bps	Base	Up 200 bps
2.5	1.0	1.0	2.8	0.6	0.7

Duration gap is another measure of interest rate sensitivity. Duration gap is calculated by dividing the dollar duration of equity by the fair value of assets. A positive duration gap indicates an exposure to rising interest rates. As of September 30, 2016, our duration gap was 0.9 months, compared to 0.5 months as of December 31, 2015.

As of September 30, 2016, on a U.S. GAAP basis, our fair value surplus (relative to book value) was $399 million, and our market value of equity to book value of equity ratio was 108%, compared to $351 million and 108% at December 31, 2015. Our market to book value of total capital for regulatory risk-based capital purposes differs from this GAAP calculation,as discussed in Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements.

Our Asset/Liability Management Committee provides oversight of market risk management practices and policies. This includes routine reporting to senior management and the Board of Directors, as well as maintaining the Income and Market Value Risk Policy, which defines our interest rate risk limits. The table below reflects the change in market risk limits under the Income and Market Value Risk Policy.

	September 30, 2016						December 31, 2015
Scenario as of	Change in Market Value of Equity			Loss Limit			Change in Market Value of Equity			Loss Limit
-200 bp	$	60.1		$	(370.0	)	$	123.0		$	(370.0	)
-100 bp	125.7			(155.0		)	65.2			(155.0		)
-50 bp	42.4			(60.0		)	21.8			(60.0		)
-25 bp	16.9			(30.0		)	7.5			(30.0		)
+25 bp	(11.4		)	(30.0		)	(6.4		)	(30.0		)
+50 bp	(20.2		)	(60.0		)	(13.9		)	(60.0		)
+100 bp	(35.9		)	(155.0		)	(31.3		)	(155.0		)
+200 bp	(80.3		)	(370.0		)	(62.8		)	(370.0		)

58

(Dollars in tables in millions except per share amounts unless otherwise indicated)

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of management, including our principal executive officer and principal financial officer, we conducted an evaluation of the effectiveness of the design and operation of our disclosure controls and procedures, as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended, as of the end of the period covered by this report (the Evaluation Date). Based on this evaluation, the principal executive officer and principal financial officer concluded as of the Evaluation Date that the disclosure controls and procedures were effective such that information relating to us that is required to be disclosed in reports filed with the SEC (i) is recorded, processed, summarized, and reported within the time periods specified in SEC rules and forms, and (ii) is accumulated and communicated to management, including our principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

For the most recent quarter presented in this Form 10-Q, there were no changes in our internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

Consolidated Obligations

Our disclosure controls and procedures include controls and procedures for accumulating and communicating information relating to our joint and several liability for the consolidated obligations of other FHLBs. For further information, see Item 9A. Controls and Procedures on page 82 of our 2015 Form 10-K.

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PART II - OTHER INFORMATION

Item 1. Legal Proceedings.

On October 15, 2010, the Bank instituted litigation relating to 64 private-label MBS bonds purchased by the Bank in an aggregate original principal amount of $4.29 billion. Of the three cases that were filed by the Bank, only the action filed in the Circuit Court of Cook County, Illinois remains active. As of September 30, 2016, this litigation covers four private-label MBS bonds in the aggregate original principal amount of $77.5 million.

In this action, the Bank asserts claims for untrue or misleading statements in the sale of securities, signing or circulating securities documents that contained material misrepresentations, and negligent misrepresentation. The Bank seeks the remedies of rescission, recovery of damages, and recovery of reasonable attorneys' fees and costs of suit. As of September 30, 2016, Morgan Stanley & Co., Incorporated, and certain of its affiliates, remain as the sole defendants in the Illinois action.

The Bank may also be subject to various other legal proceedings arising in the normal course of business. After consultation with legal counsel, management is not aware of any other proceedings that might have a material effect on the Bank's financial condition or results of operations.

Item 1A. Risk Factors.

In addition to the information presented in this report, readers should carefully consider the factors set forth in the Risk Factors section on page 19 in our 2015 Form 10-K, which could materially affect our business, financial condition, or future results. These risks are not the only risks facing us. Additional risks and uncertainties not currently known to us or that we currently deem to be immaterial may also severely affect us.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

Not applicable.

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

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Item 5. Other Information.

PricewaterhouseCoopers LLP (PwC) serves as the independent registered public accounting firm for us and the other FHLBs. Rule 2-01(c)(1)(ii)(A) of Regulation S-X (the Loan Rule) prohibits an accounting firm, such as PwC, from having certain financial relationships with their audit clients and affiliated entities. Specifically, the Loan Rule provides, in the relevant part, that an accounting firm generally would not be independent if it receives a loan from a lender that is a “record or beneficial owner of more than ten percent of the audit client’s equity securities.”

PwC has advised the Bank that as of September 30, 2016 it has borrowing relationships with one Bank member (referred to below as the “Lender”) who owns more than ten percent of the Bank’s capital stock, which could call into question PwC’s independence with respect to the Bank. The Bank is providing this disclosure to explain the facts and circumstances as well as PwC’s and the Audit Committee’s conclusions concerning PwC’s objectivity and impartiality with respect to the audit of the Bank.

PwC advised the Audit Committee of the Bank that it believes that, in light of the facts of the borrowing relationship, its ability to exercise objective and impartial judgment on all matters encompassed within PwC’s audit engagement have not been impaired and that a reasonable investor with knowledge of all relevant facts and circumstances would reach the same conclusion. PwC has advised the Audit Committee that this conclusion is based in part on the following considerations:

• the borrowings are in good standing and the Lender does not have the right to take action against PwC, as borrower, in connection with the financings;

• the debt balances outstanding are immaterial to PwC and to the Lender;

• PwC has borrowing relationships with a diverse group of lenders, therefore PwC is not dependent on any single lender or group of lenders; and

• the PwC audit engagement team has no involvement in PwC’s treasury function and PwC’s treasury function has no oversight or ability to influence the PwC audit engagement team.

Additionally, the Audit Committee of the Bank assessed PwC’s ability to perform an objective and impartial audit, including consideration of the ownership and governance structure of the Bank, the limited voting rights of the Bank’s members and the composition of the board of directors. In addition to the above listed considerations, the Audit Committee considered the following:

• although the Lender owned more than ten percent of the Bank’s capital stock, the voting power of the Lender's capital stock is less than ten percent;

• no individual officer or director of a member or independent director that serves on the board of directors has the ability to significantly influence the Bank based on the composition of the board of directors; and

• as of September 30, 2016, no officer or director of the Lender serves on the board of directors of the Bank.

Based on the Audit Committee’s evaluation, the Audit Committee has concluded that PwC’s ability to exercise objective and impartial judgment on all issues encompassed within PwC’s audit engagement has not been impaired.

If in the future, however, PwC is ultimately determined under the Loan Rule not to be independent with respect to the Bank, or permanent relief regarding this matter is not granted by the SEC, the Bank may need to take other actions and incur other costs in order for the Bank’s previously filed Annual Reports on Form 10-K and Quarterly Reports on Form 10-Q to be deemed compliant with applicable securities laws. Such actions may include, among other things, obtaining a new audit of our historical financial statements by another independent registered public accounting firm. Any of the foregoing could have an adverse impact on the Bank.

For further discussion of Bank members owning more than ten percent of the Bank’s capital stock at September 30, 2016, please see Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements in this Form 10-Q. For a discussion of the voting rights of our members, please see Item 10 - Directors, Executive Officers, and Corporate Governance - 2015 Director Election on page 84 in our 2015 Form 10-K.

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Item 6. Exhibits.

10.1	MPF Consolidated Interbank Agreement, dated as of July 22, 2016
31.1	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 by the Principal Executive Officer
31.2	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 by the Principal Financial Officer
32.1	Certification pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 by the Principal Executive Officer
32.2	Certification pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 by the Principal Financial Officer
101.INS	XBRL Instance Document
101.SCH	XBRL Taxonomy Extension Schema Document
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document
101.LAB	XBRL Taxonomy Extension Label Linkbase Document
101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document

62

Glossary of Terms

Advances: Secured loans to members.

ABS: Asset-backed-securities.

AFS: Available-for-sale securities.

AOCI: Accumulated Other Comprehensive Income.

Capital Plan: The Second Amended and Restated Capital Plan of the Federal Home Loan Bank of Chicago, effective as of October 1, 2015.

CBSA: Core Based Statistical Areas (CBSAs), which are based upon an assessment of the individual housing markets. 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.

Consolidated Obligations (CO): FHLB debt instruments (bonds and discount notes) which are the joint and several liability of all FHLBs; issued by the Office of Finance.

Consolidated obligation bonds: Consolidated obligations that make periodic interest payments with a term generally over one year, although we have issued for terms of less than one year.

DCO: Derivatives Clearing Organization. A clearinghouse, clearing association, clearing corporation, or similar entity that enables each party to an agreement, contract, or transaction to substitute, through novation or otherwise, the credit of the DCO for the credit of the parties; arranges or provides, on a multilateral basis, for the settlement or netting of obligations; or otherwise provides clearing services or arrangements that mutualize or transfer credit risk among participants.

Discount notes: Consolidated obligations with a term of one year or less, which sell at less than their face amount and are redeemed at par value when they mature.

Dodd-Frank Act: Dodd-Frank Wall Street Reform and Consumer Protection Act, enacted July 21, 2010.

Excess capital stock: Capital stock held by members in excess of their minimum investment requirement.

Fannie Mae: Federal National Mortgage Association.

FASB: Financial Accounting Standards Board.

FCM: Futures Commission Merchant.

FFELP: Federal Family Education Loan Program.

FHFA: Federal Housing Finance Agency - The Housing and Economic Recovery Act of 2008 enacted on July 30, 2008 created the Federal Housing Finance Agency which became the regulator of the FHLBs.

FHLB Act: The Federal Home Loan Bank Act of 1932, as amended.

FHLBs: The 11 Federal Home Loan Banks or subset thereof.

FHLB System: The 11 FHLBs and the Office of Finance.

FHLB Chicago: The Federal Home Loan Bank of Chicago.

Freddie Mac: Federal Home Loan Mortgage Corporation.

GAAP: Generally accepted accounting principles in the United States of America.

Ginnie Mae: Government National Mortgage Association.

Ginnie Mae MBS: Mortgage-backed securities guaranteed by Ginnie Mae. 

63

Government Loans: Mortgage loans insured or guaranteed by the Federal Housing Administration, the Department of Housing and Urban Development, the Department of Veterans Affairs or Department of Agriculture Rural Housing Service.

GSE: Government sponsored enterprise.

HFS: Held for sale.

HTM: Held-to-maturity securities.

LIBOR: London Interbank Offered Rate.

MBS: Mortgage-backed securities.

Moody's: Moody's Investors Service.

MPF^®: Mortgage Partnership Finance.

MPF Banks: FHLBs that participate in the MPF program.

MPF Direct product: The MPF Program product under which we acquire jumbo MPF Loans from PFIs and concurrently resell them to a third party investor.

MPF Government MBS product: The MPF Program product under which we aggregate Government Loans acquired from PFIs in order to issue securities guaranteed by the Ginnie Mae that are backed by such Government Loans.

MPF Loans: Conventional and government mortgage loans secured by one-to-four family residential properties with maturities from five to 30 years or participations in such mortgage loans that are acquired under the MPF Program.

MPF Program: A secondary mortgage market structure that provides liquidity to FHLB members that are PFIs through the purchase or funding by an FHLB of MPF Loans.

MPF Xtra^® product: The MPF Program product under which we acquire MPF Loans from PFIs and concurrently resell them to Fannie Mae.

MRCS: mandatorily redeemable capital stock. 

Nonaccrual MPF Loans: Nonperforming mortgage loans in which the collection of principal and interest is determined to be doubtful or when interest or principal is past due for 90 days or more, except when the MPF Loan is well secured and in the process of collection.

Office of Finance: A joint office of the FHLBs established to facilitate issuing and servicing of consolidated obligations.

OTTI: Other-than-temporary impairment.

PFI: Participating Financial Institution. A PFI is a member (or eligible housing associate) of an MPF Bank that has applied to and been accepted to do business with its MPF Bank under the MPF Program.

PwC: PricewaterhouseCoopers LLP.

RCAP: Reduced Capitalization Advance Program.

Recorded Investment: Recorded investment in a loan is its amortized cost basis plus related accrued interest receivable, if any. Recorded investment is not net of an allowance for credit losses but is net of any direct charge-off on a loan. Amortized cost basis is defined as either the amount funded or the cost to purchase MPF Loans held in portfolio. Specifically, the amortized cost basis includes the initial fair value amount of the delivery commitment as of the purchase or settlement date, agent fees (i.e., market risk premiums or discounts paid to or received from PFIs), if any, subsequently adjusted, if applicable, for accretion, amortization, collection of cash, charge-offs, and cumulative basis adjustments related to fair value hedges.

Regulatory capital: Regulatory capital stock plus retained earnings.

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Regulatory capital stock: The sum of the paid-in value of capital stock and mandatorily redeemable capital stock.

SEC: Securities and Exchange Commission.

System or FHLB System: The Federal Home Loan Bank System consisting of the 11 Federal Home Loan Banks and the Office of Finance.

TBA: A forward contract on a mortgage-backed security (MBS), typically issued by a U.S. government sponsored entity, whereby a seller agrees to deliver an MBS for an agreed upon price on an agreed upon date.

UPB: Unpaid Principal Balance.

U.S.: United States

65

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

		FEDERAL HOME LOAN BANK OF CHICAGO
		/s/    Matthew R. Feldman
		Name:	Matthew R. Feldman
		Title:	President and Chief Executive Officer
Date:	November 3, 2016	(Principal Executive Officer)
		/s/   Roger D. Lundstrom
		Name:	Roger D. Lundstrom
		Title:	Executive Vice President and Chief Financial Officer
Date:	November 3, 2016	(Principal Financial Officer and Principal Accounting Officer)

S-1

EX-10.1

EXHIBIT 10.1

MPF^® CONSOLIDATED INTERBANK AGREEMENT

by and between

FEDERAL HOME LOAN BANK OF ATLANTA

FEDERAL HOME LOAN BANK OF BOSTON

FEDERAL HOME LOAN BANK OF CHICAGO

FEDERAL HOME LOAN BANK OF DALLAS

FEDERAL HOME LOAN BANK OF DES MOINES

FEDERAL HOME LOAN BANK OF NEW YORK

FEDERAL HOME LOAN BANK OF PITTSBURGH

FEDERAL HOME LOAN BANK OF SAN FRANCISCO

FEDERAL HOME LOAN BANK OF TOPEKA

Dated as of July 22, 2016

“Mortgage Partnership Finance,” “MPF,” and “eMPF” are registered trademarks of the Federal Home Loan Bank of Chicago.

1731216.4

TABLE OF CONTENTS

MPF^®CONSOLIDATED INTERBANK AGREEMENT        1

RECITALS    1

ARTICLE I. DEFINITIONS    1

Section 1.1.Certain Definitions.    1

ARTICLE II. FHLB PARTICIPATION IN THE MPF PROGRAM    1

Section 2.1.Participation in the MPF Program.    1

Section 2.2.Applicability of Agreement.    2

Section 2.3.FHLB Guide.    2

ARTICLE III. MPF PROVIDER RESPONSIBILITIES        3

Section 3.1.Services of the MPF Master Servicer.        3

Section 3.2.Administration of Non-Member Servicers.    4

Section 3.3.Loan Funding and Reporting Systems.    4

Section 3.4.Reports.    5

Section 3.5.MPF Program System Enhancements.    5

Section 3.6.Quality Control and Loss Mitigation.        5

Section 3.7.Financial Reporting and Controls.    5

Section 3.8.Support of MPF Bank PFIs.    5

Section 3.9.Services of the Custodian.    5

Section 3.10. Service Level Commitments.    5

ARTICLE IV. MPF BANK RESPONSIBILITIES    6

Section 4.1.Administration of the MPF Program.        6

Section 4.2.Management of Assets.    6

Section 4.3.Eligibility and Creditworthiness of PFIs.    6

Section 4.4.Relationship of the Parties; Restrictions on Transfers.    6

Section 4.5.Loan Loss Reserves.    7

Section 4.6.Extent of MPF Bank Responsibilities.    7

ARTICLE V. PROGRAM LOAN FUNDING AND PRICING    7

Section 5.1.Execution of Master Commitments.    7

Section 5.2.Pricing.    7

Section 5.3.Delivery Commitments.    8

Section 5.4.Alternative Pricing by MPF Bank and Related Delivery Commitments.    8

Section 5.5.Transactional Relationships.    8

Page i of iii

ARTICLE VI. SERVICING TRANSFERS BETWEEN PFIS OF DIFFERENT MPF BANKS    8

Section 6.1.Transfers of Servicing.    9

Section 6.2.MPF Provider Reliance.    10

ARTICLE VII. MORTGAGE PARTICIPATIONS AMONG MPF BANKS    10

Section 7.1.Sale and Purchase of Participations Among MPF Banks.    10

Section 7.2.Participation Provisions.    10

Section 7.3.Participant Bank’s Representations.    15

Section 7.4.Lead Bank’s Representations.        15

Section 7.5.Covenants.    15

Section 7.6.Participant Bank’s Default.    15

Section 7.7.Lead Bank’s Default.    16

ARTICLE VIII. ADDITIONAL PRODUCTS AND PROVIDER PROGRAM LOANS16

Section 8.1.Use of Additional Products and Provider Program Loans.    16

Section 8.2.Assignment of Master Commitments.    16

Section 8.3.Sponsored Accounts.    16

Section 8.4.Transfer of Servicing of Provider Program Loans.    17

Section 8.5.Participating in Additional Products.    17

ARTICLE IX. SERVICES FEES    17

Section 9.1.MPF Membership Fee.    17

Section 9.2.Transaction Services Fee.    17

Section 9.3.Additional Services Fees.    17

Section 9.4.Counterparty Fees.    18

ARTICLE X. MARKETING AND TRAINING    18

Section 10.1.MPF Program Marketing to Members.    18

Section 10.2.Training.    18

ARTICLE XI. MPF PROGRAM REPRESENTATIONS AND COVENANTS        18

Section 11.1.Risk of Loss.    18

Section 11.2.Default by PFIs; Enforcement.    18

Section 11.3.Use of Intellectual Property.    19

Section 11.4.Authorization and Enforceability.    19

Section 11.5.MPF Provider’s Representations and Warranties.    19

Section 11.6.Use of Proprietary Information and Confidentiality.        19

Section 11.7.Additional Covenants.        20

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ARTICLE XII. INDEMNIFICATION AND EXCULPATION    20

Section 12.1.MPF Bank’s Indemnification Obligations.    20

Section 12.2.MPF Provider’s Indemnification Obligations.    21

Section 12.3.Participant Bank’s and Lead Bank’s Indemnification Obligations.    21

Section 12.4.Additional Product Indemnification Obligations.    22

Section 12.5.Engagement in the MPF Program Exclusion From Indemnification.     22

Section 12.6.Exculpations.    22

ARTICLE XIII. TERM AND TERMINATION    22

Section 13.1.Term of Agreement and Termination.        22

Section 13.2.Events of Default.    23

Section 13.3.Termination and Other Remedies.    23

Section 13.4.Obligations Regarding PFIs; Support for Program Loans.    24

Section 13.5.Survival.    25

Section 13.6.Termination Relating to Approved Non-Member Servicers.    25

ARTICLE XIV. MISCELLANEOUS    25

Section 14.1.Notices.    25

Section 14.2.The Guides and Other Documents.    25

Section 14.3.Addresses.    25

Section 14.4.Effect of Agreement.    25

Section 14.5.Execution in Counterparts; Delivery of Signatures.    26

Section 14.6.Governing Law.    26

Section 14.7.Severability of Provisions.    26

Section 14.8.Successors and Assigns; No Third-Party Beneficiaries.    26

Section 14.9.Waivers and Amendments.    26

Section 14.10.References to Sections, Exhibits and Agreement; Captions.    27

Section 14.11.Specific Performance.    27

Section 14.12.Mediation of Disputes; Jurisdiction and Venue.    27

Section 14.13.No Joint and Several Liability; Necessary Parties.    28

Section 14.14.Amendment and Restatement        28

Section 14.15.Equal Treatment of MPF Banks.    28

ARTICLE XV. SIGNATURES29

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MPF^® CONSOLIDATED INTERBANK AGREEMENT

This MPF Consolidated Interbank Agreement is entered into this 22^nd day of July, 2016, (the “Effective Date”) by and among each of the Federal Home Loan Banks that execute this Agreement (each an “MPF Bank” and collectively the “MPF Banks”) and the Federal Home Loan Bank of Chicago in its capacity as the “MPF Provider”. Each of the MPF Banks and the MPF Provider shall hereinafter be referred to as a “Party” and collectively the “Parties”.

RECITALS

WHEREAS, the MPF Program is a program under which MPF Banks purchase residential mortgage loans originated pursuant to the requirements of the Guides from PFIs;

WHEREAS, each MPF Bank has entered into a separate Services Agreement, with the Federal Home Loan Bank of Chicago, in its capacity as the MPF Provider;

WHEREAS, the MPF Banks entered among themselves and with the MPF Provider into a Liquidity Option and Master Participation Agreement;

WHEREAS, the MPF Banks also entered among themselves and with the MPF Provider into Servicing Transfer Agreements;

WHEREAS, the MPF Banks desire to continue their participation in the MPF Program and to consolidate the MPF Agreements into this Agreement, to amend the provisions of the MPF Agreements in part and to transfer certain provisions of the MPF Agreements relating to operating and support procedures to the FHLB Guide, with the intention that this Agreement and the FHLB Guide supersede the MPF Agreements; and

WHEREAS, the MPF Banks intend that each Federal Home Loan Bank that desires to participate in the MPF Program become a Party to this Agreement.

NOW, THEREFORE, in consideration of the foregoing recitals, the mutual promises and agreements herein and other good and valuable consideration, the receipt and adequacy of which are hereby acknowledged, the Parties hereto agree as follows:

ARTICLE I.DEFINITIONS

Section 1.1.Certain Definitions.

All capitalized terms used in this Agreement, which includes the recitals, shall have the meanings set forth in the Glossary of the FHLB Guide or in the Guides or as defined in this Agreement. In case of any conflict as to the meaning of a capitalized term, the definition in the Glossary of the FHLB Guide shall control.

ARTICLE II.FHLB PARTICIPATION IN THE MPF PROGRAM

Section 2.1.Participation in the MPF Program.

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Each Federal Home Loan Bank that executes this Agreement hereby agrees to participate in the MPF Program as an MPF Bank and to offer, at its election, Program Loan products to its PFIs under the terms and conditions of this Agreement and the FHLB Guide.

Section 2.2.Applicability of Agreement.

Each Party acknowledges and agrees that the terms of this Agreement and the FHLB Guide shall apply to all prior, existing and future Program Loans, Master Commitments, Delivery Commitments, participation rights and obligations and any Servicing transfer rights and obligations unless specified otherwise.

Section 2.3.FHLB Guide.

Each Party acknowledges and agrees that the terms of the FHLB Guide, as amended, restated, replaced or otherwise modified from time to time as specified in the FHLB Guide, are incorporated herein by reference and are made an integral part of this Agreement.

(a)Amendments or Supplements. The FHLB Guide may be amended or supplemented from time to time as follows:

(1)Non-Substantive Revisions. Prior to issuing any non-Substantive Revisions to the FHLB Guide, the MPF Provider will consult with the Active MPF Banks after distributing a draft of the proposed non-Substantive Revisions to the Active MPF Banks for review. The MPF Provider will use commercially reasonable best efforts to balance differences of opinions among the Active MPF Banks, taking into account the direction or purpose of the overall MPF Program as established by the MPF Governance Committee, and abide by any additional obligation of the MPF Provider in determining whether and how to incorporate or address any comments from the Active MPF Banks concerning any non-Substantive Revisions. Upon receipt of any draft non-Substantive Revisions to the FHLB Guide, the Active MPF Bank must respond within fifteen (15) Business Days unless a longer time for review and approval is allowed in the transmittal of the draft revisions, or otherwise approved by the MPF Provider in writing; provided, however, that non-Substantive Revisions which must be made to the FHLB Guide to comply with FHFA rules or regulations, third-party investors requirements, Applicable Law, or external matters beyond the control of the MPF Provider, may have a shorter review period, if needed to achieve compliance, but not less than two (2) Business Days (and, for the avoidance of doubt the MPF Provider shall be permitted to make any such revision notwithstanding whether the consent of the Active MPF Banks is obtained). An Active MPF Bank’s review of draft FHLB Guide non-Substantive Revisions and opportunity to comment will be considered completed if there is no response from the Active MPF Bank within the time period specified herein, in the transmittal or otherwise specified in writing by the MPF Provider. The MPF Provider may elect to publish the non-Substantive Revisions without additional review by the Active MPF Banks or, if the MPF Provider deems it appropriate, to provide the MPF Banks an additional review period. Any comments sent by any MPF Bank after publication of any revisions to the FHLB Guide will be logged in by the MPF Provider and considered for inclusion when future revisions are made to the FHLB Guide. If an Active MPF Bank determines the proposed revision should be classified as a Substantive Revision, that Active MPF Bank must object to the non-Substantive Revision classification within two (2) Business Days from receipt of the proposed

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revision. The MPF Provider shall then (i) request the Active MPF Banks to review the proposed revision as a Substantive Revision pursuant to Section 2.3(a)(2) or (ii) refer the proposed revision to the MPF Governance Committee for further action. If the MPF Provider elects a Substantive Revision review, two (2) Business Days will be deducted from the review time provided in Section 2.3(a)(2).

(2)Substantive Revisions. Except for FHLB Guide revisions subject to Section 2.3(a)(3), Substantive Revisions may be made only with the approval of a super majority of the Active MPF Banks, which is defined as 66% of the Active MPF Banks (rounded up to the nearest whole number), (which approval may not be unreasonably withheld or delayed) after distributing a draft of the proposed Substantive Revisions to the Active MPF Banks for review. Upon receipt of any draft Substantive Revisions to the FHLB Guide, each Active MPF Bank must respond within ten (10) Business Days unless a longer time for review and approval is allowed in the transmittal of the draft Substantive Revisions or otherwise approved by the MPF Provider in writing. The MPF Provider shall be permitted to make any changes which must be made to the FHLB Guide to comply with FHFA rules or regulations, third-party investors requirements, Applicable Law, or external matters beyond the control of the MPF Provider without the majority approval of the Active MPF Banks; however, the MPF Provider shall circulate such revisions to the Active MPF Banks for review as provided for non-Substantive Revisions. No response or no substantive objection by an Active MPF Bank to a proposed Substantive Revision within the timeframe specified shall be considered an approval by such Active MPF Bank of the proposed Substantive Revision. In the event that circulation of additional draft Substantive Revisions are necessary, each Active MPF Bank shall respond within five (5) Business Days unless a longer time for review and approval is allowed in the transmittal of the draft Substantive Revisions or otherwise approved by the MPF Provider in writing. For the avoidance of doubt, any proposed revision to an Appendix to the FHLB Guide, including without limitation, to any forms or the Supplemental Information, shall be deemed a non-Substantive Revision.

(3)Revisions to MPF Membership Fee and Transaction Services Fee. Any FHLB Guide revisions related to the MPF Membership Fee or the Transaction Services Fee specified in ARTICLE IX will be decided by the MPF Governance Committee.

(b)Applicability of Amendments and Supplements. Unless otherwise specified, all amendments and supplements to the FHLB Guide shall apply to all existing Program Loans, Participation Interests, Master Commitments and Delivery Commitments.

ARTICLE III.MPF PROVIDER RESPONSIBILITIES

Section 3.1.Services of the MPF Master Servicer.

(a)The MPF Provider shall act as the Master Servicer for each MPF Bank with respect to all Program Loans funded or purchased by the MPF Bank pursuant to the MPF Program. The MPF Provider may discharge this duty by entering into a Master Servicing Agreement with any entity which the MPF Provider deems qualified to act as the MPF Master Servicer. The MPF Provider shall have direct and primary responsibility to the MPF Bank for the performance of the duties of the MPF Master Servicer under the Master Servicing Agreement. The MPF Provider shall perform

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or cause to be performed the master servicing duties specified in the FHLB Guide, which shall be done in compliance with the provisions of the PFI Agreements, the Guides, and the Servicing Agreements.

(b)As part of its master servicing duties hereunder, the MPF Provider, for the benefit of each MPF Bank, shall use commercially reasonable efforts to enforce the obligations of the MPF Master Servicer under the Master Servicing Agreement in the same manner as the MPF Provider would act if the MPF Provider were the owner of the related Program Loans. Notwithstanding the MPF Provider’s delegation of master servicing obligations to the MPF Master Servicer pursuant to the Master Servicing Agreement, the MPF Provider shall not be relieved from its master servicing obligations hereunder, and the MPF Provider shall remain obligated and primarily liable to the MPF Bank for the master servicing of the Program Loans in accordance with the provisions of this Agreement; provided, however, that the MPF Provider’s liability arising from or related to its master servicing obligations under this Section 3.1 shall be limited solely to liability resulting from the MPF Provider’s or MPF Master Servicer’s negligence or willful misconduct.

Section 3.2.Administration of Non-Member Servicers.

(a)Election of Service. Each MPF Bank may elect, as part of the master servicing duties, that the MPF Provider administer Approved Non-Member Servicers on behalf of the MPF Bank in accordance with this Section 3.2 and as specified in the FHLB Guide. The MPF Bank shall indicate its election by consenting to the transfer of Servicing to an Approved Non-Member Servicer in accordance with the FHLB Guide.

(b)Administration of Approved Non-Member Servicers. The Parties agree that the MPF Provider shall administer Approved Non-Member Servicers on behalf of and for the benefit of the MPF Banks in accordance with the provisions of this Agreement and the FHLB Guide.

(c)Exercise of Administrative Authority. The MPF Provider agrees to exercise the authority granted to it under this Agreement and in the FHLB Guide to administer Approved Non-Member Servicers with appropriate consultation with the MPF Banks that own the affected Program Loans in accordance with the FHLB Guide, in the same manner and with the same care that the MPF Provider would exercise if it owned the assets. The MPF Provider will enforce the Servicing Agreements for the benefit of the MPF Banks that own the Program Loans that are serviced by the Approved Non-Member Servicers.

(d)Costs of Enforcement. Any and all liabilities, costs, expenses and disbursements (including, without limitation, reasonable attorneys' fees and other legal expenses) under this Section 3.2 incurred by any of the Parties in any effort to collect any amounts payable hereunder by another Party, shall be paid by the defaulting Party upon demand of the collecting Party whether or not suit is filed, together with interest thereon from the date due until paid at the MPF Bank Default Rate.

Section 3.3.Loan Funding and Reporting Systems.

The Parties agree that the MPF Provider shall maintain Program Loan purchase funding and reporting systems for use by the MPF Banks as specified in the FHLB Guide.

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Section 3.4.Reports.

The MPF Provider agrees to provide the MPF Banks or their PFIs, as applicable, certain reports including PFI reports, management reports, online inquiries and electronic data transmissions as set forth in the FHLB Guide.

Section 3.5.MPF Program System Enhancements.

The Parties agree that changes and enhancements to the MPF Systems and Customized Enhancements shall be implemented as specified in the FHLB Guide.

Section 3.6.Quality Control and Loss Mitigation.

The MPF Provider will perform the same level of quality control review and loss mitigation oversight for the Program Loans acquired from the MPF Bank’s PFIs as the MPF Provider would perform if they were its own Program Loans as provided in the FHLB Guide. The Parties agree that quality control reviews for Program Loans shall be in accordance with the FHLB Guide.

Section 3.7.Financial Reporting and Controls.

The MPF Provider shall provide such reports on its financial reporting and controls as specified in the FHLB Guide.

Section 3.8.Support of MPF Bank PFIs.

The MPF Provider shall be responsible for providing the Operational Matters support to all MPF Banks’ PFIs by establishing an MPF Service Center. The MPF Provider shall ensure that the MPF Service Center is adequately staffed to service the MPF Bank PFIs in a commercially reasonable manner and with no less service than the MPF Provider would have provided if they were its own PFIs. The MPF Service Center operations shall be as described in the FHLB Guide.

Section 3.9.Services of the Custodian.

The MPF Provider shall act as the custodian for the MPF Bank with respect to all Program Loans funded or purchased by the MPF Bank pursuant to the MPF Program. The MPF Provider may discharge this custodian duty with the authority and rights provided to it and subject to the requirements specified in the FHLB Guide. The MPF Provider’s authority and rights shall include its ability to delegate, to one or more entities, its duties and obligations as custodian under the MPF Program. The MPF Provider shall have direct and primary responsibility to the MPF Bank for the performance of the duties of the Master Custodian under the Master Custodian Agreement.

Section 3.10.Service Level Commitments.

The MPF Provider agrees that it shall perform the services specified in this Agreement in accordance with the service levels set forth in the FHLB Guide.

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ARTICLE IV.MPF BANK RESPONSIBILITIES

Section 4.1.Administration of the MPF Program.

Each MPF Bank agrees to administer its PFI Agreements in accordance with their terms, including the Guides, the FHLB Guide and all other incorporated documents. Each MPF Bank acknowledges that the MPF Provider and other MPF Banks have an interest in consistent implementation of the MPF Program, and as the drafter of the documents related to the MPF Program, the MPF Provider can provide an authoritative interpretation of such documents in the event of conflict with a PFI over their meaning. The obligations of each MPF Bank under this Section 4.1 shall survive termination of this Agreement.

Section 4.2.Management of Assets.

The PFIs that elect to service Program Loans are obligated under the terms of the PFI Agreements to perform all customary Servicing functions, including loss mitigation and property disposition, with respect to the Program Loans. Each MPF Bank shall have the responsibility for exercising commercially reasonable efforts to enforce the terms of the PFI Agreement and its PFIs’ compliance with the Guides, on behalf of itself, the MPF Provider and such other parties identified in the FHLB Guide.

Section 4.3.Eligibility and Creditworthiness of PFIs.

Unless otherwise stated in this Agreement, the approval of PFIs shall be as set forth in the FHLB Guide. Each MPF Bank shall be responsible for evaluating the eligibility, including the creditworthiness, of each of its PFIs for participation under the MPF Program for both Bank Program Loans and Provider Program Loans. However, any MPF Bank that has acquired or acquires a participation in Bank Program Loans or acquires Program Loans from MPF Bank PFIs shall be responsible for its own credit decision with respect to its investment in such assets. Consistent with applicable law and regulation and as provided in the FHLB Guide, each MPF Bank shall promptly provide notice to the MPF Provider of any material adverse change in the financial condition of any such MPF Bank’s PFIs of which it becomes aware and that such MPF Bank reasonably believes could result in the PFI’s breach of the PFI Agreement.

Section 4.4.Relationship of the Parties; Restrictions on Transfers.

(a)Each MPF Bank will receive and hold all receipts and collections with respect to the Program Loans funded through or purchased from such MPF Bank’s PFIs, for the benefit of itself and any other Participants, in accordance with their respective interests in the Program Loans. Except to the extent of its obligations under Section 3.9, the MPF Provider shall have no fiduciary duty to any MPF Bank. Except to the extent of its obligations under Section 13.4 of this Agreement, each MPF Bank shall have no fiduciary duty to the MPF Provider.

(b)Notwithstanding the foregoing, each MPF Bank agrees that it will not sell or transfer any of its interests in Program Loans or its rights under this Agreement, or any portion thereof, except (i) to another FHLB or member or housing associate of an FHLB, (ii) to an institutional third

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party investor approved of in writing by the MPF Provider, which approval shall not be unreasonably withheld, conditioned or delayed or (iii) to the PFIs providing the credit enhancement for such Program Loans; provided, however, that servicing must be provided by a PFI or an MPF Program approved Servicer, and unless such covenants and obligations have been assigned to another MPF Bank or other approved investor in such Program Loans, such MPF Bank shall continue to monitor the creditworthiness of its PFIs and, when appropriate to protect the interests of the holders of the Program Loans, obtain a perfected security interest in collateral to secure any of its PFIs’ obligations under their respective PFI Agreements. The MPF Provider will continue to provide MPF Product specific reports.

Section 4.5.Loan Loss Reserves.

Each MPF Bank shall maintain its own respective loan loss reserves with respect to the Program Loans.

Section 4.6.Extent of MPF Bank Responsibilities.

Unless specified otherwise, each MPF Bank’s responsibilities under this ARTICLE IV are only to the MPF Provider and not to any other MPF Bank.

ARTICLE V.PROGRAM LOAN FUNDING AND PRICING

Section 5.1.Execution of Master Commitments.

Each MPF Bank agrees to enter into each Master Commitment in accordance with the requirements of the FHLB Guide.

Section 5.2.Pricing.

(a)Pricing of Program Loans. Each MPF Bank may use the Pricing Process as published by the MPF Provider in the FHLB Guide for setting the prices of the Program Loans which such MPF Bank acquires under the MPF Program or which its PFIs sell under any Additional Product on any Business Day. As long as the Pricing Process provides for the MPF Provider to publish suggested base prices for Bank Program Loans, (a) the MPF Provider will utilize a specified pricing methodology and assumptions approved by the MPF Governance Committee to determine such suggested base prices and (b) an MPF Bank will be deemed to have adopted such suggested base prices if such MPF Bank makes no adjustments to the suggested base prices during the period specified in the FHLB Guide.

(1)Under the Pricing Process, each MPF Bank shall be responsible for, and the following shall be deemed to be in the control of each MPF Bank:

(i)setting its own prices for Delivery Commitments whether by adjustment to or adoption of suggested base prices;

(ii)adopting a suggested base price as such MPF Bank’s price;

(iii)the accuracy of data input by such MPF Bank;

(iv)any errors or omissions by such MPF Bank in inputting data; and

(v)such MPF Bank’s use of the Pricing Process. 

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(2)Under the Pricing Process, the MPF Provider shall be responsible for, and the following shall be deemed to be in the control of the MPF Provider:

(i)employing the prices set by each MPF Bank for the indicative prices it posts to the eMPF website in accordance with the FHLB Guide;

(ii)employing the prices set by each MPF Bank in the issuance of Delivery Commitments under such MPF Bank’s Master Commitments; and

(iii)publishing pricing for Provider Program Loans in accordance with the FHLB Guide.

Section 5.3.Delivery Commitments.

(a)As provided in the Guides, the MPF Service Center will publish Rate and Fee Schedules for each MPF Bank’s PFIs employing the prices set by such MPF Bank. Rate and Fee Schedules are subject to change as provided for in the Guides. Delivery Commitments will be managed as specified in the Guides and the FHLB Guide.

Section 5.4.Alternative Pricing by MPF Bank and Related Delivery Commitments.

(a)Election of Alternative Pricing by MPF Bank. Each MPF Bank may elect to create MPF Bank Base Price Schedules in accordance with the applicable provisions in the FHLB Guide. An MPF Bank shall indicate its election to create MPF Bank Base Price Schedules by executing the election form specified in the FHLB Guide (and delivering such form to the MPF Provider) and upon such election such MPF Bank agrees to be subject to the alternative pricing provisions specified in the FHLB Guide and such MPF Bank commits to utilizing its MPF Bank Base Price Schedules on a daily basis and as a regular course of business except for emergencies or as otherwise agreed to by the MPF Provider and such MPF Bank.

Section 5.5.Transactional Relationships.

(a)Maintenance of Accounts at the MPF Provider. Each MPF Bank will establish and maintain a Clearing Account with the MPF Provider.

(b)Funding of Payment Obligations. The MPF Provider hereby consents to each MPF Bank withdrawing funds from such MPF Bank’s Clearing Account from time to time to satisfy the MPF Provider’s payment obligations under this Agreement. Each MPF Bank hereby consents to the MPF Provider withdrawing funds from such MPF Bank’s Clearing Account from time to time to satisfy the MPF Bank’s obligations to pay any fees and any other payment obligation under this Agreement.

(c)Interest on Clearing Account. In accordance with the Master Transactions Agreement between the MPF Provider and each MPF Bank, the MPF Provider will credit to each MPF Bank’s Clearing Account interest on the outstanding balance thereof from time to time in accordance with the Master Transactions Agreement at the MPF Bank Rate. In the event that any withdrawal from an MPF Bank’s Clearing Account shall cause the balance in such account to become negative, such deficit shall be deemed a loan from the MPF Provider to such MPF Bank, payable upon demand and bearing interest at the MPF Bank Default Rate as defined in the Glossary of the FHLB Guide.

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ARTICLE VI.SERVICING TRANSFERS BETWEEN PFIS OF DIFFERENT MPF BANKS

Section 6.1.Transfers of Servicing.

(a)The Parties hereby agree that any voluntary or involuntary transfers of Subject Servicing (i) between a PFI of an MPF Bank to a PFI of a different MPF Bank, (ii) from any Person acting as a receiver, trustee or conservator (or similar function) of a PFI of an MPF Bank to a PFI of a different MPF Bank, or (iii) from an MPF Bank to a PFI of a different MPF Bank, shall all be generally in accordance with this Agreement and specifically in accordance with this ARTICLE VI and the related provisions of the FHLB Guide.

(b)Consent to Transfers of Servicing. The Parties agree to consent to any voluntary or involuntary transfer of Subject Servicing in accordance with the requirements specified in the FHLB Guide. The Parties further agree that such consent shall constitute the order of both applicable MPF Banks to the MPF Provider to treat the Assuming PFI as the Servicer of the Serviced Mortgages delivered under the Master Commitment referenced therein, for the purposes of (i) debiting and crediting the Owner Bank’s and Assisting Bank’s respective Clearing Accounts with the MPF Provider with respect to the Serviced Mortgages, (ii) providing MPF Program reports to the applicable MPF Banks with respect to the Serviced Mortgages, and (iii) providing Services under this Agreement with respect to the Serviced Mortgages.

(c)Credit Enhancement Transfers. The Parties agree that in relation to Conventional Bank Program Loans, Credit Enhancements shall be transferred in accordance with the requirements specified in the FHLB Guide.

(d)Assisting Bank Obligations and Responsibilities. The Parties agree that an Assisting Bank’s obligations and responsibilities in relation to the Subject Servicing of the Serviced Mortgages shall be in accordance with the requirements specified in the FHLB Guide.

(e)Review of Assisting Bank’s Books and Records. The Parties agree that an Assisting Bank’s books and records may be reviewed, with respect to its obligations and responsibility for the Subject Servicing of the Serviced Mortgages, as provided in the FHLB Guide.

(f)Agreement Regarding Use of Assisting Bank’s Clearing Account. It is understood and agreed that the directions to the MPF Provider set forth in Section 6.1(b) hereof regarding debiting and crediting the Owner Bank’s and Assisting Bank’s Clearing Accounts with respect to the Serviced Mortgages require the MPF Provider to send general ledger entries to the Owner Bank’s and Assisting Bank’s respective general ledgers by means of electronic file reports to reflect the Owner Bank’s interests in, and the Selling PFI’s obligations with respect to, the Serviced Mortgages. Further, it is agreed that the Owner Bank shall have no interest in the Assisting Bank's Clearing Account except as specifically set forth in this Agreement or as may be provided in separate agreements between the Owner Bank and the Assisting Bank. The Owner Bank and Assisting Bank agree that in the event that any debit to the Assisting Bank’s Clearing Account pursuant to this Agreement causes the balance of such account to become negative, the Owner Bank and the Assisting Bank shall reconcile the funds and the MPF Provider shall make the appropriate debits and credits

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to the Owner Bank’s and Assisting Bank’s Clearing Accounts to reflect such reconciliation, and further, if such deficit was not the result of the Assisting Bank’s error or omission, then, in such event, the Owner Bank shall be solely liable for any interest, fees or penalties assessed on such deficit by the MPF Provider; provided, however, that if the deficit was solely the result of the MPF Provider’s error or omission, no interest, fees or penalties shall be assessed on such deficit.

(g)Termination of Assuming PFI’s Servicing Responsibilities. The Parties agree that termination of an Assuming PFI’s Subject Servicing shall be in accordance with the provisions of the FHLB Guide.

(h)Value of Servicing Rights as Collateral for PFI Obligations. The Parties agree that the value and extent of the Servicing Rights as collateral for an Assuming PFI’s obligations and the rights and obligations of any Party with respect to such collateral shall be determined in accordance with provisions of the FHLB Guide.

(i)CE Collateral and Additional Collateral. The Parties agree that the extent and method that CE Collateral or additional collateral held by an Assisting Bank to secure an Assuming PFI’s obligations to the Assisting Bank and Owner Bank shall be applied or apportioned between the Assisting Bank and the Owner Bank in accordance with provisions of the FHLB Guide. It is understood and agreed that the Assisting Bank will comply with the Acquired Member Assets Regulation (12 CFR § 955.3 or any successor regulation) with respect to requiring the Assuming PFI to pledge collateral to secure its CE obligations.

Section 6.2.MPF Provider Reliance.

The MPF Provider shall have the right to rely on any executed Consent to Sale or Consent to Transfer in dealing with the Owner Bank and the Assisting Bank specified therein, including, without limitation, in debiting and crediting their respective Clearing Accounts.

ARTICLE VII.MORTGAGE PARTICIPATIONS AMONG MPF BANKS

Section 7.1.Sale and Purchase of Participations Among MPF Banks.

The Parties hereby agree that the sale and purchase of Participation Interests among MPF Banks and related support services provided by the MPF Provider shall be generally in accordance with this Agreement and specifically in accordance with this ARTICLE VII and the related provisions of the FHLB Guide. MPF Banks may contract directly with each other for the sale and purchase of participations, provided, however, that the MPF Provider acknowledges such agreements and the services the MPF Provider provides to support such agreement align with the framework of this Agreement.

Section 7.2.Participation Provisions.

(a)Participation Interest. Subject to the provisions of this ARTICLE VII and the participation provisions specified in the FHLB Guide, the Lead Bank hereby sells and assigns to the Participant Bank, and the Participant Bank hereby purchases and accepts from the Lead Bank,

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a Participation Interest in its Designated Loans, the Notes and the other Loan Documents evidencing and securing such Designated Loans upon the terms and conditions stated herein as further evidenced by a Participation Certificate. THIS SALE IS MADE BY THE LEAD BANK WITHOUT RECOURSE, REPRESENTATION OR WARRANTY OF ANY KIND, EITHER EXPRESSED OR IMPLIED, EXCEPT AS MAY OTHERWISE BE EXPRESSLY CONTAINED HEREIN.

(1)The execution of this Agreement, the performance of the terms or provisions hereof, and the performance or exercise of any obligations or rights pursuant hereto (including, without limitation, the Participant Bank’s purchase of and ownership interest in its Participation Interest in any Designated Loan and any Loan Documents) shall not cause the Participant Bank to be deemed the owner, holder, purchaser or seller of any security (as that term is defined in the Securities Act of 1933 or the Securities Exchange Act of 1934) issued, owned, purchased or sold by the Lead Bank, either as principal or as agent for the Borrower.

(2)The Participant Bank is purchasing and acquiring legal and equitable ownership of its Participation Interest in the Designated Loans and is not making a loan to the Lead Bank, and no debtor‑creditor relationship exists between them as a result of the terms of this ARTICLE VII.

(b)Loan Fees. The Participant Bank shall be entitled to its Participation Interest in any Loan Fees received by the Lead Bank in connection with any Designated Loan. The Lead Bank will pay such amount to the Participant Bank promptly upon the Lead Bank’s receipt of such Loan Fees. The Participant Bank shall be entitled to its Participation Interest in any prepayment premium received by the Lead Bank in connection with a Designated Loan.

(c)Participant Bank’s Right to its Share of Principal and Interest Payments. After the purchase by the Participant Bank of its Participation Interest with respect to a Designated Loan and the funding of such Designated Loan to or for the benefit of the Borrower or acquisition by the Lead Bank, Participant Bank shall be entitled to its Participation Interest in all principal and interest received by Lead Bank with respect to such Designated Loan, subject to its obligation to pay its share of (i) the Credit Enhancement Fees payable under the applicable PFI Agreement, (ii) Agent Fees under the PFI Agreement, (iii) all other costs and expenses incurred or payable by the Lead Bank in respect of such Designated Loan or the Master Commitment or PFI Agreement to which such Designated Loan relates, and (iv) all Administrative Costs; however, the foregoing shall be subject to the allocation of Realized Losses as provided for in Section 7.2(e). Furthermore, if at any time, all or any of the amounts payable by the Lead Bank described in clauses (i) through (iv) above shall be in excess of principal and interest received by the Lead Bank at such time, the Participant Bank will pay the Participant Bank’s Share of such amounts to the Lead Bank upon demand.

(d)Collections, Disbursements to Participant Bank and Administration. The collections, distribution, allocation or rescission of payments and any and all administration matters relating to the Participation Interest and the Designated Loans shall be as specified in the FHLB Guide. Administration matters include powers granted to, and obligations of, the Lead Bank or MPF Provider to effectuate the collections, distribution, allocation or rescission of payments relating to the Participation Interest and Designated Loans.

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(e)Allocation of Realized Losses.

(1)Allocation of Realized Loss for Participations On or After January 1, 2010. This Section 7.2(e)(1) is applicable only to participations under Master Commitments entered into on or after January 1, 2010, and notwithstanding the transfer of the Participation Interest in the Designated Loans of any Master Commitment to the Participant, the Parties acknowledge that their respective First Loss Accounts must absorb any Realized Losses for that Master Commitment whether arising from the Designated Loans or not, further that all Realized Losses occurring after exhaustion of all Participants’ First Loss Accounts shall be paid by the applicable PFI to the extent of its Credit Enhancement obligation on a first come, first paid basis, and that recovery or recoupment of Realized Losses from performance-based Credit Enhancement Fees under certain MPF Program products is described in the FHLB Guide. The administration of Realized Losses under this Agreement is illustrated in the FHLB Guide. In addition and without limiting the forgoing, the Parties acknowledge and agree that Realized Losses for each Master Commitment subject to Participation Interest shall be shared as follows:

(i)first from any Reported Gain available for the Master Commitment;

(ii)second from the Participants’ First Loss Accounts on a Pro Rata Basis until such accounts are exhausted;

(iii)third from the Credit Enhancement obligation of the applicable PFI, if any; and

(iv)lastly, any Residual Realized Losses shall be shared by the Participants on a Pro Rata Basis.

(2)Allocation of Realized Loss for Participations Prior to January 1, 2010. This Section 7.2(e)(2) is applicable only to participations under Master Commitments subject to Designated Delivery Commitments entered into prior to January 1, 2010, and notwithstanding the transfer of the Participation Interest in the Designated Loans of any Master Commitment to the Participant Bank, the Lead Bank and Participant Bank acknowledge that their respective First Loss Accounts must cover any Realized Losses for that Master Commitment whether arising from the Designated Loans or not, further that all Realized Losses occurring after exhaustion of all First Loss Accounts shall be paid by the applicable PFI to the extent of its Credit Enhancement obligation on a first Realized Loss come, first Realized Loss paid basis, and that recovery or recoupment of Realized Losses from performance-based Credit Enhancement Fees under certain MPF Program products is described in the FHLB Guide. The administration of Realized Losses under this Agreement is illustrated in the FHLB Guide. In addition and without limiting the forgoing, the Parties acknowledge and agree that Realized Losses for each Master Commitment shall be shared as follows:

(i)For MPF Program products with a First Loss Account based on a percentage of each Program Loan acquired under a Master Commitment, such as MPF 100, MPF 125 and MPF Plus, the Realized Losses arising from all the Program Loans acquired under the Master Commitment shall be paid from the following sources:

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(A)first from any Reported Gain available for the Master Commitment;

(B)second from the Participants’ First Loss Accounts on a Pro Rata Basis until all First Loss Accounts are exhausted;

(C)next from the Credit Enhancement obligation of the PFI (including any supplemental mortgage insurance paid for by the PFI); and

(D)lastly, any Residual Realized Losses shall be shared by the Participants based on their respective Participation Shares in the Master Commitment so that each Participant Bank and the Lead Bank pays an amount equal to the Residual Realized Losses multiplied by its respective Participation Share in the Master Commitment (on the Loss Allocation Date);

(ii)For MPF Program products with a First Loss Account that increases over time in proportion to the change in outstanding principal balance of the Program Loans acquired under a Master Commitment, such as Original MPF, the Realized Losses arising from all the Program Loans acquired under the Master Commitment shall be paid from the following sources:

(A)first from any Reported Gain available for the Master Commitment;

(B)second from the Participants’ First Loss Accounts based on the amounts of their respective First Loss Accounts for the Master Commitment so that each Participant Bank and the Lead Bank pays an amount equal to the Realized Losses multiplied by the ratio of its First Loss Account to the total First Loss Account for the Master Commitment (accrued through the Loss Allocation Date) until all First Loss Accounts of the Parties are exhausted;

(C)third from the Credit Enhancement obligation of the PFI; and

(D)lastly, any Residual Realized Losses shall be shared by the Participants based on their respective allocations to the total First Loss Account for the Master Commitment so that each Participant Bank and the Lead Bank pays an amount equal to the Residual Realized Losses multiplied by its respective percentage of the total First Loss Account for the Master Commitment (accrued through the Loss Allocation Date). For example, if a Master Commitment had a total First Loss Account of $100,000 (accrued through the Loss Allocation Date for a Realized Loss), and the Participant Bank’s FLA was $25,000 and the Lead Bank’s First Loss Account was $75,000, then the Participant Bank would pay 25% of the Residual Realized Loss and the Lead Bank would pay 75% of the Residual Realized Loss.

(iii)Government Loans. The Program Loans acquired under certain Master Commitments subject to this ARTICLE VII may be Government Loans, and given the PFI’s obligation to absorb all Unreimbursed Servicing Expenses, the Parties do not anticipate incurring any Realized Losses in connection with such Master Commitments but in the event such Realized Losses are incurred and are not recovered from the PFI or any insurance or guaranty of the Government Loans, then the Parties agree that they will share such Realized Losses based on their respective Participation Shares in the Master Commitment so that each Participant Bank and the Lead Bank pays an amount equal to the Realized Losses multiplied by its respective Participation

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Share in the Master Commitment (on the Loss Allocation Date).

(3)Allocation in the Event of a Failure of a PFI or Servicer. The Parties agree that the allocation of losses in the event of a failure of a PFI or Servicer shall be as specified in the FHLB Guide.

(f)Termination of the Participant Bank’s Right to Acquire Additional Participation Interests. At such time as this Agreement expires or terminates, the Participant Bank’s right to acquire Participation Interests in Designated Delivery Commitments will terminate; provided, however, that no such termination shall be effective with respect to any unfunded Designated Delivery Commitments existing on or prior to the date of such termination.

(g)Interest in Loan Documents. Provisions concerning interest in the Loan Documents shall be specified in the FHLB Guide.

(h)Participation Support Services by the MPF Provider. In addition to any support services provided for elsewhere in this Agreement, the MPF Provider shall provide to the Lead Bank and Participating Bank such support services in accordance with the provisions in the FHLB Guide. Support services include bookkeeping, furnishing of Participation Certificates, reports and administration services in connection with the Participation Interest.

(i)Participation Share. The MPF Provider shall be able to rely on the written direction of the MPF Bank delivered in accordance with the FHLB Guide to confirm to any Participant participating in Program Loans acquired by the MPF Bank that such Participant is vested in its Participation Share in each such Program Loan upon its acquisition by the MPF Bank, without the need for further documentation, upon the deposit of funds equal to the Participant’s Participation Share to the MPF Bank’s Clearing Account.

(j)Costs and Expenses.

(1)Administrative Costs and Costs of Enforcements. The Participant Bank agrees to, promptly upon demand, indemnify and reimburse the Lead Bank for the Participant Bank’s Participation Interest of Administrative Costs which may be incurred or paid by the Lead Bank as specified in the FHLB Guide. The Participant Bank and the Lead Bank further agree that the costs of enforcement, which include all amounts specified in the FHLB Guide, incurred in any effort to collect any amounts payable under this ARTICLE VII shall be paid in accordance with this Agreement.

(2)Payment Through Clearing Account. To effect payment of any amount owed by the Participant Bank under this Section 7.2(j), the Lead Bank shall draw against the Participant Bank’s Clearing Account from time to time (whether or not any such draw shall cause the balance in the Participant Bank’s Clearing Account to become negative). In the event that any withdrawal from the Participant Bank’s Clearing Account shall cause the balance in such account to become negative, such deficit shall be governed by the provisions of Section 7.6.

(k)Unconditional Obligations. The Participant Bank and the Lead Bank agree that their

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respective obligations under this Agreement are, and at all times and in all events shall be, absolute, irrevocable and unconditional and shall not be affected by any intervening circumstances occurring after the date hereof or by, among other things, any of the following:

(1)any act or omission of any kind by any PFI, any Borrower, any guarantor or any other person (except for a breach by the other party); or

(2)any set off, counterclaim or defense to payment which the Participant Bank or Lead Bank may have or have had against the other party unrelated to this Agreement; or

(3)the existence of any event of default hereunder or under any of the Loan Documents, PFI Agreements, Master Commitments, the Guides or any other agreement (except this Agreement), instrument or document referred to in or executed and delivered pursuant to any thereof; or

(4)any change of any kind whatsoever in the financial position or creditworthiness of the Lead Bank, the Participant Bank, any Borrower, any PFI, any guarantor or any other person.

Section 7.3.Participant Bank’s Representations.

Each Participant Bank agrees to purchase all Participation Interests upon the representations and warranties specified in the FHLB Guide, which shall inure to the benefit of the Lead Bank. Such representations and warranties include, but may not be limited to, the nature of investment in the Participation Interest, that the Participant Bank is a sophisticated investor, the extent that it assumes all risk of loss and that it understands that there is no public market for the Participation Interests.

Section 7.4.Lead Bank’s Representations.

Each Lead Bank makes the following representations, which shall inure to the benefit of the Participant Bank: (i) the Lead Bank is the owner of the Program Loans and of the Participation Interests to be sold to Participant Bank hereunder, and the Lead Bank’s interest in the Program Loans and the Participation has not been encumbered or hypothecated; (ii) Lead Bank has received all necessary regulatory approvals to engage in the MPF Program; and (iii) each Participation Interest to be sold to the Participant Bank hereunder is free and clear of any adverse claim from any person or entity claiming by or through the Lead Bank.

Section 7.5.Covenants.

Without limiting any other requirements in this ARTICLE VII, the Parties agree that the sale and purchase of Participation Interests shall also be subject to the Parties’ respective obligations under the covenants specified in the FHLB Guide, which include covenants relating to the funding of Participant Bank’s Participation Interest, allocations to First Loss Accounts and delivery of Confirmations.

Section 7.6.Participant Bank’s Default.

If the Participant Bank shall default in or otherwise fail to meet its obligations to provide Defaulted Funds, then the Lead Bank may advance funds to the PFI or the Borrower in an amount not exceeding the amount of such Defaulted Funds. If the Lead Bank makes any such advance,

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then the Participant Bank shall immediately reimburse the Lead Bank upon demand. Any sums due from the Participant Bank to the Lead Bank (including, without limitation, Defaulted Funds and the Participant Bank’s Share of costs and expenses under Section 7.2(j)) shall: (i) accrue interest, payable upon demand, at the MPF Bank Default Rate; and (ii) shall be paid in full, together with interest thereon, from any moneys (including, without limitation, all payments of principal, interest, expenses or fees, whether obtained from or on behalf of the Borrower, voluntarily or otherwise) which would have been payable to the Participant Bank in the absence of the Participant Bank’s default, prior to the Participant Bank’s receiving such moneys. In addition, the Lead Bank may draw against funds from the Participant Bank’s Clearing Account from time to time to satisfy the Participant Bank’s obligations under this Section 7.6 (whether or not any such withdrawal shall cause the balance in the Participant Bank’s Clearing Account to become negative) upon giving the Participant Bank concurrent notice. In such event, the provisions of Section 5.5 shall be applicable. Such payments to the Lead Bank shall be first applied to accrued interest and then to the repayment of the amounts initially owed to the Lead Bank. The Participant Bank shall remain obligated to fund all other amounts under this ARTICLE VII. The Lead Bank’s remedies and rights under this Agreement and the FHLB Guide are cumulative and concurrent and in addition to every other available right, power or remedy at law or in equity.

Section 7.7.Lead Bank’s Default.

Any sums due from the Lead Bank to the Participant Bank shall be payable upon demand and shall accrue interest, payable upon demand, at the MPF Bank Default Rate. In addition, the Participant Bank may draw against funds from the Lead Bank’s Clearing Account from time to time to satisfy the Lead Bank’s obligations under this Section 7.7 (whether or not any such withdrawal shall cause the balance in the Lead Bank’s Clearing Account to become negative) upon giving the Lead Bank concurrent notice. In such event, the provisions of Section 5.5 shall be applicable. Such payments to the Participant Bank shall be first applied to accrued interest and then to the repayment of the amounts initially owed to the Participant Bank. The Lead Bank shall remain obligated to fund all other amounts under this ARTICLE VII. The Participant Bank’s remedies and rights under this Agreement and the FHLB Guide are cumulative and concurrent and in addition to every other available right, power or remedy at law or in equity.

ARTICLE VIII.ADDITIONAL PRODUCTS AND PROVIDER PROGRAM LOANS

Section 8.1.Use of Additional Products and Provider Program Loans.

Each MPF Bank agrees to follow the requirements and obligations specified in this Agreement, the FHLB Guide and Guides when offering Additional Products and Provider Program Loans to its PFIs, including, but not limited to, requirements or obligations relating to monitoring, reporting or indemnification.

Section 8.2.Assignment of Master Commitments.

Each MPF Bank agrees to assign to the MPF Provider each Additional Product MC that such MPF Bank executes with its PFIs in accordance with the provisions specified in the FHLB Guide.

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Section 8.3.Sponsored Accounts.

Each MPF Bank shall establish a Sponsored Account for each Additional Product type of which its PFI is a Servicer of the Provider Program Loans delivered under an Additional Product MC. An MTA Addendum specific to the particular Additional Product shall be signed by such MPF Bank and the MPF Provider, and joined in by such MPF Bank’s PFI, as a condition of the PFI activating the respective Additional Product MC. Every Sponsored Account will be a non-interest bearing custodial principal and interest account for the benefit of the PFI pursuant to the respective MTA Addendum. Any overdraft of a Sponsored Account shall be governed by the applicable MTA Addendum and any costs or fees associated with the Sponsored Account are payment obligations of the MPF Bank and such payments will be effectuated pursuant to Section 5.5.

Section 8.4.Transfer of Servicing of Provider Program Loans.

The Parties agree that any transfers of servicing of Provider Program Loans or of Additional Products among PFIs from other MPF Banks’ districts will be governed by the FHLB Guide.

Section 8.5.Participating in Additional Products.

(a)MPF Bank’s Clearing Account. All Provider Program Loan repurchases, advances, account fees, indemnification payments and any other payments or fees due to the MPF Provider related to Additional Products are payment obligations of the applicable MPF Bank and such payments will be effectuated pursuant to Section 5.5. All Provider Program Loan purchases will be effectuated pursuant to Section 5.5.

(b)No Liability. Without limiting any provision in this Agreement, each MPF Bank hereby disclaims and shall not assume liability for the performance by the MPF Provider of its obligations under any Additional Product agreements between the MPF Provider and an Additional Product counterparty and the MPF Provider is not assuming any liability for the performance by any MPF Bank of its obligations under this Agreement, any PFI Agreement and any Additional Product agreements between such MPF Bank and an Additional Product counterparty or its PFIs.

ARTICLE IX.SERVICES FEES

Section 9.1.MPF Membership Fee.

Each MPF Bank agrees to pay a fee for the membership and participation in the MPF Program. The amount of such fee and payment schedule shall be determined as set forth in the FHLB Guide.

Section 9.2.Transaction Services Fee.

Each MPF Bank shall pay a monthly Transaction Services Fee to the MPF Provider as compensation for the Services to be provided to the MPF Bank. The rate and amount of the Transaction Services Fee shall be determined as set forth in the FHLB Guide.

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Section 9.3.Additional Services Fees.

In the event an MPF Bank requests the MPF Provider to provide any Additional Services other than the Services specified in the FHLB Guide as regular or standard services, such MPF Bank shall pay the fees for such Additional Services as provided in the FHLB Guide or as may be agreed to between such MPF Bank and the MPF Provider.

Section 9.4.Counterparty Fees.

The MPF Provider shall pay an MPF Bank a Counterparty Fee as set forth in the FHLB Guide.

ARTICLE X.MARKETING AND TRAINING

Section 10.1.MPF Program Marketing to Members.

The Parties agree that marketing of the MPF Program to Members shall be in accordance with the provisions of the FHLB Guide.

Section 10.2.Training.

The Parties agree that the responsibility for training of PFIs and the availability of training for PFIs or MPF Bank employees, which administer each MPF Bank’s responsibilities under the MPF Program, shall be in accordance with and as provided for in the FHLB Guide.

ARTICLE XI.MPF PROGRAM REPRESENTATIONS AND COVENANTS

Section 11.1.Risk of Loss.

Each MPF Bank assumes all risk of loss in connection with its investment in Program Loans, and its execution of each PFI Agreement and each Master Commitment except for any losses arising directly from the negligence or willful misconduct of the MPF Provider in its provision of the Services pursuant to this Agreement or breach of its fiduciary duties specified in Section 3.9; provided, however, that such assumption of risk is not intended to waive or release the liability of any person or entity that is not a party to this Agreement. In the event that an MPF Bank approves any Approved Non-Member Servicer or non-PFI servicer to service Program Loans it owns, such MPF Bank assumes all the risk of loss in connection with such Approved Non-Member Servicer or non-PFI servicer’s discharge of its Servicing obligations; provided that nothing herein shall limit the ability of such MPF Bank to seek indemnification from such Approved Non-Member Servicer or non-PFI servicer for any breach of Servicing obligation under any agreement.

Section 11.2.Default by PFIs; Enforcement.

Each of the Parties is entitled to assume that no PFI default or event which, with the giving of notice or lapse of time, or both, would constitute such a default, has occurred and is continuing unless such Party (i) has actual knowledge of such default or event, or (ii) has been notified in writing that such a default or event has occurred. For the avoidance of doubt, no duty to notify or

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inform Parties that are not directly affected by such default or event shall be implied by this Section 11.2.

Section 11.3.Use of Intellectual Property.

Each MPF Bank covenants and agrees that the use of any and all intellectual property related to the MPF Program shall be in accordance with rights and requirements specified in the FHLB Guide.

Section 11.4.Authorization and Enforceability.

Each of the Parties represents to the MPF Provider and any other applicable Parties that (i) all necessary corporate and other action has been taken to authorize it to execute, and to perform its obligations under, this Agreement, and (ii) all necessary regulatory approvals to engage in the MPF Program have been obtained and (iii) this Agreement is the legal, valid and binding obligation of such Party, enforceable against it in accordance with its terms, subject to any applicable bankruptcy, insolvency, reorganization pursuant to the Federal Home Loan Bank Act, as amended, moratorium and other similar laws affecting the rights of creditors generally and general equitable principles.

Section 11.5.MPF Provider’s Representations and Warranties.

In addition to the above representations, the MPF Provider represents and warrants that it shall timely perform the Services in a commercially reasonable manner and with the same care, skill, prudence and diligence with which it would service and administer if it was its own portfolio of Mortgages. Further, the MPF Provider represents to each MPF Bank and warrants that the MPF Program is compliant with all applicable state and federal laws, including consumer laws, and rules and regulations; provided, however, that the MPF Provider makes no representations or warranties with respect to actions taken at the direction of, or matters within the control of, each MPF Bank including, but not limited to, transactions customized at the request or direction of such MPF Bank. Further, the MPF Provider represents to each MPF Bank and warrants that all copyrights, trademarks, service marks, patents and other intellectual property rights used in the MPF Program do not infringe upon the rights of any third parties.

Section 11.6.Use of Proprietary Information and Confidentiality.

Each Party has been and may hereafter be furnished with Confidential Information. Each Party agrees (i) to keep the Confidential Information confidential using reasonable means, not less than those used to protect its own Confidential Information, (ii) to not disclose the Confidential Information, without the prior written approval of the other Party to whom the Confidential Information relates (“Related Party”), to anyone other than to its officers or employees who have a need to know its contents to perform their duties in connection with the MPF Program, to any member of its Board of Directors, to its regulators, to any Participant or approved investor in Program Loans acquired from the MPF Bank or its PFIs, or to those third party agents who agree to be bound by the terms of this Section 11.6, as evidenced by a written statement or agreement in form and substance reasonably satisfactory to the Related Party, and (iii) upon completion of its use of the

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Confidential Information or at any time upon the Related Party’s request, to promptly return or destroy the Confidential Information, including all copies made thereof in any format and all notes pertaining to the same; provided, however, that each Party shall be permitted to retain a copy of any Confidential Information in accordance with its record retention policies and procedures or as required by law, regulation or court order. The Party shall certify to the Related Party that all Confidential Information was properly returned or destroyed in accordance with this Section 11.6. For purposes of this Section 11.6, when transmitting or providing access to “nonpublic personal information” (as that term is defined in Title V of the Gramm-Leach-Bliley Act (15 U.S.C. § 6809)), each Party shall use a secure method that is generally accepted as preventing unauthorized access such as encrypted transmission or providing secure, password protected web-access. Each Party further agrees that if it is served with process or any other governmental or regulatory request for the Confidential Information (excluding an examination request by the FHFA), it will immediately notify the General Counsel of the Related Party that disclosed such Confidential Information, prior to complying with such process, order or request, unless prohibited by applicable law, regulation or court order. Each MPF Bank agrees to provide the MPF Provider and any Related Party prompt notice of any breach or compromise of the security or confidentiality of any Confidential Information or nonpublic personal information. The MPF Provider shall notify any Related Party of any theft of hardware containing any Confidential Information or nonpublic personal information even if such information is encrypted. Upon such notice, the Related Party shall not disclose any information about the breach or attempted breach without the consent of the MPF Provider unless required by applicable law.

Section 11.7.Additional Covenants.

The Parties acknowledge and agree to all the additional MPF Program covenants, representations and warranties specified in the FHLB Guide.

ARTICLE XII.INDEMNIFICATION AND EXCULPATION

Section 12.1.MPF Bank’s Indemnification Obligations.

(a)Indemnification. In addition to any other remedy under this Agreement, and with respect to each Program Loan owned by an MPF Bank, each MPF Bank agrees to indemnify, defend and hold harmless the MPF Provider, its affiliates and each stockholder, director, officer, employee and agent, if any, thereof from and against any and all loss, damage, liability or expense, including, without limitation, costs and reasonable attorneys’ fees and expenses, to which it may be put or which it may incur by reason of, or in connection with any of the following:

(1)any misrepresentation made by such MPF Bank in this Agreement, or any breach by such MPF Bank of its warranties or obligations set forth in this Agreement;

(2)the collection, payment or transfer of cash or other funds between an Owner Bank and Assisting Bank, one of which is the indemnifying MPF Bank;

(3)with respect to services provided under Section 3.2, any act or omission of an Approved Non-Member Servicer;

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(4)the origination, Servicing, loss mitigation, purchase or sale of a Bank Program Loan that the MPF Bank’s PFI sold or serviced or any breach or purported breach by a PFI that is a member of such MPF Bank, or the PFI’s predecessor in interest, of its representations or warranties, covenants, obligations, duties or responsibilities with respect to a Bank Program Loan; provided that the indemnification under this Section 12.1(a)(3) does not include any liability of the MPF Provider that arises directly and solely from: (i) gross negligence or willful misconduct by the MPF Provider or (ii) ordinary negligence of the MPF Provider in handling funds; or

(5)any act or omission of a non-PFI servicer in Servicing Program Loans, where such MPF Bank consents to the Servicing of such non-PFI servicer for any MPF product, and regardless of whether the MPF Provider acknowledges or consents to the Servicing.

(b)Exclusions. The MPF Bank indemnification under Section 12.1 (a) (1)-(2) does not include indemnification for the following: (1) consequential or punitive damages and (2) with respect to the MPF Provider’s obligation in its capacity as an Owner Bank or an Assisting Bank with respect to its corresponding Assisting Bank or Owner Bank.

Section 12.2.MPF Provider’s Indemnification Obligations.

(a)Indemnification. In addition to any other remedy under this Agreement, the MPF Provider agrees to indemnify, defend and hold harmless each MPF Bank, its affiliates and each stockholder, director, officer, employee and agent, if any, thereof from and against any and all loss, damage, liability or expense, including, without limitation, costs and reasonable attorneys’ fees and expenses, to which it may be put or which it may incur by reason of, or in connection with any and all of the following: (i) any misrepresentation made by the MPF Provider set forth in this Agreement; or (ii) any breach by the MPF Provider of any of its representations, warranties or obligations set forth in this Agreement.

(b)Exclusions. The MPF Provider’s indemnification under this Section 12.2 (a) does not include indemnification for consequential or punitive damages.

Section 12.3.Participant Bank’s and Lead Bank’s Indemnification Obligations.

(a)Participant Bank’s Indemnification. In addition to any other remedy under this Agreement, any Participant Bank agrees to indemnify, defend and hold harmless the Lead Bank, its affiliates and each stockholder, director, officer, employee and agent, if any, thereof from and against any and all loss, damage, liability or expense, including, without limitation, costs and reasonable attorneys' fees and expenses, to which it may be put or which it may incur by reason of, or in connection with, any of the following: (i) any misrepresentation made by such Participant Bank in this Agreement; (ii) any breach by such Participant Bank of any of its warranties in this Agreement; or (iii) any failure by such Participant Bank to fulfill any covenants or agreements set forth in this Agreement.

(b)Lead Bank’s Indemnification Obligation. In addition to any other remedy under this Agreement, each Lead Bank agrees to indemnify, defend and hold harmless each Participant Bank participating in a participation by such Lead Bank, such Participant Bank’s affiliates and each

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stockholder, director, officer, employee and agent, if any, thereof from and against any and all loss, damage, liability or expense, including, without limitation, costs and reasonable attorneys’ fees and expenses, to which it may be put or which it may incur by reason of, or in connection with, any and all of the following: (i) any misrepresentation made by the Lead Bank in this Agreement; (ii) any breach by Lead Bank of any of its warranties in this Agreement; or (iii) any failure by the Lead Bank to fulfill any covenants or agreements set forth in this Agreement or arising out of the sale or distribution of any of the Participation Certificates by it in violation of the Securities Act of 1933, as amended, or any applicable state securities or blue sky laws.

Section 12.4.Additional Product Indemnification Obligations.

(a)In addition to any other remedy under this Agreement, and with respect to any Additional Product, each MPF Bank agrees to indemnify, defend and hold harmless the MPF Provider, its affiliates and each stockholder, director, officer, employee and agent, if any, thereof from and against any and all loss, damage, liability or expense, including, without limitation, costs and reasonable attorneys’ fees and expenses, to which it may be put or which it may incur by reason of, or in connection with any and all of the following:

(1)such MPF Bank’s breach of its obligations under any Addendum to the PFI Agreement, this Agreement or the FHLB Guide;

(2)the origination, Servicing, loss mitigation, purchase or sale of a Provider Program Loan that the MPF Bank’s PFI sold or serviced or any breach or purported breach by a PFI that is a member of such MPF Bank, or the PFI’s predecessor in interest, of its representations or warranties, covenants, obligations, duties or responsibilities with respect to an Additional Product; provided that the indemnification under this Section 12.4(a)(3) does not include any liability of the MPF Provider that arises directly and solely from: (i) gross negligence or willful misconduct by the MPF Provider or (ii) ordinary negligence of the MPF Provider in handling funds;

(3)any breach by such MPF Bank of its obligations under any Additional Product agreements between such MPF Bank and an Additional Product counterparty;

(4)any payments obligations owed by the MPF Provider to an Additional Product counterparty that a PFI is contractually responsible to pay to such MPF Bank under the PFI Agreement and fails to pay; or

(5)any act or omission of a non-PFI servicer in Servicing Program Loans, where such MPF Bank consents to the Servicing of such non-PFI servicer for any MPF product, and regardless of whether the MPF Provider acknowledges or consents to the Servicing.

Section 12.5.Engagement in the MPF Program Exclusion From Indemnification.

The Parties agree that any indemnification under this Agreement does not include indemnification for any loss, damage, liability or expense arising out of any litigation challenging the authority of the MPF Provider or any MPF Bank to engage in the MPF Program.

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Section 12.6.Exculpations.

The Parties agree that their respective exculpation rights and obligations relating to their engagement in the MPF Program, including as a Lead Bank, a Participant Bank, an Assisting Bank, an Owner Bank or the MPF Provider, shall be as specified in the FHLB Guide.

ARTICLE XIII.TERM AND TERMINATION

Section 13.1.Term of Agreement and Termination.

(a)Unless terminated earlier as provided in this ARTICLE XIII, this Agreement shall continue in force until terminated, without cause, by a Party giving all other Parties at least one hundred eighty (180) days’ prior written notice; provided, however, that failure to give notice to any Party shall not affect notice given to another Party. For avoidance of any doubt, written notice of termination shall only terminate this Agreement as between the MPF Bank providing such notice and all other existing Parties to this Agreement, and the Agreement shall remain in full force and effect among all such other existing Parties. If the MPF Provider provides written notice of termination to an MPF Bank, the written notice of termination shall only terminate this Agreement as between such MPF Bank and all other existing Parties to this Agreement, and the Agreement shall remain in full force and effect among all such other existing Parties.

(b)Notwithstanding the termination of this Agreement by any Party for any reason, the obligations of the terminating Party, the MPF Provider and any other Party thereby affected by the termination shall continue with respect to all Program Loans funded or purchased under this Agreement pursuant to Delivery Commitments issued prior to such termination, including, without limitation, the MPF Provider shall provide the services for each Program Loan acquired by an MPF Bank, and such MPF Bank shall pay the applicable Transaction Services Fees, continuously from the date of such termination until the earliest of:

(1)the Program Loan's principal and interest have been paid in full in accordance with the requirements of the PFI Agreement; or

(2)the Program Loan has been foreclosed or liquidated, the security property therefor properly disposed of, and the claim settled with the PFI;

(3)an MPF Bank sells its Program Loans to another MPF Bank; or

(4)in accordance with the procedures set forth in the FHLB Guide, the MPF Provider’s obligations are (i) transferred to a third party by agreement of such MPF Bank and the MPF Provider, (ii) transferred to a third party on written direction of the FHFA or (iii) with the consent of the MPF Provider, assumed by such MPF Bank.

(c)Upon the termination of this Agreement for any reason, each MPF Bank agrees to use commercially reasonable efforts to promptly return to the MPF Provider all marketing and operational materials previously provided by the MPF Provider, and no longer needed by such MPF Bank to fulfill its remaining obligations hereunder, unless other mutually acceptable arrangements have been made.

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Section 13.2.Events of Default.

It shall be an Event of Default under this Agreement if any Party, with respect to another Party, fails to perform its obligations or breaches any of its covenants under this Agreement and such failure to perform or breach is not cured (i) within sixty (60) days from the date the non-breaching party gives written notice of such default, if the default is capable of being cured within such time limit, or (ii) within a reasonable time after notice if the cure is commenced within the sixty (60) day period and diligently pursued thereafter.

Section 13.3.Termination and Other Remedies.

(a)Remedies for the MPF Bank’s Default. Without limiting the effect of Section 12.1 or Section 12.4, upon the occurrence of an Event of Default caused by any MPF Bank, (i) the MPF Provider shall have the right, subject to the requirements of Section 13.1(b), to terminate this Agreement with respect to such MPF Bank, and (ii) the MPF Bank shall pay to the MPF Provider an amount equal to the MPF Provider’s actual and direct damages arising from and accruing during the continuance of the Event of Default, but the MPF Bank shall have no responsibility for any consequential or punitive damages.

(b)Remedies for the MPF Provider’s Default. Without limiting the effect of Section 12.2, upon the occurrence of an Event of Default caused by the MPF Provider, each MPF Bank shall have the right, subject to the requirements of Section 13.1(b), to terminate this Agreement with respect to such MPF Bank. Until the MPF Provider’s obligations to provide the Services terminates as provided in Section 13.1(b), such MPF Bank shall continue to pay the Transaction Services Fee for the Services after a termination in accordance with the provisions of the FHLB Guide at the time of such termination. Further, the MPF Provider shall pay to such MPF Bank an amount equal to the MPF Bank’s actual and direct damages arising from the Event of Default, but the MPF Provider shall have no responsibility for any consequential or punitive damages.

(c)Trigger Event. Upon the occurrence of a Trigger Event, this Agreement shall terminate with respect to the applicable MPF Bank or MPF Banks, and the provisions of Section 13.1(b) shall apply.

Section 13.4.Obligations Regarding PFIs; Support for Program Loans.

(a)An MPF Bank’s covenant to monitor the credit and maintain collateral to secure its PFIs’ obligations set forth in this Section 13.4 shall apply and shall survive the expiration or termination of this Agreement as well as the sale of the Program Loans by such MPF Bank unless such covenants and obligations have been assigned to another MPF Bank or other approved investor in such Program Loans in accordance with Section 4.4.

(b)Each MPF Bank agrees (i) to notify the MPF Provider of any material adverse changes, of which it becomes aware, in the financial condition of those PFIs who service or provide credit enhancements for any Program Loans in which any other MPF Bank has an interest and authorizes the MPF Provider to share such information with the relevant MPF Banks or other Participants, and (ii) to share relevant credit assessments and information on those PFIs with the

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MPF Provider.

(c)Each MPF Bank agrees to obtain a perfected security interest in collateral for the benefit of itself and any Participants and/or Owner Banks, except when prohibited by law, as the MPF Bank reasonably determines may be necessary to secure the obligations of the MPF Bank’s PFIs under their respective PFI Agreements or any other credit agreement, securing each PFI’s obligations under its PFI Agreement.

(d)Without limiting the rights of the MPF Provider and any other MPF Bank under this Agreement and the FHLB Guide, the MPF Provider shall not have an interest in any (i) other property taken as security for any other credit, loan or financial accommodation made or furnished to any PFI by any MPF Bank in which the Participant has no participation interest; (ii) property now or hereafter in the MPF Bank’s possession or under the MPF Bank’s control other than by reason of any PFI Agreement; or (iii) deposits or other indebtedness which may be or might become security for performance or payment of any obligations and liabilities of any PFI under the PFI Agreement by reason of the general description contained in any instrument other than the PFI Agreement held by such MPF Bank or by reason of any right of setoff, counterclaim, banker’s lien or otherwise.

Section 13.5.Survival.

Without limiting any other express survival provisions contained in this Agreement, all representations and warranties and the indemnifications contained in this Agreement shall survive the termination of this Agreement.

Section 13.6.Termination Relating to Approved Non-Member Servicers.

The Parties agree that additional termination provisions relating to Approved Non-Member Servicers shall be in accordance with the provisions of the FHLB Guide.

ARTICLE XIV.MISCELLANEOUS

Section 14.1.Notices.

Whenever notice is required under this Agreement or by applicable law, it must be given as provided in the FHLB Guide, unless otherwise expressly provided in this Agreement.

Section 14.2.The Guides and Other Documents.

The MPF Provider shall provide access to the Guides, including, without limitation, any amendments, restatements, replacements or other modifications thereto, or any pronouncements with respect thereto as provided in the FHLB Guide.

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Section 14.3.Addresses.

For purposes of this Agreement, the address, telephone and facsimile numbers for the MPF Bank and the electronic transmission information for the MPF Provider and the MPF Banks are as set forth in the FHLB Guide. Any change in notice addresses must be given in writing and given as provided in the FHLB Guide, but such change shall be effective only upon actual receipt.

Section 14.4.Effect of Agreement.

The MPF Provider will have no obligation or responsibility to any MPF Bank except as specifically stated in this Agreement or the FHLB Guide. This Agreement constitutes the entire agreement among the Parties, and no representation, promise, inducement or statement of intent has been made by any Party which is not embodied in this Agreement or the incorporated FHLB Guide. For the avoidance of doubt, this Agreement is not intended to create rights and obligations between or among the MPF Banks unless specifically provided in this Agreement. In addition, the Parties agree that this Agreement is supplemented by any Custody Addendum and any Confidentiality Agreement with respect to LEVELS information. In the event of any conflict or inconsistency between the provisions of this Agreement and the provisions of the FHLB Guide, this Agreement shall control.

Section 14.5.Execution in Counterparts; Delivery of Signatures.

This Agreement, and any amendments, waivers, consents or supplements related hereto, may be executed in any number of counterparts and by different Parties hereto in separate counterparts, each of which when so executed and delivered shall be deemed an original, but all of which counterparts taken together shall constitute one and the same instrument. Signature pages may be detached from multiple separate counterparts and attached to a single counterpart so that all signature pages are attached to the same document. Delivery of a signature page to, or an executed counterpart of, this Agreement (or any amendment, waiver, consent or supplement related hereto) by facsimile, email transmission of a scanned image, or other electronic means, shall be effective as delivery of an originally executed counterpart.

Section 14.6.Governing Law.

This Agreement shall be construed and enforced in accordance with the statutory and common law of the United States of America. To the extent federal law incorporates or defers to state law, or does not apply, the relevant state law shall be the law of the State of Illinois (without regard to conflicts of law principles) applicable to agreements to be performed in the State of Illinois.

Section 14.7.Severability of Provisions.

Any provision of this Agreement which is prohibited or unenforceable in any jurisdiction shall, as to such jurisdiction, be ineffective to the extent of such prohibition or unenforceability without invalidating the remaining provisions hereof or affecting the validity or enforceability of such provision in any other jurisdiction.

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Section 14.8.Successors and Assigns; No Third-Party Beneficiaries.

Subject to the terms of Section 4.4, this Agreement shall be binding upon and inure to the benefit of the MPF Provider and each MPF Bank and their respective successors and permitted assigns. Although the provisions of this Agreement may benefit Persons that are not Parties including, without limitation, PFIs, Members, Servicers or other Persons engaged in the MPF Program, none of them is an intended third-party beneficiary of this Agreement and they shall have no rights under this Agreement. For the avoidance of any doubt, there are no intended or implied third-party beneficiaries to this Agreement.

Section 14.9.Waivers and Amendments.

No delay on the part of any Party in the exercise of any right, power or remedy shall operate as a waiver thereof, nor shall any single or partial exercise by one Party of any right, power or remedy preclude other or further exercise thereof, or the exercise of any other right, power or remedy. No amendment to, modification or waiver of, or consent with respect to, any provision of this Agreement shall be effective unless in writing and executed and delivered by the Party against whom enforcement of such amendment, modification, waiver, or consent is sought.

Section 14.10.References to Sections, Exhibits and Agreement; Captions.

Unless otherwise indicated either expressly or by context, any reference in this Agreement to a “Section” or “Exhibit” shall be deemed to refer to a Section of or Exhibit to this Agreement. All references herein to this “Agreement” shall, as of any time after the date hereof, be deemed to include all amendments hereto, which have been made prior to such time in accordance with Section 14.9. Article and Section captions used in this Agreement are for convenience only, and shall not affect the construction of this Agreement.

Section 14.11.Specific Performance.

The Parties hereto recognize and agree that it may be impossible to measure in money the damages which will accrue to any Party hereto or its successors or assigns by reason of a failure to perform any of the obligations arising under this Agreement. Therefore, if a Party or its successors or assigns shall institute any action or proceeding to enforce any provision hereof, any Party against whom such action or proceeding is brought hereby agrees that specific performance may be sought and obtained for any breach of this Agreement, without the necessity of proving actual damages.

Section 14.12.Mediation of Disputes; Jurisdiction and Venue.

(a)No Party shall institute a proceeding before any tribunal to resolve any controversy or claim arising out of or relating to this Agreement, or the breach, termination or invalidity thereof (a “Dispute”), before such Party has sought to resolve the dispute through mediation. If the applicable Parties do not promptly agree on a mediator, any such Party may request the Director of the FHFA to appoint a mediator. All mediation proceedings under this Agreement shall be held in Washington, D.C. or such other location as the applicable Parties may agree upon. If the mediator is unable to facilitate a settlement of the Dispute within a reasonable time, as determined by the mediator, the

Page 27 of 31

mediator shall issue a written statement to the applicable Parties to that effect and the complaining Party may then pursue any other remedy available to it at law or in equity. The fees and expenses of the mediator shall be paid by the Party initiating mediation, unless the applicable Parties agree otherwise, but the paying Party shall be entitled to a judgment for reimbursement of such fees and expenses if it prevails against any other Party on all material issues in a judicial proceeding.

(b)Each Party consents to the exercise of jurisdiction over its person and its property by any court of competent jurisdiction situated in the City of Chicago, State of Illinois (whether it be a court of the State of Illinois or a court of the United States of America situated in Illinois) for the enforcement of this Agreement or in any other controversy, dispute or question arising hereunder, and such Party waives any and all personal or other rights to object to such jurisdiction for such purposes. Each Party, for itself and its successors and assigns, waives any objection which it may have to the laying of venue of any such action, suit or proceeding in any such court; provided, that the provisions of this paragraph shall not be deemed to preclude any other appropriate forum. If such litigation is commenced at any time, the applicable Parties agree that service of process may be made, and personal jurisdiction over the other Party obtained, by service of a copy of the summons, complaint and other pleadings required to commence such litigation by United States certified or registered mail, return receipt requested, addressed to such Party at its address for notices as provided in this Agreement. The applicable Parties waive all claims of lack of effectiveness or error by reason of any such service.

Section 14.13.No Joint and Several Liability; Necessary Parties.

No Party to this Agreement shall be jointly and severally liable for any breach of any other Party under this Agreement. No Party to this Agreement shall be deemed a necessary party to any proceeding or litigation simply by reason of being a Party of this Agreement. The Parties agree that in the event of any dispute or disagreement among Parties relating to this Agreement that require any type of proceeding or litigation to resolve the dispute or disagreement, only the Parties among whom such dispute has arisen shall be made a party to any proceeding or litigation.

Section 14.14.Amendment and Restatement

This Agreement amends, restates, replaces and supersedes in their entirety the MPF Agreements. Each Party to this Agreement (a) agrees that all references to the MPF Agreements that are included in any other agreement or other document executed or delivered by any Party in connection with the MPF Program shall be deemed to be references to this Agreement, as amended from time to time, and (b) hereby amends all such MPF Agreements and other documents to the extent necessary or appropriate to reflect such changed references.

Section 14.15.Equal Treatment of MPF Banks.

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The MPF Program is a cooperative program among the MPF Banks and the MPF Provider. Consequently, the MPF Provider and each MPF Bank agree that any amendment or modification to this Agreement offered by or to any Active MPF Bank shall be promptly offered to all other Active MPF Banks.

[SIGNATURE PAGE(S) FOLLOWS]

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ARTICLE XV.SIGNATURES

IN WITNESS WHEREOF, the MPF Provider and each MPF Bank has caused this Agreement to be executed by its duly authorized officers, as of the date first above written.

MPF PROVIDER and MPF BANK:

FEDERAL HOME LOAN BANK OF CHICAGO

By: John Stocchetti

Name: John Stocchetti

Title: Executive Vice President

MPF BANK: FEDERAL HOME LOAN BANK OF ATLANTA
By: Kirk Malmberg	By: Kevin Wilcox
Name: Kirk Malmberg	Name: Kevin Wilcox
Title: EVP, CFO	Title: EVP

MPF BANK: FEDERAL HOME LOAN BANK OF BOSTON
By: M. Susan Elliott	By: Frank Nitkiewicz
Name: M. Susan Elliott	Name: Frank Nitkiewicz
Title: Executive Vice President & Chief Business Officer	Title: Executive Vice President & Chief Financial Officer

MPF BANK: FEDERAL HOME LOAN BANK OF DALLAS
By: Paul Joiner	By:
Name: Paul Joiner	Name:
Title: EVP	Title:

MPF BANK: FEDERAL HOME LOAN BANK OF DES MOINES
By: Daniel O. Mahlum	By: Bradley L. Meader
Name: Daniel O. Mahlum	Name: Bradley L. Meader
Title: Director, Mortgage Programs	Title: Manager-Mortgage Products Group

MPF BANK: FEDERAL HOME LOAN BANK OF PITTSBURGH
By: Kristina K. Williams	By:
Name: Kristina K. Williams	Name:
Title: Chief Operating Officer	Title:

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MPF BANK: FEDERAL HOME LOAN BANK OF NEW YORK
By: Adam Goldstein	By: Muriel Brunken
Name: Adam Goldstein	Name: Muriel Brunken
Title: Chief Business Officer	Title: VP - MPF Manager

MPF BANK: FEDERAL HOME LOAN BANK OF SAN FRANCISCO
By: Stephen P. Traynor	By:
Name: Stephen P. Traynor	Name:
Title: SVP, Member Financial Services & Community Investment	Title:

MPF BANK: FEDERAL HOME LOAN BANK OF TOPEKA

By: Dan Hess

Name: Dan Hess

Title: SVP

Page 31 of 31

EX-31.1

Exhibit 31.1

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

by the Principal Executive Officer

I, Matthew R. Feldman, certify that:

1. I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Chicago;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluations; and

d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions);

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:	November 3, 2016	By:	/s/ Matthew R. Feldman
		Name:	Matthew R. Feldman
		Title:	President and Chief Executive Officer
			(Principal Executive Officer)

EX-31.2

Exhibit 31.2

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

by the Principal Financial Officer

I, Roger D. Lundstrom, certify that:

1.  I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Chicago;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluations; and

d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions);

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:	November 3, 2016	By:	/s/ Roger D. Lundstrom
		Name:	Roger D. Lundstrom
		Title:	Executive Vice President and Chief Financial Officer
			(Principal Financial Officer and Principal Accounting Officer)

EX-32.1

Exhibit 32.1

Certification Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

by the Principal Executive Officer

In connection with the Quarterly Report of the Federal Home Loan Bank of Chicago (the “Bank”) on Form 10-Q for the period ended September 30, 2016 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Matthew R. Feldman, President and Chief Executive Officer, certify to my knowledge, pursuant to 18 U.S.C. Section 1350 (as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002), that:

1.  The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.  The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Bank.

Date:	November 3, 2016	By:	/s/ Matthew R. Feldman
		Name:	Matthew R. Feldman
		Title:	President and Chief Executive Officer
			(Principal Executive Officer)

A signed original of this written statement has been provided to the Bank and will be retained by the Bank and furnished to the Securities and Exchange Commission or its staff upon request.

EX-32.2

Exhibit 32.2

Certification Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

by the Principal Financial Officer

In connection with the Quarterly Report of the Federal Home Loan Bank of Chicago (the “Bank”) on Form 10-Q for the period ended September 30, 2016 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Roger D. Lundstrom, Executive Vice President and Chief Financial Officer certify to my knowledge, pursuant to 18 U.S.C. Section 1350 (as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002), that:

1.  The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Bank.

Date:	November 3, 2016	By:	/s/ Roger D. Lundstrom
		Name:	Roger D. Lundstrom
		Title:	Executive Vice President and Chief Financial Officer
			(Principal Financial Officer and Principal Accounting Officer)

A signed original of this written statement has been provided to the Bank and will be retained by the Bank and furnished to the Securities and Exchange Commission or its staff upon request.

XML

Document and Entity Information	9 Months Ended
	Sep. 30, 2016 shares
Document and Entity Information [Abstract]
Entity Registrant Name	Federal Home Loan Bank of Chicago
Entity Central Index Key	0001331451
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Document Type	10-Q
Document Period End Date	Sep. 30, 2016
Document Fiscal Year Focus	2016
Document Fiscal Period Focus	Q3
Amendment Flag	false
Entity Common Stock, Shares Outstanding	19,376,924
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes

XML

Statements of Condition - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Assets
Cash and due from banks	$ 31	$ 499
Interest bearing deposits	650	650
Federal Funds sold	3,807	1,702
Securities purchased under agreements to resell	1,000	1,375
Investment securities -
Trading, $90 and $62 pledged	1,047	1,160
Available-for-sale	15,561	17,470
Held-to-maturity, $5,308 and $6,513 fair value	4,788	5,967
Investment securities	21,396	24,597
Advances, $703 and $511 carried at fair value	43,117	36,778
MPF Loans held in portfolio, net of allowance for credit losses of $(3) and $(3)	4,720	4,828
Derivative assets	21	2
Other assets, $58 and $54 carried at fair value	241	240
Assets	74,983	70,671
Deposits -
Noninterest bearing	59	41
Interest bearing, $15 and $12 from other FHLBs	453	497
Deposits	512	538
Consolidated obligations, net -
Discount notes, $12,537 and $9,006 carried at fair value	39,144	41,564
Bonds, $7,058 and $952 carried at fair value	30,139	22,582
Consolidated obligations, net	69,283	64,146
Derivative liabilities	48	55
Affordable Housing Program assessment payable	90	89
Mandatorily redeemable capital stock	302	8
Other liabilities	233	239
Subordinated notes	0	944
Liabilities	70,468	66,019
Commitments and contingencies - see notes to the financial statements
Capital
Class B1 activity stock - putable $100 par value - 11 million and 13 million shares issued and outstanding	1,063	1,313
Class B2 membership stock - putable $100 par value - 6 million and 6 million shares issued and outstanding	573	637
Capital stock	1,636	1,950
Retained earnings - unrestricted	2,577	2,407
Retained earnings - restricted	374	323
Retained earnings	2,951	2,730
Accumulated other comprehensive income (loss) (AOCI)	(72)	(28)
Capital	4,515	4,652
Liabilities and capital	$ 74,983	$ 70,671

XML

Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Statement of Financial Position [Abstract]
Trading securities pledged	$ 90	$ 62
Held-to-maturity fair value	5,308	6,513
Advances carried at fair value	703	511
Allowance for credit losses on MPF Loans	(3)	(3)
Mortgage loans held for sale (in other assets) carried at fair value	58	54
Interest bearing deposits from other FHLBs	15	12
Discount notes carried at fair value	12,537	9,006
Consolidated obligation bonds carried at fair value	$ 7,058	$ 952
Capital stock par value	$ 100	$ 100
Class B1 activity shares issued	11	13
Class B1 activity shares outstanding	11	13
Class B2 membership shares issued	6	6
Class B2 membership shares outstanding	6	6

XML

Statements of Income - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Income Statement [Abstract]
Interest income	$ 309	$ 304	$ 944	$ 934
Interest expense	196	182	600	561
Net interest income	113	122	344	373
Provision for (reversal of) credit losses	0	1	0	5
Net interest income after provision for (reversal of) credit losses	113	121	344	368
Noninterest gain (loss) on -
Trading securities	0	(1)	0	(2)
Derivatives and hedging activities	7	(15)	(7)	(17)
Instruments held under fair value option	0	1	6	4
Litigation settlement awards	0	2	38	13
Other gain (loss), net	7	7	24	15
Noninterest gain (loss)	14	(6)	61	13
Noninterest expense -
Compensation and benefits	26	20	71	57
Operating expenses	15	13	44	38
Other	1	2	13	6
Noninterest expense	42	35	128	101
Income before assessments	85	80	277	280
Affordable Housing Program assessment	9	8	28	28
Net income	$ 76	$ 72	$ 249	$ 252

XML

Statements of Comprehensive Income - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Statement of Comprehensive Income [Abstract]
Net income	$ 76	$ 72	$ 249	$ 252
Other comprehensive income (loss) -
Net unrealized gain (loss) available-for-sale securities	(13)	(79)	(113)	(214)
Non-credit OTTI held-to-maturity securities	9	11	30	37
Net unrealized gain (loss) cash flow hedges	83	(31)	38	8
Post-retirement plans	0	1	1	(7)
Other comprehensive income (loss)	79	(98)	(44)	(176)
Comprehensive income	$ 155	$ (26)	$ 205	$ 76

XML

Statements of Stockholders' Equity - USD ($) shares in Millions, $ in Millions	Total	Capital Stock	Retained Earnings, Unrestricted	Retained Earnings, Restricted	Retained Earnings, Total	AOCI	Capital Stock - Putable - B1 Activity	Capital Stock - Putable - B2 Membership
Shares, beginning at Dec. 31, 2014		19					8	11
Balance, beginning at Dec. 31, 2014	$ 4,525	$ 1,902	$ 2,152	$ 254	$ 2,406	$ 217	$ 827	$ 1,075
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive income	76		202	50	252	(176)
Proceeds from issuance of capital stock (shares)		3					3	0
Proceeds from issuance of capital stock	243	$ 243					$ 228	$ 15
Repurchases of capital stock (shares)		(3)					0	(3)
Repurchases of capital stock	(252)	$ (252)					$ (29)	$ (223)
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities) (shares)		0					0	0
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)	(1)	$ (1)					$ 0	$ (1)
Transfers between classes of capital stock (shares)							(1)	1
Transfers between classes of capital stock							$ (60)	$ 60
Cash dividends - class B1	(14)		(14)		(14)
Cash dividends - class B2	(4)		(4)		(4)
Common Stock Dividend - Annualized Rate							2.25%	0.50%
Total change in period (shares)		0					2	(2)
Total change in period	48	$ (10)	184	50	234	(176)	$ 139	$ (149)
Shares, ending at Sep. 30, 2015		19					10	9
Balance, ending at Sep. 30, 2015	4,573	$ 1,892	2,336	304	2,640	41	$ 966	$ 926
Shares, beginning at Dec. 31, 2015		19					13	6
Balance, beginning at Dec. 31, 2015	4,652	$ 1,950	2,407	323	2,730	(28)	$ 1,313	$ 637
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive income	205		198	51	249	(44)
Proceeds from issuance of capital stock (shares)		10					10	0
Proceeds from issuance of capital stock	964	$ 964					$ 952	$ 12
Repurchases of capital stock (shares)		(9)					(6)	(3)
Repurchases of capital stock	(978)	$ (978)					$ (586)	$ (392)
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities) (shares)		(3)					(3)	0
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)	(300)	$ (300)					$ (295)	$ (5)
Transfers between classes of capital stock (shares)							(3)	3
Transfers between classes of capital stock							$ (321)	$ 321
Cash dividends - class B1	(25)		(25)		(25)
Cash dividends - class B2	(3)		(3)		(3)
Common Stock Dividend - Annualized Rate							2.73%	0.60%
Total change in period (shares)		(2)					(2)	0
Total change in period	(137)	$ (314)	170	51	221	(44)	$ (250)	$ (64)
Shares, ending at Sep. 30, 2016		17					11	6
Balance, ending at Sep. 30, 2016	$ 4,515	$ 1,636	$ 2,577	$ 374	$ 2,951	$ (72)	$ 1,063	$ 573

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Condensed Statements of Cash Flows - USD ($) $ in Millions		9 Months Ended
		Sep. 30, 2016	Sep. 30, 2015
Operating
Net cash provided by (used in) operating activities		$ 184	$ 375
Investing
Net change Federal Funds sold		(2,105)	805
Net change securities purchased under agreements to resell		375	0
Trading securities -
Sales		2,158	0
Proceeds from maturities and paydowns		108	109
Purchases		(2,156)	(101)
Available-for-sale securities -
Proceeds from maturities and paydowns		1,777	1,452
Purchases		(2)	(12)
Held-to-maturity securities -
Short-term held-to-maturity securities, net	[1]	543	675
Proceeds from maturities and paydowns		740	793
Purchases		(30)	(16)
Advances -
Principal collected		548,381	251,066
Issued		(554,570)	(253,574)
MPF Loans held in portfolio -
Principal collected		867	1,085
Purchases		(759)	(117)
Other investing activities		27	39
Net cash provided by (used in) investing activities		(4,646)	2,204
Financing
Net change deposits		(26)	(156)
Discount notes -
Net proceeds from issuance		438,057	210,023
Payments for maturing and retiring		(440,500)	(203,798)
Consolidated obligation bonds -
Net proceeds from issuance		24,439	8,503
Payments for maturing and retiring		(16,943)	(16,777)
Net proceeds (payments) on derivative contracts with financing element		(38)	(47)
Net proceeds (payments) on bond transfers with other FHLBs		0	(35)
Payments for retiring of subordinated debt		(944)	0
Capital stock -
Proceeds from issuance of capital stock		964	243
Repurchase of capital stock		(978)	(252)
Cash dividends paid		(28)	(18)
Other financing activities		(9)	(1)
Net cash provided by (used in) financing activities		3,994	(2,315)
Net increase (decrease) in cash and due from banks		(468)	264
Cash and due from banks at beginning of period		499	342
Cash and due from banks at end of period		31	606
Noncash
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)		$ 300	$ 1

[1] Short-term held-to-maturity securities, net, consists of investment securities with a maturity of less than 90 days when purchased.

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Background and Basis of Presentation

9 Months Ended

Sep. 30, 2016

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Organization, Consolidation and Presentation of Financial Statements Disclosure [Text Block]

Background and Basis of Presentation

The Federal Home Loan Bank of Chicago is a federally chartered corporation and one of 11 Federal Home Loan Banks (the FHLBs) that, with the Office of Finance, comprise the Federal Home Loan Bank System (the System).  The FHLBs are government-sponsored enterprises (GSE) of the United States of America and were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLB Act), in order to improve the availability of funds to support home ownership.  We are supervised and regulated by the Federal Housing Finance Agency (FHFA), an independent federal agency in the executive branch of the United States (U.S.) government.

Each FHLB is a member-owned cooperative with members from a specifically defined geographic district. Our defined geographic district is Illinois and Wisconsin. All federally-insured depository institutions, insurance companies engaged in residential housing finance, credit unions and community development financial institutions located in our district are eligible to apply for membership with us. All our members are required to purchase our capital stock as a condition of membership. Our capital stock is not publicly traded, and is issued, repurchased or redeemed at par value, $100 per share, subject to certain statutory and regulatory limits. As a cooperative, we do business with our members, and former members (under limited circumstances). Specifically, we provide credit principally in the form of secured loans called advances. We also provide liquidity for home mortgage loans to members approved as Participating Financial Institutions (PFIs) through the Mortgage Partnership Finance^® (MPF^®) Program.

Our accounting and financial reporting policies conform to generally accepted accounting principles in the United States of America (GAAP). Amounts in prior periods may be reclassified to conform to the current presentation and if material are disclosed in the following notes.

In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements and the following footnotes should be read in conjunction with the audited financial statements and footnotes for the year ended December 31, 2015, included in our Annual Report on Form 10-K (2015 Form 10-K) starting on page F-1, as filed with the Securities and Exchange Commission (SEC).

Unless otherwise specified, references to we, us, our, and the Bank are to the Federal Home Loan Bank of Chicago.

“Mortgage Partnership Finance”, “MPF”, “MPF Xtra”, and "Community First" are registered trademarks of the Federal Home Loan Bank of Chicago.

Refer to the Glossary of Terms starting on page 63 for the definitions of certain terms used herein.

Use of Estimates

The preparation of financial statements in accordance with GAAP requires us to make assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these assumptions and estimates applies to fair value measurements and allowance for credit losses. Actual results could differ from these assumptions and estimates.

Consolidation of Variable Interest Entities

We would consolidate a variable interest entity if we determine that we are its primary beneficiary, which occurs when both conditions shown below are met.

• We have the power to direct the activities of a variable interest entity that most significantly impact the entity’s economic performance.

• We have the obligation to absorb losses of the entity that could potentially be significant to the variable interest entity or the right to receive benefits from the entity that could potentially be significant to the variable interest entity.

We did not consolidate any of our investments in variable interest entities since we are not the primary beneficiary. We classify variable interest entities as investment securities in our statements of condition. Such investment securities include, but are not limited to, senior interests in private-label mortgage backed securities (MBS) and Federal Family Education Loan Program asset backed securities (FFELP ABS). Our maximum loss exposure for these investment securities is limited to their carrying amounts. We have no liabilities related to these investments in variable interest entities. We have not provided financial or other support (explicitly or implicitly) to these investment securities that we were not previously contractually required to provide, nor do we intend to provide such support in the future.

Gross versus Net Presentation of Financial Instruments

We present derivative assets and liabilities on a net basis in our statements of condition on the basis that our right to net amounts due to our clearing agents and/or our counterparties is enforceable at law upon early termination. We include accrued interest receivable/payable and cash collateral, including initial and variation margin, in the carrying amount of a derivative. Derivatives are netted by contract (e.g., master netting agreement), to discharge all or a portion of the amounts that would be owed to our counterparty by applying them against the amounts that our counterparty owes to us. Additionally, we clear certain derivatives transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO), through Futures Commission Merchants (FCM). If these netted amounts are positive, they are classified as a derivative asset and if negative, they are classified as a derivative liability.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or asset.

Refer to Note 9 - Derivatives and Hedging Activities for further details.

Our policy is to report securities purchased under agreements to resell and securities sold under agreements to repurchase, if any, and securities borrowing transactions, if any, on a gross basis.

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Summary of Significant Accounting Policies

9 Months Ended

Sep. 30, 2016

Accounting Policies [Abstract]

Significant Accounting Policies [Text Block]

Summary of Significant Accounting Policies

Our Summary of Significant Accounting Policies through December 31, 2015, can be found in Note 2 – Summary of Significant Accounting Policies to the financial statements in our 2015 Form 10-K. We adopted the following policies in 2016:

Simplifying the Presentation of Debt Issuance Cost (i.e., Concession Fees)

In April of 2015, the FASB issued new guidance requiring any concession fee to be presented as a direct deduction from the debt it relates to rather than separately presented as a deferred cost in Other Assets. We retrospectively adopted the new guidance January 1, 2016 by reclassifying deferred concession fees from Other Assets to its related debt, which at the time of adoption included our Consolidated obligation discount notes, Consolidated obligation bonds and Subordinated notes. This reclassification did not have a material effect on our financial condition, results of operations, cash flows, or percentage net interest yield on our consolidated obligations at the time of adoption.

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships

In March of 2016, the FASB issued new guidance clarifying that a change in counterparty (novation) to a derivative instrument that has been designated as the hedging instrument in an existing hedging relationship would not, in and of itself, be considered a termination of the derivative instrument or be considered a change in the critical term of the hedging relationship. We early adopted this new guidance on a prospective basis effective January 1, 2016. The new guidance had no effect on our financial condition, results of operations, or cash flows at the time of adoption.

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Recently Issued but Not Yet Adopted Accounting Standards

9 Months Ended

Sep. 30, 2016

New Accounting Pronouncements and Changes in Accounting Principles [Abstract]

Recently Issued but Not Yet Adopted Accounting Standards [Text Block]

Recently Issued but Not Yet Adopted Accounting Standards

Classification of Certain Cash Receipts and Cash Payments in the Statement of Cash Flows

In August of 2016, the FASB issued statement of cash flows classification guidance governing certain cash receipts and cash payments. The new guidance becomes effective January 1, 2018, with earlier adoption permitted. The new guidance must be applied retrospectively to each period our statements of cash flows are presented at the time of adoption. Key provisions relevant to us are outlined below. Our existing practice is consistent with the provisions of the guidance outlined below pertaining to debt prepayment or extinguishment costs and the classification of accreted interest expense. We are in the process of reviewing the expected effect of the remaining provisions of the guidance on our financial condition, results of operations, and cash flows.

• Cash payments for debt prepayment or extinguishment costs are classified as cash outflows for financing activities.

• At settlement, the portion of the cash payment attributable to accreted interest expense is classified as cash outflows for operating activities, and the portion of the cash payment attributable to the principal would be classified as cash outflows for financing activities. The cash paid attributable to accreted interest expense also needs to be included in the supplemental disclosure of the amount of interest expense paid.

• A transferor’s beneficial interest obtained in a securitization of financial assets is disclosed as a noncash activity.

• Additional guidance is provided to clarify when an entity should separate cash receipts and cash payments and classify them into more than one class of cash flows and when an entity should classify the aggregate of those cash receipts and payments into one class of cash flows on the basis of predominance.

Measurement of Credit Losses on Financial Instruments

In June of 2016, the FASB amended existing GAAP guidance applicable to measuring credit losses on financial instruments. The amendments are expected to result in recognizing credit losses in the financial statements on a timelier basis by utilizing forward looking information. Key provisions of the amendments relevant to us are outlined below.

• Replaces the “incurred loss” impairment methodology applied under current GAAP with an “expected credit losses” methodology.

• The expected credit losses methodology requires us to estimate all credit losses on financial instruments carried on an amortized cost basis and off-balance-sheet credit exposures over their contractual term. On balance sheet financial instruments include, but are not limited to, advances, MPF Loans held in portfolio, and Held-to-maturity (HTM) securities. Off-balance-sheet credit exposure refers to unfunded credit exposures, such as standby letters of credit.

• The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the financial instrument’s reported amount.

• Aligns the income statement recognition of credit losses for securities with the reporting period in which changes in collectability occur by recording credit losses (and subsequent reversals) through an allowance rather than a write-down as currently required under GAAP.

• Requires recognition of a credit loss on available-for-sale (AFS) securities into the income statement if the present value of cash flows expected to be collected on the security is less than its amortized cost basis. Additionally, the allowance on AFS debt securities will be limited to the amount by which fair value is less than the amortized cost.

• Expands upon the current credit quality disclosures by requiring further disaggregation of financial instruments by their year of origination. This disclosure is expected to help financial statement users better understand credit quality trends of asset portfolios.

The amendments become effective January 1, 2020, with early adoption permitted effective January 1, 2019. We plan to implement the expected credit loss methodology through a cumulative-effect adjustment to our beginning retained earnings as of the first reporting period in which the new guidance becomes effective for us. The cumulative effect adjustment will equal the amount required to adjust our existing allowance for credit losses for our on balance-sheet financial instruments and other liabilities for our off-balance sheet financial instruments to the amounts determined under the expected credit losses methodology. A prospective transition approach is required for debt securities for which an other-than-temporary impairment had been recognized before our effective date. This means write-downs recognized prior to our effective date on securities may not be reversed at the time of our adoption. Instead, improvements in expected cash flows that exist at the time we adopt will continue to be accreted into income over the remaining life of the security. Additionally, recoveries of amounts previously written off prior to the date of adoption will be recorded in earnings when received. We are in the process of reviewing the expected effect of this guidance on our financial condition, results of operations, and cash flows.

Contingent Put and Call Options in Debt Instruments

In March of 2016, the FASB issued new guidance clarifying the requirements for assessing whether a contingent call (put) option embedded in a debt instrument is clearly and closely related to that debt instrument, which is referred to as the "host contract". Specifically, entities no longer will be required to assess whether the event triggering the acceleration of an embedded contingent call (put) option within a debt instrument is clearly and closely related to its host contract. We plan to adopt the new guidance using the modified retrospective approach on January 1, 2017. The new guidance is not expected to have a material effect on our financial condition, results of operations, or cash flows at the time of adoption.

Leases

In February of 2016, the FASB issued new guidance pertaining to lease accounting. Key lessee accounting provisions relevant to us are outlined below. Our existing practice is to record our operating leases off-balance sheet.

• Recognize operating leases and right-to-use assets in our statements of condition; however, we would be permitted to elect off-balance sheet recognition of such leases having a term of 12 months or less.

• Recognize a single lease cost over the lease term on a straight-line basis.

• Classify all cash payments within operating activities in our statement of cash flows.

The new guidance becomes effective January 1, 2019. A modified retrospective transition approach is required to be applied to leases existing at, or entered into after, the beginning of the earliest comparative period presented in the financial statements. We do not expect the new guidance to have a significant effect on our financial condition, results of operations, and cash flows since our existing off-balance sheet operating leases are not material.

Recognition and Measurement of Financial Assets and Financial Liabilities

In January of 2016, the FASB issued new guidance governing recognition and measurement of financial assets and financial liabilities. The key provisions applicable to us include, but are not limited to, the following:

• The ability to elect the fair value option will continue to be permitted.

• Requires recognizing the portion of the total change in fair value of a liability resulting from a change in the instrument-specific credit risk in other comprehensive income when we elect to carry that liability at fair value under the fair value option.

• Requires separate presentation of financial assets and financial liabilities by measurement category, such as amortized cost, and form, such as securities or loans, on our statements of condition or the accompanying notes to the financial statements.

The new guidance becomes effective January 1, 2018. We are in the process of reviewing its expected effect on our financial condition, results of operations, and cash flows.

Revenue from Contracts with Customers

In May of 2014, the FASB issued new guidance governing revenue recognition from contracts with customers. In August of 2015, the FASB deferred the effective date of this new guidance until January 1, 2018. Subsequently, the FASB has issued several pronouncements that provide additional guidance and clarifications to the revenue recognition guidance issued in May of 2014. The new revenue recognition guidance is not expected to have a material effect on our financial condition, results of operations, or cash flows at the time of adoption because the majority of our financial instruments and other contractual rights are within the scope of other GAAP guidance; and accordingly, are excluded from the scope of this new revenue recognition guidance.

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Interest Income and Interest Expense

9 Months Ended

Sep. 30, 2016

Interest Income (Expense), Net [Abstract]

Interest Income and Interest Expense Disclosure [Text Block]

Interest Income and Interest Expense

The following table presents interest income and interest expense for the periods indicated:

	Three months ended September 30,				Nine months ended September 30,
	2016		2015		2016		2015
Interest income -
Trading	$	2	$	—	$	7	$	2
Available-for-sale	116		132		367		396
Held-to-maturity	56		63		171		201
Investment securities	174		195		545		599
Advance interest income	73		44		203		125
Advance prepayment fees	1		1		8		7
Advances	74		45		211		132
MPF Loans held in portfolio	53		62		165		197
Other interest bearing assets	8		2		23		6
Interest income	309		304		944		934
Interest expense -
Discount notes	95		72		272		216
Bonds	99		96		299		304
Consolidated obligations	194		168		571		520
Subordinated notes	—		14		24		41
Other interest bearing liabilities	2		—		5		—
Interest expense	196		182		600		561
Net interest income	113		122		344		373
Provision for (reversal of) credit losses	—		1		—		5
Net interest income after provision for (reversal of) credit losses	$	113	$	121	$	344	$	368

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Investment Securities

9 Months Ended

Sep. 30, 2016

Investments, Debt and Equity Securities [Abstract]

Investment Securities [Text Block]

Investment Securities

We classify securities as either trading, held-to-maturity (HTM), or available-for-sale (AFS). Our security disclosures within these classifications are disaggregated by major security types as shown below. Our major security types are based on the nature and risks of the security.

• U.S. Government & other government related may consist of the sovereign debt of the United States; debt issued by government sponsored enterprises (GSE); and non-mortgage-backed securities of the Small Business Administration and Tennessee Valley Authority.

• Federal Family Education Loan Program - asset backed securities (FFELP ABS).

• GSE residential mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac.

• Government-guaranteed MBS.

• Private-label residential MBS.

• State or local housing agency obligations.

Pledged Collateral

We disclose the amount of investment securities pledged as collateral pertaining to our derivatives activity on our statements of condition. Also see Note 9 - Derivatives and Hedging Activities for further details.

Trading Securities

The following table presents the fair value of our trading securities. We did not hold a material amount of securities we issued through our MPF Government MBS product as of the dates presented. We had no material unrealized gains or losses on trading securities.

As of	September 30, 2016		December 31, 2015
U.S. Government & other government related	$	1,003	$	1,108
Residential MBS:
GSE	42		50
Government-guaranteed	2		2
Residential MBS	44		52
Trading securities	$	1,047	$	1,160

Amortized Cost Basis and Fair Value – Available-for-Sale Securities (AFS)

	Amortized Cost Basis		Gross Unrealized Gains in AOCI		Gross Unrealized (Losses) in AOCI			Carrying Amount and Fair Value
As of September 30, 2016
U.S. Government & other government related	$	350	$	20	$	(3	)	$	367
State or local housing agency	19		1		—			20
FFELP ABS	4,561		158		(25		)	4,694
Residential MBS:
GSE	8,578		353		(9		)	8,922
Government-guaranteed	1,457		43		—			1,500
Private-label	51		7		—			58
Residential MBS	10,086		403		(9		)	10,480
Available-for-sale securities	$	15,016	$	582	$	(37	)	$	15,561
As of December 31, 2015
U.S. Government & other government related	$	405	$	21	$	(4	)	$	422
State or local housing agency	18		—		—			18
FFELP ABS	5,090		233		(24		)	5,299
Residential MBS:
GSE	9,427		383		(12		)	9,798
Government-guaranteed	1,811		57		—			1,868
Private-label	61		4		—			65
Residential MBS	11,299		444		(12		)	11,731
Available-for-sale securities	$	16,812	$	698	$	(40	)	$	17,470

Amortized Cost Basis, Carrying Amount, and Fair Value - Held-to-Maturity Securities (HTM)

	Amortized Cost Basis		Non-credit OTTI Recognized in AOCI (Loss)			Carrying Amount		Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)			Fair Value
As of September 30, 2016
U.S. Government & other government related	$	1,271	$	—		$	1,271	$	74	$	—		$	1,345
State or local housing agency	13		—			13		—		—			13
Residential MBS:
GSE	1,928		—			1,928		133		—			2,061
Government-guaranteed	834		—			834		13		—			847
Private-label	929		(187		)	742		301		(1		)	1,042
Residential MBS	3,691		(187		)	3,504		447		(1		)	3,950
Held-to-maturity securities	$	4,975	$	(187	)	$	4,788	$	521	$	(1	)	$	5,308
As of December 31, 2015
U.S. Government & other government related	$	1,932	$	—		$	1,932	$	64	$	(1	)	$	1,995
State or local housing agency	16		—			16		—		—			16
Residential MBS:
GSE	2,163		—			2,163		134		—			2,297
Government-guaranteed	969		—			969		16		—			985
Private-label	1,104		(217		)	887		334		(1		)	1,220
Residential MBS	4,236		(217		)	4,019		484		(1		)	4,502
Held-to-maturity securities	$	6,184	$	(217	)	$	5,967	$	548	$	(2	)	$	6,513

Aging of Unrealized Temporary Losses

The following tables present unrealized temporary losses on our AFS and HTM portfolio for periods less than 12 months and for 12 months or more. We recognized no OTTI charges on these unrealized loss positions because we expect to recover the entire amortized cost basis, we do not intend to sell these securities, and we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported.

Available-for-Sale Securities

	Less than 12 Months					12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of September 30, 2016
U.S. Government & other government related	$	—	$	—		$	86	$	(3	)	$	86	$	(3	)
State or local housing agency	1		—			—		—			1		—
FFELP ABS	—		—			774		(25		)	774		(25		)
Residential MBS:
GSE	658		—			1,217		(9		)	1,875		(9		)
Government-guaranteed	24		—			—		—			24		—
Private-label	—		—			1		—			1		—
Residential MBS	682		—			1,218		(9		)	1,900		(9		)
Available-for-sale securities	$	683	$	—		$	2,078	$	(37	)	$	2,761	$	(37	)
As of December 31, 2015
U.S. Government & other government related	$	30	$	(1	)	$	45	$	(3	)	$	75	$	(4	)
State or local housing agency	4		—			—		—			4		—
FFELP ABS	64		(1		)	787		(23		)	851		(24		)
Residential MBS:
GSE	1,081		(3		)	1,006		(9		)	2,087		(12		)
Government-guaranteed	90		—			—		—			90		—
Private-label	—		—			8		—			8		—
Residential MBS	1,171		(3		)	1,014		(9		)	2,185		(12		)
Available-for-sale securities	$	1,269	$	(5	)	$	1,846	$	(35	)	$	3,115	$	(40	)

Held-to-Maturity Securities

	Less than 12 Months				12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)		Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of September 30, 2016
U.S. Government & other government related	$	—	$	—	$	16	$	—		$	16	$	—
State or local housing agency	9		—		1		—			10		—
Residential MBS:
GSE	4		—		—		—			4		—
Private-label	—		—		1,000		(188		)	1,000		(188		)
Residential MBS	4		—		1,000		(188		)	1,004		(188		)
Held-to-maturity securities	$	13	$	—	$	1,017	$	(188	)	$	1,030	$	(188	)
As of December 31, 2015
U.S. Government & other government related	$	606	$	—	$	16	$	(1	)	$	622	$	(1	)
State or local housing agency	1		—		10		—			11		—
Residential MBS:
GSE	4		—		—		—			4		—
Private-label	—		—		1,167		(218		)	1,167		(218		)
Residential MBS	4		—		1,167		(218		)	1,171		(218		)
Held-to-maturity securities	$	611	$	—	$	1,193	$	(219	)	$	1,804	$	(219	)

Contractual Maturity Terms

The following table primarily presents the amortized cost basis and fair value of U.S. Government & other government related AFS and HTM securities by contractual maturity. ABS and MBS securities are excluded since their expected maturities may differ from their contractual maturities if borrowers of the underlying loans elect to prepay their loans.

	Available-for-Sale				Held-to-Maturity
As of September 30, 2016	Amortized Cost Basis		Carrying Amount and Fair Value		Carrying Amount		Fair Value
Year of Maturity -
Due in one year or less	$	17	$	17	$	176	$	177
Due after one year through five years	44		46		285		298
Due after five years through ten years	30		32		86		88
Due after ten years	278		292		737		795
ABS and MBS without a single maturity date	14,647		15,174		3,504		3,950
Total securities	$	15,016	$	15,561	$	4,788	$	5,308

Other-Than-Temporary Impairment Analysis

We had no OTTI for the periods presented based on the significant inputs, key modeling assumptions, and methodologies outlined below.

We assess an HTM or AFS private-label MBS security for OTTI whenever its fair value is less than its amortized cost basis as of the reporting date. Specifically, we determine OTTI, if any, by performing a cash flow analysis for substantially all of these private-label MBS securities utilizing two independent third party models, which are described further below. Our analysis generates cash flow projections utilizing significant inputs, key modeling assumptions, and methodologies provided by the FHLB System OTTI Committee, which was established to achieve consistent OTTI analyses for private-label MBS among FHLBs. We are still responsible, however, for making our own OTTI determination, which involves determining the reasonableness of these significant inputs, assumptions, and methodologies, as well as performing the required present value calculations using appropriate historical cost bases and yields.  We then utilize these cash flow projections to determine if OTTI exists on our private-label MBS.

• First model. This model considers borrower characteristics and the particular attributes of the loans underlying the securities, in conjunction with assumptions about future changes in home prices and interest rates, prepayment rates, default rates, 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. Outputs from this first model are then used as inputs by the second model as follows.

• Second model. This model uses the month-by-month projections of future loan performance derived from the first model and 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.

As of September 30, 2016, we had a short-term housing price forecast over all markets with projected changes ranging from -1.0% to +10.0% over the twelve month period beginning July 1, 2016. For the vast majority of markets, the short-term forecast has changes ranging from +3.0% to +6.0%. 

The following table presents the changes in the cumulative amount of previously recorded OTTI credit losses (recognized into earnings) on investment securities for the reporting periods indicated.

	Three months ended September 30,						Nine months ended September 30,
	2016			2015			2016			2015
Beginning Balance	$	542		$	591		$	568		$	620
Reductions:
Increases in expected future cash flows recorded as accretion into interest income	(11		)	(12		)	(37		)	(41		)
Ending Balance	$	531		$	579		$	531		$	579

Ongoing Litigation

On October 15, 2010, we instituted litigation relating to 64 private-label MBS bonds we purchased in an aggregate original principal amount of $4.29 billion. In April 2016, we received a payment of $37.5 million (partially offset by $5.0 million of related legal fees and other expenses) resulting from a settlement with some of the defendants. As of September 30, 2016, the remaining litigation covers four private-label MBS bonds in the aggregate original principal amount of $77.5 million.

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Advances

9 Months Ended

Sep. 30, 2016

Federal Home Loan Banks [Abstract]

Advances [Text Block]

Advances

We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality.

The following table presents our advances by terms of maturity. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties.

As of September 30, 2016	Weighted Average Contractual Interest Rate			Amount
Due in one year or less	0.60	%		$	12,719
One to two years	0.77	%		8,966
Two to three years	0.56	%	a	7,283
Three to four years	0.58	%	a	8,120
Four to five years	1.34	%		1,536
More than five years	1.67	%		4,168
Par value	0.76	%		$	42,792

^a  The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates.

See Note 8 - Allowance for Credit Losses for information related to our credit risk on advances and allowance methodology for credit losses.

The following table reconciles the par value of our advances to the carrying amount on our statements of condition as of the dates indicated.

As of	September 30, 2016		December 31, 2015
Par value	$	42,792	$	36,605
Fair value hedging adjustments	300		159
Other adjustments	25		14
Advances	$	43,117	$	36,778

The following advance borrowers exceeded 10% of our total advances outstanding:

As of September 30, 2016	Par Value			% of Total Outstanding
One Mortgage Partners Corp.	$	11,000	a	26	%
BMO Harris Bank, N.A.	4,875			11	%

^a  One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA.

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MPF Loans

9 Months Ended

Sep. 30, 2016

Mortgage Loans on Real Estate [Abstract]

MPF Loans [Text Block]

MPF Loans Held in Portfolio

We acquire MPF Loans from PFIs to hold in our portfolio, and in some cases we purchased participations in pools of eligible mortgage loans from other FHLBs (MPF Banks). MPF Loans that are held in portfolio are fixed-rate conventional and government mortgage loans secured by one-to-four family residential properties with maturities ranging from 5 years to 30 years or participations in pools of similar eligible mortgage loans from other MPF Banks.

The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase.

As of	September 30, 2016			December 31, 2015
Medium term (15 years or less)	$	448		$	662
Long term (greater than 15 years)	4,209			4,112
Unpaid principal balance	4,657			4,774
Net premiums, credit enhancement and deferred loan fees	36			20
Fair value hedging adjustments	30			37
MPF Loans held in portfolio, before allowance for credit losses	4,723			4,831
Allowance for credit losses on MPF Loans	(3		)	(3		)
MPF Loans held in portfolio, net	$	4,720		$	4,828
Conventional mortgage loans	$	3,543		$	3,568
Government Loans	1,114			1,206
Unpaid principal balance	$	4,657		$	4,774

See Note 8 - Allowance for Credit Lossesto the financial statements for information related to our credit losses on MPF Loans held in portfolio.

In addition to our portfolio MPF Products, PFIs sell eligible MPF Loans to us through the MPF Program infrastructure and we concurrently sell them to third party investors or hold MPF Loans in our held for sale portfolio in other assets for a short period of time until such loans are pooled into MBS.

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Allowance for Credit Losses

9 Months Ended

Sep. 30, 2016

Receivables [Abstract]

Allowance for Credit Losses [Text Block]

Allowance for Credit Losses

See Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2015 Form 10-K for further details pertaining to the methodologies and factors we consider when determining the amount to recognize as an allowance for credit losses, if any, for each portfolio segment identified below.

We have identified our portfolio segments as shown below:

•Member credit products (advances, letters of credit and other extensions of credit to borrowers);

•Conventional MPF Loans held in portfolio;

•Government Loans held in portfolio; and

•Federal Funds Sold and Securities Purchased Under Agreements to Resell.

Member Credit Products

We have not recorded any allowance for credit losses for our member credit products portfolio segment based upon our credit analysis and the repayment history on member credit products. We had no member credit products that were past due, on nonaccrual status, involved in a troubled debt restructuring or otherwise considered impaired. We have not recorded a separate liability to reflect credit losses on our member credit products with off-balance sheet credit exposure.

Conventional MPF Loans Held in Portfolio

For further detail of our MPF Risk Sharing Structure see page F-14 in our 2015 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2015. The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. Recorded investment in a conventional MPF Loan is its amortized cost basis plus related accrued interest receivable, if any. Recorded investment is not net of its allowance for credit losses but is net of any direct charge-off on the conventional MPF Loan.

As of	September 30, 2016		December 31, 2015
Recorded investment in conventional MPF Loans -
Individually evaluated for impairment	$	78	$	107
Collectively evaluated for impairment	3,533		3,519
Recorded investment	$	3,611	$	3,626
Allowance for credit losses on conventional MPF Loans -
Homogeneous pools of loans collectively evaluated for impairment	$	3	$	3

Government Loans Held in Portfolio

Servicing PFIs are responsible for absorbing any losses incurred on Government Loans held in portfolio that are not recovered from the government insurer or guarantor. We did not establish an allowance for credit losses on our Government Loans held in portfolio for the reporting periods presented based on our assessment that our servicing PFIs have the ability to absorb such losses. Further, Government Loans were not placed on nonaccrual status or disclosed as troubled debt restructurings for the same reason.

Credit Quality Indicators - MPF Loans Held in Portfolio

The following table summarizes our recorded investment in MPF Loans by our key credit quality indicators, which include:

• "Serious delinquency rate" consists of MPF Loans that are 90 days or more past due or in the process of foreclosure, as a percentage of the total recorded investment. MPF Loans that are both 90 days or more past due and in the process of foreclosure are only included once in our serious delinquency rate calculation.

• "Past due 90 days or more still accruing interest" consists of MPF Loans that are either insured or guaranteed by the government or conventional mortgage loans that are well secured (by collateral that have a realizable value sufficient to discharge the debt or by the guarantee or insurance, such as Primary Mortgage Insurance, of a financially responsible party) and in the process of collection.

	September 30, 2016									December 31, 2015
As of	Conventional			Government			Total			Conventional			Government			Total
Past due 30-59 days	$	81		$	53		$	134		$	99		$	63		$	162
Past due 60-89 days	26			17			43			32			21			53
Past due 90 days or more	71			21			92			100			15			115
Past due	178			91			269			231			99			330
Current	3,433			1,044			4,477			3,395			1,130			4,525
Recorded investment	$	3,611		$	1,135		$	4,746		$	3,626		$	1,229		$	4,855
In process of foreclosure	$	36		$	5		$	41		$	51		$	3		$	54
Serious delinquency rate	2.02		%	1.87		%	1.98		%	2.77		%	1.23		%	2.38		%
Past due 90 days or more still accruing interest	$	7		$	21		$	28		$	10		$	15		$	25
On nonaccrual status	$	78		$	—		$	78		$	107		$	—		$	107

Individually Evaluated Impaired MPF Loans

The following table summarizes the recorded investment, unpaid principal balance, and related allowance for credit losses attributable to individually evaluated impaired conventional MPF Loans. Conventional MPF Loans are individually evaluated for impairment when they are adversely classified. There is no allowance for credit losses attributable to conventional MPF Loans that are individually evaluated for impairment, since the related allowance for credit losses have been charged off.

As of	September 30, 2016		December 31, 2015
Recorded investment without an allowance for credit losses	$	78	$	107
Unpaid principal balance without an allowance for credit losses	84		117

The following table summarizes the average recorded investment of impaired conventional MPF Loans. We do not recognize interest income on impaired loans.

	Three months ended September 30,				Nine months ended September 30,
	2016		2015		2016		2015
Average recorded investment without allowance for credit losses	$	81	$	118	$	89	$	132

Term Federal Funds Sold and Term Securities Purchased Under Agreements to Resell

We only had credit risk exposure to overnight Federal Funds sold and Securities Purchased Under Agreements to Resell as of September 30, 2016, and December 31, 2015. We did not have any term Federal Funds sold and Securities Purchased Under Agreements to Resell arrangements. We did not establish an allowance for credit losses for our overnight Federal Funds sold since all Federal Funds sold were repaid according to their contractual terms. We also did not establish an allowance for credit losses for overnight Securities Purchased Under Agreements to Resell since all payments due under the contractual terms have been received and we hold sufficient underlying collateral.

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Derivatives and Hedging Activities

9 Months Ended

Sep. 30, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities [Text Block]

Derivatives and Hedging Activities

Refer to Note 2 - Summary of Significant Accounting Policies in our 2015 Form 10-K for our accounting policies for derivatives.

We transact most of our derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Derivative transactions may be entered into through an over-the-counter bilateral agreement with an individual counterparty. Additionally, we clear some derivatives transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO) through a Futures Commission Merchant (FCM), a clearing member of the DCO. We are not a derivatives dealer and do not trade derivatives for speculative purposes.

Managing Credit Risk on Derivative Agreements

We are subject to credit risk due to the risk of nonperformance by counterparties to our derivative agreements. For bilateral derivative agreements, the degree of counterparty risk depends on the extent to which master netting arrangements, collateral requirements and other credit enhancements are included in such contracts to mitigate the risk. We manage counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies and FHFA regulations. We require collateral agreements on all derivatives that establish collateral delivery thresholds. Additionally, collateral related to derivatives with member institutions includes collateral assigned to us, as evidenced by a written security agreement, and held by the member institution for our benefit. Based on credit analyses and collateral requirements, we do not anticipate any credit losses on our derivative agreements. SeeNote 16 - Fair Value to the financial statements in our 2015 Form 10-K for discussion regarding our fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk.

Our over-the-counter bilateral derivative agreements may contain provisions that require us to post additional collateral with our counterparties if there is deterioration in our credit rating, except for those derivative agreements with a zero unsecured collateral threshold for both parties, in which case positions are required to be fully collateralized regardless of credit rating. If our credit rating is lowered by a major credit rating agency, such as Standard and Poor's or Moody’s, we would be required to deliver additional collateral on derivatives in net liability positions. If our credit rating had been lowered from its current rating to the next lower rating, we would have been required to deliver up to an additional $43 million of collateral at fair value to our derivatives counterparties at September 30, 2016.

Cleared swaps are subject to variation and initial margin requirements established by the DCO and its clearing members. We post variation and initial margin through the FCM, on behalf of the DCO, which could expose us to institutional credit risk in the event that an FCM or the DCO fail to meet their obligations. Clearing derivatives through a DCO mitigates counterparty credit risk exposure because the DCO is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives through an FCM. The DCO determines initial margin requirements for cleared derivatives. In this regard, an FCM may require additional initial margin to be posted based on credit considerations, including but not limited to, credit rating downgrades.  We had no requirement to post additional initial margin by our FCMs at September 30, 2016.

We present our derivative assets and liabilities on a net basis in our statements of condition. Refer to Note 1 - Background and Basis of Presentation for further discussion. In addition to the cash collateral as noted in the following table, we also pledged $90 million of investment securities that can be sold or repledged, as part of our initial margin related to cleared derivative transactions at September 30, 2016.

The following table presents our gross and net derivative assets and liabilities by contract type and amount for our derivative agreements.

	September 30, 2016										December 31, 2015
As of	Notional Amount		Derivative Assets				Derivative Liabilities				Notional Amount		Derivative Assets				Derivative Liabilities
Derivatives in hedge accounting relationships-
Interest rate swaps	$	24,256	$	40			$	1,156			$	25,140	$	30			$	1,082
Derivatives not in hedge accounting relationships-
Interest rate swaps	36,692		514				414				28,866		456				341
Interest rate swaptions	550		56				—				1,270		40				—
Interest rate caps or floors	1,129		51				—				1,131		76				—
Mortgage delivery commitments	1,178		1				1				479		1				1
Other	127		1				—				121		—				—
Derivatives not in hedge accounting relationships	39,676		623				415				31,867		573				342
Gross derivative amount before adjustments	$	63,932	663				1,571				$	57,007	603				1,424
Netting adjustments and cash collateral			(642		)	a	(1,523		)	a			(601		)	a	(1,369		)	a
Derivatives on statements of condition			$	21			$	48					$	2			$	55

^a  Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same FCM and/or counterparty. Cash collateral posted was $910 million and $793 million at September 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million.

The following table presents our gross recognized amount of offsetting derivative assets and liabilities for derivatives with legal right of offset as well as derivatives without the legal right of offset.

	Derivative Assets										Derivative Liabilities
As of September 30, 2016	Bilateral			Cleared				Total			Bilateral			Cleared			Total
Derivatives with legal right of offset -
Gross recognized amount	$	485		$	177			$	662		$	998		$	572		$	1,570
Netting adjustments and cash collateral	(483		)	(159		)		(642		)	(951		)	(572		)	(1,523		)
Derivatives with legal right of offset - net	2			18				20			47			—			47
Derivatives without legal right of offset	1			—				1			1			—			1
Derivatives on statements of condition	3			18				21			48			—			48
Cash collateral for initial margin				(1		)		(1		)
Noncash collateral received (pledged) and cannot be sold or repledged	1			(71		)	a	(70		)	—			—			—
Net amount	$	2		$	90			$	92		$	48		$	—		$	48
As of December 31, 2015
Derivatives with legal right of offset -
Gross recognized amount	$	509		$	93			$	602		$	1,182		$	241		$	1,423
Netting adjustments and cash collateral	(508		)	(93		)		(601		)	(1,140		)	(229		)	(1,369		)
Derivatives with legal right of offset - net	1			—				1			42			12			54
Derivatives without legal right of offset	1			—				1			1			—			1
Derivatives on statements of condition	2			—				2			43			12			55
Noncash collateral received (pledged) and cannot be sold or repledged	—			—				—			—			12			12
Net amount	$	2		$	—			$	2		$	43		$	—		$	43

^a  Represents noncash collateral pledged for initial margin for cleared derivatives.

At September 30, 2016, we had $19 million of additional net credit exposure on cleared derivatives due to our pledging of non-cash collateral to a DCO for initial margin, which exceeded our net derivative liability position. We had $50 million comparable exposure at December 31, 2015.

The following table presents the gains (losses) of derivatives and hedging activities as presented in the statements of income.

	Three months ended September 30,						Nine months ended September 30,
For the periods ending	2016			2015			2016			2015
Fair value hedges -
Interest rate swaps	$	5		$	(17	)	$	(7	)	$	(30	)
Fair value hedges	5			(17		)	(7		)	(30		)
Cash flow hedges	—			1			4			2
Economic hedges -
Interest rate swaps	(1		)	(14		)	(40		)	(43		)
Interest rate swaptions	(2		)	4			16			7
Interest rate caps or floors	(14		)	(4		)	(25		)	(12		)
Net interest settlements	16			16			44			60
Other	3			(1		)	1			(1		)
Economic hedges	2			1			(4		)	11
Gains (losses) on derivatives and hedging activities	$	7		$	(15	)	$	(7	)	$	(17	)

Fair Value Hedges

The following table presents our fair value hedging results by the type of hedged item. We had no gain (loss) for hedges that no longer qualified as a fair value hedge. Additionally, the table indicates where fair value hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following:

• The amortization of closed fair value hedging adjustments, which are included in the interest income/expense line item of the respective hedged item type.

• The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type.

	On Derivative			On Hedged Item			Total Ineffectiveness Recognized in Derivatives and Hedging Activities			Amount Recorded in Net Interest Income
Three months ended September 30, 2016
Available-for-sale securities	$	51		$	(50	)	$	1		$	(31	)
Advances	35			(34		)	1			(17		)
MPF Loans held for portfolio	—			—			—			(2		)
Consolidated obligation bonds	(34		)	37			3			12
Total	$	52		$	(47	)	$	5		$	(38	)
Three months ended September 30, 2015
Available-for-sale securities	$	(40	)	$	29		$	(11	)	$	(33	)
Advances	(77		)	78			1			(22		)
MPF Loans held for portfolio	—			—			—			(4		)
Consolidated obligation bonds	87			(94		)	(7		)	54
Total	$	(30	)	$	13		$	(17	)	$	(5	)
Nine months ended September 30, 2016
Available-for-sale securities	$	(4	)	$	—		$	(4	)	$	(93	)
Advances	(143		)	143			—			(57		)
MPF Loans held for portfolio	—			—			—			(7		)
Consolidated obligation bonds	42			(45		)	(3		)	51
Total	$	(105	)	$	98		$	(7	)	$	(106	)
Nine months ended September 30, 2015
Available-for-sale securities	$	(28	)	$	15		$	(13	)	$	(111	)
Advances	(49		)	49			—			(63		)
MPF Loans held for portfolio	—			—			—			(11		)
Consolidated obligation bonds	117			(134		)	(17		)	169
Total	$	40		$	(70	)	$	(30	)	$	(16	)

Cash Flow Hedges

We reclassify amounts in AOCI into our statements of income in the same periods during which the hedged forecasted transaction affects our earnings. We had no discontinued hedges. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were $(8) million as of September 30, 2016. The maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is 4 years.

The following table presents our cash flow hedging results by type of hedged item. Additionally, the table indicates where cash flow hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following:

• The amortization of closed cash flow hedging adjustments, which are reclassified from AOCI into the interest income/expense line item of the respective hedged item type.

• The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type.

		Ineffective Portion Recorded in Derivatives and Hedging Activities		Effective Portion Recorded in AOCI			Amount Recorded in Net Interest Income
Three months ended September 30, 2016
Advances	Interest rate floors	$	—	$	—		$	1
Discount notes	Interest rate swaps	—		84			(49		)
Total		$	—	$	84		$	(48	)
Three months ended September 30, 2015
Advances	Interest rate floors	$	—	$	—		$	2
Discount notes	Interest rate swaps	1		(29		)	(62		)
Total		$	1	$	(29	)	$	(60	)
Nine months ended September 30, 2016
Advances	Interest rate floors	$	—	$	—		$	7
Discount notes	Interest rate swaps	4		46			(147		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	4	$	46		$	(142	)
Nine months ended September 30, 2015
Advances	Interest rate floors	$	—	$	—		$	8
Discount notes	Interest rate swaps	2		14			(187		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	2	$	14		$	(181	)

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Consolidated Obligations

9 Months Ended

Sep. 30, 2016

Debt Disclosure [Abstract]

Debt Disclosure [Text Block]

Consolidated Obligations

The FHLBs issue consolidated obligations through the Office of Finance as their agent. Consolidated obligations consist of discount notes and consolidated obligation bonds. Consolidated discount notes are issued to raise short-term funds, are issued at less than their face amount and redeemed at par value when they mature. The maturity of consolidated bonds may range from less than one year to over 20 years, but they are not subject to any statutory or regulatory limits on maturity.

The following table presents our consolidated obligation bonds, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates.

As of September 30, 2016	Contractual Maturity		Weighted Average Interest Rate		By Maturity or Next Call Date
Due in one year or less	$	9,756	1.16	%	$	20,922
One to two years	7,686		1.31	%	4,460
Two to three years	4,591		1.26	%	3,105
Three to four years	979		1.28	%	474
Four to five years	2,808		1.99	%	363
Thereafter	4,354		2.85	%	850
Par value	$	30,174	1.54	%	$	30,174

The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less.

As of	September 30, 2016			December 31, 2015
Carrying Amount	$	39,144		$	41,564
Par Value	39,164			41,584
Weighted Average Interest Rate	0.39		%	0.22		%

The following table presents consolidated obligation bonds outstanding by call feature:

As of	September 30, 2016			December 31, 2015
Noncallable	$	18,288		$	10,148
Callable	11,886			12,536
Par value	30,174			22,684
Fair value hedging adjustments	(49		)	(101		)
Other adjustments	14			(1		)
Consolidated obligation bonds	$	30,139		$	22,582

The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of September 30, 2016, and December 31, 2015. Refer to Note 17 - Commitments and Contingencies to the financial statements in our 2015 Form 10-K for further details.

	September 30, 2016									December 31, 2015
Par values as of	Bonds			Discount Notes			Total			Bonds			Discount Notes			Total
FHLB System total consolidated obligations	$	532,920		$	434,808		$	967,728		$	410,859		$	494,343		$	905,202
FHLB Chicago as primary obligor	30,174			39,164			69,338			22,684			41,584			64,268
As a percent of the FHLB System	6		%	9		%	7		%	6		%	8		%	7		%

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Capital and Mandatorily Redeemable Capital Stock (MRCS)

9 Months Ended

Sep. 30, 2016

Capital [Abstract]

Stockholders' Equity Note Disclosure [Text Block]

Capital and Mandatorily Redeemable Capital Stock (MRCS)

Under our Capital Plan our stock consists of two sub-classes of stock, Class B1 activity stock and Class B2 membership stock (together, Class B stock), both with a par value of $100 and redeemable on five years' written notice, subject to certain conditions. Under the Capital Plan, each member is required to own capital stock in an amount equal to the greater of a membership stock requirement or an activity stock requirement. Class B1 activity stock is available for purchase only to support a member's activity stock requirement. Class B2 membership stock is available to be purchased to support a member's membership stock requirement and any activity stock requirement.

Minimum Capital Requirements

For details on our minimum capital requirements, including how the ratios below were calculated, see Minimum Capital Requirements on page F-42 of our 2015 Form 10-K. We complied with our minimum regulatory capital requirements as shown below.

	September 30, 2016						December 31, 2015
	Requirement			Actual			Requirement			Actual
Risk-based capital	$	971		$	4,889		$	1,027		$	4,688
Total regulatory capital	$	2,999		$	4,889		$	2,827		$	4,688
Total regulatory capital ratio	4.00		%	6.52		%	4.00		%	6.63		%
Leverage capital	$	3,749		$	7,332		$	3,534		$	7,032
Leverage capital ratio	5.00		%	9.78		%	5.00		%	9.95		%

Total regulatory capital and leverage capital includes mandatorily redeemable capital stock (MRCS) but does not include AOCI. Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized.

The following members' regulatory capital stock exceeded 10% of our total regulatory capital stock outstanding:

As of September 30, 2016	Regulatory Capital Stock Outstanding			% of Total Outstanding
One Mortgage Partners Corp.	$	245	a	13	%
BMO Harris Bank, N.A.	$	219		11	%

^a  One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA.

Transfer of Capital Stock to Mandatorily Redeemable Capital Stock (MRCS)

During the first quarter of 2016, we transferred $294 million of our captive insurance company members' capital stock from equity to MRCS in liabilities on our statement of condition. The transfer was triggered by the issuance of the final FHFA rule on FHLB membership making captive insurance companies ineligible for FHLB membership, which was issued on January 20, 2016 and became effective February 19, 2016. Under this rule, our three captive insurance company members will have their memberships terminated by February 2021. The transfer from equity to MRCS in liabilities was required because the new rule creates an unconditional obligation requiring us to redeem our capital stock from our captive insurance company members after their membership terminates. We reclassify our capital stock from equity to MRCS in liabilities at fair value, which is its par value plus any dividends related to the capital stock. Par value represents fair value since our capital stock can only be acquired and redeemed or repurchased at par value. Further, our capital stock is not traded and no market mechanism exists for the exchange of stock outside our cooperative structure. Upon reclassification to MRCS, subsequent dividends are accrued at the expected dividend rate and reported as a component of interest expense in our statements of income.

Excess Capital Stock

In February 2016, we announced significant reductions in our membership stock and activity stock requirements, which went into effect on April 1, 2016. As a result of these changes, we held $593 million of excess capital stock on April 1, 2016. As of September 30, 2016, we held excess capital stock of $419 million. The reduction was a result of members requesting repurchase of their excess stock and members utilizing excess stock to support new advance borrowing activities.

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Accumulated Other Comprehensive Income (Loss)

9 Months Ended

Sep. 30, 2016

Equity [Abstract]

Accumulated Other Comprehensive Income (Loss) [Text Block]

Accumulated Other Comprehensive Income (Loss)

The following table summarizes the gains (losses) in AOCI for the reporting periods indicated.

	Net Unrealized -			Non-credit OTTI -			Net Unrealized - Cash Flow Hedges
	Available-for-sale Securities			Held-to-maturity Securities						Post-Retirement Plans			AOCI
Three months ended September 30, 2016
Beginning balance	$	558		$	(196	)	$	(508	)	$	(5	)	$	(151	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(13		)	9			84			—			80
Amounts reclassified in period to statements of income:
Net interest income	—			—			(1		)				(1		)
Other comprehensive income in the period	(13		)	9			83			—			79
Ending balance	$	545		$	(187	)	$	(425	)	$	(5	)	$	(72	)
Three months ended September 30, 2015
Beginning balance	$	925		$	(238	)	$	(541	)	$	(7	)	$	139
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(79		)	11			(29		)	1			(96		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(1		)				(1		)
Non-interest gain (loss)	—			—			(1		)				(1		)
Other comprehensive income in the period	(79		)	11			(31		)	1			(98		)
Ending balance	$	846		$	(227	)	$	(572	)	$	(6	)	$	41
Nine months ended September 30, 2016
Beginning balance	$	658		$	(217	)	$	(463	)	$	(6	)	$	(28	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(113		)	30			46			1			(36		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(4		)				(4		)
Non-interest gain (loss)	—			—			(4		)				(4		)
Other comprehensive income in the period	(113		)	30			38			1			(44		)
Ending balance	$	545		$	(187	)	$	(425	)	$	(5	)	$	(72	)
Nine months ended September 30, 2015
Beginning balance	$	1,060		$	(264	)	$	(580	)	$	1		$	217
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(214		)	37			14			(7		)	(170		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(4		)				(4		)
Non-interest gain (loss)	—			—			(2		)				(2		)
Other comprehensive income in the period	(214		)	37			8			(7		)	(176		)
Ending balance	$	846		$	(227	)	$	(572	)	$	(6	)	$	41

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Fair Value Accounting

9 Months Ended

Sep. 30, 2016

Fair Value Disclosures [Abstract]

Fair Value Disclosures [Text Block]

Fair Value

Fair value represents the exit price that we would receive to sell an asset or pay to transfer a liability in an orderly transaction with a market participant at the measurement date. Refer to Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2015 Form 10-K for our fair value measurement policies. For a description of the valuation techniques and significant inputs see Note 16 - Fair Value to the financial statements in our 2015 Form 10-K.

The following tables are a summary of the fair value estimates and related levels in the fair value hierarchy. The carrying amounts are as recorded in the statements of condition. These tables do not represent an estimate of our overall market value as a going concern; as they do not take into account future business opportunities and future net profitability of assets and liabilities. We had no transfers between levels in the fair value hierarchy for the periods shown.

The following table shows the fair values of financial instruments that are measured at amortized cost on our statements of condition, unless we elect the fair value option for such instruments, in which case, such instruments are measured at fair value on our statements of condition. Financial instruments for which we elected the fair value option are measured at fair value on a recurring basis and are shown on our statements of condition and are also included in the table on the following page, which details instruments carried at fair value on a recurring basis.

	Carrying Amount						Fair Value Hierarchy
				Fair Value			Level 1			Level 2			Level 3
September 30, 2016
Financial Assets -
Cash and due from banks	$	31		$	31		$	31		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	3,807			3,807			—			3,807			—
Securities purchased under agreements to resell	1,000			1,000			—			1,000			—
Held-to-maturity securities	4,788			5,308			—			4,266			1,042
Advances	43,117			43,149			—			43,149			—
MPF Loans held in portfolio, net	4,720			5,032			—			5,007			25
Financial Liabilities -
Deposits	(512		)	(512		)	—			(512		)	—
Consolidated obligation discount notes	(39,144		)	(39,146		)	—			(39,146		)	—
Consolidated obligation bonds	(30,139		)	(30,594		)	—			(30,594		)	—
Mandatorily redeemable capital stock	(302		)	(302		)	(302		)	—			—
December 31, 2015
Financial Assets -
Cash and due from banks	$	499		$	499		$	499		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	1,702			1,702			—			1,702			—
Securities purchased under agreements to resell	1,375			1,375			—			1,375			—
Held-to-maturity securities	5,967			6,513			—			5,293			1,220
Advances	36,778			36,736			—			36,736			—
MPF Loans held in portfolio, net	4,828			5,190			—			5,155			35
Financial Liabilities -
Deposits	(538		)	(538		)	—			(538		)	—
Consolidated obligation discount notes	(41,564		)	(41,563		)	—			(41,563		)	—
Consolidated obligation bonds	(22,582		)	(22,986		)	—			(22,931		)	(55		)	a
Mandatorily redeemable capital stock	(8		)	(8		)	(8		)	—			—
Subordinated notes	(944		)	(966		)	—			(966		)	—

^a  Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option.

The following table presents financial instruments measured at fair value on a recurring basis on our statements of condition. The Netting adjustment shown in the table reflects our policy of presenting derivative assets and liabilities on a net basis in our statements of condition. See Note 1 - Background and Basis of Presentation and Note 9 - Derivatives and Hedging Activities for further details. Advances, consolidated obligation discount notes and bonds, and mortgage loans held for sale resulted from our electing the fair value option.

September 30, 2016	Level 2			Level 3				Netting			Fair Value
Financial assets -
U.S. Government & other government related non-MBS	$	1,003		$	—						$	1,003
GSE residential MBS	42			—							42
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,047			—							1,047
U.S. Government & other government related non-MBS	367			—							367
State or local housing agency non-MBS	20			—							20
FFELP ABS	4,694			—							4,694
GSE residential MBS	8,922			—							8,922
U.S. Government-guaranteed residential MBS	1,500			—							1,500
Private-label residential MBS	—			58							58
Available-for-sale securities	15,503			58							15,561
Advances	703			—							703
Derivative assets	663			—				$	(642	)	21
Other assets - Mortgage loans held for sale	58			—							58
Financial assets at fair value	$	17,974		$	58			$	(642	)	$	17,390
Financial liabilities -
Consolidated obligation discount notes	$	(12,537	)	$	—						$	(12,537	)
Consolidated obligation bonds	(7,058		)	—							(7,058		)
Derivative liabilities	(1,571		)	—				$	1,523		(48		)
Financial liabilities at fair value	$	(21,166	)	$	—			$	1,523		$	(19,643	)
December 31, 2015
Financial assets -
U.S. Government & other government related non-MBS	$	1,108		$	—						$	1,108
GSE residential MBS	50			—							50
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,160			—							1,160
U.S. Government & other government related non-MBS	422			—							422
State or local housing agency non-MBS	18			—							18
FFELP ABS	5,299			—							5,299
GSE residential MBS	9,798			—							9,798
U.S. Government-guaranteed residential MBS	1,868			—							1,868
Private-label residential MBS	—			65							65
Available-for-sale securities	17,405			65							17,470
Advances	511			—							511
Derivative assets	598			5				$	(601	)	2
Other assets - Mortgage loans held for sale	54			—							54
Financial assets at fair value	$	19,728		$	70			$	(601	)	$	19,197
Financial liabilities -
Consolidated obligation discount notes	$	(9,006	)	$	—						$	(9,006	)
Consolidated obligation bonds	(952		)	(55		)	a				(1,007		)
Derivative liabilities	(1,424		)	—				$	1,369		(55		)
Financial liabilities at fair value	$	(11,382	)	$	(55	)		$	1,369		$	(10,068	)

^a  Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option.

Fair Value Option

We elect the fair value option for financial instruments, such as advances, MPF Loans held for sale, discount notes, and consolidated obligation bonds, in cases where hedge accounting treatment may not be achieved. Specifically, hedge accounting may not be achieved in cases where it may be difficult to pass prospective or retrospective effectiveness testing under derivative hedge accounting guidance even though the derivatives used to hedge these financial instruments have matching terms. Accordingly, electing the fair value option allows us to better match the change in fair value of these financial instruments with the derivative economically hedging them.

The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status.

	September 30, 2016				December 31, 2015
As of	Advances		Consolidated Obligation Bonds		Advances		Consolidated Obligation Bonds
Unpaid principal balance	$	689	$	7,047	$	509	$	953
Fair value over (under) UPB	14		11		2		(1		)
Fair value	$	703	$	7,058	$	511	$	952

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Commitments and Contingencies

9 Months Ended

Sep. 30, 2016

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies [Text Block]

Commitments and Contingencies

The following table shows our commitments outstanding, which represent off-balance sheet obligations.

	September 30, 2016							December 31, 2015
As of	Expire within one year		Expire after one year			Total		Expire within one year		Expire after one year			Total
Unsettled consolidated obligation bonds	$	748	$	—		$	748	$	105	$	—		$	105
Unsettled consolidated obligation discount notes	500		—			500		—		—			—
Member standby letters of credit	8,283		2,140		a	10,423		5,063		1,615		a	6,678
Housing authority standby bond purchase agreements	46		262			308		49		362			411
Advance commitments	45		1			46		163		5			168
MPF delivery commitments	632		—			632		279		—			279
Other commitments	28		—			28		48		3			51
Commitments	$	10,282	$	2,403		$	12,685	$	5,707	$	1,985		$	7,692

^a  Contains $372 million and $637 million of member standby letters of credit at September 30, 2016, and December 31, 2015, which were renewable annually.

For a description of previously defined terms see Note 17 - Commitments and Contingencies to the financial statements in our 2015 Form 10-K.

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Transactions with Related Parties and Other FHLBs

9 Months Ended

Sep. 30, 2016

Related Party Transactions [Abstract]

Transactions with Related Parties and Other FHLBs [Text Block]

Transactions with Related Parties and Other FHLBs

We define related parties as members that own 10% or more of our capital stock or members whose officers or directors also serve on our Board of Directors. Capital stock ownership is a prerequisite to transacting any member business with us. Members and former members own all of our capital stock.

In the normal course of business, we extend credit to or enter into other transactions with these related parties. All transactions are done at market terms that are no more favorable than the terms of comparable transactions with other members who are not considered related parties.

Members

The following table summarizes balances we had with our members who are related parties as defined above (including their affiliates). Members represented in these tables may change between periods presented, to the extent that our related parties change, based on changes in the composition of our Board membership or percentage of capital stock ownership over 10% as noted in Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS).

As of	September 30, 2016		December 31, 2015
Assets - Interest bearing deposits	$	650	$	650
Assets - Advances	16,016		15,168
Liabilities - Deposits	33		20
Equity - Capital Stock	483		467

Other FHLBs

From time to time, we may loan to, or borrow from, other FHLBs. All transactions are done at market terms that are no more favorable than the terms of comparable transactions with other counterparties. These transactions are overnight, maturing the following business day.  These transactions with other FHLBs, if any, are identified on the face of our Financial Statements.

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Summary of Significant Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2016

Accounting Policies [Abstract]

Debt, Policy [Policy Text Block]

Simplifying the Presentation of Debt Issuance Cost (i.e., Concession Fees)

In April of 2015, the FASB issued new guidance requiring any concession fee to be presented as a direct deduction from the debt it relates to rather than separately presented as a deferred cost in Other Assets. We retrospectively adopted the new guidance January 1, 2016 by reclassifying deferred concession fees from Other Assets to its related debt, which at the time of adoption included our Consolidated obligation discount notes, Consolidated obligation bonds and Subordinated notes. This reclassification did not have a material effect on our financial condition, results of operations, cash flows, or percentage net interest yield on our consolidated obligations at the time of adoption.

Derivatives, Hedge Discontinuances, Termination of Hedging Instrument or Hedged Item [Policy Text Block]

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships

In March of 2016, the FASB issued new guidance clarifying that a change in counterparty (novation) to a derivative instrument that has been designated as the hedging instrument in an existing hedging relationship would not, in and of itself, be considered a termination of the derivative instrument or be considered a change in the critical term of the hedging relationship. We early adopted this new guidance on a prospective basis effective January 1, 2016. The new guidance had no effect on our financial condition, results of operations, or cash flows at the time of adoption.

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Interest Income and Interest Expense (Tables)

9 Months Ended

Sep. 30, 2016

Interest Income (Expense), Net [Abstract]

Interest Income and Interest Expense [Table Text Block]

The following table presents interest income and interest expense for the periods indicated:

	Three months ended September 30,				Nine months ended September 30,
	2016		2015		2016		2015
Interest income -
Trading	$	2	$	—	$	7	$	2
Available-for-sale	116		132		367		396
Held-to-maturity	56		63		171		201
Investment securities	174		195		545		599
Advance interest income	73		44		203		125
Advance prepayment fees	1		1		8		7
Advances	74		45		211		132
MPF Loans held in portfolio	53		62		165		197
Other interest bearing assets	8		2		23		6
Interest income	309		304		944		934
Interest expense -
Discount notes	95		72		272		216
Bonds	99		96		299		304
Consolidated obligations	194		168		571		520
Subordinated notes	—		14		24		41
Other interest bearing liabilities	2		—		5		—
Interest expense	196		182		600		561
Net interest income	113		122		344		373
Provision for (reversal of) credit losses	—		1		—		5
Net interest income after provision for (reversal of) credit losses	$	113	$	121	$	344	$	368

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Investment Securities (Tables)

9 Months Ended

Sep. 30, 2016

Investments, Debt and Equity Securities [Abstract]

Trading Securities by Major Security Type [Table Text Block]

The following table presents the fair value of our trading securities. We did not hold a material amount of securities we issued through our MPF Government MBS product as of the dates presented. We had no material unrealized gains or losses on trading securities.

As of	September 30, 2016		December 31, 2015
U.S. Government & other government related	$	1,003	$	1,108
Residential MBS:
GSE	42		50
Government-guaranteed	2		2
Residential MBS	44		52
Trading securities	$	1,047	$	1,160

Available-for-sale Securities by Major Security Type [Table Text Block]

Amortized Cost Basis and Fair Value – Available-for-Sale Securities (AFS)

	Amortized Cost Basis		Gross Unrealized Gains in AOCI		Gross Unrealized (Losses) in AOCI			Carrying Amount and Fair Value
As of September 30, 2016
U.S. Government & other government related	$	350	$	20	$	(3	)	$	367
State or local housing agency	19		1		—			20
FFELP ABS	4,561		158		(25		)	4,694
Residential MBS:
GSE	8,578		353		(9		)	8,922
Government-guaranteed	1,457		43		—			1,500
Private-label	51		7		—			58
Residential MBS	10,086		403		(9		)	10,480
Available-for-sale securities	$	15,016	$	582	$	(37	)	$	15,561
As of December 31, 2015
U.S. Government & other government related	$	405	$	21	$	(4	)	$	422
State or local housing agency	18		—		—			18
FFELP ABS	5,090		233		(24		)	5,299
Residential MBS:
GSE	9,427		383		(12		)	9,798
Government-guaranteed	1,811		57		—			1,868
Private-label	61		4		—			65
Residential MBS	11,299		444		(12		)	11,731
Available-for-sale securities	$	16,812	$	698	$	(40	)	$	17,470

Held-to-maturity Securities by Major Security Type [Table Text Block]

Amortized Cost Basis, Carrying Amount, and Fair Value - Held-to-Maturity Securities (HTM)

	Amortized Cost Basis		Non-credit OTTI Recognized in AOCI (Loss)			Carrying Amount		Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)			Fair Value
As of September 30, 2016
U.S. Government & other government related	$	1,271	$	—		$	1,271	$	74	$	—		$	1,345
State or local housing agency	13		—			13		—		—			13
Residential MBS:
GSE	1,928		—			1,928		133		—			2,061
Government-guaranteed	834		—			834		13		—			847
Private-label	929		(187		)	742		301		(1		)	1,042
Residential MBS	3,691		(187		)	3,504		447		(1		)	3,950
Held-to-maturity securities	$	4,975	$	(187	)	$	4,788	$	521	$	(1	)	$	5,308
As of December 31, 2015
U.S. Government & other government related	$	1,932	$	—		$	1,932	$	64	$	(1	)	$	1,995
State or local housing agency	16		—			16		—		—			16
Residential MBS:
GSE	2,163		—			2,163		134		—			2,297
Government-guaranteed	969		—			969		16		—			985
Private-label	1,104		(217		)	887		334		(1		)	1,220
Residential MBS	4,236		(217		)	4,019		484		(1		)	4,502
Held-to-maturity securities	$	6,184	$	(217	)	$	5,967	$	548	$	(2	)	$	6,513

Securities in a Continuous Unrealized Loss Position [Table Text Block]

The following tables present unrealized temporary losses on our AFS and HTM portfolio for periods less than 12 months and for 12 months or more. We recognized no OTTI charges on these unrealized loss positions because we expect to recover the entire amortized cost basis, we do not intend to sell these securities, and we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported.

Available-for-Sale Securities

	Less than 12 Months					12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of September 30, 2016
U.S. Government & other government related	$	—	$	—		$	86	$	(3	)	$	86	$	(3	)
State or local housing agency	1		—			—		—			1		—
FFELP ABS	—		—			774		(25		)	774		(25		)
Residential MBS:
GSE	658		—			1,217		(9		)	1,875		(9		)
Government-guaranteed	24		—			—		—			24		—
Private-label	—		—			1		—			1		—
Residential MBS	682		—			1,218		(9		)	1,900		(9		)
Available-for-sale securities	$	683	$	—		$	2,078	$	(37	)	$	2,761	$	(37	)
As of December 31, 2015
U.S. Government & other government related	$	30	$	(1	)	$	45	$	(3	)	$	75	$	(4	)
State or local housing agency	4		—			—		—			4		—
FFELP ABS	64		(1		)	787		(23		)	851		(24		)
Residential MBS:
GSE	1,081		(3		)	1,006		(9		)	2,087		(12		)
Government-guaranteed	90		—			—		—			90		—
Private-label	—		—			8		—			8		—
Residential MBS	1,171		(3		)	1,014		(9		)	2,185		(12		)
Available-for-sale securities	$	1,269	$	(5	)	$	1,846	$	(35	)	$	3,115	$	(40	)

Held-to-Maturity Securities

	Less than 12 Months				12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)		Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of September 30, 2016
U.S. Government & other government related	$	—	$	—	$	16	$	—		$	16	$	—
State or local housing agency	9		—		1		—			10		—
Residential MBS:
GSE	4		—		—		—			4		—
Private-label	—		—		1,000		(188		)	1,000		(188		)
Residential MBS	4		—		1,000		(188		)	1,004		(188		)
Held-to-maturity securities	$	13	$	—	$	1,017	$	(188	)	$	1,030	$	(188	)
As of December 31, 2015
U.S. Government & other government related	$	606	$	—	$	16	$	(1	)	$	622	$	(1	)
State or local housing agency	1		—		10		—			11		—
Residential MBS:
GSE	4		—		—		—			4		—
Private-label	—		—		1,167		(218		)	1,167		(218		)
Residential MBS	4		—		1,167		(218		)	1,171		(218		)
Held-to-maturity securities	$	611	$	—	$	1,193	$	(219	)	$	1,804	$	(219	)

Securities by Contractual Maturity [Table Text Block]

The following table primarily presents the amortized cost basis and fair value of U.S. Government & other government related AFS and HTM securities by contractual maturity. ABS and MBS securities are excluded since their expected maturities may differ from their contractual maturities if borrowers of the underlying loans elect to prepay their loans.

	Available-for-Sale				Held-to-Maturity
As of September 30, 2016	Amortized Cost Basis		Carrying Amount and Fair Value		Carrying Amount		Fair Value
Year of Maturity -
Due in one year or less	$	17	$	17	$	176	$	177
Due after one year through five years	44		46		285		298
Due after five years through ten years	30		32		86		88
Due after ten years	278		292		737		795
ABS and MBS without a single maturity date	14,647		15,174		3,504		3,950
Total securities	$	15,016	$	15,561	$	4,788	$	5,308

Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]

The following table presents the changes in the cumulative amount of previously recorded OTTI credit losses (recognized into earnings) on investment securities for the reporting periods indicated.

	Three months ended September 30,						Nine months ended September 30,
	2016			2015			2016			2015
Beginning Balance	$	542		$	591		$	568		$	620
Reductions:
Increases in expected future cash flows recorded as accretion into interest income	(11		)	(12		)	(37		)	(41		)
Ending Balance	$	531		$	579		$	531		$	579

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Advances (Tables)

9 Months Ended

Sep. 30, 2016

Federal Home Loan Banks [Abstract]

Federal Home Loan Bank, Advances [Table Text Block]

The following table presents our advances by terms of maturity. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties.

As of September 30, 2016	Weighted Average Contractual Interest Rate			Amount
Due in one year or less	0.60	%		$	12,719
One to two years	0.77	%		8,966
Two to three years	0.56	%	a	7,283
Three to four years	0.58	%	a	8,120
Four to five years	1.34	%		1,536
More than five years	1.67	%		4,168
Par value	0.76	%		$	42,792

^a  The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates.

See Note 8 - Allowance for Credit Losses for information related to our credit risk on advances and allowance methodology for credit losses.

The following table reconciles the par value of our advances to the carrying amount on our statements of condition as of the dates indicated.

As of	September 30, 2016		December 31, 2015
Par value	$	42,792	$	36,605
Fair value hedging adjustments	300		159
Other adjustments	25		14
Advances	$	43,117	$	36,778

Credit Concentration Risk

Concentration Risk [Line Items]

Schedules of Concentration of Risk, by Risk Factor [Table Text Block]

The following advance borrowers exceeded 10% of our total advances outstanding:

As of September 30, 2016	Par Value			% of Total Outstanding
One Mortgage Partners Corp.	$	11,000	a	26	%
BMO Harris Bank, N.A.	4,875			11	%

^a  One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA.

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MPF Loans (Tables)

9 Months Ended

Sep. 30, 2016

Mortgage Loans on Real Estate [Abstract]

Mortgage Loans Held for Portfolio [Table Text Block]

The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase.

As of	September 30, 2016			December 31, 2015
Medium term (15 years or less)	$	448		$	662
Long term (greater than 15 years)	4,209			4,112
Unpaid principal balance	4,657			4,774
Net premiums, credit enhancement and deferred loan fees	36			20
Fair value hedging adjustments	30			37
MPF Loans held in portfolio, before allowance for credit losses	4,723			4,831
Allowance for credit losses on MPF Loans	(3		)	(3		)
MPF Loans held in portfolio, net	$	4,720		$	4,828
Conventional mortgage loans	$	3,543		$	3,568
Government Loans	1,114			1,206
Unpaid principal balance	$	4,657		$	4,774

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Allowance for Credit Losses (Tables)

9 Months Ended

Sep. 30, 2016

Receivables [Abstract]

Allowance for Credit Losses on Financing Receivables [Table Text Block]

For further detail of our MPF Risk Sharing Structure see page F-14 in our 2015 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2015. The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. Recorded investment in a conventional MPF Loan is its amortized cost basis plus related accrued interest receivable, if any. Recorded investment is not net of its allowance for credit losses but is net of any direct charge-off on the conventional MPF Loan.

As of	September 30, 2016		December 31, 2015
Recorded investment in conventional MPF Loans -
Individually evaluated for impairment	$	78	$	107
Collectively evaluated for impairment	3,533		3,519
Recorded investment	$	3,611	$	3,626
Allowance for credit losses on conventional MPF Loans -
Homogeneous pools of loans collectively evaluated for impairment	$	3	$	3

Past Due Financing Receivables [Table Text Block]

The following table summarizes our recorded investment in MPF Loans by our key credit quality indicators, which include:

• "Serious delinquency rate" consists of MPF Loans that are 90 days or more past due or in the process of foreclosure, as a percentage of the total recorded investment. MPF Loans that are both 90 days or more past due and in the process of foreclosure are only included once in our serious delinquency rate calculation.

• "Past due 90 days or more still accruing interest" consists of MPF Loans that are either insured or guaranteed by the government or conventional mortgage loans that are well secured (by collateral that have a realizable value sufficient to discharge the debt or by the guarantee or insurance, such as Primary Mortgage Insurance, of a financially responsible party) and in the process of collection.

	September 30, 2016									December 31, 2015
As of	Conventional			Government			Total			Conventional			Government			Total
Past due 30-59 days	$	81		$	53		$	134		$	99		$	63		$	162
Past due 60-89 days	26			17			43			32			21			53
Past due 90 days or more	71			21			92			100			15			115
Past due	178			91			269			231			99			330
Current	3,433			1,044			4,477			3,395			1,130			4,525
Recorded investment	$	3,611		$	1,135		$	4,746		$	3,626		$	1,229		$	4,855
In process of foreclosure	$	36		$	5		$	41		$	51		$	3		$	54
Serious delinquency rate	2.02		%	1.87		%	1.98		%	2.77		%	1.23		%	2.38		%
Past due 90 days or more still accruing interest	$	7		$	21		$	28		$	10		$	15		$	25
On nonaccrual status	$	78		$	—		$	78		$	107		$	—		$	107

Impaired Financing Receivables [Table Text Block]

The following table summarizes the recorded investment, unpaid principal balance, and related allowance for credit losses attributable to individually evaluated impaired conventional MPF Loans. Conventional MPF Loans are individually evaluated for impairment when they are adversely classified. There is no allowance for credit losses attributable to conventional MPF Loans that are individually evaluated for impairment, since the related allowance for credit losses have been charged off.

As of	September 30, 2016		December 31, 2015
Recorded investment without an allowance for credit losses	$	78	$	107
Unpaid principal balance without an allowance for credit losses	84		117

The following table summarizes the average recorded investment of impaired conventional MPF Loans. We do not recognize interest income on impaired loans.

	Three months ended September 30,				Nine months ended September 30,
	2016		2015		2016		2015
Average recorded investment without allowance for credit losses	$	81	$	118	$	89	$	132

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Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following table presents our gross and net derivative assets and liabilities by contract type and amount for our derivative agreements.

	September 30, 2016										December 31, 2015
As of	Notional Amount		Derivative Assets				Derivative Liabilities				Notional Amount		Derivative Assets				Derivative Liabilities
Derivatives in hedge accounting relationships-
Interest rate swaps	$	24,256	$	40			$	1,156			$	25,140	$	30			$	1,082
Derivatives not in hedge accounting relationships-
Interest rate swaps	36,692		514				414				28,866		456				341
Interest rate swaptions	550		56				—				1,270		40				—
Interest rate caps or floors	1,129		51				—				1,131		76				—
Mortgage delivery commitments	1,178		1				1				479		1				1
Other	127		1				—				121		—				—
Derivatives not in hedge accounting relationships	39,676		623				415				31,867		573				342
Gross derivative amount before adjustments	$	63,932	663				1,571				$	57,007	603				1,424
Netting adjustments and cash collateral			(642		)	a	(1,523		)	a			(601		)	a	(1,369		)	a
Derivatives on statements of condition			$	21			$	48					$	2			$	55

^a  Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same FCM and/or counterparty. Cash collateral posted was $910 million and $793 million at September 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million.

Balance Sheet Offsetting [Table Text Block]

The following table presents our gross recognized amount of offsetting derivative assets and liabilities for derivatives with legal right of offset as well as derivatives without the legal right of offset.

	Derivative Assets										Derivative Liabilities
As of September 30, 2016	Bilateral			Cleared				Total			Bilateral			Cleared			Total
Derivatives with legal right of offset -
Gross recognized amount	$	485		$	177			$	662		$	998		$	572		$	1,570
Netting adjustments and cash collateral	(483		)	(159		)		(642		)	(951		)	(572		)	(1,523		)
Derivatives with legal right of offset - net	2			18				20			47			—			47
Derivatives without legal right of offset	1			—				1			1			—			1
Derivatives on statements of condition	3			18				21			48			—			48
Cash collateral for initial margin				(1		)		(1		)
Noncash collateral received (pledged) and cannot be sold or repledged	1			(71		)	a	(70		)	—			—			—
Net amount	$	2		$	90			$	92		$	48		$	—		$	48
As of December 31, 2015
Derivatives with legal right of offset -
Gross recognized amount	$	509		$	93			$	602		$	1,182		$	241		$	1,423
Netting adjustments and cash collateral	(508		)	(93		)		(601		)	(1,140		)	(229		)	(1,369		)
Derivatives with legal right of offset - net	1			—				1			42			12			54
Derivatives without legal right of offset	1			—				1			1			—			1
Derivatives on statements of condition	2			—				2			43			12			55
Noncash collateral received (pledged) and cannot be sold or repledged	—			—				—			—			12			12
Net amount	$	2		$	—			$	2		$	43		$	—		$	43

^a  Represents noncash collateral pledged for initial margin for cleared derivatives.

At September 30, 2016, we had $19 million of additional net credit exposure on cleared derivatives due to our pledging of non-cash collateral to a DCO for initial margin, which exceeded our net derivative liability position. We had $50 million comparable exposure at December 31, 2015.

Derivatives And Hedging Activities as Presented in the Statements of Income [Table Text Block]

The following table presents the gains (losses) of derivatives and hedging activities as presented in the statements of income.

	Three months ended September 30,						Nine months ended September 30,
For the periods ending	2016			2015			2016			2015
Fair value hedges -
Interest rate swaps	$	5		$	(17	)	$	(7	)	$	(30	)
Fair value hedges	5			(17		)	(7		)	(30		)
Cash flow hedges	—			1			4			2
Economic hedges -
Interest rate swaps	(1		)	(14		)	(40		)	(43		)
Interest rate swaptions	(2		)	4			16			7
Interest rate caps or floors	(14		)	(4		)	(25		)	(12		)
Net interest settlements	16			16			44			60
Other	3			(1		)	1			(1		)
Economic hedges	2			1			(4		)	11
Gains (losses) on derivatives and hedging activities	$	7		$	(15	)	$	(7	)	$	(17	)

Fair Value Hedges [Table Text Block]

The following table presents our fair value hedging results by the type of hedged item. We had no gain (loss) for hedges that no longer qualified as a fair value hedge. Additionally, the table indicates where fair value hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following:

• The amortization of closed fair value hedging adjustments, which are included in the interest income/expense line item of the respective hedged item type.

• The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type.

	On Derivative			On Hedged Item			Total Ineffectiveness Recognized in Derivatives and Hedging Activities			Amount Recorded in Net Interest Income
Three months ended September 30, 2016
Available-for-sale securities	$	51		$	(50	)	$	1		$	(31	)
Advances	35			(34		)	1			(17		)
MPF Loans held for portfolio	—			—			—			(2		)
Consolidated obligation bonds	(34		)	37			3			12
Total	$	52		$	(47	)	$	5		$	(38	)
Three months ended September 30, 2015
Available-for-sale securities	$	(40	)	$	29		$	(11	)	$	(33	)
Advances	(77		)	78			1			(22		)
MPF Loans held for portfolio	—			—			—			(4		)
Consolidated obligation bonds	87			(94		)	(7		)	54
Total	$	(30	)	$	13		$	(17	)	$	(5	)
Nine months ended September 30, 2016
Available-for-sale securities	$	(4	)	$	—		$	(4	)	$	(93	)
Advances	(143		)	143			—			(57		)
MPF Loans held for portfolio	—			—			—			(7		)
Consolidated obligation bonds	42			(45		)	(3		)	51
Total	$	(105	)	$	98		$	(7	)	$	(106	)
Nine months ended September 30, 2015
Available-for-sale securities	$	(28	)	$	15		$	(13	)	$	(111	)
Advances	(49		)	49			—			(63		)
MPF Loans held for portfolio	—			—			—			(11		)
Consolidated obligation bonds	117			(134		)	(17		)	169
Total	$	40		$	(70	)	$	(30	)	$	(16	)

Cash Flow Hedges [Table Text Block]

The following table presents our cash flow hedging results by type of hedged item. Additionally, the table indicates where cash flow hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following:

• The amortization of closed cash flow hedging adjustments, which are reclassified from AOCI into the interest income/expense line item of the respective hedged item type.

• The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type.

		Ineffective Portion Recorded in Derivatives and Hedging Activities		Effective Portion Recorded in AOCI			Amount Recorded in Net Interest Income
Three months ended September 30, 2016
Advances	Interest rate floors	$	—	$	—		$	1
Discount notes	Interest rate swaps	—		84			(49		)
Total		$	—	$	84		$	(48	)
Three months ended September 30, 2015
Advances	Interest rate floors	$	—	$	—		$	2
Discount notes	Interest rate swaps	1		(29		)	(62		)
Total		$	1	$	(29	)	$	(60	)
Nine months ended September 30, 2016
Advances	Interest rate floors	$	—	$	—		$	7
Discount notes	Interest rate swaps	4		46			(147		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	4	$	46		$	(142	)
Nine months ended September 30, 2015
Advances	Interest rate floors	$	—	$	—		$	8
Discount notes	Interest rate swaps	2		14			(187		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	2	$	14		$	(181	)

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Consolidated Obligations (Tables)

9 Months Ended

Sep. 30, 2016

Debt Disclosure [Abstract]

Schedule of Maturities of Long-term Debt [Table Text Block]

The following table presents our consolidated obligation bonds, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates.

As of September 30, 2016	Contractual Maturity		Weighted Average Interest Rate		By Maturity or Next Call Date
Due in one year or less	$	9,756	1.16	%	$	20,922
One to two years	7,686		1.31	%	4,460
Two to three years	4,591		1.26	%	3,105
Three to four years	979		1.28	%	474
Four to five years	2,808		1.99	%	363
Thereafter	4,354		2.85	%	850
Par value	$	30,174	1.54	%	$	30,174

Schedule of Short-term Debt [Table Text Block]

The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less.

As of	September 30, 2016			December 31, 2015
Carrying Amount	$	39,144		$	41,564
Par Value	39,164			41,584
Weighted Average Interest Rate	0.39		%	0.22		%

Schedule of Long-term Debt Instruments [Table Text Block]

The following table presents consolidated obligation bonds outstanding by call feature:

As of	September 30, 2016			December 31, 2015
Noncallable	$	18,288		$	10,148
Callable	11,886			12,536
Par value	30,174			22,684
Fair value hedging adjustments	(49		)	(101		)
Other adjustments	14			(1		)
Consolidated obligation bonds	$	30,139		$	22,582

Schedule of Guarantor Obligations [Table Text Block]

The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of September 30, 2016, and December 31, 2015. Refer to Note 17 - Commitments and Contingencies to the financial statements in our 2015 Form 10-K for further details.

	September 30, 2016									December 31, 2015
Par values as of	Bonds			Discount Notes			Total			Bonds			Discount Notes			Total
FHLB System total consolidated obligations	$	532,920		$	434,808		$	967,728		$	410,859		$	494,343		$	905,202
FHLB Chicago as primary obligor	30,174			39,164			69,338			22,684			41,584			64,268
As a percent of the FHLB System	6		%	9		%	7		%	6		%	8		%	7		%

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Capital and Mandatorily Redeemable Capital Stock (MRCS) (Tables)

9 Months Ended

Sep. 30, 2016

Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block]

For details on our minimum capital requirements, including how the ratios below were calculated, see Minimum Capital Requirements on page F-42 of our 2015 Form 10-K. We complied with our minimum regulatory capital requirements as shown below.

	September 30, 2016						December 31, 2015
	Requirement			Actual			Requirement			Actual
Risk-based capital	$	971		$	4,889		$	1,027		$	4,688
Total regulatory capital	$	2,999		$	4,889		$	2,827		$	4,688
Total regulatory capital ratio	4.00		%	6.52		%	4.00		%	6.63		%
Leverage capital	$	3,749		$	7,332		$	3,534		$	7,032
Leverage capital ratio	5.00		%	9.78		%	5.00		%	9.95		%

Total regulatory capital and leverage capital includes mandatorily redeemable capital stock (MRCS) but does not include AOCI. Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized.

Stockholders' Equity, Total [Member]

Concentration Risk [Line Items]

Schedules of Concentration of Risk, by Risk Factor [Table Text Block]

The following members' regulatory capital stock exceeded 10% of our total regulatory capital stock outstanding:

As of September 30, 2016	Regulatory Capital Stock Outstanding			% of Total Outstanding
One Mortgage Partners Corp.	$	245	a	13	%
BMO Harris Bank, N.A.	$	219		11	%

^a  One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA.

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Accumulated Other Comprehensive Income (Loss) (Tables)

9 Months Ended

Sep. 30, 2016

Equity [Abstract]

Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table summarizes the gains (losses) in AOCI for the reporting periods indicated.

	Net Unrealized -			Non-credit OTTI -			Net Unrealized - Cash Flow Hedges
	Available-for-sale Securities			Held-to-maturity Securities						Post-Retirement Plans			AOCI
Three months ended September 30, 2016
Beginning balance	$	558		$	(196	)	$	(508	)	$	(5	)	$	(151	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(13		)	9			84			—			80
Amounts reclassified in period to statements of income:
Net interest income	—			—			(1		)				(1		)
Other comprehensive income in the period	(13		)	9			83			—			79
Ending balance	$	545		$	(187	)	$	(425	)	$	(5	)	$	(72	)
Three months ended September 30, 2015
Beginning balance	$	925		$	(238	)	$	(541	)	$	(7	)	$	139
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(79		)	11			(29		)	1			(96		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(1		)				(1		)
Non-interest gain (loss)	—			—			(1		)				(1		)
Other comprehensive income in the period	(79		)	11			(31		)	1			(98		)
Ending balance	$	846		$	(227	)	$	(572	)	$	(6	)	$	41
Nine months ended September 30, 2016
Beginning balance	$	658		$	(217	)	$	(463	)	$	(6	)	$	(28	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(113		)	30			46			1			(36		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(4		)				(4		)
Non-interest gain (loss)	—			—			(4		)				(4		)
Other comprehensive income in the period	(113		)	30			38			1			(44		)
Ending balance	$	545		$	(187	)	$	(425	)	$	(5	)	$	(72	)
Nine months ended September 30, 2015
Beginning balance	$	1,060		$	(264	)	$	(580	)	$	1		$	217
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(214		)	37			14			(7		)	(170		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(4		)				(4		)
Non-interest gain (loss)	—			—			(2		)				(2		)
Other comprehensive income in the period	(214		)	37			8			(7		)	(176		)
Ending balance	$	846		$	(227	)	$	(572	)	$	(6	)	$	41

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Fair Value Accounting (Tables)

9 Months Ended

Sep. 30, 2016

Fair Value Disclosures [Abstract]

Fair Value Measurement [Table Text Block]

The following table shows the fair values of financial instruments that are measured at amortized cost on our statements of condition, unless we elect the fair value option for such instruments, in which case, such instruments are measured at fair value on our statements of condition. Financial instruments for which we elected the fair value option are measured at fair value on a recurring basis and are shown on our statements of condition and are also included in the table on the following page, which details instruments carried at fair value on a recurring basis.

	Carrying Amount						Fair Value Hierarchy
				Fair Value			Level 1			Level 2			Level 3
September 30, 2016
Financial Assets -
Cash and due from banks	$	31		$	31		$	31		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	3,807			3,807			—			3,807			—
Securities purchased under agreements to resell	1,000			1,000			—			1,000			—
Held-to-maturity securities	4,788			5,308			—			4,266			1,042
Advances	43,117			43,149			—			43,149			—
MPF Loans held in portfolio, net	4,720			5,032			—			5,007			25
Financial Liabilities -
Deposits	(512		)	(512		)	—			(512		)	—
Consolidated obligation discount notes	(39,144		)	(39,146		)	—			(39,146		)	—
Consolidated obligation bonds	(30,139		)	(30,594		)	—			(30,594		)	—
Mandatorily redeemable capital stock	(302		)	(302		)	(302		)	—			—
December 31, 2015
Financial Assets -
Cash and due from banks	$	499		$	499		$	499		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	1,702			1,702			—			1,702			—
Securities purchased under agreements to resell	1,375			1,375			—			1,375			—
Held-to-maturity securities	5,967			6,513			—			5,293			1,220
Advances	36,778			36,736			—			36,736			—
MPF Loans held in portfolio, net	4,828			5,190			—			5,155			35
Financial Liabilities -
Deposits	(538		)	(538		)	—			(538		)	—
Consolidated obligation discount notes	(41,564		)	(41,563		)	—			(41,563		)	—
Consolidated obligation bonds	(22,582		)	(22,986		)	—			(22,931		)	(55		)	a
Mandatorily redeemable capital stock	(8		)	(8		)	(8		)	—			—
Subordinated notes	(944		)	(966		)	—			(966		)	—

^a  Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option.

Assets and Liabilities Measured at Fair Value on a Recurring Basis [Table Text Block]

The following table presents financial instruments measured at fair value on a recurring basis on our statements of condition. The Netting adjustment shown in the table reflects our policy of presenting derivative assets and liabilities on a net basis in our statements of condition. See Note 1 - Background and Basis of Presentation and Note 9 - Derivatives and Hedging Activities for further details. Advances, consolidated obligation discount notes and bonds, and mortgage loans held for sale resulted from our electing the fair value option.

September 30, 2016	Level 2			Level 3				Netting			Fair Value
Financial assets -
U.S. Government & other government related non-MBS	$	1,003		$	—						$	1,003
GSE residential MBS	42			—							42
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,047			—							1,047
U.S. Government & other government related non-MBS	367			—							367
State or local housing agency non-MBS	20			—							20
FFELP ABS	4,694			—							4,694
GSE residential MBS	8,922			—							8,922
U.S. Government-guaranteed residential MBS	1,500			—							1,500
Private-label residential MBS	—			58							58
Available-for-sale securities	15,503			58							15,561
Advances	703			—							703
Derivative assets	663			—				$	(642	)	21
Other assets - Mortgage loans held for sale	58			—							58
Financial assets at fair value	$	17,974		$	58			$	(642	)	$	17,390
Financial liabilities -
Consolidated obligation discount notes	$	(12,537	)	$	—						$	(12,537	)
Consolidated obligation bonds	(7,058		)	—							(7,058		)
Derivative liabilities	(1,571		)	—				$	1,523		(48		)
Financial liabilities at fair value	$	(21,166	)	$	—			$	1,523		$	(19,643	)
December 31, 2015
Financial assets -
U.S. Government & other government related non-MBS	$	1,108		$	—						$	1,108
GSE residential MBS	50			—							50
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,160			—							1,160
U.S. Government & other government related non-MBS	422			—							422
State or local housing agency non-MBS	18			—							18
FFELP ABS	5,299			—							5,299
GSE residential MBS	9,798			—							9,798
U.S. Government-guaranteed residential MBS	1,868			—							1,868
Private-label residential MBS	—			65							65
Available-for-sale securities	17,405			65							17,470
Advances	511			—							511
Derivative assets	598			5				$	(601	)	2
Other assets - Mortgage loans held for sale	54			—							54
Financial assets at fair value	$	19,728		$	70			$	(601	)	$	19,197
Financial liabilities -
Consolidated obligation discount notes	$	(9,006	)	$	—						$	(9,006	)
Consolidated obligation bonds	(952		)	(55		)	a				(1,007		)
Derivative liabilities	(1,424		)	—				$	1,369		(55		)
Financial liabilities at fair value	$	(11,382	)	$	(55	)		$	1,369		$	(10,068	)

^a  Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option.

Fair Value, Option, Quantitative Disclosures [Table Text Block]

The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status.

	September 30, 2016				December 31, 2015
As of	Advances		Consolidated Obligation Bonds		Advances		Consolidated Obligation Bonds
Unpaid principal balance	$	689	$	7,047	$	509	$	953
Fair value over (under) UPB	14		11		2		(1		)
Fair value	$	703	$	7,058	$	511	$	952

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Commitments and Contingencies (Tables)

9 Months Ended

Sep. 30, 2016

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments [Table Text Block]

The following table shows our commitments outstanding, which represent off-balance sheet obligations.

	September 30, 2016							December 31, 2015
As of	Expire within one year		Expire after one year			Total		Expire within one year		Expire after one year			Total
Unsettled consolidated obligation bonds	$	748	$	—		$	748	$	105	$	—		$	105
Unsettled consolidated obligation discount notes	500		—			500		—		—			—
Member standby letters of credit	8,283		2,140		a	10,423		5,063		1,615		a	6,678
Housing authority standby bond purchase agreements	46		262			308		49		362			411
Advance commitments	45		1			46		163		5			168
MPF delivery commitments	632		—			632		279		—			279
Other commitments	28		—			28		48		3			51
Commitments	$	10,282	$	2,403		$	12,685	$	5,707	$	1,985		$	7,692

^a  Contains $372 million and $637 million of member standby letters of credit at September 30, 2016, and December 31, 2015, which were renewable annually.

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Transactions with Related Parties and Other FHLBs (Tables)

9 Months Ended

Sep. 30, 2016

Related Party Transactions [Abstract]

Related Party Transactions, by Balance Sheet Grouping [Table Text Block]

The following table summarizes balances we had with our members who are related parties as defined above (including their affiliates). Members represented in these tables may change between periods presented, to the extent that our related parties change, based on changes in the composition of our Board membership or percentage of capital stock ownership over 10% as noted in Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS).

As of	September 30, 2016		December 31, 2015
Assets - Interest bearing deposits	$	650	$	650
Assets - Advances	16,016		15,168
Liabilities - Deposits	33		20
Equity - Capital Stock	483		467

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Interest Income and Interest Expense (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Interest income -
Trading	$ 2	$ 0	$ 7	$ 2
Available-for-sale	116	132	367	396
Held-to-maturity	56	63	171	201
Investment securities	174	195	545	599
Advance interest income	73	44	203	125
Advance prepayment fees	1	1	8	7
Advances	74	45	211	132
MPF Loans held in portfolio	53	62	165	197
Other interest bearing assets	8	2	23	6
Interest income	309	304	944	934
Interest expense -
Discount notes	95	72	272	216
Bonds	99	96	299	304
Consolidated obligations	194	168	571	520
Subordinated notes	0	14	24	41
Other interest bearing liabilities	2	0	5	0
Interest expense	196	182	600	561
Net interest income	113	122	344	373
Provision for (reversal of) credit losses	0	1	0	5
Net interest income after provision for (reversal of) credit losses	$ 113	$ 121	$ 344	$ 368

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Investment Securities (Trading Securities) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 1,047	$ 1,160
U.S. Government & other government related
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	1,003	1,108
Residential MBS:
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	44	52
Residential MBS: | GSE
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	42	50
Residential MBS: | Government-guaranteed
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 2	$ 2

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Investment Securities (Available-for-sale Securities) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	$ 15,016	$ 16,812
Gross Unrealized Gains in AOCI	582	698
Gross Unrealized (Losses) in AOCI	(37)	(40)
Carrying Amount and Fair Value	15,561	17,470
U.S. Government & other government related
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	350	405
Gross Unrealized Gains in AOCI	20	21
Gross Unrealized (Losses) in AOCI	(3)	(4)
Carrying Amount and Fair Value	367	422
State or local housing agency
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	19	18
Gross Unrealized Gains in AOCI	1	0
Gross Unrealized (Losses) in AOCI	0	0
Carrying Amount and Fair Value	20	18
FFELP ABS | FFELP ABS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	4,561	5,090
Gross Unrealized Gains in AOCI	158	233
Gross Unrealized (Losses) in AOCI	(25)	(24)
Carrying Amount and Fair Value	4,694	5,299
Residential MBS:
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	10,086	11,299
Gross Unrealized Gains in AOCI	403	444
Gross Unrealized (Losses) in AOCI	(9)	(12)
Carrying Amount and Fair Value	10,480	11,731
Residential MBS: | GSE
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	8,578	9,427
Gross Unrealized Gains in AOCI	353	383
Gross Unrealized (Losses) in AOCI	(9)	(12)
Carrying Amount and Fair Value	8,922	9,798
Residential MBS: | Government-guaranteed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	1,457	1,811
Gross Unrealized Gains in AOCI	43	57
Gross Unrealized (Losses) in AOCI	0	0
Carrying Amount and Fair Value	1,500	1,868
Residential MBS: | Private-label
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	51	61
Gross Unrealized Gains in AOCI	7	4
Gross Unrealized (Losses) in AOCI	0	0
Carrying Amount and Fair Value	$ 58	$ 65

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Investment Securities (Held-to-Maturities Securities) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	$ 4,975	$ 6,184
Non-credit OTTI Recognized in AOCI (Loss)	(187)	(217)
Carrying Amount	4,788	5,967
Gross Unrecognized Holding Gains	521	548
Gross Unrecognized Holding (Losses)	(1)	(2)
Held-to-maturity fair value	5,308	6,513
U.S. Government & other government related
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	1,271	1,932
Non-credit OTTI Recognized in AOCI (Loss)	0	0
Carrying Amount	1,271	1,932
Gross Unrecognized Holding Gains	74	64
Gross Unrecognized Holding (Losses)	0	(1)
Held-to-maturity fair value	1,345	1,995
State or local housing agency
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	13	16
Non-credit OTTI Recognized in AOCI (Loss)	0	0
Carrying Amount	13	16
Gross Unrecognized Holding Gains	0	0
Gross Unrecognized Holding (Losses)	0	0
Held-to-maturity fair value	13	16
Residential MBS:
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	3,691	4,236
Non-credit OTTI Recognized in AOCI (Loss)	(187)	(217)
Carrying Amount	3,504	4,019
Gross Unrecognized Holding Gains	447	484
Gross Unrecognized Holding (Losses)	(1)	(1)
Held-to-maturity fair value	3,950	4,502
Residential MBS: | GSE
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	1,928	2,163
Non-credit OTTI Recognized in AOCI (Loss)	0	0
Carrying Amount	1,928	2,163
Gross Unrecognized Holding Gains	133	134
Gross Unrecognized Holding (Losses)	0	0
Held-to-maturity fair value	2,061	2,297
Residential MBS: | Government-guaranteed
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	834	969
Non-credit OTTI Recognized in AOCI (Loss)	0	0
Carrying Amount	834	969
Gross Unrecognized Holding Gains	13	16
Gross Unrecognized Holding (Losses)	0	0
Held-to-maturity fair value	847	985
Residential MBS: | Private-label
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	929	1,104
Non-credit OTTI Recognized in AOCI (Loss)	(187)	(217)
Carrying Amount	742	887
Gross Unrecognized Holding Gains	301	334
Gross Unrecognized Holding (Losses)	(1)	(1)
Held-to-maturity fair value	$ 1,042	$ 1,220

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Investment Securities (Aging of Unrealized Temporary Losses on Available-for-sale Securities) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Less than 12 Months
Fair Value	$ 683	$ 1,269
Gross Unrealized (Losses)	0	(5)
12 Months or More
Fair Value	2,078	1,846
Gross Unrealized (Losses)	(37)	(35)
Total
Fair Value	2,761	3,115
Gross Unrealized (Losses)	(37)	(40)
U.S. Government & other government related
Less than 12 Months
Fair Value	0	30
Gross Unrealized (Losses)	0	(1)
12 Months or More
Fair Value	86	45
Gross Unrealized (Losses)	(3)	(3)
Total
Fair Value	86	75
Gross Unrealized (Losses)	(3)	(4)
State or local housing agency
Less than 12 Months
Fair Value	1	4
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	0	0
Gross Unrealized (Losses)	0	0
Total
Fair Value	1	4
Gross Unrealized (Losses)	0	0
FFELP ABS | FFELP ABS
Less than 12 Months
Fair Value	0	64
Gross Unrealized (Losses)	0	(1)
12 Months or More
Fair Value	774	787
Gross Unrealized (Losses)	(25)	(23)
Total
Fair Value	774	851
Gross Unrealized (Losses)	(25)	(24)
Residential MBS:
Less than 12 Months
Fair Value	682	1,171
Gross Unrealized (Losses)	0	(3)
12 Months or More
Fair Value	1,218	1,014
Gross Unrealized (Losses)	(9)	(9)
Total
Fair Value	1,900	2,185
Gross Unrealized (Losses)	(9)	(12)
Residential MBS: | GSE
Less than 12 Months
Fair Value	658	1,081
Gross Unrealized (Losses)	0	(3)
12 Months or More
Fair Value	1,217	1,006
Gross Unrealized (Losses)	(9)	(9)
Total
Fair Value	1,875	2,087
Gross Unrealized (Losses)	(9)	(12)
Residential MBS: | Government-guaranteed
Less than 12 Months
Fair Value	24	90
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	0	0
Gross Unrealized (Losses)	0	0
Total
Fair Value	24	90
Gross Unrealized (Losses)	0	0
Residential MBS: | Private-label
Less than 12 Months
Fair Value	0	0
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	1	8
Gross Unrealized (Losses)	0	0
Total
Fair Value	1	8
Gross Unrealized (Losses)	$ 0	$ 0

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Investment Securities (Aging of Unrealized Temporary Losses on Held-to-maturity Securities) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Less than 12 Months
Fair Value	$ 13	$ 611
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	1,017	1,193
Gross Unrealized (Losses)	(188)	(219)
Total
Fair Value	1,030	1,804
Gross Unrealized (Losses)	(188)	(219)
U.S. Government & other government related
Less than 12 Months
Fair Value	0	606
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	16	16
Gross Unrealized (Losses)	0	(1)
Total
Fair Value	16	622
Gross Unrealized (Losses)	0	(1)
State or local housing agency
Less than 12 Months
Fair Value	9	1
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	1	10
Gross Unrealized (Losses)	0	0
Total
Fair Value	10	11
Gross Unrealized (Losses)	0	0
Residential MBS:
Less than 12 Months
Fair Value	4	4
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	1,000	1,167
Gross Unrealized (Losses)	(188)	(218)
Total
Fair Value	1,004	1,171
Gross Unrealized (Losses)	(188)	(218)
Residential MBS: | GSE
Less than 12 Months
Fair Value	4	4
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	0	0
Gross Unrealized (Losses)	0	0
Total
Fair Value	4	4
Gross Unrealized (Losses)	0	0
Residential MBS: | Private-label
Less than 12 Months
Fair Value	0	0
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	1,000	1,167
Gross Unrealized (Losses)	(188)	(218)
Total
Fair Value	1,000	1,167
Gross Unrealized (Losses)	$ (188)	$ (218)

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Investment Securities (Contractual Maturity Terms) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis	$ 17
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis	44
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis	30
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis	278
Available-for-sale Securities, Debt Maturities, without Single Maturity Date, Amortized Cost Basis	14,647
Amortized Cost Basis	15,016	$ 16,812
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value	17
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value	46
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value	32
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value	292
Available-for-sale Securities, Debt Maturities, without Single Maturity Date, Fair Value	15,174
Carrying Amount and Fair Value	15,561	17,470
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost	176
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost	285
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost	86
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Amortized Cost	737
Held-to-maturity Securities, Debt Maturities, without Single Maturity Date, Net Carrying Amount	3,504
Carrying Amount	4,788	5,967
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value	177
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value	298
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value	88
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Fair Value	795
Held-to-maturity Securities, Debt Maturities, without Single Maturity Date, Fair Value	3,950
Fair Value	$ 5,308	$ 6,513

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Investment Securities (Significant Inputs Used to Determine OTTI) (Details)	Sep. 30, 2016
Minimum
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Assumed Home Price Change Rate all markets	(1.00%)
Projected House Price Change Rate majority of markets	3.00%
Maximum
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Assumed Home Price Change Rate all markets	10.00%
Projected House Price Change Rate majority of markets	6.00%

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Investment Securities (OTTI rollforward) (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Investments, Debt and Equity Securities [Abstract]
Beginning Balance	$ 542	$ 591	$ 568	$ 620
Reductions:
Increases in expected future cash flows recorded as accretion into interest income	(11)	(12)	(37)	(41)
Ending Balance	$ 531	$ 579	$ 531	$ 579

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Investment Securities Ongoing Litigation (Details) - Private-label - October 15 2010 On-going PLMBS Litigation $ in Millions	1 Months Ended
	Apr. 30, 2016 USD ($)	Sep. 30, 2016 USD ($) bonds	Oct. 15, 2010 USD ($) bonds
Gain Contingencies [Line Items]
Number of Debt Securities | bonds		4	64
Marketable Securities, Original Principal Amount		$ 77.5	$ 4,290.0
Litigation Settlement, Amount	$ 37.5
Litigation Settlement, Expense	$ 5.0

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Advances By redemption terms (Details) - USD ($) $ in Millions		Sep. 30, 2016	Dec. 31, 2015
Federal Home Loan Bank, Advances, Rolling Maturity [Abstract]
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months		0.60%
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two		0.77%
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three	[1]	0.56%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four	[1]	0.58%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five		1.34%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five		1.67%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate		0.76%
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months		$ 12,719
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two		8,966
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three		7,283
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four		8,120
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five		1,536
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Five		4,168
Par value		$ 42,792	$ 36,605

[1] The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates.

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Advances Reconciliation of par values to carrying values (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Federal Home Loan Banks [Abstract]
Par value	$ 42,792	$ 36,605
Fair value hedging adjustments	300	159
Other adjustments	25	14
Advances	$ 43,117	$ 36,778

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Advances By counterparty concentration (Details) - USD ($) $ in Millions		3 Months Ended
		Sep. 30, 2016	Dec. 31, 2015
Concentration Risk [Line Items]
Par value		$ 42,792	$ 36,605
One Mortgage Partners Corp.
Concentration Risk [Line Items]
Par value	[1]	$ 11,000
One Mortgage Partners Corp. | Credit Concentration Risk
Concentration Risk [Line Items]
% of Total Outstanding		26.00%
BMO Harris Bank, N.A.
Concentration Risk [Line Items]
Par value		$ 4,875
BMO Harris Bank, N.A. | Credit Concentration Risk
Concentration Risk [Line Items]
% of Total Outstanding		11.00%

[1] One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA.

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MPF Loans (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 4,657	$ 4,774
Net premiums, credit enhancement and deferred loan fees	36	20
Fair value hedging adjustments	30	37
MPF Loans held in portfolio, before allowance for credit losses	4,723	4,831
Allowance for credit losses on MPF Loans	(3)	(3)
MPF Loans held in portfolio, net	4,720	4,828
Medium term (15 years or less)
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	448	662
Long term (greater than 15 years)
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	4,209	4,112
Conventional mortgage loans
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	3,543	3,568
Government Loans
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 1,114	$ 1,206

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Allowance for Credit Losses Loans evaluated for impairment (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Recorded investment
Recorded investment	$ 4,746	$ 4,855
Conventional
Recorded investment
Individually evaluated for impairment	78	107
Collectively evaluated for impairment	3,533	3,519
Recorded investment	3,611	3,626
Allowance for credit losses on conventional MPF Loans -
Homogeneous pools of loans collectively evaluated for impairment	$ 3	$ 3

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Allowance for Credit Losses (Credit Quality Indicators - MPF Loans) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Recorded Investment, Past Due [Line Items]
Past due	$ 269	$ 330
Current	4,477	4,525
Recorded investment	4,746	4,855
In process of foreclosure	$ 41	$ 54
Serious delinquency rate	1.98%	2.38%
Past due 90 days or more still accruing interest	$ 28	$ 25
On nonaccrual status	78	107
Past due 30-59 days
Recorded Investment, Past Due [Line Items]
Past due	134	162
Past due 60-89 days
Recorded Investment, Past Due [Line Items]
Past due	43	53
Past due 90 days or more
Recorded Investment, Past Due [Line Items]
Past due	92	115
Conventional
Recorded Investment, Past Due [Line Items]
Past due	178	231
Current	3,433	3,395
Recorded investment	3,611	3,626
In process of foreclosure	$ 36	$ 51
Serious delinquency rate	2.02%	2.77%
Past due 90 days or more still accruing interest	$ 7	$ 10
On nonaccrual status	78	107
Conventional | Past due 30-59 days
Recorded Investment, Past Due [Line Items]
Past due	81	99
Conventional | Past due 60-89 days
Recorded Investment, Past Due [Line Items]
Past due	26	32
Conventional | Past due 90 days or more
Recorded Investment, Past Due [Line Items]
Past due	71	100
Government
Recorded Investment, Past Due [Line Items]
Past due	91	99
Current	1,044	1,130
Recorded investment	1,135	1,229
In process of foreclosure	$ 5	$ 3
Serious delinquency rate	1.87%	1.23%
Past due 90 days or more still accruing interest	$ 21	$ 15
On nonaccrual status	0	0
Government | Past due 30-59 days
Recorded Investment, Past Due [Line Items]
Past due	53	63
Government | Past due 60-89 days
Recorded Investment, Past Due [Line Items]
Past due	17	21
Government | Past due 90 days or more
Recorded Investment, Past Due [Line Items]
Past due	$ 21	$ 15

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Allowance for Credit Losses (Impaired MPF Loans at period ends) (Details) - Conventional - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Financing Receivable, Impaired [Line Items]
Recorded investment without an allowance for credit losses	$ 78	$ 107
Unpaid principal balance without an allowance for credit losses	$ 84	$ 117

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Allowance for Credit Losses (Impaired MPF Loans during the periods) (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Conventional
Financing Receivable, Impaired [Line Items]
Average recorded investment without allowance for credit losses	$ 81	$ 118	$ 89	$ 132

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Derivatives and Hedging Activities (Narrative) (Details) $ in Millions	Sep. 30, 2016 USD ($)
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Additional collateral due to derivatives counterparties if credit rating was lowered one level	$ 43
Financial Instruments Owned and Pledged as Collateral, Amount Eligible to be Repledged by Counterparty	$ 90

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Derivatives and Hedging Activities (Derivatives in statements of condition) (Details) - USD ($) $ in Millions		Sep. 30, 2016	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Notional Amount		$ 63,932	$ 57,007
Netting adjustments and cash collateral derivative assets		(642)	(601)
Derivative assets on statements of condition		21	2
Netting adjustments and cash collateral derivative liabilities		(1,523)	(1,369)
Derivative liabilities on statements of condition		48	55
Cash collateral posted		910	793
Cash collateral received		29	25
Derivatives in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Notional Amount		24,256	25,140
Derivatives not in hedge accounting relationships-
Derivatives, Fair Value [Line Items]
Notional Amount		39,676	31,867
Derivatives not in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Notional Amount		36,692	28,866
Derivatives not in hedge accounting relationships- | Interest rate swaptions
Derivatives, Fair Value [Line Items]
Notional Amount		550	1,270
Derivatives not in hedge accounting relationships- | Interest rate caps or floors
Derivatives, Fair Value [Line Items]
Notional Amount		1,129	1,131
Derivatives not in hedge accounting relationships- | Mortgage delivery commitments
Derivatives, Fair Value [Line Items]
Notional Amount		1,178	479
Derivatives not in hedge accounting relationships- | Other
Derivatives, Fair Value [Line Items]
Notional Amount		127	121
Derivative Assets
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		663	603
Netting adjustments and cash collateral derivative assets	[1]	(642)	(601)
Derivative assets on statements of condition		21	2
Derivative Assets | Derivatives in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		40	30
Derivative Assets | Derivatives not in hedge accounting relationships-
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		623	573
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		514	456
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate swaptions
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		56	40
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate caps or floors
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		51	76
Derivative Assets | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		1	1
Derivative Assets | Derivatives not in hedge accounting relationships- | Other
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		1	0
Derivative Liabilities
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		1,571	1,424
Netting adjustments and cash collateral derivative liabilities	[1]	(1,523)	(1,369)
Derivative liabilities on statements of condition		48	55
Derivative Liabilities | Derivatives in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		1,156	1,082
Derivative Liabilities | Derivatives not in hedge accounting relationships-
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		415	342
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		414	341
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate swaptions
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		0	0
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate caps or floors
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		0	0
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		1	1
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Other
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		$ 0	$ 0

[1] Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same FCM and/or counterparty. Cash collateral posted was $910 million and $793 million at September 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million.

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Derivatives and Hedging Activities (Derivative instruments with legal right of offset) (Details) - USD ($) $ in Millions		Sep. 30, 2016	Dec. 31, 2015
Derivatives with legal right of offset -
Netting adjustments and cash collateral derivative assets		$ (642)	$ (601)
Netting adjustments and cash collateral derivative liabilities		(1,523)	(1,369)
Derivative assets on statements of condition		21	2
Derivative liabilities on statements of condition		48	55
Credit Exposure On Overcollateralized Pledged Securities Exceeding Derivative Liability		19	50
Derivative Assets
Derivatives with legal right of offset -
Gross recognized amount		662	602
Netting adjustments and cash collateral derivative assets	[1]	(642)	(601)
Derivatives with legal right of offset - net		20	1
Derivatives without legal right of offset		1	1
Derivative assets on statements of condition		21	2
Cash collateral for initial margin		(1)
Noncash collateral received (pledged) and cannot be sold or repledged			0
Noncash collateral received (pledged) and cannot be sold or repledged		(70)
Net amount		92	2
Derivative Assets | Bilateral
Derivatives with legal right of offset -
Gross recognized amount		485	509
Netting adjustments and cash collateral derivative assets		(483)	(508)
Derivatives with legal right of offset - net		2	1
Derivatives without legal right of offset		1	1
Derivative assets on statements of condition		3	2
Noncash collateral received (pledged) and cannot be sold or repledged		1	0
Net amount		2	2
Derivative Assets | Cleared
Derivatives with legal right of offset -
Gross recognized amount		177	93
Netting adjustments and cash collateral derivative assets		(159)	(93)
Derivatives with legal right of offset - net		18	0
Derivatives without legal right of offset		0	0
Derivative assets on statements of condition		18	0
Cash collateral for initial margin		(1)
Noncash collateral received (pledged) and cannot be sold or repledged			0
Noncash collateral received (pledged) and cannot be sold or repledged	[2]	(71)
Net amount		90	0
Derivative Liabilities
Derivatives with legal right of offset -
Gross recognized amount		1,570	1,423
Netting adjustments and cash collateral derivative liabilities	[1]	(1,523)	(1,369)
Derivatives with legal right of offset - net		47	54
Derivatives without legal right of offset		1	1
Derivative liabilities on statements of condition		48	55
Noncash collateral received (pledged) and cannot be sold or repledged		0	12
Net amount		48	43
Derivative Liabilities | Bilateral
Derivatives with legal right of offset -
Gross recognized amount		998	1,182
Netting adjustments and cash collateral derivative liabilities		(951)	(1,140)
Derivatives with legal right of offset - net		47	42
Derivatives without legal right of offset		1	1
Derivative liabilities on statements of condition		48	43
Noncash collateral received (pledged) and cannot be sold or repledged		0	0
Net amount		48	43
Derivative Liabilities | Cleared
Derivatives with legal right of offset -
Gross recognized amount		572	241
Netting adjustments and cash collateral derivative liabilities		(572)	(229)
Derivatives with legal right of offset - net		0	12
Derivatives without legal right of offset		0	0
Derivative liabilities on statements of condition		0	12
Noncash collateral received (pledged) and cannot be sold or repledged		0	12
Net amount		$ 0	$ 0

[1] Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same FCM and/or counterparty. Cash collateral posted was $910 million and $793 million at September 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million.

[2] Represents noncash collateral pledged for initial margin for cleared derivatives.

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Fair value hedges	$ 5	$ (17)	$ (7)	$ (30)
Cash flow hedges	0	1	4	2
Economic hedges	2	1	(4)	11
Gains (losses) on derivatives and hedging activities	7	(15)	(7)	(17)
Interest rate swaps
Derivative Instruments, Gain (Loss) [Line Items]
Fair value hedges	5	(17)	(7)	(30)
Economic hedges	(1)	(14)	(40)	(43)
Interest rate swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	(2)	4	16	7
Interest rate caps or floors
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	(14)	(4)	(25)	(12)
Net interest settlements
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	16	16	44	60
Other
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	$ 3	$ (1)	$ 1	$ (1)

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Derivatives and Hedging Activities (Fair Value Hedges) (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	$ 5	$ (17)	$ (7)	$ (30)
Amount Recorded in Net Interest Income	113	122	344	373
Fair value hedges
Derivative Instruments, Gain (Loss) [Line Items]
On Derivative	52	(30)	(105)	40
On Hedged Item	(47)	13	98	(70)
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	5	(17)	(7)	(30)
Amount Recorded in Net Interest Income	(38)	(5)	(106)	(16)
Fair value hedges | Available-for-sale securities
Derivative Instruments, Gain (Loss) [Line Items]
On Derivative	51	(40)	(4)	(28)
On Hedged Item	(50)	29	0	15
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	1	(11)	(4)	(13)
Amount Recorded in Net Interest Income	(31)	(33)	(93)	(111)
Fair value hedges | Advances
Derivative Instruments, Gain (Loss) [Line Items]
On Derivative	35	(77)	(143)	(49)
On Hedged Item	(34)	78	143	49
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	1	1	0	0
Amount Recorded in Net Interest Income	(17)	(22)	(57)	(63)
Fair value hedges | MPF Loans held for portfolio
Derivative Instruments, Gain (Loss) [Line Items]
On Derivative	0	0	0	0
On Hedged Item	0	0	0	0
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	0	0	0	0
Amount Recorded in Net Interest Income	(2)	(4)	(7)	(11)
Fair value hedges | Consolidated obligation bonds
Derivative Instruments, Gain (Loss) [Line Items]
On Derivative	(34)	87	42	117
On Hedged Item	37	(94)	(45)	(134)
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	3	(7)	(3)	(17)
Amount Recorded in Net Interest Income	$ 12	$ 54	$ 51	$ 169

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Derivatives and Hedging Activities (Cash Flow Hedges) (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Ineffective Portion Recorded in Derivatives and Hedging Activities	$ 0	$ 1	$ 4	$ 2
Amount Recorded in Net Interest Income	113	122	344	373
Cash Flow Hedge Gain (Loss) to be Reclassified Next 12 Months, Net	$ (8)		(8)
Maximum Hedging Period For Forecasted Cash Flows	4 years
Cash flow hedges
Derivative Instruments, Gain (Loss) [Line Items]
Ineffective Portion Recorded in Derivatives and Hedging Activities	$ 0	1	4	2
Effective Portion Recorded in AOCI	84	(29)	46	14
Amount Recorded in Net Interest Income	(48)	(60)	(142)	(181)
Cash flow hedges | Advances | Interest rate floors
Derivative Instruments, Gain (Loss) [Line Items]
Ineffective Portion Recorded in Derivatives and Hedging Activities	0	0	0	0
Effective Portion Recorded in AOCI	0	0	0	0
Amount Recorded in Net Interest Income	1	2	7	8
Cash flow hedges | Discount Notes | Interest rate swaps
Derivative Instruments, Gain (Loss) [Line Items]
Ineffective Portion Recorded in Derivatives and Hedging Activities	0	1	4	2
Effective Portion Recorded in AOCI	84	(29)	46	14
Amount Recorded in Net Interest Income	$ (49)	$ (62)	(147)	(187)
Cash flow hedges | Consolidated obligation bonds | Interest rate swaps
Derivative Instruments, Gain (Loss) [Line Items]
Ineffective Portion Recorded in Derivatives and Hedging Activities			0	0
Effective Portion Recorded in AOCI			0	0
Amount Recorded in Net Interest Income			$ (2)	$ (2)

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Consolidated Obligations (Bonds by maturity date) (Details) - Consolidated obligation bonds - USD ($) $ in Millions	3 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Contractual Maturity
Due in one year or less	$ 9,756
One to two years	7,686
Two to three years	4,591
Three to four years	979
Four to five years	2,808
Thereafter	4,354
Par value	$ 30,174	$ 22,684
Weighted Average Interest Rate
Due in one year or less	1.16%
One to two years	1.31%
Two to three years	1.26%
Three to four years	1.28%
Four to five years	1.99%
Thereafter	2.85%
Par value	1.54%
By Maturity or Next Call Date
Contractual Maturity
Due in one year or less	$ 20,922
One to two years	4,460
Two to three years	3,105
Three to four years	474
Four to five years	363
Thereafter	850
Par value	$ 30,174
Minimum
Extinguishment of Debt [Line Items]
Debt Instrument, Term	1 year
Maximum
Extinguishment of Debt [Line Items]
Debt Instrument, Term	20 years

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Consolidated Obligations (Short term discount notes) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Short-term Debt [Line Items]
Carrying Amount	$ 39,144	$ 41,564
Discount Notes
Short-term Debt [Line Items]
Carrying Amount	39,144	41,564
Par Value	$ 39,164	$ 41,584
Weighted Average Interest Rate	0.39%	0.22%

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Consolidated Obligations (Bonds by callable feature) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Debt Instrument [Line Items]
Consolidated obligation bonds	$ 30,139	$ 22,582
Consolidated obligation bonds
Debt Instrument [Line Items]
Par Value	30,174	22,684
Fair value hedging adjustments	(49)	(101)
Other adjustments	14	(1)
Consolidated obligation bonds	30,139	22,582
Consolidated obligation bonds | Noncallable
Debt Instrument [Line Items]
Par Value	18,288	10,148
Consolidated obligation bonds | Callable
Debt Instrument [Line Items]
Par Value	$ 11,886	$ 12,536

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Consolidated Obligations (Systemwide joint & several liability) (Details) - USD ($) $ in Millions	3 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Consolidated obligation bonds
Obligation with Joint and Several Liability Arrangement [Line Items]
FHLB System total consolidated obligations	$ 532,920	$ 410,859
FHLB Chicago as primary obligor	$ 30,174	$ 22,684
As a percent of the FHLB System	6.00%	6.00%
Discount Notes
Obligation with Joint and Several Liability Arrangement [Line Items]
FHLB System total consolidated obligations	$ 434,808	$ 494,343
FHLB Chicago as primary obligor	$ 39,164	$ 41,584
As a percent of the FHLB System	9.00%	8.00%
Total
Obligation with Joint and Several Liability Arrangement [Line Items]
FHLB System total consolidated obligations	$ 967,728	$ 905,202
FHLB Chicago as primary obligor	$ 69,338	$ 64,268
As a percent of the FHLB System	7.00%	7.00%

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Capital and Mandatorily Redeemable Capital Stock (MRCS) (Capital rules) (Details) - $ / shares	3 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Capital [Abstract]
Capital stock par value	$ 100	$ 100
Capital Stock, Redemption, Period of Written Notice	5 years

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Capital and Mandatorily Redeemable Capital Stock (MRCS) (Regulatory capital requirements) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Federal Home Loan Banks [Abstract]
Risk Based Capital, Requirement	$ 971	$ 1,027
Risk Based Capital, Actual	4,889	4,688
Total Regulatory Capital, Requirement	2,999	2,827
Total Regulatory Capital, Actual	$ 4,889	$ 4,688
Total Regulatory Capital Ratio, Requirement	4.00%	4.00%
Total Regulatory Capital Ratio, Actual	6.52%	6.63%
Leverage Capital, Requirement	$ 3,749	$ 3,534
Leverage Capital, Actual	$ 7,332	$ 7,032
Leverage Capital Ratio, Requirement	5.00%	5.00%
Leverage Capital Ratio, Actual	9.78%	9.95%

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Capital and Mandatorily Redeemable Capital Stock (MRCS) Stockholder Concentration (Details) $ in Millions	3 Months Ended
	Sep. 30, 2016 USD ($)
One Mortgage Partners Corp.
Concentration Risk [Line Items]
Regulatory Capital Stock Outstanding	$ 245	[1]
BMO Harris Bank, N.A.
Concentration Risk [Line Items]
Regulatory Capital Stock Outstanding	$ 219
Stockholders' Equity, Total [Member] | One Mortgage Partners Corp.
Concentration Risk [Line Items]
% of Total Outstanding	13.00%
Stockholders' Equity, Total [Member] | BMO Harris Bank, N.A.
Concentration Risk [Line Items]
% of Total Outstanding	11.00%

[1] One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA.

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Capital and Mandatorily Redeemable Capital Stock (MRCS) Transfer of Capital Stock to Mandatorily Redeemable Capital Stock (MRCS) (Details) - USD ($) $ in Millions	3 Months Ended	9 Months Ended
	Mar. 31, 2016	Sep. 30, 2016	Sep. 30, 2015
Equity [Abstract]
Capital stock reclassified to mandatorily redeemable capital stock	$ 294	$ 300	$ 1

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Capital and Mandatorily Redeemable Capital Stock (MRCS) Excess capital stock (Details) - USD ($) $ in Millions	Sep. 30, 2016	Apr. 01, 2016
Banking and Thrift [Abstract]
Excess Capital	$ 419	$ 593

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Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance			$ (28)
Amounts reclassified in period to statements of income:
Ending balance	$ (72)		(72)
AOCI
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance	(151)	$ 139	(28)	$ 217
Change in the period recorded to the statements of condition, before reclassifications to statements of income	80	(96)	(36)	(170)
Amounts reclassified in period to statements of income:
Net interest income	(1)	(1)	(4)	(4)
Non-interest gain (loss)		(1)	(4)	(2)
Other comprehensive income in the period	79	(98)	(44)	(176)
Ending balance	(72)	41	(72)	41
Net Unrealized - | Available-for-sale Securities
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance	558	925	658	1,060
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(13)	(79)	(113)	(214)
Amounts reclassified in period to statements of income:
Net interest income	0	0	0	0
Non-interest gain (loss)		0	0	0
Other comprehensive income in the period	(13)	(79)	(113)	(214)
Ending balance	545	846	545	846
Non-credit OTTI - | Held-to-maturity Securities
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance	(196)	(238)	(217)	(264)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	9	11	30	37
Amounts reclassified in period to statements of income:
Net interest income	0	0	0	0
Non-interest gain (loss)		0	0	0
Other comprehensive income in the period	9	11	30	37
Ending balance	(187)	(227)	(187)	(227)
Net Unrealized - Cash Flow Hedges
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance	(508)	(541)	(463)	(580)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	84	(29)	46	14
Amounts reclassified in period to statements of income:
Net interest income	(1)	(1)	(4)	(4)
Non-interest gain (loss)		(1)	(4)	(2)
Other comprehensive income in the period	83	(31)	38	8
Ending balance	(425)	(572)	(425)	(572)
Post-Retirement Plans
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance	(5)	(7)	(6)	1
Change in the period recorded to the statements of condition, before reclassifications to statements of income	0	1	1	(7)
Amounts reclassified in period to statements of income:
Other comprehensive income in the period	0	1	1	(7)
Ending balance	$ (5)	$ (6)	$ (5)	$ (6)

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Fair Value Accounting (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Financial Assets -
Cash and due from banks	$ 31	$ 499
Interest bearing deposits	650	650
Federal Funds sold	3,807	1,702
Securities purchased under agreements to resell	1,000	1,375
Held-to-maturity securities	5,308	6,513
Carrying Amount
Financial Assets -
Cash and due from banks	31	499
Interest bearing deposits	650	650
Federal Funds sold	3,807	1,702
Securities purchased under agreements to resell	1,000	1,375
Held-to-maturity securities	4,788	5,967
Advances	43,117	36,778
MPF Loans held in portfolio, net	4,720	4,828
Financial Liabilities -
Deposits	(512)	(538)
Consolidated obligation discount notes	(39,144)	(41,564)
Consolidated obligation bonds	(30,139)	(22,582)
Mandatorily redeemable capital stock	(302)	(8)
Subordinated notes		(944)
Fair Value
Financial Assets -
Cash and due from banks	31	499
Interest bearing deposits	650	650
Federal Funds sold	3,807	1,702
Securities purchased under agreements to resell	1,000	1,375
Held-to-maturity securities	5,308	6,513
Advances	43,149	36,736
MPF Loans held in portfolio, net	5,032	5,190
Financial Liabilities -
Deposits	(512)	(538)
Consolidated obligation discount notes	(39,146)	(41,563)
Consolidated obligation bonds	(30,594)	(22,986)
Mandatorily redeemable capital stock	(302)	(8)
Subordinated notes		(966)
Level 1
Financial Assets -
Cash and due from banks	31	499
Interest bearing deposits	650	650
Federal Funds sold	0	0
Securities purchased under agreements to resell	0	0
Held-to-maturity securities	0	0
Advances	0	0
MPF Loans held in portfolio, net	0	0
Financial Liabilities -
Deposits	0	0
Consolidated obligation discount notes	0	0
Consolidated obligation bonds	0	0
Mandatorily redeemable capital stock	(302)	(8)
Subordinated notes		0
Level 2
Financial Assets -
Cash and due from banks	0	0
Interest bearing deposits	0	0
Federal Funds sold	3,807	1,702
Securities purchased under agreements to resell	1,000	1,375
Held-to-maturity securities	4,266	5,293
Advances	43,149	36,736
MPF Loans held in portfolio, net	5,007	5,155
Financial Liabilities -
Deposits	(512)	(538)
Consolidated obligation discount notes	(39,146)	(41,563)
Consolidated obligation bonds	(30,594)	(22,931)
Mandatorily redeemable capital stock	0	0
Subordinated notes		(966)
Level 3
Financial Assets -
Cash and due from banks	0	0
Interest bearing deposits	0	0
Federal Funds sold	0	0
Securities purchased under agreements to resell	0	0
Held-to-maturity securities	1,042	1,220
Advances	0	0
MPF Loans held in portfolio, net	25	35
Financial Liabilities -
Deposits	0	0
Consolidated obligation discount notes	0	0
Consolidated obligation bonds	0	(55)	[1]
Mandatorily redeemable capital stock	$ 0	0
Subordinated notes		$ 0

[1] Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option.

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Fair Value Accounting (Fair Value Measured on Recurring Basis) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Financial Assets -
Advances	$ 703	$ 511
Derivative assets	21	2
Other assets - Mortgage loans held for sale	58	54
Netting	(642)	(601)
Financial Liabilities -
Derivative liabilities	(48)	(55)
Netting	1,523	1,369
Level 2
Financial Liabilities -
Consolidated obligation discount notes	(39,146)	(41,563)
Consolidated obligation bonds	(30,594)	(22,931)
Level 3
Financial Liabilities -
Consolidated obligation discount notes	0	0
Consolidated obligation bonds	0	(55)	[1]
Fair Value Recurring
Financial Assets -
Trading securities	1,047	1,160
Available-for-sale securities	15,561	17,470
Advances	703	511
Derivative assets	21	2
Other assets - Mortgage loans held for sale	58	54
Financial assets at fair value	17,390	19,197
Financial Liabilities -
Consolidated obligation discount notes	(12,537)	(9,006)
Consolidated obligation bonds	(7,058)	(1,007)
Derivative liabilities	(48)	(55)
Financial liabilities at fair value	(19,643)	(10,068)
Fair Value Recurring | U.S. Government & other government related non-MBS
Financial Assets -
Trading securities	1,003	1,108
Available-for-sale securities	367	422
Fair Value Recurring | State or local housing agency non-MBS
Financial Assets -
Available-for-sale securities	20	18
Fair Value Recurring | FFELP ABS | FFELP ABS
Financial Assets -
Available-for-sale securities	4,694	5,299
Fair Value Recurring | Residential MBS: | GSE residential MBS
Financial Assets -
Trading securities	42	50
Available-for-sale securities	8,922	9,798
Fair Value Recurring | Residential MBS: | U.S. Government-guaranteed residential MBS
Financial Assets -
Trading securities	2	2
Available-for-sale securities	1,500	1,868
Fair Value Recurring | Residential MBS: | Private-label residential MBS
Financial Assets -
Available-for-sale securities	58	65
Fair Value Recurring | Level 2
Financial Assets -
Trading securities	1,047	1,160
Available-for-sale securities	15,503	17,405
Advances	703	511
Derivative assets	663	598
Other assets - Mortgage loans held for sale	58	54
Financial assets at fair value	17,974	19,728
Financial Liabilities -
Consolidated obligation discount notes	(12,537)	(9,006)
Consolidated obligation bonds	(7,058)	(952)
Derivative liabilities	(1,571)	(1,424)
Financial liabilities at fair value	(21,166)	(11,382)
Fair Value Recurring | Level 2 | U.S. Government & other government related non-MBS
Financial Assets -
Trading securities	1,003	1,108
Available-for-sale securities	367	422
Fair Value Recurring | Level 2 | State or local housing agency non-MBS
Financial Assets -
Available-for-sale securities	20	18
Fair Value Recurring | Level 2 | FFELP ABS | FFELP ABS
Financial Assets -
Available-for-sale securities	4,694	5,299
Fair Value Recurring | Level 2 | Residential MBS: | GSE residential MBS
Financial Assets -
Trading securities	42	50
Available-for-sale securities	8,922	9,798
Fair Value Recurring | Level 2 | Residential MBS: | U.S. Government-guaranteed residential MBS
Financial Assets -
Trading securities	2	2
Available-for-sale securities	1,500	1,868
Fair Value Recurring | Level 2 | Residential MBS: | Private-label residential MBS
Financial Assets -
Available-for-sale securities	0	0
Fair Value Recurring | Level 3
Financial Assets -
Trading securities	0	0
Available-for-sale securities	58	65
Advances	0	0
Derivative assets	0	5
Other assets - Mortgage loans held for sale	0	0
Financial assets at fair value	58	70
Financial Liabilities -
Consolidated obligation discount notes	0	0
Consolidated obligation bonds	0	(55)	[1]
Derivative liabilities	0	0
Financial liabilities at fair value	0	(55)
Fair Value Recurring | Level 3 | U.S. Government & other government related non-MBS
Financial Assets -
Trading securities	0	0
Available-for-sale securities	0	0
Fair Value Recurring | Level 3 | State or local housing agency non-MBS
Financial Assets -
Available-for-sale securities	0	0
Fair Value Recurring | Level 3 | FFELP ABS | FFELP ABS
Financial Assets -
Available-for-sale securities	0	0
Fair Value Recurring | Level 3 | Residential MBS: | GSE residential MBS
Financial Assets -
Trading securities	0	0
Available-for-sale securities	0	0
Fair Value Recurring | Level 3 | Residential MBS: | U.S. Government-guaranteed residential MBS
Financial Assets -
Trading securities	0	0
Available-for-sale securities	0	0
Fair Value Recurring | Level 3 | Residential MBS: | Private-label residential MBS
Financial Assets -
Available-for-sale securities	$ 58	$ 65

[1] Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option.

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Fair Value Accounting (Fair Value Option Difference Between Fair Value and Unpaid Principal Balance) (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Fair Value, Option, Quantitative Disclosures [Line Items]
Unpaid principal balance	$ 42,792	$ 36,605
Fair value	703	511
Fair value	7,058	952
Advances
Fair Value, Option, Quantitative Disclosures [Line Items]
Unpaid principal balance	689	509
Fair value over (under) UPB	14	2
Fair value	703	511
Consolidated Obligation Bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Unpaid principal balance	7,047	953
Fair value over (under) UPB	11	(1)
Fair value	$ 7,058	$ 952

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Commitments and Contingencies (Details) - USD ($) $ in Millions		Sep. 30, 2016	Dec. 31, 2015
Commitments
Expire within one year		$ 10,282	$ 5,707
Expire after one year		2,403	1,985
Total		12,685	7,692
Unsettled consolidated obligation bonds
Commitments
Expire within one year		748	105
Expire after one year		0	0
Total		748	105
Unsettled consolidated obligation discount notes
Commitments
Expire within one year		500	0
Expire after one year		0	0
Total		500	0
Member standby letters of credit
Commitments
Expire within one year		8,283	5,063
Expire after one year	[1]	2,140	1,615
Total		10,423	6,678
Portion of member standby letters of credit that expire after one year that were also renewable annually		372	637
Housing authority standby bond purchase agreements
Commitments
Expire within one year		46	49
Expire after one year		262	362
Total		308	411
Advance commitments
Commitments
Expire within one year		45	163
Expire after one year		1	5
Total		46	168
MPF delivery commitments
Commitments
Expire within one year		632	279
Expire after one year		0	0
Total		632	279
Other commitments
Commitments
Expire within one year		28	48
Expire after one year		0	3
Total		$ 28	$ 51

[1] Contains $372 million and $637 million of member standby letters of credit at September 30, 2016, and December 31, 2015, which were renewable annually.

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Transactions with Related Parties and Other FHLBs (Details) - USD ($) $ in Millions	Sep. 30, 2016	Dec. 31, 2015
Accounts With Related Party Transactions [Line Items]
Assets - Interest bearing deposits	$ 650	$ 650
Assets - Advances	43,117	36,778
Liabilities - Deposits	512	538
Equity - Capital Stock	1,636	1,950
Transactions with members
Accounts With Related Party Transactions [Line Items]
Assets - Interest bearing deposits	650	650
Assets - Advances	16,016	15,168
Liabilities - Deposits	33	20
Equity - Capital Stock	$ 483	$ 467