UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, ~~2021~~2022

☐ 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.)

433 West Van Buren Street, Suite 501S

Chicago,

60607

(Address of principal executive offices)

(Zip Code)

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

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each exchange on which registered

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 every Interactive Data File required to be submitted 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 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, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☐

Accelerated filer

☐

Non-accelerated filer

☒

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

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

As of September 30, ~~2021,~~2022, including mandatorily redeemable capital stock, registrant had ~~22,163,376~~29,267,235 total outstanding shares of Class B Capital Stock.

Table of Contents

Federal Home Loan Bank of Chicago

TABLE OF CONTENTS


PART I - FINANCIAL INFORMATION
Item 1.	Condensed Financial Statements (unaudited)
	Condensed Statements of Condition	3
	Condensed Statements of Income	4
	Condensed Statements of Comprehensive Income	5
	Condensed Statements of Capital	6
	Condensed Statements of Cash Flows	8
	Note 1 - Background and Basis of Presentation	9
	Note 2 - Summary of Significant Accounting Policies	9
	Note 3 - Recently Issued but Not Yet Adopted Accounting Standards	10
	Note 4 - Interest Income and Interest Expense	1011
	Note 5 - Investment Debt Securities	1112
	Note 6 - Advances	1516
	Note 7 - MPF Loans Held in Portfolio	1617
	Note 8 - Allowance for Credit Losses	1718
	Note 9 - Derivatives and Hedging Activities	1920
	Note 10 - Consolidated Obligations	2425
	Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS)	2526
	Note 12 - Accumulated Other Comprehensive Income (Loss)	27
	Note 13 - Fair Value	28
	Note 14 - Commitments and Contingencies	31
	Note 15 –- Transactions with Related Parties and Other FHLBs	31
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	32
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	5856
Item 4.	Controls and Procedures	5957

PART II - OTHER INFORMATION
Item 1.	Legal Proceedings	6058
Item 1A.	Risk Factors	6058
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	6058
Item 3.	Defaults Upon Senior Securities	6058
Item 4.	Mine Safety Disclosures	6058
Item 5.	Other Information	6058
Item 6.	Exhibits	6159
	Glossary of Terms	6260
	Signatures	6563

Table of Contents

Federal Home Loan Bank of Chicago

PART I - FINANCIAL INFORMATION

Item 1. Condensed Financial Statements

Condensed Statements of Condition (unaudited)

(U.S. Dollars in millions, except capital stock par value)

September 30,
2021 December 31,
2020
Assets
Cash and due from banks $ 933 $ 3,541
Interest bearing deposits 855 855
Federal funds sold 5,445 4,125
Securities purchased under agreements to resell 12,990 10,120
Investment debt securities -
Trading, 547 and 1,292 pledged 2,215 4,621
Available-for-sale, 18,610 and 18,145 amortized cost 19,056 18,437
Held-to-maturity, 812 and 1,549 fair value 773 1,491
Investment debt securities 22,044 24,549
Advances, 1,200 and 1,315 carried at fair value 46,042 46,695
MPF Loans held in portfolio, net of (3) and (3) allowance for credit losses 9,846 10,038
Derivative assets 6 5
Other assets, 119 and 105 carried at fair value 433 428
net of (7) and (7) allowance for credit losses
Assets $ 98,594 $ 100,356
Liabilities
Deposits -
Demand and overnight - noninterest bearing $ 234 $ 394
Demand and overnight - interest bearing, 13 and 18 from other FHLBs 866 875
Term deposits - interest bearing — 15
Deposits 1,100 1,284
Consolidated obligations, net -
Discount notes, — and 2,000 carried at fair value 40,878 48,643
Bonds, 57 and 1,844 carried at fair value 49,041 42,670
Consolidated obligations, net 89,919 91,313
Derivative liabilities 62 691
Affordable Housing Program assessment payable 81 89
Mandatorily redeemable capital stock 247 279
Other liabilities 625 411
Liabilities 92,034 94,067
Commitments and contingencies - see notes to the condensed financial statements 0 0
Capital
Class B1 activity stock, 13 and 13 million shares issued and outstanding 1,293 1,257
Class B2 membership stock, 7 and 8 million shares issued and outstanding 676 753
Capital stock - putable, $100 and $100 par value per share
1,969 2,010
Retained earnings - unrestricted 3,509 3,424
Retained earnings - restricted 685 648
Retained earnings 4,194 4,072
Accumulated other comprehensive income (loss) (AOCI) 397 207
Capital 6,560 6,289
Liabilities and capital $ 98,594 $ 100,356


	September 30, 2022		December 31, 2021
Assets
Cash and due from banks	$	45	$	45
Interest bearing deposits	1,180		855
Federal funds sold	6,456		3,527
Securities purchased under agreements to resell	10,750		8,740
Investment debt securities -
Trading, — and 645 pledged	203		954

Available-for-sale, 19,854 and 22,340 amortized cost, includes 654 and — pledged	19,688		22,706


Held-to-maturity, 599 and 1,832 fair value	611		1,801

Investment debt securities	20,502		25,461
Advances, 1,279 and 1,173 carried at fair value	59,667		48,049

MPF Loans held in portfolio, net of (5) and (5) allowance for credit losses	10,071		9,843

Derivative assets	35		14

Other assets, 75 and 104 carried at fair value	545		420

net of (7) and (7) allowance for credit losses

Assets	$	109,251	$	96,954

Liabilities
Deposits -
Demand and overnight - noninterest bearing	$	112	$	205
Demand and overnight - interest bearing, 12 and 11 from other FHLBs	563		829


Deposits	675		1,034
Consolidated obligations, net -
Discount notes, 868 and — carried at fair value	40,468		24,563

Bonds, 715 and 665 carried at fair value	59,529		63,373

Consolidated obligations, net	99,997		87,936
Derivative liabilities	24		32
Affordable Housing Program assessment payable	91		85

Mandatorily redeemable capital stock	247		247
Other liabilities	1,148		868
Liabilities	102,182		90,202
Commitments and contingencies - see notes to the condensed financial statements
Capital

Class B1 activity stock, 20 and 14 million shares issued and outstanding	2,032		1,409

Class B2 membership stock, 6 and 7 million shares issued and outstanding	647		740

Capital stock - putable, $100 and $100 par value per share	2,679		2,149

Retained earnings - unrestricted	3,708		3,558
Retained earnings - restricted	759		703
Retained earnings	4,467		4,261
Accumulated other comprehensive income (loss) (AOCI)	(77)		342
Capital	7,069		6,752
Liabilities and capital	$	109,251	$	96,954

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

Table of Contents

Federal Home Loan Bank of Chicago

Condensed Statements of Income (unaudited)

(U.S. Dollars in millions)


		Three months ended September 30,				Nine months ended September 30,														Three months ended September 30,						Nine months ended September 30,
		2021		2020		2021		2020											2022			2021			2022			2021
Interest income	Interest income	$	206	$	285	$	623	$	1,197	Interest income										$	688		$	206		$	1,272		$	623
Interest expense	Interest expense	67		116		221		744		Interest expense										546			67			821			221
Net interest income	Net interest income	139		169		402		453		Net interest income										142			139			451			402
Provision for (reversal of) credit losses	Provision for (reversal of) credit losses	(1)		1		—		7		Provision for (reversal of) credit losses										1			(1)			2			—
Net interest income after provision for (reversal of) credit losses	Net interest income after provision for (reversal of) credit losses	140		168		402		446		Net interest income after provision for (reversal of) credit losses										141			140			449			402

Noninterest income -	Noninterest income -									Noninterest income -
Trading securities	Trading securities	(9)		(23)		(40)		39		Trading securities										3			(9)			1			(40)
Derivatives and hedging activities		1		3		8		(156)
Derivatives										Derivatives										19			1			65			8
Instruments held under the fair value option	Instruments held under the fair value option	(7)		(7)		(33)		69		Instruments held under the fair value option										(6)			(7)			(52)			(33)

MPF fees, 6, 7, 19 and 23 from other FHLBs		11		15		36		40
MPF fees,										MPF fees,	6	,	6	,	18	and	19	from other FHLBs		8			11			27			36

Other, net	Other, net	2		4		4		11		Other, net										3			2			1			4
Noninterest income		(2)		(8)		(25)		3
Noninterest income (loss)										Noninterest income (loss)										27			(2)			42			(25)

Noninterest expense -	Noninterest expense -									Noninterest expense -
Compensation and benefits	Compensation and benefits	26		29		79		100		Compensation and benefits										31			26			88			79
Nonpayroll operating expenses	Nonpayroll operating expenses	19		22		59		68		Nonpayroll operating expenses										26			19			71			59
COVID-19 relief program		—		5		3		24

Federal Housing Finance Agency and Office of Finance										Federal Housing Finance Agency and Office of Finance										4			4			14			12
Other, net	Other, net	7		9		27		15		Other, net										1			3			5			18
Noninterest expense	Noninterest expense	52		65		168		207		Noninterest expense										62			52			178			168

Income before assessments	Income before assessments	86		95		209		242		Income before assessments										106			86			313			209

Affordable Housing Program		9		10		22		25
Affordable Housing Program assessment										Affordable Housing Program assessment										11			9			32			22

Net income	Net income	$	77	$	85	$	187	$	217	Net income										$	95		$	77		$	281		$	187

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

Table of Contents

Federal Home Loan Bank of Chicago

Condensed Statements of Comprehensive Income (unaudited)

(U.S. Dollars in millions)


		Three months ended September 30,				Nine months ended September 30,						Three months ended September 30,				Nine months ended September 30,
		2021		2020		2021		2020		2022		2021		2022		2021
Net income	Net income	$	77	$	85	$	187	$	217		Net income	$	95	$	77	$	281	$	187

Other comprehensive income (loss) -	Other comprehensive income (loss) -										Other comprehensive income (loss) -
Net unrealized gain (loss) available-for-sale debt securities	Net unrealized gain (loss) available-for-sale debt securities	(98)		280		154		(4)			Net unrealized gain (loss) available-for-sale debt securities	(152)		(98)		(532)		154
Noncredit OTTI held-to-maturity debt securities		—		3		—		12
Net unrealized gain (loss) cash flow hedges	Net unrealized gain (loss) cash flow hedges	7		9		39		(39)			Net unrealized gain (loss) cash flow hedges	34		7		115		39
Postretirement plans	Postretirement plans	1		(2)		(3)		(13)			Postretirement plans	1		1		(2)		(3)
Other comprehensive income (loss)	Other comprehensive income (loss)	(90)		290		190		(44)			Other comprehensive income (loss)	(117)		(90)		(419)		190

Comprehensive income	Comprehensive income	$	(13)	$	375	$	377	$	173		Comprehensive income	$	(22)	$	(13)	$	(138)	$	377

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

Table of Contents

Federal Home Loan Bank of Chicago

Condensed Statements of Capital (unaudited)

(U.S. Dollars and shares in millions)


		Capital Stock - Putable - B1 Activity				Capital Stock - Putable - B2 Membership				Retained Earnings									Capital Stock - Putable - B1 Activity				Capital Stock - Putable - B2 Membership				Retained Earnings
		Shares	Value			Shares	Value			Unrestricted		Restricted		AOCI		Total			Shares	Value			Shares	Value			Unrestricted		Restricted		AOCI		Total
June 30, 2022																		June 30, 2022	17	$	1,672		8	$	773		$	3,661	$	740	$	40	$	6,886
Comprehensive income																		Comprehensive income									76		19		(117)		(22)
Issuance of capital stock																		Issuance of capital stock	7	755			—	3									758
Repurchases of capital stock																		Repurchases of capital stock	—	—			(6)	(524)									(524)
Capital stock reclassed to mandatorily redeemable capital stock liability																		Capital stock reclassed to mandatorily redeemable capital stock liability	—	1			—	(1)									—
Transfers between classes of capital stock																		Transfers between classes of capital stock	(4)	(396)			4	396
Cash dividends - class B1 annualized rate and amount																		Cash dividends - class B1 annualized rate and amount		5.75		%					(26)						(26)
Cash dividends - class B2 annualized rate and amount																		Cash dividends - class B2 annualized rate and amount						2.38		%	(3)						(3)

Total change in period, excl. cumulative effect																		Total change in period, excl. cumulative effect	3	360			(2)	(126)			47		19		(117)		183
September 30, 2022																		September 30, 2022	20	$	2,032		6	$	647		$	3,708	$	759	$	(77)	$	7,069

June 30, 2021	June 30, 2021	13	$	1,283		7	$	724		$	3,469	$	670	$	487	$	6,633	June 30, 2021	13	$	1,283		7	$	724		$	3,469	$	670	$	487	$	6,633

Comprehensive income	Comprehensive income									62		15		(90)		(13)		Comprehensive income									62		15		(90)		(13)
Issuance of capital stock	Issuance of capital stock	1	49			—	—									49		Issuance of capital stock	1	49			—	—									49
Repurchases of capital stock	Repurchases of capital stock	—	—			(1)	(87)									(87)		Repurchases of capital stock	—	—			(1)	(87)									(87)

Transfers between classes of capital stock	Transfers between classes of capital stock	(1)	(39)			1	39											Transfers between classes of capital stock	(1)	(39)			1	39
Cash dividends - class B1										(19)						(19)
Class B1 annualized rate			5.00		%
Cash dividends - class B2										(3)						(3)
Class B2 annualized rate							2.00		%

Cash dividends - class B1 annualized rate and amount																		Cash dividends - class B1 annualized rate and amount		5.00		%					(19)						(19)
Cash dividends - class B2 annualized rate and amount																		Cash dividends - class B2 annualized rate and amount						2.00		%	(3)						(3)
Total change in period, excl. cumulative effect	Total change in period, excl. cumulative effect	—	10			—	(48)			40		15		(90)		(73)		Total change in period, excl. cumulative effect	—	10			—	(48)			40		15		(90)		(73)
September 30, 2021	September 30, 2021	13	$	1,293		7	$	676		$	3,509	$	685	$	397	$	6,560	September 30, 2021	13	$	1,293		7	$	676		$	3,509	$	685	$	397	$	6,560

June 30, 2020		13	$	1,323		5	$	514		$	3,274	$	599	$	(363)	$	5,347

Comprehensive income										68		17		290		375
Issuance of capital stock		5	394			—	—									394
Repurchases of capital stock		—	—			(2)	(190)									(190)

Transfers between classes of capital stock		(4)	(349)			4	349

Cash dividends - class B1										(20)						(20)
Class B1 annualized rate			5.00		%
Cash dividends - class B2										(2)						(2)
Class B2 annualized rate							2.25		%
Total change in period, excl. cumulative effect		1	45			2	159			46		17		290		557
September 30, 2020		14	$	1,368		7	$	673		$	3,320	$	616	$	(73)	$	5,904

Table of Contents

Federal Home Loan Bank of Chicago


		Capital Stock - Putable - B1 Activity				Capital Stock - Putable - B2 Membership				Retained Earnings									Capital Stock - Putable - B1 Activity				Capital Stock - Putable - B2 Membership				Retained Earnings
		Shares	Value			Shares	Value			Unrestricted		Restricted		AOCI		Total			Shares	Value			Shares	Value			Unrestricted		Restricted		AOCI		Total
December 31, 2020		13	$	1,257		8	$	753		$	3,424	$	648	$	207	$	6,289

December 31, 2021																		December 31, 2021	14	$	1,409		7	$	740		$	3,558	$	703	$	342	$	6,752
Comprehensive income	Comprehensive income									150		37		190		377		Comprehensive income									225		56		(419)		(138)
Issuance of capital stock	Issuance of capital stock	3	309			—	13									322		Issuance of capital stock	16	1,602			—	19									1,621
Repurchases of capital stock	Repurchases of capital stock	—	—			(4)	(357)									(357)		Repurchases of capital stock	—	—			(10)	(1,034)									(1,034)
Capital stock reclassed to mandatorily redeemable capital stock liability	Capital stock reclassed to mandatorily redeemable capital stock liability	—	(1)			—	(5)									(6)		Capital stock reclassed to mandatorily redeemable capital stock liability	(1)	(54)			—	(3)									(57)
Transfers between classes of capital stock	Transfers between classes of capital stock	(3)	(272)			3	272											Transfers between classes of capital stock	(9)	(925)			9	925
Cash dividends - class B1										(57)						(57)
Class B1 annualized rate			5.00		%
Cash dividends - class B2										(8)						(8)
Class B2 annualized rate							2.00		%
Cash dividends - class B1 annualized rate and amount																		Cash dividends - class B1 annualized rate and amount		5.29		%					(68)						(68)
Cash dividends - class B2 annualized rate and amount																		Cash dividends - class B2 annualized rate and amount						2.17		%	(7)						(7)

Total change in period excl. cumulative effect	Total change in period excl. cumulative effect	—	36			(1)	(77)			85		37		190		271		Total change in period excl. cumulative effect	6	623			(1)	(93)			150		56		(419)		317
September 30, 2021		13	$	1,293		7	$	676		$	3,509	$	685	$	397	$	6,560
September 30, 2022																		September 30, 2022	20	$	2,032		6	$	647		$	3,708	$	759	$	(77)	$	7,069

December 31, 2019		13	$	1,337		4	$	376		$	3,197	$	573	$	(29)	$	5,454
Cumulative effect adjustment - see Note 2										(7)						(7)
December 31, 2020																		December 31, 2020	13	$	1,257		8	$	753		$	3,424	$	648	$	207	$	6,289
Comprehensive income	Comprehensive income									174		43		(44)		173		Comprehensive income									150		37		190		377
Issuance of capital stock	Issuance of capital stock	16	1,527			—	18									1,545		Issuance of capital stock	3	309			—	13									322
Repurchases of capital stock	Repurchases of capital stock	—	—			(12)	(1,216)									(1,216)		Repurchases of capital stock	—	—			(4)	(357)									(357)
Capital stock reclassed to mandatorily redeemable capital stock liability	Capital stock reclassed to mandatorily redeemable capital stock liability	—	—			—	(1)									(1)		Capital stock reclassed to mandatorily redeemable capital stock liability	—	(1)			—	(5)									(6)
Transfers between classes of capital stock	Transfers between classes of capital stock	(15)	(1,496)			15	1,496											Transfers between classes of capital stock	(3)	(272)			3	272
Partial recovery of prior capital distribution to FICO - see Note 11										19						19
Cash dividends - class B1										(58)						(58)
Class B1 annualized rate			5.00		%
Cash dividends - class B2										(5)						(5)
Class B2 annualized rate							2.25		%
Cash dividends - class B1 annualized rate and amount																		Cash dividends - class B1 annualized rate and amount		5.00		%					(57)						(57)
Cash dividends - class B2 annualized rate and amount																		Cash dividends - class B2 annualized rate and amount						2.00		%	(8)						(8)
Total change in period excl. cumulative effect	Total change in period excl. cumulative effect	1	31			3	297			130		43		(44)		457		Total change in period excl. cumulative effect	—	36			(1)	(77)			85		37		190		271
September 30, 2020		14	$	1,368		7	$	673		$	3,320	$	616	$	(73)	$	5,904
September 30, 2021																		September 30, 2021	13	$	1,293		7	$	676		$	3,509	$	685	$	397	$	6,560

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

Table of Contents

Federal Home Loan Bank of Chicago

Condensed Statements of Cash Flows (unaudited)

(U.S. Dollars in millions)


		Nine months ended September 30,	2021		2020			Nine months ended September 30,	2022		2021
Operating	Operating	Net cash provided by (used in) operating activities	$	516	$	(1,031)	Operating	Net cash provided by (used in) operating activities	$	1,498	$	516
Investing	Investing	Net change interest bearing deposits	—		625		Investing	Net change interest bearing deposits	(325)		—
		Net change federal funds sold	(1,320)		1,906			Net change federal funds sold	(2,929)		(1,320)
		Net change securities purchased under agreements to resell	(2,870)		2,250			Net change securities purchased under agreements to resell	(2,010)		(2,870)

		Trading debt securities -						Trading debt securities -
		Sales	—		1,602
		Proceeds from maturities and paydowns	3,101		653			Proceeds from maturities and paydowns	752		3,101
		Purchases	(749)		(3,025)			Purchases	—		(749)
		Available-for-sale debt securities -						Available-for-sale debt securities -
		Sales	20		—			Sales	—		20
		Proceeds from maturities and paydowns	411		779			Proceeds from maturities and paydowns	4,383		411
		Purchases	(1,352)		(2,760)			Purchases	(4,215)		(1,352)
		Held-to-maturity debt securities -						Held-to-maturity debt securities -
		Proceeds from maturities and paydowns	2,661		2,379			Proceeds from maturities and paydowns	3,462		2,661
		Purchases	(1,944)		(1,297)			Purchases	(2,272)		(1,944)
		Advances -						Advances -
		Principal collected	409,288		781,041			Principal collected	609,571		409,288
		Issued	(409,018)		(779,666)			Issued	(622,719)		(409,018)
		MPF Loans held in portfolio -						MPF Loans held in portfolio -
		Principal collected	2,532		2,939			Principal collected	1,034		2,532
		Purchases	(2,405)		(3,524)			Purchases	(1,296)		(2,405)
		Other investing activities	(11)		(26)			Other investing activities	(13)		(11)
		Net cash provided by (used in) investing activities	(1,656)		3,876			Net cash provided by (used in) investing activities	(16,577)		(1,656)
Financing	Financing	Net change deposits, (5) and 12 from other FHLBs	(184)		560		Financing	Net change deposits, 1 and (5) from other FHLBs	(359)		(184)

		Discount notes -						Discount notes -
		Net proceeds from issuance	356,860		579,170			Net proceeds from issuance	610,091		356,860
		Payments for maturing and retiring	(364,622)		(578,970)			Payments for maturing and retiring	(594,286)		(364,622)
		Consolidated obligation bonds -						Consolidated obligation bonds -
		Net proceeds from issuance	30,778		35,696			Net proceeds from issuance	17,287		30,778
		Payments for maturing and retiring	(24,164)		(38,377)			Payments for maturing and retiring	(18,109)		(24,164)

		Capital stock -						Capital stock -
		Proceeds from issuance	322		1,545			Proceeds from issuance	1,621		322
		Repurchases	(357)		(1,216)			Repurchases	(1,034)		(357)
		Cash dividends paid	(65)		(63)			Cash dividends paid	(75)		(65)
		Other financing activities	(36)		(25)			Other financing activities	(57)		(36)
		Net cash provided by (used in) financing activities	(1,468)		(1,680)			Net cash provided by (used in) financing activities	15,079		(1,468)
		Net increase (decrease) in cash and due from banks	(2,608)		1,165			Net increase (decrease) in cash and due from banks	—		(2,608)
		Cash and due from banks at beginning of period	3,541		29			Cash and due from banks at beginning of period	45		3,541
		Cash and due from banks at end of period	$	933	$	1,194		Cash and due from banks at end of period	$	45	$	933

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

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

(U.S. 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 ~~detailed~~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 condensed financial statements and the accompanying notes should be read in conjunction with the audited financial statements and footnotes for the year ended December 31, ~~2020,~~2021, included in our ~~2020~~2021 Annual Report on Form 10-K ~~(2020~~(2021 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~~

“Mortgage Partnership Finance”, “MPF”, “MPF Xtra”, "Downpayment Plus", "DPP", Downpayment Plus Advantage", "DPP Advantage", and "Community First" are federally registered trademarks of the Federal Home Loan Bank of Chicago. ~~See~~

Refer to the Glossary of Terms starting on page 6260 for the definitions of certain terms used herein.

Use of Estimates and Assumptions

We are required to make estimates and assumptions when preparing our condensed financial statements in accordance with GAAP. The most significant of these estimates and assumptions applies to fair value ~~measurements.~~measurements, which includes derivative instruments. Our actual results may differ from the results reported in our condensed financial statements due to such estimates and assumptions. This includes the reported amounts of assets and liabilities, the reported amounts of income and expense, and the disclosure of contingent assets and liabilities.

Basis of Presentation

The basis of presentation pertaining to the consolidation of our variable interest entities has not changed since we filed our ~~2020~~2021 Form 10-K. The basis of presentation pertaining to our gross versus net presentation of derivative financial instruments also has not changed since we filed our ~~2020~~2021 Form 10-K. Refer to Note 1- Background and Basis of Presentation to the financial statements in our ~~2020~~2021 Form 10-K with respect to our basis of presentation for consolidation of variable interest entities and our gross versus net presentation of financial instruments for further details.

Note 2 – Summary of Significant Accounting Policies

Our significant accounting policies adopted through December 31, ~~2020,~~2021, can be found in Note 2 – Summary of Significant Accounting Policies to the financial statements in our ~~2020~~2021 Form 10-K including details on ~~the~~any cumulative effect adjustments. We have not yet adopted any significant new policies in ~~2021.~~2022.

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

Note 3 – Recently Issued but Not Yet Adopted Accounting Standards

~~There were no recently~~During March 2022, the Financial Accounting Standards Board (FASB) issued ~~but not yet~~ASU 2022-01 Derivatives and Hedging (Topic 815): Fair Value Hedging—Portfolio Layer Method. This ASU broadens the availability of fair value hedging to non-prepayable and prepayable portfolios. The guidance on hedging multiple layers in a closed portfolio is applied prospectively. The guidance on the accounting for fair value basis adjustments is applied on a modified retrospective basis. Further, an entity may reclassify debt securities from held-to-maturity to available for sale if it includes them in a closed portfolio that is hedged under the portfolio layer method. This ASU is effective for the Bank starting January 1, 2023, with early adoption permitted. The Bank is in the process of evaluating the impact of adoption and implementation of this ASU.

Also during March 2022, the FASB issued ASU 2022-02 Financial Instruments - Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures to eliminate the recognition and measurement guidance for troubled debt restructurings for creditors that have adopted ~~accounting standards~~Current Expected Credit Losses (CECL) methodology. The ASU also requires enhanced disclosures about loan modifications for borrowers experiencing financial difficulty and requires the presentation of gross write-offs by year of origination. This ASU is effective starting January 1, 2023, with early adoption permitted. The Bank is evaluating the impact of adoption of this ASU, which ~~may have a material effect on our condensed financial statements.~~it expects to be immaterial.

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

(U.S. 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:~~indicated.


		Three months ended September 30,				Nine months ended September 30,						Three months ended September 30,						Nine months ended September 30,
		2021		2020		2021		2020			2022			2021			2022			2021
Interest income -	Interest income -									Interest income -

Trading	Trading	$	9	$	27	$	43	$	81	Trading		$	1		$	9		$	1		$	43

Available-for-sale interest income										Available-for-sale interest income		150			54			259			149
Available-for-sale prepayment fees										Available-for-sale prepayment fees		2			1			43			1
Available-for-sale										Available-for-sale		152			55			302			150

Available-for-sale		55		54		150		269
Held-to-maturity	Held-to-maturity	7		18		22		66		Held-to-maturity		10			7			24			22

Investment debt securities	Investment debt securities	71		99		215		416		Investment debt securities		163			71			327			215

Advances interest income	Advances interest income	61		87		192		455		Advances interest income		365			61			610			192
Advances prepayment fees	Advances prepayment fees	7		27		19		42		Advances prepayment fees		1			7			12			19
Advances	Advances	68		114		211		497		Advances		366			68			622			211

MPF Loans held in portfolio	MPF Loans held in portfolio	64		69		187		232		MPF Loans held in portfolio		73			64			207			187
Federal funds sold	Federal funds sold	2		1		4		28		Federal funds sold		48			2			65			4
Securities purchased under agreements to resell	Securities purchased under agreements to resell	1		1		2		13		Securities purchased under agreements to resell		21			1			28			2
Interest earning deposits										Interest earning deposits		16			—			21			1
Other	Other	—		1		4		11		Other		1			—			2			3

Interest income	Interest income	206		285		623		1,197		Interest income		688			206			1,272			623

Interest expense -	Interest expense -									Interest expense -

Consolidated obligations -	Consolidated obligations -									Consolidated obligations -
Discount notes	Discount notes	10		24		35		291		Discount notes		196			10			259			35
Bonds	Bonds	54		88		177		439		Bonds		341			54			544			177

Other	Other	3		4		9		14		Other		9			3			18			9

Interest expense	Interest expense	67		116		221		744		Interest expense		546			67			821			221

Net interest income	Net interest income	139		169		402		453		Net interest income		$	142		$	139		$	451		$	402

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Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

Note 5 – Investment Debt Securities

We classify debt securities as either trading, ~~Held-to-Maturity~~held-to-maturity (HTM), or ~~Available-for-Sale~~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 GSE; debt issued by the Tennessee Valley Authority; and securities guaranteed by the Small Business Administration.

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

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

•Government guaranteed ~~residential MBS.~~

•~~SOFR Structured Adjustable Rate Mortgage (SOFR SARM)~~ MBS.

•State or local housing agency obligations.

We have no allowance for credit losses on our investment debt securities and we have elected to exclude accrued interest receivable from the amortized cost in the following AFS and HTM tables. Prior to 2022, we included accrued interest in the carrying value of our AFS securities. See Note 8 - Allowance for Credit Losses for further details on these amounts.

Pledged Collateral

We disclose the amount of investment debt securities pledged as collateral pertaining to our derivatives activity on our Condensed Statements of Condition. See Note 9 - Derivatives and Hedging Activities for further details.

Trading Debt Securities

The following table presents the fair value of our trading debt ~~securities:~~securities.


As of	As of	September 30, 2021		December 31, 2020		As of	September 30, 2022		December 31, 2021
U.S. Government & other government related	U.S. Government & other government related	$	2,209	$	4,612	U.S. Government & other government related	$	199	$	948
Residential MBS
MBS						MBS
GSE	GSE	6		8		GSE	4		6
Government guaranteed		—		1

Trading debt securities	Trading debt securities	$	2,215	$	4,621	Trading debt securities	$	203	$	954

The following table presents our gains and losses on trading debt securities recorded in Noninterest ~~income~~Income - Other, ~~net:~~net.


		Three months ended September 30,				Nine months ended September 30,						Three months ended September 30,						Nine months ended September 30,
		2021		2020		2021		2020			2022			2021			2022			2021
Net unrealized gains (losses) on securities held at period end	Net unrealized gains (losses) on securities held at period end	$	—	$	(23)	$	(11)	$	18	Net unrealized gains (losses) on securities held at period end		$	3		$	—		$	1		$	(11)
Net realized gains (losses) on securities sold/matured during the period	Net realized gains (losses) on securities sold/matured during the period	(9)		—		(29)		21		Net realized gains (losses) on securities sold/matured during the period		—			(9)			—			(29)
Net gains (losses) on trading debt securities	Net gains (losses) on trading debt securities	$	(9)	$	(23)	$	(40)	$	39	Net gains (losses) on trading debt securities		$	3		$	(9)		$	1		$	(40)

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Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

Available-for-Sale Debt Securities (AFS)

The following table presents the amortized cost and fair value of our AFS debt ~~securities:~~securities.


		Amortized Cost Basis		a	Gross Unrealized Gains in AOCI		Gross Unrealized (Losses) in AOCI		Net Carrying Amount and Fair Value			Amortized Cost Basis		a	Gross Unrealized Gains in AOCI		Gross Unrealized (Losses) in AOCI		Net Carrying Amount and Fair Value
As of September 30, 2021
As of September 30, 2022											As of September 30, 2022
U.S. Government & other government related	U.S. Government & other government related	$	1,421		$	44	$	(9)	$	1,456	U.S. Government & other government related	$	1,925		$	—	$	(158)	$	1,767
State or local housing agency	State or local housing agency	8			1		—		9		State or local housing agency	9			—		(1)		8

FFELP ABS	FFELP ABS	2,704			158		—		2,862		FFELP ABS	2,381			82		(8)		2,455
Residential MBS
MBS											MBS
GSE	GSE	14,277			262		(16)		14,523		GSE	15,409			47		(130)		15,326
Government guaranteed	Government guaranteed	200			6		—		206		Government guaranteed	130			2		—		132

Available-for-sale debt securities	Available-for-sale debt securities	$	18,610		$	471	$	(25)	$	19,056	Available-for-sale debt securities	$	19,854		$	131	$	(297)	$	19,688

As of December 31, 2020
As of December 31, 2021											As of December 31, 2021
U.S. Government & other government related	U.S. Government & other government related	$	1,535		$	83	$	—	$	1,618	U.S. Government & other government related	$	4,659		$	34	$	(12)	$	4,681
State or local housing agency	State or local housing agency	14			1		—		15		State or local housing agency	8			1		—		9
FFELP ABS	FFELP ABS	2,922			121		(9)		3,034		FFELP ABS	2,642			130		—		2,772
Residential MBS
MBS											MBS
GSE	GSE	13,413			147		(59)		13,501		GSE	14,849			234		(26)		15,057
Government guaranteed	Government guaranteed	261			8		—		269		Government guaranteed	182			5		—		187
Available-for-sale debt securities	Available-for-sale debt securities	$	18,145		$	360	$	(68)	$	18,437	Available-for-sale debt securities	$	22,340		$	404	$	(38)	$	22,706

a Includes adjustments made to the cost basis of an investment for accretion, amortization, and fair value hedge accounting ~~adjustments, and~~adjustments. This also includes accrued interest receivable of ~~$49 million and $53~~$54 million at ~~September 30, 2021 and~~ December 31, ~~2020.~~2021.

We had ~~material~~no sales of AFS debt securities infor the ~~fourth quarter of 2020. See~~ ~~Note 2 - Summary of Significant Accounting Policies~~ ~~in our 2020 Form 10-K for details on the amounts and accounting policies related to these transactions.~~periods presented. Any gains or losses are determined on a specific identification basis.

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Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

Held-to-Maturity Debt Securities (HTM)

The following table presents the amortized cost, carrying amount, and fair value of our HTM debt ~~securities:~~securities.


		Amortized Cost and Net Carrying Amount		a	Gross Unrecognized Holding Gains		Fair Value			Amortized Cost and Net Carrying Amount		a	Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)		Fair Value
As of September 30, 2021
As of September 30, 2022									As of September 30, 2022
U.S. Government & other government related	U.S. Government & other government related	$	457		$	15	$	472	U.S. Government & other government related	$	376		$	—	$	(14)	$	362

Residential MBS
MBS									MBS
GSE	GSE	229			22		251		GSE	173			3		—		176
Government guaranteed	Government guaranteed	76			2		78		Government guaranteed	54			—		—		54
Other	Other	11			—		11		Other	8			—		(1)		7
Held-to-maturity debt securities	Held-to-maturity debt securities	$	773		$	39	$	812	Held-to-maturity debt securities	$	611		$	3	$	(15)	$	599

As of December 31, 2020
As of December 31, 2021									As of December 31, 2021
U.S. Government & other government related	U.S. Government & other government related	$	1,098		$	24	$	1,122	U.S. Government & other government related	$	1,506		$	11	$	—	$	1,517

Residential MBS
MBS									MBS
GSE	GSE	285			31		316		GSE	214			19		—		233
Government guaranteed	Government guaranteed	94			2		96		Government guaranteed	71			1		—		72
Other	Other	14			1		15		Other	10			—		—		10
Held-to-maturity debt securities	Held-to-maturity debt securities	$	1,491		$	58	$	1,549	Held-to-maturity debt securities	$	1,801		$	31	$	—	$	1,832

a Includes adjustments made to the cost basis of an investment for accretion, and/or amortization.

We had no sales of HTM debt securities infor the ~~fourth quarter of 2020. See~~ ~~Note 2 - Summary of Significant Accounting Policies~~ ~~in our 2020 Form 10-K for details on the amounts and accounting policies related to these transactions.~~periods presented. Any gains or losses are determined on a specific identification basis.

Contractual Maturity ~~Terms~~

The maturity of our AFS and HTM debt securities is detailed in the following ~~table:~~table. MBS and FFELP ABS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

Available-for-Sale Held-to-Maturity
As of September 30, 2021 Amortized Cost Basis Net Carrying Amount and Fair Value Amortized Cost and Net Carrying Amount Fair Value
Year of Maturity -
Due in one year or less $ — $ — $ 145 $ 145
Due after one year through five years 7 8 25 26
Due after five years through ten years 450 463 287 301
Due after ten years 972 994 — —
ABS and MBS without a single maturity date 17,181 17,591 316 340
Total debt securities $ 18,610 $ 19,056 $ 773 $ 812


	Available-for-Sale				Held-to-Maturity
As of September 30, 2022	Amortized Cost Basis		Net Carrying Amount and Fair Value		Amortized Cost and Net Carrying Amount		Fair Value
Non MBS and FFELP ABS Year of Maturity -
Due in one year or less	$	—	$	—	$	145	$	145
Due after one year through five years	694		685		26		24
Due after five years through ten years	390		347		205		193
Due after ten years	850		743		—		—

MBS and FFELP ABS	17,920		17,913		235		237
Total debt securities	$	19,854	$	19,688	$	611	$	599

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Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

~~Aging of~~AFS Securities in a Continuous Unrealized ~~Temporary Losses~~Loss Position

The following table presents unrealized ~~temporary~~ losses on our AFS portfolio for periods less than 12 months and for 12 months or more. ~~We recognized no credit~~These losses onare considered temporary as we expect to recover the entire amortized cost basis and neither intend to sell these ~~unrealized loss positions. Refer~~securities nor consider it more likely than not that we will be required to sell these securities before the ~~Credit Loss Analysis~~ ~~below.~~anticipated recovery of each security’s remaining amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category ~~were~~are less than $1 million, the losses are not reported.

Less than 12 Months 12 Months or More Total
Available-for-sale debt securities Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses)
As of September 30, 2021
U.S. Government & other government related $ 361 $ (9) $ — $ — $ 361 $ (9)
Residential MBS
GSE 887 (12) 55 (4) 942 (16)
Available-for-sale debt securities $ 1,248 $ (21) $ 55 $ (4) $ 1,303 $ (25)
As of December 31, 2020
U.S. Government & other government related $ — $ — $ 2 $ — $ 2 $ —
FFELP ABS 21 — 459 (9) 480 (9)
Residential MBS
GSE 102 (1) 6,327 (58) 6,429 (59)
Available-for-sale debt securities $ 123 $ (1) $ 6,788 $ (67) $ 6,911 $ (68)


	Less than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized (Losses)		Fair Value		Gross Unrealized (Losses)		Fair Value		Gross Unrealized (Losses)
Available-for-sale debt securities
As of September 30, 2022
U.S. Government & other government related	$	1,468	$	(97)	$	272	$	(61)	$	1,740	$	(158)
State or local housing agency	8		(1)		—		—		8		(1)
FFELP ABS	372		(8)		—		—		372		(8)
MBS
GSE	9,039		(94)		548		(36)		9,587		(130)
Government guaranteed	11		—		—		—		11		—
Available-for-sale debt securities	$	10,898	$	(200)	$	820	$	(97)	$	11,718	$	(297)

As of December 31, 2021
U.S. Government & other government related	$	3,764	$	(12)	$	—	$	—	$	3,764	$	(12)


MBS
GSE	1,549		(23)		54		(3)		1,603		(26)

Available-for-sale debt securities	$	5,313	$	(35)	$	54	$	(3)	$	5,367	$	(38)

Credit Loss Analysis

We recognized no credit losses on HTM or AFS debt securities for the periods presented. ~~We do not intend to sell AFS securities (although in October 2020 the Bank sold private label mortgage backed securities (PLMBS), as discussed in~~ ~~Note 2 – Summary of Significant Accounting Policies~~ of our 2020 Form 10-K), and we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost. We expect to recover the entire amortized cost on these securities.

~~Accretion on Prior Years' Other-Than-Temporary Impairment~~

Increases in cash flows expected to be collected and recognized into interest income on prior years' credit related other-than-temporary impairment (OTTI) charges on our AFS and HTM PLMBS were $6 million for the three months ended September 30, 2020 and $18 million for the nine months ended September 30, 2020. As discussed in ~~Note 2 – Summary of Significant Accounting Policies~~ ~~of our 2020 Form 10-K, we sold these PLMBS during October 2020.~~

1415

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Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

(U.S. 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 options.

We have no allowance for credit losses on our advances and we have elected to exclude accrued interest receivable from the amortized cost in the following tables. See Note 8 - Allowance for Credit Losses for further details on these amounts.

The following table presents ~~the remaining life of~~ our advances by ~~the advance’s~~terms of contractual maturity and the related weighted average contractual interest rate. For amortizing advances, ~~remaining~~contractual maturity is determined based on the advance’s amortization schedule. 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, 2021		Amount		Weighted Average Contractual Interest Rate
As of September 30, 2022						As of September 30, 2022	Par Value Amount			Weighted Average Contractual Interest Rate
Due in one year or less	Due in one year or less	$	14,232	0.45	%	Due in one year or less	$	26,192	a	2.92	%
One to two years	One to two years	5,728		0.77	%	One to two years	10,312		a	2.81	%
Two to three years	Two to three years	6,773		0.59	%	Two to three years	7,755		a	2.35	%
Three to four years	Three to four years	7,036		0.74	%	Three to four years	3,984			2.67	%
Four to five years	Four to five years	3,688		1.02	%	Four to five years	3,611			2.34	%
More than five years		8,094		1.76	%
Par value		$	45,551	0.84	%
Five to fifteen years						Five to fifteen years	8,492			2.18	%
More than fifteen years						More than fifteen years	510			5.13	%
Total						Total	$	60,856		2.69	%

a Of the advances due in one year or less, one to two years, and two to three years; $3.1 billion, $3.9 billion, and $4.0 billion, respectively, were issued to One Mortgage Partners Corp. (now JPMorgan Chase Bank NA), our former captive insurance company member, whose membership was terminated in 2021 in connection with an FHFA rule.

The following table reconciles the par value of our advances to the carrying amount on our Condensed Statements of Condition as of the dates ~~indicated:~~indicated.


As of	As of	September 30, 2021		December 31, 2020		As of	September 30, 2022		December 31, 2021
Par value	Par value	$	45,551	$	45,820	Par value	$	60,856	$	47,708
Fair value hedging adjustments	Fair value hedging adjustments	364		760		Fair value hedging adjustments	(1,215)		227
Other adjustments	Other adjustments	127		115		Other adjustments	26		114
Advances	Advances	$	46,042	$	46,695	Advances	$	59,667	$	48,049

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

As of September 30, 2021 Par Value % of Total Outstanding
One Mortgage Partners Corp. $ 11,000 a 24.1 %
The Northern Trust Company 5,505 12.1 %


As of September 30, 2022	Par Value			% of Total Outstanding
JPMorgan Chase Bank NA	$	11,000	a	18.1	%
The Northern Trust Company	7,000			11.5	%

a ~~One Mortgage Partners Corp. (OMP) is a subsidiary of JPMorgan Chase Bank NA.~~ Effective February 19, 2021, we terminated ~~OMP’s~~One Mortgage Partners Corp.'s (OMP) membership in connection with the FHFA rule that made captive insurance companies ineligible for FHLB membership. In December 2021, OMP merged with and into its parent company, JPMorgan Chase Bank NA (JPM). For details on the contractual maturity terms of JPM’s advances, see the table above presenting advances by terms of contractual maturity.

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Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

Note 7 – MPF Loans Held in Portfolio

We acquire MPF Loans from ~~a Participating Financial Institution (PFI)~~PFIs to hold in our portfolio and historically 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 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. We have an allowance for credit losses on our MPF Loans and we have elected to exclude accrued interest receivable from the amortized cost in the following tables. See Note 8 - Allowance for Credit Losses for further details on these amounts.


As of	As of	September 30, 2021		December 31, 2020		As of	September 30, 2022		December 31, 2021
Medium term (15 years or less)	Medium term (15 years or less)	$	1,647	$	1,403	Medium term (15 years or less)	$	1,557	$	1,653
Long term (greater than 15 years)	Long term (greater than 15 years)	8,035		8,453		Long term (greater than 15 years)	8,373		8,031
Unpaid principal balance	Unpaid principal balance	9,682		9,856		Unpaid principal balance	9,930		9,684
Net premiums, credit enhancement, and/or deferred loan fees	Net premiums, credit enhancement, and/or deferred loan fees	175		177		Net premiums, credit enhancement, and/or deferred loan fees	164		174
Fair value hedging and delivery commitment basis adjustments	Fair value hedging and delivery commitment basis adjustments	(8)		8		Fair value hedging and delivery commitment basis adjustments	(18)		(10)
MPF Loans held in portfolio, before allowance for credit losses	MPF Loans held in portfolio, before allowance for credit losses	9,849		10,041		MPF Loans held in portfolio, before allowance for credit losses	10,076		9,848
Allowance for credit losses on MPF Loans	Allowance for credit losses on MPF Loans	(3)		(3)		Allowance for credit losses on MPF Loans	(5)		(5)
MPF Loans held in portfolio, net	MPF Loans held in portfolio, net	$	9,846	$	10,038	MPF Loans held in portfolio, net	$	10,071	$	9,843

Conventional mortgage loans	Conventional mortgage loans	$	8,834	$	8,979	Conventional mortgage loans	$	9,118	$	8,845
Government Loans	Government Loans	848		877		Government Loans	812		839
Unpaid principal balance	Unpaid principal balance	$	9,682	$	9,856	Unpaid principal balance	$	9,930	$	9,684

The above table excludes MPF Loans acquired under the MPF Xtra® and MPF Government MBS products. See Note 2 - Summary of Significant Accounting Policies in our ~~2020~~2021 Form 10-K for information related to the accounting treatment of these off-balance sheet MPF Loan products.

Coronavirus Disease 2019 (COVID-19) Forbearance

Section 4013 of the Coronavirus Aid, Relief and Economic Security Act (the ~~“CARES Act”) provides~~CARES Act) provided temporary relief from the accounting and reporting requirements for troubled debt restructurings (TDRs) for certain loan modifications related to COVID-19. Specifically, the CARES Act ~~provides~~provided that a qualifying financial institution may elect to suspend (1) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as a TDR, and (2) any determination that such loan modifications would be considered a TDR, including the related impairment for accounting purposes. Section 4013 of the CARES Act ~~applies~~applied to any modification related to an economic hardship as a result of the COVID-19 pandemic, including a forbearance arrangement, an interest rate modification, a repayment plan, or any similar arrangement that defers or delays payment of principal or interest, that occurs during the period beginning on March 1, 2020 and ending on the earlier of December 31, 2020 or the date that is 60 days after the declaration of the national emergency related to the COVID-19 pandemic ends for a loan that was not more than 30 days past due as of December 31, 2019. On December 27, 2020, the Consolidated Appropriations Act, 2021, was signed into law, extending the applicable end period to the earlier of January 1, 2022, or 60 days following the termination of the national emergency related to the COVID-19 pandemic. We haveinterest. Although we elected to suspend TDR accounting for eligible modifications under Section 4013 of the CARES ~~Act. Such modifications to loans outstanding as~~Act for the period beginning March 1, 2020, we resumed TDR accounting when this section of ~~September 30, 2021 were $19 million.~~the CARES Act expired on January 1, 2022.

Our servicers may grant a forbearance period to borrowers who have requested forbearance based on COVID-19 related difficulties regardless of the status of the loan at the time of the request. We continue to apply our accounting policy for past due loans and charge-offs to loans during the forbearance period whether it is formal or informal. A charge-off is not recognized when there is a presumption that we will collect the full contractual balance of the loan even if it is 180 days past due. The accrual status for loans under forbearance will be driven by the past due status of the loan as the legal terms of the contractual arrangement have not been modified.

As of September 30, 2021, there were $85 million in unpaid principal balance (UPB) of conventional loans in a forbearance plan as a result of COVID-19. Of these conventional loans in forbearance, $4 million in UPB had a current payment status, $8 million were 30 to 59 days past due, $4 million were 60 to 89 days past due, and $69 million were more than 90 days past due and in nonaccrual payment status. These loans represent 1% of our MPF Loans held in portfolio at September 30, 2021.

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Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

(U.S. 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 ~~2020~~2021 Form 10-K for further details regarding our accounting policies pertaining to allowances for credit losses.

Our allowances for credit losses are immaterial due to the nature of our credit enhancements, collateral support, and/or credit worthiness of our counterparties. See Note 8 - Allowance for Credit Losses to the financial statements in our ~~2020~~2021 Form 10-K for more information.

Allowance for Credit Losses on MPF Loans

The following table presents the activity in our allowance for credit losses for MPF ~~Loans:~~Loans.


		Three months ended September 30,				Nine months ended September 30,							Three months ended September 30,						Nine months ended September 30,
For the periods ending	For the periods ending	2021		2020		2021		2020		For the periods ending		2022			2021			2022			2021

Allowance for MPF credit losses beginning balance	Allowance for MPF credit losses beginning balance	$	3	4		$	3	1			Allowance for MPF credit losses beginning balance		$	5		$	3		$	5		$	3
MPF credit losses charged-off	MPF credit losses charged-off	—		��		(2)		(3)			MPF credit losses charged-off		(1)			—			(2)			(2)
Credit loss recovery	Credit loss recovery	—		—		1		—			Credit loss recovery		—			—			—			1
Provision for (reversal of) MPF for credit losses	Provision for (reversal of) MPF for credit losses	—		—		1		6			Provision for (reversal of) MPF for credit losses		1			—			2			1
Allowance for MPF credit losses ending balances		$	3	$	4	$	3	$	4
Allowance for MPF credit losses ending balance											Allowance for MPF credit losses ending balance		$	5		$	3		$	5		$	3

Allowance for Credit Losses on Community First® Fund (the Fund)

As of September 30, ~~2021~~2022, we had ~~$45~~$47 million in Fund loans outstanding ~~unchanged from~~compared to $45 million at December 31, ~~2020,~~2021, recorded in Other assets in our Condensed Statements of Condition.

~~Under the “current expected credit losses” methodology (CECL), on January 1, 2020, we recorded a $7 million allowance for credit losses on a basis of expected losses over the life of the loans.~~ As of September 30, ~~2021,~~2022, all Fund loans were current.

The following table details our allowance for credit losses on Fund loans. ~~As we had not incurred any credit losses under the pre-CECL accounting standard, we had no allowance prior to 2020.~~


		Three months ended September 30,				Nine months ended September 30,							Three months ended September 30,						Nine months ended September 30,
For the periods ending	For the periods ending	2021		2020		2021		2020		For the periods ending		2022			2021			2022			2021
Allowance for Fund loan credit losses beginning balance	Allowance for Fund loan credit losses beginning balance	$	7	$	7	$	7	$	—		Allowance for Fund loan credit losses beginning balance		$	7		$	7		$	7		$	7
Adjustment for cumulative effect of accounting change		—		—		—		7
Fund loan credit losses charged off net of recoveries		—		—		—		—

Provision for (reversal of) Fund loan for credit losses	Provision for (reversal of) Fund loan for credit losses	(1)		—		(1)		—			Provision for (reversal of) Fund loan for credit losses		—			(1)			—			(1)
Other	Other	1		—		1		—			Other		—			1			—			1
Allowance for Fund loan credit losses ending balances		$	7	$	7	$	7	$	7
Allowance for Fund loan credit losses ending balance											Allowance for Fund loan credit losses ending balance		$	7		$	7		$	7		$	7

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Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

The following tables summarize our conventional MPF Loans by our key credit quality indicators. ~~See~~ ~~Coronavirus Disease 2019 (COVID-19) Forbearance~~ in ~~Note 7 – MPF Loans Held in Portfolio~~ ~~for more information on how the forbearance impacts the accounting for the below credit quality indicators.~~


		September 30, 2021						December 31, 2020
As of														As of	September 30, 2022						December 31, 2021
		Conventional MPF Amortized Cost by Origination Year						Conventional MPF Amortized Cost by Origination Year							Conventional MPF Amortized Cost by Origination Year						Conventional MPF Amortized Cost by Origination Year
		2017 to 2021		Prior to 2017		Total		2016 to 2020		Prior to 2016		Total			2018 to 2022		Prior to 2018		Total		2017 to 2021		Prior to 2017		Total
Past due 30-59 days	Past due 30-59 days	$	26	$	20	$	46	$	47	$	23	$	70	Past due 30-59 days	$	41	$	20	$	61	$	23	$	18	$	41
Past due 60-89 days	Past due 60-89 days	5		6		11		17		9		26		Past due 60-89 days	5		5		10		8		6		14
Past due 90 days or more	Past due 90 days or more	56		34		90		121		38		159		Past due 90 days or more	18		21		39		43		30		73
Past due	Past due	87		60		147		185		70		255		Past due	64		46		110		74		54		128
Current	Current	7,764		1,079		8,843		7,984		912		8,896		Current	8,101		1,044		9,145		7,883		987		8,870
Total		$	7,851	$	1,139	$	8,990	$	8,169	$	982	$	9,151
Total outstanding														Total outstanding	$	8,165	$	1,090	$	9,255	$	7,957	$	1,041	$	8,998


As of																				As of	September 30, 2022									December 31, 2021
																					Amortized Cost									Amortized Cost
		September 30, 2021									December 31, 2020										Conventional			Government			Total			Conventional			Government			Total
		Amortized Cost									Amortized Cost
As of		Conventional			Government			Total			Conventional			Government			Total
In process of foreclosure	In process of foreclosure	$	7		$	2		$	9		$	13		$	5		$	18		In process of foreclosure	$	21		$	5		$	26		$	6		$	3		$	9
Serious delinquency rate	Serious delinquency rate	1.02		%	2.79		%	1.17		%	1.78		%	4.22		%	2.00		%	Serious delinquency rate	0.46		%	1.85		%	0.58		%	0.82		%	2.33		%	0.95		%
Past due 90 days or more and still accruing interest	Past due 90 days or more and still accruing interest	$	35		$	24		$	59		$	48		$	17		$	65		Past due 90 days or more and still accruing interest	$	4		$	14		$	18		$	30		$	19		$	49
Loans on nonaccrual status	Loans on nonaccrual status	60			—			60			120			—			120			Loans on nonaccrual status	42			—			42			47			—			47
Loans on nonaccrual status with no allowance for credit losses	Loans on nonaccrual status with no allowance for credit losses	13			—			13			21			—			21			Loans on nonaccrual status with no allowance for credit losses	15			—			15			11			—			11

Accrued interest receivable

We present accrued interest receivable separately for loans and AFS/HTM debt ~~securities, which are carried at amortized cost.~~securities. We do not measure an allowance for credit losses on loan related accrued interest receivables as we reverse accrued interest on a monthly basis inwhen the ~~event of an interest shortfall.~~loan is placed on nonaccrual status.

The following table summarizes our accrued interest receivable by portfolio ~~segment:~~segment.


Financial instrument type	Financial instrument type	September 30, 2021		December 31, 2020		Financial instrument type	September 30, 2022		December 31, 2021
MPF Loans held in portfolio	MPF Loans held in portfolio	$	44	$	48	MPF Loans held in portfolio	$	47	$	45
HTM securities	HTM securities	4		5		HTM securities	3		4

AFS securities						AFS securities	67		—
Interest bearing deposits						Interest bearing deposits	3		—
Federal funds sold						Federal funds sold	1		—
Securities purchased under agreements to resell						Securities purchased under agreements to resell	1		—
Advances	Advances	32		37		Advances	114		34

Accrued interest receivable	Accrued interest receivable	$	80	$	90	Accrued interest receivable	$	236	$	83

The above table excludes accrued interest of ~~$49 million and $53~~$54 million on AFS ~~securities. We elected under GAAP~~securities at December 31, 2021. Prior to ~~include~~2022, we included accrued interest in the carrying value of our AFS securities. See Note 5 - Investment Debt Securities for 2021 AFS carrying values.

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Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

(U.S. 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 ~~2020~~2021 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. We are not a derivatives dealer and do not trade derivatives for speculative purposes. We enter into derivative transactions through either of the following:

•A bilateral agreement with an individual counterparty for over-the-counter derivative transactions.

•Clearinghouses classified as Derivatives Clearing Organizations (DCOs) through Futures Commission Merchants (FCMs), which are clearing members of the DCOs, for cleared derivative transactions.

Managing Interest Rate Risk

We use fair value hedges to manage our exposure to changes in the fair value of (1) a recognized asset or liability or (2) an unrecognized firm commitment, attributable to changes in a benchmark interest rate, such as SOFR. Our cash flow hedge strategy is to hedge the variability in the total proceeds received from rolling forecasted zero-coupon discount note issuance, attributable to changes in the benchmark interest rate, by entering into pay-fixed interest rate swaps. We are not using the cash flow hedge strategy for new transactions at this time, as we used LIBOR as the benchmark interest rate for cash flow hedges and we are not entering into new LIBOR-linked transactions.

We may elect the fair value option for financial instruments, such as advances, MPF Loans held for sale, and consolidated obligation discount notes and bonds, in cases where hedge accounting treatment may not be achieved due to the inability to meet the hedge effectiveness testing criteria, or in certain cases where we wish to mitigate the risk associated with selecting the fair value option for other instruments. We may also use economic hedges when hedge accounting is not permitted or hedge effectiveness is not achievable.

Managing Credit Risk on Derivative Agreements

Over-the-counter (bilateral) Derivative Transactions: 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 over-the-counter derivatives. Additionally, collateral related to over-the-counter derivatives with member institutions includes collateral assigned to us, as evidenced by a written security agreement, and which may be held by the member institution for our benefit. As of September 30, ~~2021,~~2022, based on credit analyses and collateral requirements, we have not recorded a credit loss on our over-the-counter derivative agreements. See Note 15 - Fair Value in our ~~2020~~2021 Form 10-K for discussion regarding our fair value methodology for over-the-counter derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk.

For nearly all of our bilateral derivative transactions executed prior to March 1, 2017, and for all transactions entered into on or after March 1, 2017, our bilateral derivative agreements are fully collateralized with a zero unsecured threshold in accordance with variation margin requirements issued by the U.S. federal bank regulatory agencies and the Commodity Futures Trading Commission (CFTC). We pledged no investment securities on our bilateral derivative transactions (that can be sold or repledged by our counterparty) as of September 30, ~~2021.~~2022.

For certain transactions executed prior to March 1, 2017, we may be required to post net additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating had been lowered from its current rating to the next lower rating by a major credit rating agency, such as Standard and Poor's or Moody’s, the amount of collateral we would have been required to deliver would have been ~~$4 million~~immaterial at September 30, ~~2021.~~2022.

Cleared Derivative Transactions: Cleared derivative transactions are subject to variation and initial margin requirements established by the DCO and its clearing members. Variation margin payments are characterized as settlement of a derivative’s mark-to-market exposure and not as collateral against the derivative’s mark-to-market exposure. See Note 1 - Background and Basis of Presentation and Note 2 - Summary of Significant Accounting Policies to the financial statements in our ~~2020~~2021 Form 10-K for further discussion. We post our initial margin collateral payments and make variation margin settlement payments

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

through our FCMs, on behalf of the DCO, which could expose us to institutional credit risk in the event that the FCMs or the DCO fail to meet their obligations. Clearing derivatives through a DCO mitigates counterparty credit risk exposure because the DCO

~~Table of Contents~~

~~Federal Home Loan Bank of Chicago~~

~~Notes to Condensed Financial Statements - (Unaudited)~~

~~(U.S. Dollars in tables in millions except per share amounts unless otherwise indicated)~~

is substituted for individual counterparties and variation margin settlement payments are made daily through the FCMs for changes in the value of cleared derivatives. The DCO determines initial margin requirements for cleared derivatives. We pledged ~~$547~~$654 million of investment securities (that can be sold or repledged) as part of our initial margin related to cleared derivative transactions at September 30, ~~2021.~~2022. Additionally, an FCM may require additional initial margin to be posted based on credit considerations, including but not limited to, if our credit rating downgrades. We had no requirement to post additional initial margin by our FCMs at September 30, ~~2021.~~2022.

The following table presents details on the notional amounts, and cleared and bilateral derivative assets and liabilities on our Condensed Statements of Condition. The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable.


		September 30, 2021						December 31, 2020
As of	As of	Notional Amount		Derivative Assets		Derivative Liabilities		Notional Amount		Derivative Assets		Derivative Liabilities		As of	September 30, 2022						December 31, 2021
															Notional Amount		Derivative Assets		Derivative Liabilities		Notional Amount		Derivative Assets		Derivative Liabilities
Derivatives in hedge accounting relationships-	Derivatives in hedge accounting relationships-													Derivatives in hedge accounting relationships-
Interest rate contracts	Interest rate contracts	$	53,876	$	58	$	479	$	39,493	$	65	$	729	Interest rate contracts	$	87,107	$	1,046	$	2,858	$	70,321	$	58	$	466
Derivatives not in hedge accounting relationships-	Derivatives not in hedge accounting relationships-													Derivatives not in hedge accounting relationships-
Interest rate contracts	Interest rate contracts	3,753		20		75		11,265		46		141		Interest rate contracts	3,512		18		29		2,772		10		59
Mortgage delivery commitments	Mortgage delivery commitments	948		2		3		2,831		5		7		Mortgage delivery commitments	290		1		4		625		2		2
Other	Other	194		1		—		257		—		1		Other	118		3		—		148		—		—
Derivatives not in hedge accounting relationships	Derivatives not in hedge accounting relationships	4,895		23		78		14,353		51		149		Derivatives not in hedge accounting relationships	3,920		22		33		3,545		12		61
Gross derivative amount before netting adjustments and cash collateral	Gross derivative amount before netting adjustments and cash collateral	$	58,771	81		557		$	53,846	$	116	878		Gross derivative amount before netting adjustments and cash collateral	$	91,027	1,068		2,891		$	73,866	70		527
Netting adjustments and cash collateral	Netting adjustments and cash collateral			(75)		(495)				(111)		(187)		Netting adjustments and cash collateral			(1,033)		(2,867)				(56)		(495)
Derivatives on Condensed Statements of Condition	Derivatives on Condensed Statements of Condition			$	6	$	62			$	5	$	691	Derivatives on Condensed Statements of Condition			$	35	$	24			$	14	$	32
		Cash Collateral						Cash Collateral							Cash Collateral						Cash Collateral
Cash collateral posted and related accrued interest	Cash collateral posted and related accrued interest	$	430					$	84					Cash collateral posted and related accrued interest	$	2,182					$	447
Cash collateral received and related accrued interest	Cash collateral received and related accrued interest	10						8						Cash collateral received and related accrued interest	350						8

The following table presents the noninterest income - derivatives and economic hedging activities as presented in the Condensed Statements of ~~Income:~~Income.


		Three months ended September 30,				Nine months ended September 30,							Three months ended September 30,						Nine months ended September 30,
For the periods ending	For the periods ending	2021		2020		2021		2020		For the periods ending		2022			2021			2022			2021
Economic hedges -	Economic hedges -										Economic hedges -
Interest rate contracts	Interest rate contracts	$	2	4		$	18	(155)			Interest rate contracts		$	23		$	2		$	65		$	18
Mortgage delivery commitments	Mortgage delivery commitments	(2)		—		(14)		—			Mortgage delivery commitments		(3)			(2)			(11)			(14)
Other	Other	1		(1)		4		(5)			Other		5			1			18			4
Economic hedges	Economic hedges	1		3		8		(160)			Economic hedges		25			1			72			8
Variation margin on daily settled cleared derivatives	Variation margin on daily settled cleared derivatives	—		—		—		4			Variation margin on daily settled cleared derivatives		(6)			—			(7)			—
Noninterest income - Derivatives and hedging activities	Noninterest income - Derivatives and hedging activities	$	1	$	3	$	8	$	(156)		Noninterest income - Derivatives and hedging activities		$	19		$	1		$	65		$	8

2021

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

The following tables present details regarding the offsetting of our cleared and bilateral derivatives on our Condensed Statements of Condition. The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable.


		Derivative Assets
		As of September 30, 2021						As of December 31, 2020							Derivative Assets
		Bilateral		Cleared		Total		Bilateral		Cleared		Total			As of September 30, 2022						As of December 31, 2021
															Bilateral		Cleared		Total		Bilateral		Cleared		Total
Derivatives with legal right of offset -	Derivatives with legal right of offset -													Derivatives with legal right of offset -
Gross recognized amount	Gross recognized amount	$	62	$	17	$	79	$	60	$	51	$	111	Gross recognized amount	$	1,002	$	65	$	1,067	$	61	$	7	$	68

Netting adjustments and cash collateral	Netting adjustments and cash collateral	(58)		(17)		(75)		(60)		(51)		(111)		Netting adjustments and cash collateral	(968)		(65)		(1,033)		(49)		(7)		(56)
Derivatives with legal right of offset - net	Derivatives with legal right of offset - net	4		—		4		—		—		—		Derivatives with legal right of offset - net	34		—		34		12		—		12
Derivatives without legal right of offset	Derivatives without legal right of offset	2		—		2		5		—		5		Derivatives without legal right of offset	1		—		1		2		—		2
Derivatives on Condensed Statements of Condition	Derivatives on Condensed Statements of Condition	6		—		6		5		—		5		Derivatives on Condensed Statements of Condition	35		—		35		14		—		14

Net amount	Net amount	$	6	$	—	$	6	$	5	$	—	$	5	Net amount	$	35	$	—	$	35	$	14	$	—	$	14


		Derivative Liabilities
		As of September 30, 2021						As of December 31, 2020							Derivative Liabilities
		Bilateral		Cleared		Total		Bilateral		Cleared		Total			As of September 30, 2022						As of December 31, 2021
															Bilateral		Cleared		Total		Bilateral		Cleared		Total
Derivatives with legal right of offset -	Derivatives with legal right of offset -													Derivatives with legal right of offset -
Gross recognized amount	Gross recognized amount	$	493	$	61	$	554	$	812	$	59	$	871	Gross recognized amount	$	2,800	$	87	$	2,887	$	495	$	30	$	525

Netting adjustments and cash collateral	Netting adjustments and cash collateral	(477)		(18)		(495)		(136)		(51)		(187)		Netting adjustments and cash collateral	(2,800)		(67)		(2,867)		(487)		(8)		(495)
Derivatives with legal right of offset - net	Derivatives with legal right of offset - net	16		43		59		676		8		684		Derivatives with legal right of offset - net	—		20		20		8		22		30
Derivatives without legal right of offset	Derivatives without legal right of offset	3		—		3		7		—		7		Derivatives without legal right of offset	4		—		4		2		—		2
Derivatives on Condensed Statements of Condition	Derivatives on Condensed Statements of Condition	19		43		62		683		8		691		Derivatives on Condensed Statements of Condition	4		20		24		10		22		32
Less:														Less:

Less: Noncash collateral received or pledged and cannot be sold or repledged		—		43		43		668		8		676
Noncash collateral received or pledged and cannot be sold or repledged														Noncash collateral received or pledged and cannot be sold or repledged	—		20		20		—		22		22
Net amount	Net amount	$	19	$	—	$	19	$	15	$	—	$	15	Net amount	$	4	$	—	$	4	$	10	$	—	$	10

At September 30, 2022 and December 31, 2021, we had ~~$505~~$633 million and $622 million of additional credit exposure ~~on cleared derivatives~~ due to pledging of noncash collateral to our ~~DCOs (for initial margin),~~counterparties, which exceeded our ~~cleared~~ net derivative liability position. We had no additional credit exposure on bilateral derivatives, which exceeded our bilateral net derivative liability position. At December 31, 2020, we had $615 million of comparable exposure on ourposition for combined cleared ~~derivatives~~ and ~~$1 million on our~~ bilateral derivatives.

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Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

(U.S. 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 net gain or loss on hedged firm commitments that no longer qualified as a fair value hedge. Changes in fair value of the derivative and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. Gains (losses) on derivatives include unrealized changes in fair value, as well as net interest settlements. The line for Other relates to discontinued closed fair value hedges on MPF Loans held for portfolio that are being amortized over the remaining life of the ~~loans, as~~loans. As of September 30, 2022 we did not have any active fair value hedges on our MPF ~~Loans as of September 30, 2021.~~Loans.


		Three months ended September 30, 2021						Three months ended September 30, 2020							Three months ended September 30, 2022						Three months ended September 30, 2021
		Gain (Loss) on Derivative		Gain (Loss) on Hedged Item		Amount Recorded in Net Interest Income		Gain (Loss) on Derivative		Gain (Loss) on Hedged Item		Amount Recorded in Net Interest Income			Gain (Loss) on Derivative		Gain (Loss) on Hedged Item		Amount Recorded in Net Interest Income		Gain (Loss) on Derivative		Gain (Loss) on Hedged Item		Amount Recorded in Net Interest Income
Available-for-sale debt securities	Available-for-sale debt securities	$	71	$	(137)	$	(66)	$	84	$	(154)	$	(70)	Available-for-sale debt securities	$	831	$	(832)	$	(1)	$	71	$	(137)	$	(66)
Advances	Advances	21		(98)		(77)		59		(194)		(135)		Advances	479		(452)		27		21		(98)		(77)
Consolidated obligation bonds	Consolidated obligation bonds	(6)		64		58		(6)		49		43		Consolidated obligation bonds	(1,127)		1,032		(95)		(6)		64		58
Other		—		—		—		—		(1)		(1)

Total	Total	$	86	$	(171)	$	(85)	$	137	$	(300)	$	(163)	Total	$	183	$	(252)	$	(69)	$	86	$	(171)	$	(85)

		Nine months ended September 30, 2021						Nine months ended September 30, 2020							Nine months ended September 30, 2022						Nine months ended September 30, 2021
		Gain (Loss) on Derivative		Gain (Loss) on Hedged Item		Amount Recorded in Net Interest Income		Gain (Loss) on Derivative		Gain (Loss) on Hedged Item		Amount Recorded in Net Interest Income			Gain (Loss) on Derivative		Gain (Loss) on Hedged Item		Amount Recorded in Net Interest Income		Gain (Loss) on Derivative		Gain (Loss) on Hedged Item		Amount Recorded in Net Interest Income
Available-for-sale debt securities	Available-for-sale debt securities	$	452	$	(658)	$	(206)	$	(1,254)	$	1,145	$	(109)	Available-for-sale debt securities	$	2,303	$	(2,443)	$	(140)	$	452	$	(658)	$	(206)
Advances	Advances	233		(396)		(163)		(734)		559		(175)		Advances	1,457		(1,442)		15		233		(396)		(163)
Consolidated obligation bonds	Consolidated obligation bonds	(76)		240		164		277		(191)		86		Consolidated obligation bonds	(2,945)		2,999		54		(76)		240		164
Other	Other	—		(1)		(1)		—		(1)		(1)		Other	—		—		—		—		(1)		(1)
Total	Total	$	609	$	(815)	$	(206)	$	(1,711)	$	1,512	$	(199)	Total	$	815	$	(886)	$	(71)	$	609	$	(815)	$	(206)

The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items. The line for Other relates to discontinued closed fair value hedges on MPF Loans held for portfolio that are being amortized over the remaining life of the loans, as we did not have any active fair value hedges on our MPF Loans as of September 30, 2021.


As of September 30, 2021		Amortized cost of hedged asset/liability		Basis adjustments active hedges included in amortized cost		Basis adjustments discontinued hedges included in amortized cost		Total amount of fair value hedging basis adjustments
As of September 30, 2022										As of September 30, 2022	Amortized cost of hedged asset/liability		Basis adjustments active hedges included in amortized cost		Basis adjustments discontinued hedges included in amortized cost		Total amount of fair value hedging basis adjustments
Available-for-sale securities	Available-for-sale securities	$	13,845	$	699	$	156	$	855	Available-for-sale securities	$	15,717	$	(2,053)	$	367	$	(1,686)
Advances	Advances	17,578		362		2		364		Advances	17,781		(1,216)		2		(1,214)
Consolidated obligation bonds	Consolidated obligation bonds	22,713		(23)		(17)		(40)		Consolidated obligation bonds	46,242		(3,194)		(12)		(3,206)
Other	Other	284		—		7		7		Other	222		—		5		5

As of December 31, 2021										As of December 31, 2021
Available-for-sale securities										Available-for-sale securities	$	14,412	$	335	$	421	$	756
Advances										Advances	19,720		225		2		227
Consolidated obligation bonds										Consolidated obligation bonds	36,335		(192)		(16)		(208)
Other										Other	265		—		6		6

2223

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

Cash Flow Hedges

For cash flow hedges the entire change in the fair value of the hedging instrument is recorded in AOCI and reclassified into earnings (net interest income) as the hedged item affects earnings. Hedge effectiveness testing is performed to determine whether hedge accounting is qualified.

We are exposed to the variability in the total net proceeds received from forecasted zero-coupon discount note issuances, which is attributable to changes in the benchmark interest rate. As a result, we enter into cash flow hedge relationships utilizing derivative agreements to hedge the total net proceeds received from our "rolling" forecasted zero-coupon discount note issuances attributable to changes in the benchmark interest rate. The maximum length of time over which we are hedging this exposure is 98 years. We reclassify amounts in AOCI into our Condensed Statements of Income in the same periods during which the hedged forecasted transaction affects our earnings. We had no discontinued cash flow hedges for the periods presented. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were ~~$21 million~~immaterial as of September 30, ~~2021.~~2022. We are not using the cash flow hedge strategy for new transactions at this time, as we used LIBOR as the benchmark interest rate for cash flow hedges and we are not entering into new LIBOR-linked transactions.

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 Condensed Statements of Income. In this regard, the Amount Reclassified from AOCI into Net Interest Income column below 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 initially recorded in AOCI and are reclassified to the interest income/expense line item of the respective hedged item type.


		Three months ended September 30, 2021				Three months ended September 30, 2020					Three months ended September 30, 2022				Three months ended September 30, 2021
		Gross Amount Initially Recognized in AOCI		Amount Reclassified from AOCI into Net Interest Income		Gross Amount Initially Recognized in AOCI		Amount Reclassified from AOCI into Net Interest Income			Gross Amount Initially Recognized in AOCI		Amount Reclassified from AOCI into Net Interest Income		Gross Amount Initially Recognized in AOCI		Amount Reclassified from AOCI into Net Interest Income

Discount notes	Discount notes	$	2	$	(5)	$	2	$	(7)	Discount notes	$	36	$	2	$	2	$	(5)

Total										Total	$	36	$	2	$	2	$	(5)

		Nine months ended September 30, 2021				Nine months ended September 30, 2020					Nine months ended September 30, 2022				Nine months ended September 30, 2021
		Gross Amount Initially Recognized in AOCI		Amount Reclassified from AOCI into Net Interest Income		Gross Amount Initially Recognized in AOCI		Amount Reclassified from AOCI into Net Interest Income			Gross Amount Initially Recognized in AOCI		Amount Reclassified from AOCI into Net Interest Income		Gross Amount Initially Recognized in AOCI		Amount Reclassified from AOCI into Net Interest Income

Discount notes	Discount notes	$	25	$	(13)	$	(56)	$	(16)	Discount notes	$	110	$	(4)	$	25	$	(13)
Bonds	Bonds	—		(1)		—		(1)		Bonds	—		(1)		—		(1)
Total	Total	$	25	$	(14)	$	(56)	$	(17)	Total	$	110	$	(5)	$	25	$	(14)

2324

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Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

(U.S. 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 obligation 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 discount notes for which we are the primary obligor. All are due in one year or less.


As of	As of	September 30, 2021			December 31, 2020			As of	September 30, 2022			December 31, 2021
Consolidated obligation discount notes - carrying amount	Consolidated obligation discount notes - carrying amount	$	40,878		$	48,643		Consolidated obligation discount notes - carrying amount	$	40,468		$	24,563
Consolidated obligation discount notes - par amount		40,880			48,654
Consolidated obligation discount notes - principal amount								Consolidated obligation discount notes - principal amount	40,609			24,565
Weighted Average Interest Rate	Weighted Average Interest Rate	0.04		%	0.10		%	Weighted Average Interest Rate	2.76		%	0.05		%

The following table presents the remaining life of our consolidated obligation bonds by ~~the bond’s~~ contractual maturity and the related weighted average interest rate, 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, 2021		Contractual Maturity		Weighted Average Interest Rate		By Maturity or Next Call Date
As of September 30, 2022								As of September 30, 2022	Contractual Maturity		Weighted Average Interest Rate		By Maturity or Next Call Date
Due in one year or less	Due in one year or less	$	16,933	0.67	%	$	38,382	Due in one year or less	$	12,615	2.10	%	$	52,182
One to two years	One to two years	9,479		0.81	%	7,582		One to two years	9,516		1.24	%	3,792
Two to three years	Two to three years	2,941		0.70	%	1,195		Two to three years	11,141		1.57	%	2,932
Three to four years	Three to four years	2,353		0.97	%	1,185		Three to four years	10,663		1.21	%	1,266
Four to five years	Four to five years	8,043		0.72	%	149		Four to five years	8,636		1.76	%	1,884
Thereafter	Thereafter	9,345		1.67	%	601		Thereafter	10,210		1.97	%	725
Total par value	Total par value	$	49,094	0.91	%	$	49,094	Total par value	$	62,781	1.66	%	$	62,781

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


As of	As of	September 30, 2021		December 31, 2020		As of	September 30, 2022		December 31, 2021
Noncallable	Noncallable	$	22,447	$	35,075	Noncallable	$	15,962	$	24,516
Callable	Callable	26,647		7,397		Callable	46,819		39,087
Par value	Par value	49,094		42,472		Par value	62,781		63,603
Fair value hedging adjustments	Fair value hedging adjustments	(40)		200		Fair value hedging adjustments	(3,207)		(208)
Other adjustments	Other adjustments	(13)		(2)		Other adjustments	(45)		(22)
Consolidated obligation bonds	Consolidated obligation bonds	$	49,041	$	42,670	Consolidated obligation bonds	$	59,529	$	63,373

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, ~~2021,~~2022, and December 31, ~~2020.~~2021. See Note 16 - Commitments and Contingencies in our ~~2020~~2021 Form 10-K for further details.


		September 30, 2021									December 31, 2020										September 30, 2022									December 31, 2021
Par values as of	Par values as of	Bonds			Discount Notes			Total			Bonds			Discount Notes			Total			Par values as of	Bonds			Discount Notes			Total			Bonds			Discount Notes			Total
FHLB System total consolidated obligations	FHLB System total consolidated obligations	$	437,001		$	204,437		$	641,438		$	471,919		$	274,853		$	746,772		FHLB System total consolidated obligations	$	580,274		$	451,636		$	1,031,910		$	441,936		$	210,926		$	652,862
FHLB Chicago as primary obligor	FHLB Chicago as primary obligor	49,094			40,880			89,974			42,472			48,654			91,126			FHLB Chicago as primary obligor	62,781			40,609			103,390			63,603			24,565			88,168
As a percent of the FHLB System	As a percent of the FHLB System	11		%	20		%	14		%	9		%	18		%	12		%	As a percent of the FHLB System	11		%	9		%	10		%	14		%	12		%	14		%

2425

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

(U.S. 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. All stock that supports a member’s activity stock requirement with the Bank is classified as Class B1 activity stock. Any additional amount of stock necessary for the total amount of Class B stock held to equal a member’s minimum investment amount will be classified as Class B2 membership stock. Members purchase Class B2 membership stock to satisfy their membership stock requirement with the Bank. Stock held in excess of a member’s minimum investment requirement is classified as Class B2 excess capital stock. See Note 12 – Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements in our ~~2020~~2021 Form 10-K for further information on our capital stock and MRCS.

Minimum Capital Requirements

For details on our minimum capital requirements, including how the ratios below were calculated, see Minimum Capital Requirements in Note 12 – Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements in our ~~2020~~2021 Form 10-K. We complied with our minimum regulatory capital requirements as shown below.


		September 30, 2021						December 31, 2020
As of														As of	September 30, 2022						December 31, 2021
		Requirement			Actual			Requirement			Actual				Requirement			Actual			Requirement			Actual
Total regulatory capital	Total regulatory capital	$	3,944		$	6,410		$	4,014		$	6,361		Total regulatory capital	$	4,370		$	7,393		$	3,878		$	6,656
Total regulatory capital ratio	Total regulatory capital ratio	4.00		%	6.50		%	4.00		%	6.34		%	Total regulatory capital ratio	4.00		%	6.77		%	4.00		%	6.87		%
Leverage capital	Leverage capital	$	4,930		$	9,616		$	5,018		$	9,541		Leverage capital	$	5,463		$	11,091		$	4,848		$	9,984
Leverage capital ratio	Leverage capital ratio	5.00		%	9.75		%	5.00		%	9.51		%	Leverage capital ratio	5.00		%	10.15		%	5.00		%	10.30		%
Risk-based capital	Risk-based capital	$	1,203		$	6,410		$	1,587		$	6,361		Risk-based capital	$	1,579		$	7,393		$	1,297		$	6,656

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.

Additionally, an FHFA Advisory Bulletin sets forth guidance for each FHLB to maintain a ratio of at least two percent of capital stock to total assets. In accordance with this guidance, the FHFA considers the proportion of capital stock to assets, measured on a daily average basis at month end, when assessing each FHLB’s capital management practices.

~~Table~~None of ~~Contents~~

~~Federal Home Loan Bank of Chicago~~

~~Notes to Condensed Financial Statements - (Unaudited)~~

~~(U.S. Dollars in tables in millions except per share amounts unless otherwise indicated)~~

~~The following~~our members (including any successor) had regulatory capital stock exceeding 10% of our total regulatory capital stock outstanding (which includes MRCS): as of September 30, 2022.

As of September 30, 2021 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS)
One Mortgage Partners Corp. $ 245 a 11.1 % $ 245

a One Mortgage Partners Corp. (OMP) is a subsidiary of JPMorgan Chase Bank NA. Effective February 19, 2021, we terminated OMP’s membership in connection with the FHFA rule that made captive insurance companies ineligible for FHLB membership.

Dividends

Our ability to pay dividends is subject to the FHLB Act and FHFA regulations. On October ~~21, 2021~~28, 2022 our Board of Directors declared a ~~5.00%~~6.50% dividend (annualized) for Class B1 activity stock and a ~~2.00%~~2.75% dividend (annualized) for Class B2 membership stock based on our preliminary financial results for the third quarter of ~~2021.~~2022. This dividend totaled ~~$25~~$41 million (recorded as ~~$22~~$37 million dividends on capital stock and $3$4 million interest expense on mandatorily redeemable capital stock) and is scheduled for payment on November 15, ~~2021.~~2022. Any future dividend payment remains subject to declaration by the Board and will depend on future operating results, our Retained Earnings and Dividend Policy and any other factors the Board determines to be relevant.

Repurchase of Excess Capital Stock

Members may request repurchase of excess ~~capital~~ stock on any business day. Additionally, on a monthly basis, the Bank repurchases excess capital stock held by each member or former member that exceeds certain limits set by the Bank. All repurchases of excess capital stock, including any future monthly repurchases, will continue until otherwise announced, but remain subject to our regulatory requirements, certain financial and capital thresholds, and prudent business practices.

~~FICO Dissolution~~

In connection with the dissolution of the Financing Corporation (FICO) in July 2020, we received $19 million in June 2020 as a partial recovery of our prior capital distribution to FICO. These funds have been credited to unrestricted retained earnings in our ~~Condensed Statements of Capital~~ ~~and in Other Financing Activities in our~~ ~~Condensed Statements of Cash Flows. See~~ ~~Note 12 – Capital and Mandatorily Redeemable Capital Stock (MRCS)~~ ~~to the financial statements in our 2020 Form 10-K for further details.~~

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

(U.S. 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:~~indicated.


		Net Unrealized -		Non-credit OTTI -		Net Unrealized - Cash Flow Hedges										Net Unrealized -Available-for-sale Debt Securities		Net Unrealized - Cash Flow Hedges			Post - Retirement Plans			Total in AOCI
Three months ended September 30, 2022												Three months ended September 30, 2022
Beginning balance														Beginning balance		$	(14)	$	70		$	(16)		$	40
Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition														Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition		(152)		36			—			(116)
Amounts reclassified in period to Condensed Statements of Income:														Amounts reclassified in period to Condensed Statements of Income:
Net interest income														Net interest income		—		(2)						(2)
		Available-for-sale Debt Securities		Held-to-maturity Debt Securities				Net Unrealized - Cash Flow Hedges			Post - Retirement Plans			Total in AOCI
Noninterest expense												Noninterest expense								1			1
Ending balance														Ending balance		$	(166)	$	104		$	(15)		$	(77)
Three months ended September 30, 2021	Three months ended September 30, 2021														Three months ended September 30, 2021
Beginning balance	Beginning balance	$	544	$	—	$	(33)		$	(24)		$	487	Beginning balance		$	544	$	(33)		$	(24)		$	487
Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition	Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition	(98)		—		2			—			(96)		Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition		(98)		2			—			(96)
Amounts reclassified in period to Condensed Statements of Income:	Amounts reclassified in period to Condensed Statements of Income:													Amounts reclassified in period to Condensed Statements of Income:
Net interest income	Net interest income	—		—		5						5		Net interest income		—		5						5

Noninterest expense	Noninterest expense								1			1		Noninterest expense							1			1
Ending balance	Ending balance	$	446	$	—	$	(26)		$	(23)		$	397	Ending balance		$	446	$	(26)		$	(23)		$	397
Three months ended September 30, 2020
Beginning balance		$	(180)	$	(76)	$	(86)		$	(21)		$	(363)
Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition		280		3		2			(2)			283
Amounts reclassified in period to Condensed Statements of Income:
Net interest income		—		—		7						7

Ending balance		$	100	$	(73)	$	(77)		$	(23)		$	(73)

Nine months ended September 30, 2021
Nine months ended September 30, 2022														Nine months ended September 30, 2022
Beginning balance	Beginning balance	$	292	$	—	$	(65)		$	(20)		$	207	Beginning balance		$	366	$	(11)		$	(13)		$	342

Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition	Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition	155		—		25			(10)			170		Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition		(532)		110			(4)			(426)
Amounts reclassified in period to Condensed Statements of Income:	Amounts reclassified in period to Condensed Statements of Income:													Amounts reclassified in period to Condensed Statements of Income:
Net interest income	Net interest income	(1)		—		14						13		Net interest income		—		5						5

Noninterest expense	Noninterest expense								7			7		Noninterest expense							2			2

Ending balance	Ending balance	$	446	$	—	$	(26)		$	(23)		$	397	Ending balance		$	(166)	$	104		$	(15)		$	(77)
Nine months ended September 30, 2020
Nine months ended September 30, 2021														Nine months ended September 30, 2021
Beginning balance	Beginning balance	$	104	$	(85)	$	(38)		$	(10)		$	(29)	Beginning balance		$	292	$	(65)		$	(20)		$	207
Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition	Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition	(4)		12		(56)			(14)			(62)		Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition		155		25			(10)			170
Amounts reclassified in period to Condensed Statements of Income:	Amounts reclassified in period to Condensed Statements of Income:													Amounts reclassified in period to Condensed Statements of Income:
Net interest income	Net interest income	—		0		17						17		Net interest income		(1)		14						13

Noninterest expense	Noninterest expense								1			1		Noninterest expense							7			7
Ending balance	Ending balance	$	100	$	(73)	$	(77)		$	(23)		$	(73)	Ending balance		$	446	$	(26)		$	(23)		$	397

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

Note 13 - Fair Value

The following table is a summary of the fair value estimates and related levels in the hierarchy. The carrying amounts are per the Condensed Statements of Condition. Fair value estimates represent the exit prices that we would receive to sell assets or pay to transfer liabilities in an orderly transaction with market participants at the measurement date. They do not represent an estimate of our overall market value as a going concern, as they do not take into account future business opportunities or profitability of assets and liabilities. We measure instrument-specific credit risk attributable to our consolidated obligations based on our nonperformance risk, which includes the credit risk associated with the joint and several liability of other FHLBs (see Note 16 - Commitments and Contingencies in our ~~2020~~2021 Form 10-K). As a result, we did not recognize any instrument-specific credit risk attributable to our consolidated obligations that are carried at fair value. See Note 2 - Summary of Significant Accounting Policies in our ~~2020~~2021 Form 10-K for our fair value policies and Note 15 - Fair Value in our ~~2020~~2021 Form 10-K for our valuation techniques and significant inputs. See Note 9 - Derivatives and Hedging Activities for more information on the Netting and Cash Collateral amounts. The net carrying amount in the below table is net of any allowance for credit losses.


		Carrying Amount		Fair Value		Level 1		Level 2		Level 3		Netting & Cash Collateral			Net Carrying Amount		Fair Value		Level 1		Level 2		Level 3		Netting & Cash Collateral
September 30, 2021
September 30, 2022														September 30, 2022
Carried at amortized cost	Carried at amortized cost													Carried at amortized cost

Cash and due from banks and interest bearing deposits	Cash and due from banks and interest bearing deposits	$	1,788	$	1,788	$	1,788							Cash and due from banks and interest bearing deposits	$	1,225	$	1,225	$	1,225

Federal funds sold and securities purchased under agreements to resell	Federal funds sold and securities purchased under agreements to resell	18,435		18,435				$	18,435					Federal funds sold and securities purchased under agreements to resell	17,206		17,206				$	17,206
Held-to-maturity debt securities	Held-to-maturity debt securities	773		812				801		$	11			Held-to-maturity debt securities	611		599				592		$	7

Advances	Advances	44,842		45,105				45,105						Advances	58,388		58,377				58,377

MPF Loans held in portfolio, net	MPF Loans held in portfolio, net	9,842		10,035				10,025		10				MPF Loans held in portfolio, net	10,064		8,833				8,824		9
Other assets	Other assets	80		80				80						Other assets	236		236				236

Carried at fair value on a recurring basis	Carried at fair value on a recurring basis													Carried at fair value on a recurring basis

Trading debt securities	Trading debt securities	2,215		2,215				2,215						Trading debt securities	203		203				203

Available-for-sale debt securities	Available-for-sale debt securities	19,056		19,056				19,056						Available-for-sale debt securities	19,688		19,688				19,688
Advances	Advances	1,200		1,200				1,200						Advances	1,279		1,279				1,279

Derivative assets	Derivative assets	6		6				81				$	(75)	Derivative assets	35		35				1,068				$	(1,033)
Other assets	Other assets	119		119				119						Other assets	75		75				75

Carried at fair value on a nonrecurring basis	Carried at fair value on a nonrecurring basis													Carried at fair value on a nonrecurring basis
MPF Loans held in portfolio, net	MPF Loans held in portfolio, net	4		4						4				MPF Loans held in portfolio, net	7		7						7

Financial assets	Financial assets	98,360		$	98,855	$	1,788	$	97,117	$	25	$	(75)	Financial assets	109,017		$	107,763	$	1,225	$	107,548	$	23	$	(1,033)
Other non financial assets	Other non financial assets	234												Other non financial assets	234
Assets	Assets	$	98,594											Assets	$	109,251

Carried at amortized cost	Carried at amortized cost													Carried at amortized cost
Deposits	Deposits	$	(1,100)	$	(1,100)			$	(1,100)					Deposits	$	(675)	$	(675)			$	(675)

Consolidated obligation discount notes	Consolidated obligation discount notes	(40,878)		(40,878)				(40,878)						Consolidated obligation discount notes	(39,600)		(39,591)				(39,591)

Consolidated obligation bonds	Consolidated obligation bonds	(48,984)		(49,074)				(49,074)						Consolidated obligation bonds	(58,814)		(57,193)				(57,193)
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	(247)		(247)		$	(247)							Mandatorily redeemable capital stock	(247)		(247)		$	(247)
Other liabilities	Other liabilities	(90)		(90)				(90)						Other liabilities	(202)		(202)				(202)

Carried at fair value on a recurring basis	Carried at fair value on a recurring basis													Carried at fair value on a recurring basis

Consolidated obligation discount notes														Consolidated obligation discount notes	(868)		(868)				(868)
Consolidated obligation bonds	Consolidated obligation bonds	(57)		(57)				(57)						Consolidated obligation bonds	(715)		(715)				(715)

Derivative liabilities	Derivative liabilities	(62)		(62)				(557)				$	495	Derivative liabilities	(24)		(24)				(2,891)				$	2,867

Financial liabilities	Financial liabilities	(91,418)		$	(91,508)	$	(247)	$	(91,756)	$	—	$	495	Financial liabilities	(101,145)		$	(99,515)	$	(247)	$	(102,135)	$	—	$	2,867
Other non financial liabilities	Other non financial liabilities	(616)												Other non financial liabilities	(1,037)
Liabilities	Liabilities	$	(92,034)											Liabilities	$	(102,182)

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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


		Carrying Amount		Fair Value		Level 1		Level 2		Level 3		Netting & Cash Collateral			Net Carrying Amount		Fair Value		Level 1		Level 2		Level 3		Netting & Cash Collateral
December 31, 2020

December 31, 2021														December 31, 2021
Carried at amortized cost	Carried at amortized cost													Carried at amortized cost
Cash and due from banks and interest bearing deposits	Cash and due from banks and interest bearing deposits	$	4,396	$	4,396	$	4,396							Cash and due from banks and interest bearing deposits	$	900	$	900	$	900
Federal funds sold and securities purchased under agreements to resell	Federal funds sold and securities purchased under agreements to resell	14,245		14,245				$	14,245					Federal funds sold and securities purchased under agreements to resell	12,267		12,267				$	12,267
Held-to-maturity debt securities	Held-to-maturity debt securities	1,491		1,549				1,534		$	15			Held-to-maturity debt securities	1,801		1,832				1,822		$	10
Advances	Advances	45,380		45,696				45,696						Advances	46,876		47,108				47,108
MPF Loans held in portfolio, net	MPF Loans held in portfolio, net	10,020		10,332				10,327		5				MPF Loans held in portfolio, net	9,839		9,908				9,900		8
Other assets	Other assets	90		90				90						Other assets	83		83				83
Carried at fair value on a recurring basis	Carried at fair value on a recurring basis													Carried at fair value on a recurring basis
Trading debt securities	Trading debt securities	4,621		4,621				4,621						Trading debt securities	954		954				954
Available-for-sale debt securities	Available-for-sale debt securities	18,437		18,437				18,437						Available-for-sale debt securities	22,706		22,706				22,706
Advances	Advances	1,315		1,315				1,315						Advances	1,173		1,173				1,173
Derivative assets	Derivative assets	5		5				116				$	(111)	Derivative assets	14		14				70				$	(56)
Other assets	Other assets	105		105				105						Other assets	104		104				104
Carried at fair value on a nonrecurring basis	Carried at fair value on a nonrecurring basis													Carried at fair value on a nonrecurring basis
MPF Loans held in portfolio, net	MPF Loans held in portfolio, net	18		18						18				MPF Loans held in portfolio, net	4		4						4

Financial assets	Financial assets	100,123		$	100,809	$	4,396	$	96,486	$	38	$	(111)	Financial assets	96,721		$	97,053	$	900	$	96,187	$	22	$	(56)
Other non financial assets	Other non financial assets	233												Other non financial assets	233
Assets	Assets	$	100,356											Assets	$	96,954
Carried at amortized cost	Carried at amortized cost													Carried at amortized cost
Deposits	Deposits	$	(1,284)	$	(1,284)			$	(1,284)					Deposits	$	(1,034)	$	(1,034)			$	(1,034)
Consolidated obligation discount notes	Consolidated obligation discount notes	(46,643)		(46,644)				(46,644)						Consolidated obligation discount notes	(24,563)		(24,563)				(24,563)
Consolidated obligation bonds	Consolidated obligation bonds	(40,826)		(41,183)				(41,183)						Consolidated obligation bonds	(62,708)		(62,585)				(62,585)
Mandatorily redeemable capital stock	Mandatorily redeemable capital stock	(279)		(279)		$	(279)							Mandatorily redeemable capital stock	(247)		(247)		$	(247)
Other liabilities	Other liabilities	(89)		(89)				(89)						Other liabilities	(116)		(116)				(116)
Carried at fair value on a recurring basis	Carried at fair value on a recurring basis													Carried at fair value on a recurring basis
Consolidated obligation discount notes		(2,000)		(2,000)				(2,000)

Consolidated obligation bonds	Consolidated obligation bonds	(1,844)		(1,844)				(1,844)						Consolidated obligation bonds	(665)		(665)				(665)
Derivative liabilities	Derivative liabilities	(691)		(691)				(878)				187		Derivative liabilities	(32)		(32)				(527)				$	495
Financial liabilities	Financial liabilities	(93,656)		$	(94,014)	$	(279)	$	(93,922)	$	—	$	187	Financial liabilities	(89,365)		$	(89,242)	$	(247)	$	(89,490)	$	—	$	495
Other non financial liabilities	Other non financial liabilities	(411)												Other non financial liabilities	(837)
Liabilities	Liabilities	$	(94,067)											Liabilities	$	(90,202)

We had no transfers between levels for the periods shown.

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

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

Fair Value Option

We may elect the fair value option for financial instruments, such as advances, MPF Loans held for sale, and consolidated obligation discount notes and bonds, in cases where hedge accounting treatment may not be achieved due to the inability to meet the hedge effectiveness testing criteria, or in certain cases where we wish to mitigate the risk associated with selecting the fair value option for other instruments. Financial instruments for which we elected the fair value option along with their related fair value are shown on our Condensed Statements of Condition. Refer to our Note 2 – Summary of Significant Accounting Policies to the financial statements in our ~~2020~~2021 Form 10-K for further details.

The following table presents the gains (losses) in fair values of financial assets and liabilities carried at fair value under the fair value option, which are recognized in noninterest income - instruments held under the fair value option in our Condensed Statements of ~~Income:~~Income.

Three months ended September 30, Nine months ended September 30,
2021 2020 2021 2020
Advances $ (7) $ (5) $ (33) $ 73
Other assets — (2) (2) —
Consolidated obligation bonds — — 2 (4)
Noninterest income - Instruments held under the fair value option $ (7) $ (7) $ (33) $ 69


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Advances	$	(12)	$	(7)	$	(75)	$	(33)
Discount notes	1		—		5		—
Bonds	6		—		26		2
Other	(1)		—		(8)		(2)
Noninterest income - Instruments held under the fair value option	$	(6)	$	(7)	$	(52)	$	(33)

The following table reflects the difference between the aggregate ~~UPB~~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, 2021 December 31, 2020
As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds
Unpaid principal balance $ 1,131 $ 56 $ 1,213 $ 1,839
Fair value over (under) UPB 69 1 102 5
Fair value $ 1,200 $ 57 $ 1,315 $ 1,844


As of	September 30, 2022				December 31, 2021
	Advances		Consolidated Obligation Bonds		Advances		Consolidated Obligation Bonds
Unpaid principal balance	$	1,298	$	741	$	1,117	$	666
Fair value over (under) UPB	(19)		(26)		56		(1)
Fair value	$	1,279	$	715	$	1,173	$	665

Table of Contents

Federal Home Loan Bank of Chicago

Notes to Condensed Financial Statements - (Unaudited)

(U.S. 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:~~obligations.


		September 30, 2021							December 31, 2020
As of	As of	Expire within one year		Expire after one year			Total		Expire within one year		Expire after one year			Total		As of	September 30, 2022							December 31, 2021
																	Expire within one year		Expire after one year			Total		Expire within one year		Expire after one year			Total
Member standby letters of credit	Member standby letters of credit	$	4,994	$	8,122	a	$	13,116	$	10,446	$	5,949	a	$	16,395	Member standby letters of credit	$	4,835	$	8,164	a	$	12,999	$	4,285	$	7,032	a	$	11,317
MPF delivery commitments	MPF delivery commitments	577		—			577		1,527		—			1,527		MPF delivery commitments	211		—			211		366		—			366
Advance commitments	Advance commitments	52		2			54		583		12			595		Advance commitments	549		5			554		43		2			45
Housing authority standby bond purchase agreements	Housing authority standby bond purchase agreements	51		452			503		10		455			465		Housing authority standby bond purchase agreements	71		456			527		25		477			502

Unsettled consolidated obligation discount notes		3,000		—			3,000		—		—			—

Unsettled consolidated obligation bonds	Unsettled consolidated obligation bonds	506		—			506		125		—			125		Unsettled consolidated obligation bonds	420		—			420		378		—			378
Other	Other	3		—			3		3		—			3		Other	2		—			2		3		—			3
Commitments	Commitments	$	9,183	$	8,576		$	17,759	$	12,694	$	6,416		$	19,110	Commitments	$	6,088	$	8,625		$	14,713	$	5,100	$	7,511		$	12,611

a Contains ~~$7.2~~$7.5 billion and ~~$5.2~~$6.1 billion of member standby letters of credit as of September 30, ~~2021,~~2022, and December 31, ~~2020,~~2021, which were renewable annually.

For a description of defined terms see Note 16 - Commitments and Contingencies to the financial statements in our ~~2020~~2021 Form 10-K.

Note 15 – Transactions with Related Parties and Other FHLBs

We define related parties as either members whose officers or directors serve on our Board of Directors, or members that control more than 10% of our total voting interests. We did not have any members that controlled more than 10% of our total voting interests for the periods presented in these condensed financial statements.

In the normal course of business, we may extend credit to or enter into other transactions with a related party. These 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 material balances we had with our members who are related parties as defined above (including their affiliates) as of the dates presented. The related net income impacts to our Condensed Statements of Income were not material.


As of	As of	September 30, 2021		December 31, 2020		As of	September 30, 2022		December 31, 2021
Assets - Advances	Assets - Advances	$	206	$	252	Assets - Advances	$	169	$	235
Liabilities - Deposits	Liabilities - Deposits	16		15		Liabilities - Deposits	4		15
Equity - Capital Stock	Equity - Capital Stock	18		17		Equity - Capital Stock	17		18

Other FHLBs

From time to time, we may loan to, or borrow from, other FHLBs. These 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.

In addition, we provide programmatic and operational support in our role as the administrator of the MPF Program on behalf of the other MPF Banks for a fee.

Material transactions with other FHLBs are identified on the face of our Condensed Financial Statements.

Table of Contents

Federal Home Loan Bank of Chicago

(U.S. 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~~

September 30, 2021 June 30, 2021 March 31, 2021 December 31, 2020 September 30, 2020
Selected Statements of Condition data
Investments a
$ 41,334 $ 40,586 $ 33,514 $ 39,649 $ 36,364
Advances 46,042 46,270 46,975 46,695 49,771
MPF Loans held in portfolio, net 9,846 9,759

9,895

10,041

10,529
Total assets 98,594 97,494 94,597 100,356 98,387
Consolidated obligation discount notes 40,878 45,728 45,262 48,643 41,801
Consolidated obligation bonds 49,041 42,922 40,260 42,670 47,970
Capital stock 1,969 2,007 2,019 2,010 2,041
Retained earnings 4,194 4,139 4,082 4,072 3,936
Total capital 6,560 6,633 6,542 6,289 5,904
Other selected data at period end
Member standby letters of credit outstanding $ 13,116 $ 12,773 $ 10,529 $ 16,395 $ 21,666
MPF Loans par value outstanding - FHLB System b
67,217 67,673 69,107 70,326 71,297
MPF Loans par value outstanding - FHLB Chicago PFIs b
18,716 18,718 18,922 18,934 18,957
Number of members 674 678 680 686 683
Total employees (full and part time) 466 451 469 474 486
Selected Statements of Income data
Net interest income after provision for credit losses $ 140

152 $ 110

$ 142

$ 168
Noninterest income (2) (10) (13) 101 d (8)
Noninterest expense 52 55 61 68 65
Net income 77 78 32 157 d 85
Other selected MPF data during the periods b
MPF Loans par value amounts funded - FHLB System $ 4,027 $ 4,535 $ 5,364 $ 6,672 $ 7,145
Quarterly number of PFIs funding MPF products - FHLB System 678 687 710 707 730
MPF Loans par value amounts funded - FHLB Chicago PFIs $ 1,150 $ 1,379 $ 1,703 $ 1,999 $ 2,371
Quarterly number of PFIs funding MPF products - FHLB Chicago 178 177 177 178 184
Selected ratios (rates annualized)
Total regulatory capital to assets ratio 6.50 % 6.56 % 6.73 % 6.34 % 6.36 %
Market value of equity to book value of equity 106 % 106 % 107 % 105 % 106 %
Primary mission asset ratio c
70.7 % 70.5 % 70.3 % 71.5 % 71.6 %
Dividend rate class B1 activity stock-period paid 5.00 % 5.00 % 5.00 % 5.00 % 5.00 %
Dividend rate class B2 membership stock-period paid 2.00 % 2.00 % 2.00 % 2.25 % 2.25 %
Return on average assets 0.31 % 0.32 % 0.13 % 0.62 % d 0.33 %
Return on average equity 4.54 % 4.59 % 1.99 % 10.06 % d 6.13 %
Average equity to average assets 6.83 % 6.97 % 6.53 % 6.16 % 5.38 %
Net yield on average interest-earning assets 0.58 % 0.64 % 0.46 % 0.58 % 0.67 %
Cash dividends-period paid $ 22 $ 21 $ 22 $ 21 $ 22
Dividend payout ratio-period paid 28.57 %

26.92 % 68.75 % 13.38 % 26.00 %
Below are selected financial data for the last five quarters.


	September 30, 2022			June 30, 2022			March 31, 2022			December 31, 2021			September 30, 2021

Other selected data at period end
Member standby letters of credit outstanding	$	12,999		$	13,080		$	11,157		$	11,317		$	13,116
MPF Loans par value outstanding - FHLB System a	65,853			65,889			65,867			66,297			67,217
MPF Loans par value outstanding - FHLB Chicago PFIs a	18,404			18,455			18,434			18,600			18,716
Number of members	668			669			670			676			674
Total employees (full and part time)	493			479			476			466			466

Other selected MPF data a
MPF Loans par value amounts funded - FHLB System	$	1,985		$	2,358		$	2,462		$	3,152		$	4,027
Quarterly number of PFIs funding MPF products - FHLB System	554			576			612			654			678
MPF Loans par value amounts funded - FHLB Chicago PFIs	$	497		$	636		$	602		$	938		$	1,150
Quarterly number of PFIs funding MPF products - FHLB Chicago	171			167			172			179			178
Selected ratios (rates annualized)
Total regulatory capital to assets ratio	6.77		%	6.77		%	6.95		%	6.87		%	6.50		%
Market value of equity to book value of equity	105		%	109		%	106		%	107		%	106		%
Primary mission asset ratio b	72.9		%	73.1		%	73.2		%	70.3		%	70.7		%
Dividend rate class B1 activity stock-period paid	5.75		%	5.13		%	5.00		%	5.00		%	5.00		%
Dividend rate class B2 membership stock-period paid	2.38		%	2.13		%	2.00		%	2.00		%	2.00		%
Return on average assets	0.34		%	0.36		%	0.37		%	0.35		%	0.31		%
Return on average equity	5.39		%	5.33		%	5.61		%	5.31		%	4.54		%
Average equity to average assets	6.31		%	6.75		%	6.60		%	6.59		%	6.83		%
Net yield on average interest-earning assets	0.52		%	0.61		%	0.62		%	0.58		%	0.58		%
Cash dividends	$	29		$	24		$	22		$	21		$	22

Dividend payout ratio	30.53		%	26.37		%	23.16		%	23.86		%	28.57		%

a ~~Includes investment debt securities, interest bearing deposits, federal funds sold, and securities purchased under agreements to resell.~~

bIncludes all MPF products, whether on or off our balance sheet. See Mortgage Partnership Finance Program beginning on page 8 in our ~~2020~~2021 Form ~~10-K.~~10-K for details on our various MPF products.

cb Annual average year to date basis. The FHFA issued an advisory bulletin that provides guidance relating to a primary mission asset ratio by which the FHFA will assess each FHLB's core mission achievement. See Mission Asset Ratio on page 5 in our ~~2020~~2021 Form 10-K ~~for more information.~~

d The selected line items are relatively higher when compared to the same line items in other quarters as a result of gains on our investment securities due to the sale of our AFS and HTM private label mortgage backed securities (PLMBS) during the fourth quarter of 2020. See ~~Note 2 - Summary of Significant Accounting Policies~~ ~~of our Form 10-K for the year ended 2020~~ for more information.

Table of Contents

Federal Home Loan Bank of Chicago

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

Forward-Looking Information

Statements contained in this report, including statements describing the plans, objectives, projections, estimates, strategies, or future predictions of management, statements of belief, any projections or guidance on dividends or other financial items, or any statements of assumptions underlying the foregoing, may be “forward-looking statements.” These statements may use forward-looking terminology, such as “anticipates,” “believes,” “expects,” “could,” "plans," “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:

•general economic and market conditions, including the timing and volume of market activity, inflation, 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; disruptions in the credit and debt markets and the effect on future funding costs, sources, and availability; the impact of the ~~coronavirus disease 2019 (COVID-19)~~occurrence of a major natural or other disaster, a pandemic onsuch as the ~~global and national economies and on our and our members’ businesses;~~COVID-19 pandemic or other disruptive event; the impact of climate change; the impact of geopolitical uncertainties or conflicts, such as the conflict in Ukraine;

•the loss or changes in business activities with significant members; changes in the demand by our members for advances, including as a result of the Federal Reserve’s emergency actions to increase liquidity along with market conditions resulting from the COVID-19 pandemic (or changes to, or the cessation of such actions), the impact of pricing increases, and the availability of other sources of funding for our members, such as deposits;

•regulatory limits on our investments;

•the impact of new business strategies, including our ability to develop and implement business strategies focused on maintaining net interest income; our ability to successfully maintain our balance sheet and cost infrastructure at an appropriate composition and size scaled to member demand; 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 changes in our current capital stock requirements and/or our ability to continue to offer the Reduced Capitalization Advance Program for certain future advance borrowings, our ability to continue to pay enhanced dividends on our activity stock or our ability to maintain current levels of dividends, and any amendments to our capital plan, impact Bank product usage and activity with 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), the amount and timing of such repurchases or redemptions, any changes in our repurchase processes, and our ability to maintain compliance with regulatory and statutory requirements relating to our dividend payments;

•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; disruptions in the credit and debt markets and the effect on future funding costs, sources, and availability; ~~the impact of the occurrence of a major natural or other disaster, a pandemic such as the COVID-19 pandemic or other disruptive event; the impact of climate change;~~

•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 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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Federal Home Loan Bank of Chicago

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

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

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

•membership changes, including the loss of members through mergers and consolidations or as a consequence of 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;

•uncertainties relating to the scheduled phase-out of the London Interbank Offered Rate (LIBOR);

•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, changes in the proposals and legislation related to housing finance and GSE reform; changes in the Presidential Administration and the Congress; changes in our regulator or changes affecting our regulator and changes in the FHLB Act or applicable regulations as a result of the Housing and Economic Recovery Act of 2008 ~~(Housing Act)~~ or as may otherwise be issued by our regulator; the potential designation of us as a nonbank financial company for supervision by the Federal Reserve;

•regulatory changes to FHLB membership requirements, capital requirements, MPF program requirements, and liquidity requirements by the FHFA, and increased guidance from the FHFA impacting our balance sheet management, product structures, and collateral practices;

•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~~recruit and retain ~~skilled employees;~~qualified personnel;

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

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

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

•the reliability of our projections, assumptions, and models on our future financial performance and condition, including dividend projections.

For a more detailed discussion of the risk factors applicable to us, see Risk Factors starting on page 2322 in our ~~2020 Annual Report on~~2021 Form ~~10-K (2020 Form 10-K).~~10-K.

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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Federal Home Loan Bank of Chicago

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

Executive Summary

Third Quarter ~~2021~~2022 Financial Highlights

•Advances outstanding ~~declined slightly~~increased to ~~$46.0~~$59.7 billion at September 30, ~~2021, from $46.7~~2022, compared to $48.0 billion at December 31, ~~2020. We believe many of~~2021, attributable to increased borrowings from our depository members experienced an inflow of deposits on their balance sheets along with reduced loan demand, while also having access to other liquidity sources as a result of certain government actions related to the COVID-19 pandemic, ~~which limited their need for advances. Although these factors continued to impact our advance balances, increased advance borrowing by insurance company members has mostly offset the decline.~~institutions.

•MPF Loans held in portfolio continued to remain steady at ~~$9.8~~$10.1 billion at September 30, ~~2021,~~2022, compared to ~~$10.0~~$9.8 billion at December 31, ~~2020.~~2021.

•Total investment securities decreased ~~10%~~ to ~~$22.0~~$20.5 billion at September 30, ~~2021, down from $24.5~~2022, compared to $25.5 billion at December 31, ~~2020,~~2021, primarily ~~due~~attributable to a decline in the fair value of our available-for-sale (AFS) portfolio driven by rising market interest rates and a reduction in investment in ~~Treasury securities that matured~~U.S. Treasuries.

•Total liquid assets increased to $18.4 billion at September 30, 2022, compared to $13.2 billion at December 31, 2021. We strive to maintain a sufficient pool of liquidity to support anticipated member demand for advances and ~~were not replaced.~~letters of credit.

•Total assets ~~decreased~~increased to ~~$98.6~~$109.3 billion as of September 30, ~~2021,~~2022, compared to ~~$100.4~~$97.0 billion as of December 31, ~~2020, primarily due to a decrease in investment securities.~~2021.

•Letters of credit commitments ~~decreased~~increased to ~~$13.1~~$13.0 billion at September 30, ~~2021, down from $16.4~~2022, compared to $11.3 billion at December 31, ~~2020, primarily due~~2021, attributable to ~~one of~~increased usage from our ~~former captive insurance company~~ members ~~reducing its letters of credit usage in connection with its membership termination in the first quarter of 2021.~~for public unit deposits.

•We recorded net income of ~~$77~~$95 million in the third quarter of ~~2021, down from $85~~2022, up $18 million incompared to the third quarter of ~~2020, primarily~~2021. The increase was due to a decrease in net interest income attributable to the lower interest rate environment. Advance prepayment fees also decreased $20 million from $27 million in the third quarter of 2020 to $7 million for the same period in 2021. Additionally, advance prepayments throughout 2020 resulted in a decline in our portfolio of high interest earning advances, which reduced the yield earned and balance outstandingincreased returns on our ~~advance portfolio in~~liquid assets as interest rates rose during the ~~third quarter of 2021 compared to the same~~ period, ~~in 2020. The decline in interest income was offset in part by lower operating expenses as information technology~~ and ~~employee compensation and benefits expenses decreased and by the absence of COVID-19 relief program expenses relative to the same period in the prior year.~~other factors described below.

•In the third quarter of ~~2021,~~2022, noninterest income ~~(loss)~~ was ~~($2)~~$27 million, ~~up $6~~an increase of $29 million ~~from ($8)~~when compared to a $(2) million (loss) for the third quarter of ~~2020, primarily due~~2021. Gains from derivatives used to hedge our market risk exposure was the primary driver of this increase. There was also a ~~decrease~~significant decline in the average balance of our trading securities outstanding for the period resulting from a decline in investment in U.S. Treasuries, which in turn reduced the amount of losses incurred on our trading ~~securities.~~portfolio.

•We remained in compliance with all of our regulatory capital requirements as of September 30, ~~2021.~~2022.

Summary and Outlook

Third Quarter ~~2021~~2022 Dividends and Dividend Guidance

On October ~~21 2021,~~28, 2022, the Board of Directors declared a dividend of ~~5.00%~~6.50% (annualized) for Class B1 activity stock and a dividend of ~~2.00%~~2.75% (annualized) for Class B2 membership stock based on preliminary financial results for the third quarter of ~~2021.~~2022, an increase on the levels declared in the second quarter of 2022. The dividend for the third quarter of ~~2021~~2022 will be paid by crediting members’ DID accounts on November 15, ~~2021.~~2022. The Bank pays a higher dividend per share on Class B1 activity stock to recognize members that support the entire cooperative through the use of ~~our~~Bank products. We expect to maintain a ~~5.00%~~dividend of at least 6.50% (annualized) ~~dividend~~ for Class B1 activity stock through the fourth quarter ~~2021~~of 2022 and first quarter ~~2022,~~of 2023, reviewed quarterly and based on current projections and assumptions regarding our financial condition. We are providing this information to assist members in planning their ~~advance, letters of credit, and MPF Program on-balance sheet product~~ activity with us. Any future dividend payments remain subject to determination and declaration by our Board of Directors and may be impacted by further changes in financial or economic conditions, regulatory and statutory limitations, and any other relevant factors.

FHLB System at 100 –Letting Members’ Voices Be Heard

~~Market-Driven Solutions~~

Across the FHLB System, we saw tremendous representation by community and industry leaders—including many of our members—at the FHFA’s three listening sessions for ~~Our Members~~their FHLB System at 100: Focusing on the Future initiative. We believe the overall response from those who spoke was very positive and showed the important role each FHLB plays in individual communities across the country. We also know there was an outpouring of written letters and comments to the FHFA from our members.

~~We continue~~When the FHFA announced this initiative as an opportunity to ~~converse with~~review the mission, membership eligibility requirements, products and services, among other facets of the FHLBs, we knew our members and ~~analyze~~community partners were vital to these conversations. We believe our members, more than anyone, understand the ~~market to find new ways to help grow members’ bottom lines. As~~critical role the ~~markets~~FHLBs have ~~begun to rebound, we provided recent specials~~in supporting their businesses and ~~strategies to best serve our members:~~strengthening their communities.

•~~Over the past quarter, we extended our most popular pricing specials until the end of the year, provided insight into balance sheet trends across Illinois~~Guidance and Wisconsin, and shared updated guidance of the ongoing LIBOR transition. We understand the challenges of navigating the uncertainty of the interest rate environment and seek to provide members with opportunities to manage their balance sheet strategies more effectively.Stability Through Market Volatility

•~~Improved~~As we monitor the market ~~conditions have enabled us~~and the shift from the impacts of the COVID-19 pandemic, our economy is facing new headwinds. The Federal Reserve continues its path of monetary policy tightening to ~~provide better pricing~~battle inflation brought on ~~MPF Traditional products in the MPF program. In addition,~~by factors such as ~~discussed in~~ ~~Legislative and Regulatory Developments~~ on page 56, the FHFA and U.S. Department of Treasury recently announced a temporary suspension of certain restrictions contained in the Preferred Stock Purchase Agreement, which has enabled the MPF program to resume the purchase of MPF Xtra loans secured by investment property and second homes.global demand

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Federal Home Loan Bank of Chicago

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

for products and services, and geopolitical conflicts. We recognize the important role members play in providing essential products and services their customers rely on. Even as inflation has placed pressure on deposit balances, negatively impacted securities valuations, and adversely impacted housing volume, we have been able to provide much needed liquidity and funding to our members. Compared to the end of third quarter of 2021, advances outstanding have grown 30% to $59.7 billion at the end of the third quarter of 2022. We take pride in being a reliable source of liquidity for our members in all economic cycles.

Over the past quarter, we have announced specials to help manage an unpredictable mortgage market, provided forward-thinking strategies, and shared market insight at our member events:

•~~In-person~~The mortgage markets have been impacted by dramatically rising interest rates stifling home affordability for many buyers. To alleviate some of the overall market pressure, we extended our targeted pricing special announced in May 2022 and virtual events are an added benefit to membership in the Bank, as we strive to provide timely insight from industry experts, offer networking opportunities with peers, and fully leverage our products and services.improved prices across all MPF Traditional products.

~~Our Commitment~~•The swiftly approaching market transition from the use of LIBOR to ~~Diversity, Equity,~~the Secured Overnight Financing Rate (SOFR) requires many members to make numerous operational and ~~Inclusion~~technological changes. The Bank remains committed to helping members navigate the post-LIBOR environment and has been hard at work ensuring that our products support our members’ transition from LIBOR to SOFR.

~~Our~~Innovation and New Programs for Members' Communities

As we all experience an evolving business landscape, our commitment to provide support for members’ communities remains steadfast. Earlier this year, we announced three new program offerings designed to address critical affordable housing and community economic development needs across Illinois and Wisconsin. These community investment programs reflect an ongoing commitment to diversity, equity, and inclusion ~~(DEI) is woven into all that~~and we ~~do to support the diverse communities our~~believe they will deliver lasting impact for members, ~~serve. Over the past year, our sales directors have reached out to ask some exploratory questions about~~individual beneficiaries, and members’ DEI business goals. Feedback from our members helps us identify business opportunities to partner and connect with members whose DEI goals align with ours. We are looking forward to continuing these conversations with our members in an effort to address the challenges in our society and seek new business and economic solutions that can increase equitable opportunities across our district, while enhancing members’ bottom line.communities.

~~Providing Support~~•From August 16 through September 30, 2022, we accepted applications for ~~Members’ Communities~~the new Community First®

~~While~~ Accelerate Grants for Small Business (Accelerate Grants) program. This competitive program provides an opportunity for our ~~communities continue~~members to ~~weather the COVID-19 pandemic, we remain committed to creating~~support local and ~~promoting equitable opportunities for underserved people~~small businesses, which drive growth and economic investment in rural, small town and urban communities. In ~~partnership with~~2022, the Bank expects to award $750,000 in Accelerate Grants. We received 161 applications for more than five times the available funding, an indication of the critical resource needs facing many small businesses in our ~~members,~~district. We look forward to announcing the results in mid to late November 2022. Members seeking support for their eligible small business lending can also leverage the zero-percent Community Small Business Advance, as we ~~invest~~recently doubled our support for this program in ~~programs and organizations advancing affordable housing and economic development in all parts of our district~~.response to strong member demand.

•~~AHP Awards:~~ The Bank awarded nearly $1 million of a $3 million, three year commitment to support career development for diverse developers of affordable housing in Illinois and Wisconsin. Through the Community First Diverse Developer Initiative, eight organizations received funds to support internships, fellowships, skills training, and/or long-term programming to expand the pipeline of diverse developers.

•The Bank awarded $2 million of a $6 million, three year commitment to support grants to housing counseling agencies throughout Illinois and Wisconsin. The Community First Housing Counseling Resource Program (Housing Counseling Resource Program) provides support to housing counseling agencies to expand their reach to minority and low- and moderate-income homebuyers and to facilitate equitable access to homeownership for all. Illinois Housing Development Authority (IHDA) and Wisconsin Housing and Economic Development Authority (WHEDA) administer the Housing Counseling Resource Program on behalf of the Bank.

•On October ~~25, 2021,~~31, 2022, we an~~nounced~~announced our ~~2021~~annual Affordable Housing Program (AHP) General Fund ~~awards. Since 1989, we have awarded $508~~awards and provided more than $20 million in ~~subsidies~~grants to ~~support~~our member institutions in partnership with developers, community organizations, public housing authorities, tribal governments, and other units of government. This program, now in its 32nd year, subsidizes the ~~construction, acquisition and/or rehabilitation~~development and preservation of ~~more than 86,000~~ affordable ~~housing units. We believe AHP continues to be a valuable source of gap financing for affordable housing development within our district.~~rental and owner-occupied housing.

•~~Downpayment Plus Program: The 2021 Downpayment Plus~~® ~~(DPP~~®~~) and Downpayment Plus Advantage~~® ~~(DPP Advantage~~®) programs continue to provide members easy-to-access downpayment and closing cost assistance to help their income-eligible borrowers achieve homeownership. As of the third quarter of 2021, we have awarded $15.4 million in DPP grants to over 2,600 households.~~We expect to open the 2022 DPP programs on January 18, 2022.~~

~~Impact of COVID-19 Pandemic~~

Notwithstanding increasing COVID-19 vaccination rates and the easing of restrictive measures, uncertainty remains with respect to the speed and extent to which normal economic and operating conditions can resume, and with the ultimate effect of the COVID-19 pandemic on our business, financial condition, and results of operations. For a discussion of risks relating to our financial condition and results of operation as a result of the COVID-19 pandemic, see ~~Risk Factors~~ ~~starting on page 23 of our Form 10-K for the year ended 2020.~~

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Federal Home Loan Bank of Chicago

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

Critical Accounting Policies and Estimates

For a detailed description of our Critical Accounting Policies and Estimates see page 4442 in our ~~2020~~2021 Form 10-K.

There have been no significant changes to our critical accounting estimates subsequent to December 31, ~~2020.~~2021.

There have been no recently issued but not yet effective accounting standards updates that we expect to have a material impact on our financial statements.

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:

•Amortization of premiums;

•Accretion of discounts;

•Hedge ineffectiveness, which represents the difference between changes in fair value of the derivative hedging instrument and the related change in fair value of the hedged item, is recognized into either interest income or interest expense, whichever is appropriate. For cash flow hedges, recognition occurs only when amounts are reclassified out of accumulated other comprehensive income. Such recognition occurs when earnings are affected by the hedged item;

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

•Amortization of fair value and cash flow closed hedge adjustments;

•Advance and investment prepayment fees; and

•MPF credit enhancement fees.

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

•Average Balance: Average balances are calculated using daily balances. Amortized cost is used to compute the average balances for most of our financial instruments, including MPF Loans held in portfolio (including those that are on nonaccrual status) and available-for-sale debt securities. Fair value is used to compute average balances for our trading debt securities and financial instruments carried at fair value under the fair value option.

•Total Interest: Total interest includes the net interest income components, as discussed above, applicable to our interest earning assets and interest bearing liabilities.

•Yield/Rate: Effective yields/rates are based on total interest and average balances as defined above. Yields/rates are calculated on an annualized basis. The calculation of the yield on our available-for-sale securities does not give effect to changes in fair value that are reflected as a component of AOCI.

•The change in volume is calculated as the change in average balance multiplied by the current year yield. The change in rate is calculated as the change in yield multiplied by the prior year average balance. Any changes due to the combined volume/rate variance have been allocated to volume.

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Federal Home Loan Bank of Chicago

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

Increase or decrease in interest income and expense due to volume or rate variance


		September 30, 2021						September 30, 2020						Increase (decrease) due to							September 30, 2022						September 30, 2021						Increase (decrease) due to
		Average Balance		Interest Income/ Expense		Yield/ Rate		Average Balance		Interest Income/ Expense		Yield/ Rate		Volume		Rate		Net Change			Average Balance		Interest Income/ Expense		Yield/ Rate		Average Balance		Interest Income/ Expense		Yield/ Rate		Volume		Rate		Net Change
For the three months ended	For the three months ended																			For the three months ended
Investment debt securities	Investment debt securities	$	21,403	$	71	1.33	%	$	24,124	$	99	1.64	%	$	(9)	$	(19)	$	(28)	Investment debt securities	$	21,875	$	163	2.98	%	$	21,403	$	71	1.33	%	$	4	$	88	$	92
Advances	Advances	52,370		68		0.52	%	54,488		114		0.84	%	(2)		(44)		(46)		Advances	62,442		366		2.34	%	52,370		68		0.52	%	60		238		298
MPF Loans held in portfolio	MPF Loans held in portfolio	9,811		64		2.61	%	10,550		69		2.62	%	(5)		—		(5)		MPF Loans held in portfolio	10,030		73		2.91	%	9,811		64		2.61	%	2		7		9
Federal funds sold	Federal funds sold	7,141		2		0.11	%	6,010		1		0.07	%	—		1		1		Federal funds sold	8,693		48		2.21	%	7,141		2		0.11	%	9		37		46
Securities purchased under agreements to resell	Securities purchased under agreements to resell	3,416		1		0.12	%	2,845		1		0.14	%	—		—		—		Securities purchased under agreements to resell	3,757		21		2.24	%	3,416		1		0.12	%	2		18		20
Interest earning deposits																				Interest earning deposits	2,739		16		2.34	%	1,344		—		—	%	(8)		24		16
Other interest earning assets	Other interest earning assets	1,499		—		—	%	2,157		1		0.19	%	—		(1)		(1)		Other interest earning assets	71		1		5.63	%	155		—		—	%	(1)		2		1
Interest earning assets	Interest earning assets	95,640		206		0.86	%	100,174		285		1.14	%	(9)		(70)		(79)		Interest earning assets	109,607		688		2.51	%	95,640		206		0.86	%	87		395		482
Noninterest earning assets	Noninterest earning assets	2,535						2,301												Noninterest earning assets	667						2,535
Total assets	Total assets	98,175						102,475												Total assets	110,274						98,175

Consolidated obligation discount notes	Consolidated obligation discount notes	42,963		10		0.09	%	42,387		24		0.23	%	1		(15)		(14)		Consolidated obligation discount notes	37,469		196		2.09	%	42,963		10		0.09	%	(29)		215		186
Consolidated obligation bonds	Consolidated obligation bonds	45,722		54		0.47	%	51,282		88		0.69	%	(6)		(28)		(34)		Consolidated obligation bonds	61,440		341		2.22	%	45,722		54		0.47	%	87		200		287
Other interest bearing liabilities	Other interest bearing liabilities	1,143		3		1.05	%	1,407		4		1.14	%	(1)		—		(1)		Other interest bearing liabilities	1,118		9		3.22	%	1,143		3		1.05	%	—		6		6
Interest bearing liabilities	Interest bearing liabilities	89,828		67		0.30	%	95,076		116		0.49	%	(4)		(45)		(49)		Interest bearing liabilities	100,027		546		2.18	%	89,828		67		0.30	%	57		422		479
Noninterest bearing liabilities	Noninterest bearing liabilities	1,603						1,266												Noninterest bearing liabilities	3,225						1,603
Total liabilities	Total liabilities	91,431						96,342												Total liabilities	103,252						91,431

Net yield interest earning assets		$	95,640	$	139	0.58	%	$	100,174	$	169	0.67	%	$	(7)	$	(23)	$	(30)
Net yield on interest earning assets																				Net yield on interest earning assets	$	109,607	$	142	0.52	%	$	95,640	$	139	0.58	%	$	17	$	(14)	$	3

For the nine months ended	For the nine months ended																			For the nine months ended

Investment debt securities	Investment debt securities	$	21,712	$	215	1.32	%	$	23,835	$	416	2.33	%	$	(20)	$	(181)	$	(201)	Investment debt securities	$	22,590	$	327	1.93	%	$	21,712	$	215	1.32	%	$	13	$	99	$	112
Advances	Advances	51,887		211		0.54	%	55,086		497		1.20	%	(13)		(273)		(286)		Advances	58,133		622		1.43	%	51,887		211		0.54	%	65		346		411
MPF Loans held in portfolio	MPF Loans held in portfolio	9,828		187		2.54	%	10,485		232		2.95	%	(13)		(32)		(45)		MPF Loans held in portfolio	9,901		207		2.79	%	9,828		187		2.54	%	2		18		20
Federal funds sold	Federal funds sold	7,003		4		0.08	%	7,021		28		0.53	%	—		(24)		(24)		Federal funds sold	7,076		65		1.22	%	7,003		4		0.08	%	1		60		61
Securities purchased under agreements to resell	Securities purchased under agreements to resell	4,155		2		0.06	%	2,883		13		0.60	%	1		(12)		(11)		Securities purchased under agreements to resell	3,674		28		1.02	%	4,155		2		0.06	%	(4)		30		26
Interest earning deposits																				Interest earning deposits	2,148		21		1.30	%	1,147		1		0.12	%	10		10		20
Other interest earning assets	Other interest earning assets	1,287		4		0.41	%	2,326		11		0.63	%	(3)		(4)		(7)		Other interest earning assets	81		2		3.29	%	140		3		2.86	%	(1)		—		(1)
Interest earning assets	Interest earning assets	95,872		623		0.87	%	101,636		1,197		1.57	%	(40)		(534)		(574)		Interest earning assets	103,603		1,272		1.64	%	95,872		623		0.87	%	95		554		649
Noninterest earning assets	Noninterest earning assets	2,446						2,262												Noninterest earning assets	1,005						2,446
Total assets	Total assets	98,318						103,898												Total assets	$	104,608					$	98,318

Consolidated obligation discount notes	Consolidated obligation discount notes	46,391		35		0.10	%	45,450		291		0.85	%	—		(256)		(256)		Consolidated obligation discount notes	$	31,095	259		1.11	%	$	46,391	35		0.10	%	(127)		351		224
Consolidated obligation bonds	Consolidated obligation bonds	42,513		177		0.56	%	49,720		439		1.18	%	(31)		(231)		(262)		Consolidated obligation bonds	62,825		544		1.15	%	42,513		177		0.56	%	179		188		367
Other interest bearing liabilities	Other interest bearing liabilities	1,188		9		1.01	%	1,380		14		1.35	%	(1)		(4)		(5)		Other interest bearing liabilities	1,236		18		1.94	%	1,188		9		1.01	%	1		8		9
Interest bearing liabilities	Interest bearing liabilities	90,092		221		0.33	%	96,550		744		1.03	%	(16)		(507)		(523)		Interest bearing liabilities	95,156		821		1.15	%	90,092		221		0.33	%	46		554		600
Noninterest bearing liabilities	Noninterest bearing liabilities	1,553						1,295												Noninterest bearing liabilities	2,571						1,553
Total liabilities	Total liabilities	91,645						97,845												Total liabilities	$	97,727					$	91,645

Net yield on interest earning assets	Net yield on interest earning assets	$	95,872	$	402	0.56	%	$	101,636	$	453	0.59	%	$	(28)	$	(23)	$	(51)	Net yield on interest earning assets	$	103,603	$	451	0.58	%	$	95,872	$	402	0.56	%	$	35	$	14	$	49

~~The following analysis and comparisons apply to the periods presented in the above table unless otherwise indicated.~~

Table of Contents

Federal Home Loan Bank of Chicago

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

The following analysis and comparisons apply to the periods presented in the above table unless otherwise indicated.

•Interest income from investment debt securities ~~for the three months ended September 30, 2021 decreased, in part~~increased primarily due to ~~lower short-term~~higher market interest rates in ~~2021~~2022 compared to the same period in 2020. In addition, average investment balances declined as Treasury securities matured and were not replaced. Interest income from investment debt securities for the nine months ended September 30, 2021 primarily decreased due to lower short-term market interest rates in 2021 compared to the same period in 2020. In addition, the yield earned on our investment securities during 2021 as compared to the same period in 2020 declined as a result of the sale of our PLMBS in October 2020. See ~~Note 2 – Summary of Significant Accounting Policies~~ ~~of our Form 10-K for the year ended 2020 for more information on these PLMBS sales.~~2021.

•Interest income from advances ~~decreased~~increased primarily due to ~~the low interest rate environment since the Federal Reserve dramatically lowered~~higher market interest rates in response to the COVID-19 pandemic. Lower demand for advances from our depository members, while mostly offset by increased demand from our insurance company members, have also impacted our net interest income. Additionally, advance prepayments throughout 2020 resulted in a decline in our portfolio of higher interest earning advances which reduced the yield earned and balance outstanding on our advance portfolio in 20212022 compared to the same period in ~~2020.~~2021. In addition, increased borrowing from our depository members contributed to the increase in interest income.

•Interest income from MPF Loans held in portfolio ~~declined~~slightly increased primarily due to ~~the lower mortgage rate environment impacting the yield earned on new loan originations, along with the recognition of~~a reduction in premium amortization ~~as loans prepaid during the period. In addition, the average balance of MPF Loans held~~expense in ~~portfolio slightly decreased as new-acquisition volume was outpaced by paydown and maturity activity.~~

•~~Interest expense on our consolidated obligations decreased due to lower short-term market interest rates in 2021~~2022 compared to ~~the same period~~2021 as loan prepayments slowed in ~~2020. Additionally, in 2021 we replaced our more expensive callable debt with more advantageously priced funding.~~2022.

•Interest income from overnight federal funds sold, ~~and~~ securities purchased under agreements to resell, ~~decreased~~and interest earning deposits increased due to ~~lower short-term~~higher market interest rates in ~~2021~~2022 compared to the same period in ~~2020.~~2021.

•Interest expense on our shorter-termed consolidated obligation discount notes increased due to higher market interest rates in 2022 compared to the same period in 2021, despite a decline in volume.

•Interest expense on our longer-termed consolidated obligation bonds increased due to higher market interest rates in 2022 compared to the same period in 2021, in addition to increased volume.

•For details of the effect our fair value and cash flow hedge activities had on our net interest income see Total Net Effect Gain (Loss) of Hedging Activities table on page 40.

Noninterest Income

Three months ended September 30, Nine months ended September 30,
2021 2020 2021 2020
Trading securities $ (9) $ (23) $ (40) $ 39
Derivatives and hedging activities 1 3 8 (156)
Instruments held under the fair value option (7) (7) (33) 69
Subtotal (15) (27) (65) (48)
MPF fees, 6, 7, 19 and 23 from other FHLBs 11 15 36 40
Other, net 2 4 4 11
Noninterest income $ (2) $ (8) (25) $ 3


							Three months ended September 30,				Nine months ended September 30,
							2022		2021		2022		2021
Trading securities							$	3	$	(9)	$	1	$	(40)
Derivatives							19		1		65		8
Instruments held under the fair value option							(6)		(7)		(52)		(33)

MPF fees,	6	6	18	and	19	from other FHLBs	8		11		27		36
Other, net							3		2		1		4
Noninterest income (loss)							$	27	$	(2)	$	42	$	(25)

The following analysis and comparisons apply to the periods presented in the above table.

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

AThe decrease in losses experienced on our trading securities was attributable to a significant decline in the ~~primary driver~~average balance of our ~~increase in noninterest income~~trading securities outstanding for the ~~three months ended September 30, 2021. Losses~~periods presented, which in turn reduced the amount of losses incurred on our trading ~~securities and instruments held under the fair value option were the primary driver of our decrease in noninterest income for the nine months ended September 30, 2021.~~portfolio. The corresponding gains and losses for derivatives and instruments held under fair value option were ~~primarily driven by maturities in our Treasury Trading securities purchased at a premium~~attributable to different positions and the ~~increase~~movement in ~~long-term~~market interest rates ~~and the interest rate curve steepening during~~ in 2022 compared to 2021.

Table of Contents

Federal Home Loan Bank of Chicago

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

The following table details the effect of hedging transactions onrecorded in the various line items in our Condensed Statements of Income. Hedge ineffectiveness on hedges qualifying for hedge accounting are recorded in net interest income rather than recorded in derivatives, ~~and hedging activities~~ as noted in the table below.

Total Net Effect Gain (Loss) of Hedging Activities


		Advances		Investments		MPF Loans		Discount Notes		Bonds		Other		Total			Advances		Investments		MPF Loans		Discount Notes		Bonds		Other		Total
Three months ended September 30, 2021
Three months ended September 30, 2022																Three months ended September 30, 2022
Recorded in net interest income	Recorded in net interest income	$	(77)	$	(66)	$	—	$	(5)	$	58	$	1	$	(89)	Recorded in net interest income	$	27	$	(1)	$	—	$	2	$	(95)	$	(1)	$	(68)
Recorded in derivatives & hedging activities		1		—		—		—		—		—		1
Recorded in derivatives																Recorded in derivatives	15		8		12		(3)		(7)		(6)		19
Recorded in trading securities	Recorded in trading securities	—		(9)		—		—		—		—		(9)		Recorded in trading securities	—		3		—		—		—		—		3
Recorded on instruments held under the fair value option	Recorded on instruments held under the fair value option	(7)		—		(1)		—		—		1		(7)		Recorded on instruments held under the fair value option	(12)		—		(1)		1		6		—		(6)
Total net effect gain (loss) of hedging activities	Total net effect gain (loss) of hedging activities	$	(83)	$	(75)	$	(1)	$	(5)	$	58	$	2	$	(104)	Total net effect gain (loss) of hedging activities	$	30	$	10	$	11	$	—	$	(96)	$	(7)	$	(52)

Three months ended September 30, 2020
Three months ended September 30, 2021																Three months ended September 30, 2021
Recorded in net interest income	Recorded in net interest income	$	(135)	$	(70)	$	(1)	$	(7)	$	43	$	—	$	(170)	Recorded in net interest income	$	(77)	$	(66)	$	—	$	(5)	$	58	$	1	$	(89)
Recorded in derivatives & hedging activities		3		2		(1)		—		(1)		—		3
Recorded in derivatives																Recorded in derivatives	1		—		—		—		—		—		1
Recorded in trading securities																Recorded in trading securities	—		(9)		—		—		—		—		(9)
Recorded on instruments held under the fair value option																Recorded on instruments held under the fair value option	(7)		—		(1)		—		—		1		(7)
Total net effect gain (loss) of hedging activities																Total net effect gain (loss) of hedging activities	$	(83)	$	(75)	$	(1)	$	(5)	$	58	$	2	$	(104)

Nine months ended September 30, 2022																Nine months ended September 30, 2022

Recorded in net interest income																Recorded in net interest income	$	15	$	(140)	$	—	$	(4)	$	53	$	—	$	(76)
Recorded in derivatives																Recorded in derivatives	64		11		26		(4)		(25)		(7)		65
Recorded in trading securities	Recorded in trading securities	—		(23)		—		—		—		—		(23)		Recorded in trading securities	—		1		—		—		—		—		1
Recorded on instruments held under the fair value option	Recorded on instruments held under the fair value option	(5)		—		(2)		—		—		—		(7)		Recorded on instruments held under the fair value option	(75)		—		(8)		5		26		—		(52)
Total net effect gain (loss) of hedging activities	Total net effect gain (loss) of hedging activities	$	(137)	$	(91)	$	(4)	$	(7)	$	42	$	—	$	(197)	Total net effect gain (loss) of hedging activities	$	4	$	(128)	$	18	$	(3)	$	54	$	(7)	$	(62)

Nine months ended September 30, 2021	Nine months ended September 30, 2021															Nine months ended September 30, 2021

Recorded in net interest income	Recorded in net interest income	$	(163)	$	(206)	$	(1)	$	(13)	$	163	$	—	$	(220)	Recorded in net interest income	$	(163)	$	(206)	$	(1)	$	(13)	$	163	$	—	$	(220)
Recorded in derivatives & hedging activities		22		—		(14)		—		—		—		8
Recorded in trading securities		—		(37)		—		—		—		—		(37)
Recorded on instruments held under the fair value option		(33)		—		(3)		—		2		1		(33)
Total net effect gain (loss) of hedging activities		$	(174)	$	(243)	$	(18)	$	(13)	$	165	$	1	$	(282)

Nine months ended September 30, 2020
Recorded in net interest income		$	(175)	$	(109)	$	(1)	$	(16)	$	85	$	—	$	(216)
Recorded in derivatives & hedging activities		(97)		(92)		1		20		8		4		(156)
Recorded in derivatives																Recorded in derivatives	22		—		(14)		—		—		—		8
Recorded in trading securities	Recorded in trading securities	—		18		—		—		—		—		18		Recorded in trading securities	—		(37)		—		—		—		—		(37)
Recorded on instruments held under the fair value option	Recorded on instruments held under the fair value option	73		—		—		—		(4)		—		69		Recorded on instruments held under the fair value option	(33)		—		(3)		—		2		1		(33)
Total net effect gain (loss) of hedging activities	Total net effect gain (loss) of hedging activities	$	(199)	$	(183)	$	—	$	4	$	89	$	4	$	(285)	Total net effect gain (loss) of hedging activities	$	(174)	$	(243)	$	(18)	$	(13)	$	165	$	1	$	(282)

MPF fees (including from other FHLBs)

A majority of MPF fees are from other FHLBs that pay us a fixed membership fee to participate in the MPF Program and a volume-based fee for us to provide services related to MPF Loans carried on their balance sheets. MPF fees also include income from other third party off-balance sheet MPF Loan products and other related transaction fees. These fees are designed to ~~offset a portion of~~compensate us for the expenses we incur to administer the ~~program for them. Fee income decreased as new-acquisition~~program. Decreases in our 2022 MPF fees were primarily driven by a decrease in volume ~~for~~in off-balance sheet MPF ~~Loans held~~Loan products resulting in ~~portfolio was outpaced by paydown and maturity activity~~a decline in ~~2021 compared to the same period in 2020.~~fee income.

Other, net

Other, net ~~consists primarily of~~includes fee income ~~earned on~~we earn from member standby ~~letter~~letters of credit ~~products, as noted in~~ ~~Selected Financial Data~~ ~~on page 32.~~products.

Table of Contents

Federal Home Loan Bank of Chicago

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

Noninterest Expense


		Three months ended September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
		2021		2020		2021		2020			2022		2021		2022		2021
Compensation and benefits	Compensation and benefits	$	26	$	29	$	79	$	100	Compensation and benefits	$	31	$	26	$	88	$	79
Nonpayroll operating expenses	Nonpayroll operating expenses	19		22		59		68		Nonpayroll operating expenses	26		19		71		59
COVID-19 relief program		—		5		3		24

Federal Housing Finance Agency and Office of Finance										Federal Housing Finance Agency and Office of Finance	4		4		14		12
Other, net	Other, net	7		9		27		15		Other, net	1		3		5		18
Noninterest expense	Noninterest expense	$	52	$	65	168		$	207	Noninterest expense	$	62	$	52	$	178	$	168

The following analysis and comparisons apply to the periods presented in the above table.

Compensation and benefits increased primarily ~~decreased~~ due to ~~reduced pension and other employee-related costs.~~increased employee headcount. We had ~~466~~493 employees as of September 30, ~~2021,~~2022, compared to ~~486~~466 as of September 30, ~~2020.~~2021.

Nonpayroll operating expenses ~~were lower compared to prior periods~~increased primarily due to ~~a one-time expense in 2020 related to the termination of our building lease in addition to reduced information technology expenses. However, we continue~~ our planned investment in information technology, specifically applications, infrastructure and resiliency. In addition, increased voluntary contributions to our Community First programs to support community development also contributed to the increase in nonpayroll operating expenses.

~~As part~~Federal Housing Finance Agency and Office of the Bank's ongoing commitment to provide support to our members throughout the COVID-19 pandemic, from May 3, 2021 to May 28, 2021 we made available a zero interest-rate advance with a maximum borrowing amount up to $5 million for all member institutions. Over halfFinance expenses consist of our members took advantage of this advance offering, resulting in $1.7 billion in subsidized, 0% advances to support our members and approximately $3 million recorded in expenses. In 2020, we also offered COVID-19 relief programs to support communities in Illinois and Wisconsin; for more information on these programs, ~~see~~ ~~Environment, Social, and Governance~~ ~~on page 13 of the 2020 10-K.~~

Other, net expenses for the three months ended September 30, 2021 compared to the same period in 2020 primarily decreased due to reduced non-qualified defined benefit plan expenses. Other, net expenses for the nine months ended September 30, 2021 compared to the same period in 2020 primarily increased due to increased non-qualified defined benefit plan expenses related to the retirement of our former President and CEO expensed in the first quarter of 2021. Other, net expenses also increased in 2021 compared to 2020 to a lesser extent as a result of increases in our share of the funding for the FHFA, our regulator, and the Office of Finance, which manages the consolidated obligation debt issuances of the FHLBs. ~~In addition,~~

Other, net expenses ~~includes MPF related non-operating expenses/gains on the sale of real estate owned.~~primarily decreased due to reduced non-qualified defined benefit plan expenses.

As noted in Noninterest Income on ~~pages~~page 39, ~~and 40,~~ we earn MPF fees from the MPF Program, a majority of which are from other FHLBs, but also include income from other third party investors. These fees are designed to ~~offset a portion of~~compensate us for the expenses we incur to administer the program. Our expenses relating to the MPF fees earned are included in the relevant line items in the noninterest expense table shown above. The following table summarizes MPF related fees and ~~expenses:~~expenses.


		Three months ended September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
		2021		2020		2021		2020			2022		2021		2022		2021
MPF fees earned	MPF fees earned	$	11	$	15	$	36	$	40	MPF fees earned	$	8	$	11	$	27	$	36
Expenses related to MPF fees earned	Expenses related to MPF fees earned	7		10		27		30		Expenses related to MPF fees earned	9		7		27		27

Assessments

We record the AHP assessment expense at a rate of 10% of income before assessments, excluding interest expense on MRCS. See Note 11 - Affordable Housing Program to the financial statements in our ~~2020~~2021 Form 10-K for further details.

Table of Contents

Federal Home Loan Bank of Chicago

(U.S. 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,				Balance remaining in AOCI as of			Three months ended September 30,				Nine months ended September 30,				Balance remaining in AOCI as of
		2021		2020		2021		2020		September 30, 2021			2022		2021		2022		2021		September 30, 2022
Net unrealized gain (loss) available-for-sale debt securities	Net unrealized gain (loss) available-for-sale debt securities	$	(98)	$	280	$	154	$	(4)	$	446	Net unrealized gain (loss) available-for-sale debt securities	$	(152)	$	(98)	$	(532)	$	154	$	(166)
Noncredit OTTI held-to-maturity debt securities		—		3		—		12		—
Net unrealized gain (loss) cash flow hedges	Net unrealized gain (loss) cash flow hedges	7		9		39		(39)		(26)		Net unrealized gain (loss) cash flow hedges	34		7		115		39		104
Postretirement plans	Postretirement plans	1		(2)		(3)		(13)		(23)		Postretirement plans	1		1		(2)		(3)		(15)
Other comprehensive income (loss)	Other comprehensive income (loss)	$	(90)	$	290	$	190	$	(44)	$	397	Other comprehensive income (loss)	$	(117)	$	(90)	$	(419)	$	190	$	(77)

The following analysis and comparisons apply to the periods presented in the above table.

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

The net unrealized loss on our ~~available-for-sale (AFS)~~AFS portfolio for ~~the three months ended September 30, 2021~~2022 was primarily due to ~~long-term~~an increase in market interest rates finishing slightly higher during the third quarter of 2021. The net unrealized gain on our available-for-sale (AFS) portfolio for the nine months ended September 30, 2021 was primarily due to spreads to swaps reversing the widening (losses) initially experienced in ~~the first quarter of 2020 resulting from the effects of the COVID-19 pandemic on the financial markets.~~2022. As these securities approach maturity, we expect ~~these~~the net unrealized ~~gains~~losses in our AOCI as of September 30, 2022 to reverse over the remaining life of these securities (since we expect to receive par value at maturity).

~~Noncredit OTTI on held-to-maturity debt securities~~

We recorded unrealized noncredit impairments on held-to-maturity debt securities during the last financial crisis of 2008. From our sale of HTM PLMBS in October 2020 our remaining loss balance in AOCI went to zero. See ~~Note 2 – Summary of Significant Accounting Policies~~ ~~of our 2020 Form 10-K for more details on our sale of PLMBS during October 2020.~~

Net unrealized gain (loss) on cash flow hedges

The net unrealized gain on cash flow hedges for ~~the three months ended September 30, 2021~~2022 was primarily driven by ~~long-term~~an increase in market interest rates ~~finishing slightly higher during the third quarter of 2021. The net unrealized gain on cash flow hedges for the nine months ended September 30, 2021 was primarily driven by the overall increase~~ in ~~long-term interest rates and the interest rate curve steepening during 2021.~~

~~Postretirement plans~~

The loss for the nine months ended September 30, 2021 was recorded in the first quarter of 2021 primarily due to an actuarial adjustment resulting from a decline in the discount rate used to calculate postretirement benefits.2022.

We did not recognize any instrument-specific credit risk in our Condensed Statements of Comprehensive Income as of September 30, ~~2021~~2022 due to our credit standing. For further details on the activity in our Other Comprehensive Income (Loss) see Note 12 - Accumulated Other Comprehensive Income (Loss) to the condensed financial statements.

Table of Contents

Federal Home Loan Bank of Chicago

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

Statement of Condition


		September 30, 2021		December 31, 2020			September 30, 2022		December 31, 2021

Cash and due from banks, interest bearing deposits, federal funds sold, and securities purchased under agreements to resell	Cash and due from banks, interest bearing deposits, federal funds sold, and securities purchased under agreements to resell	$	20,223	$	18,641	Cash and due from banks, interest bearing deposits, federal funds sold, and securities purchased under agreements to resell	$	18,431	$	13,167
Investment debt securities	Investment debt securities	22,044		24,549		Investment debt securities	20,502		25,461
Advances	Advances	46,042		46,695		Advances	59,667		48,049
MPF Loans held in portfolio, net of allowance for credit losses	MPF Loans held in portfolio, net of allowance for credit losses	9,846		10,038		MPF Loans held in portfolio, net of allowance for credit losses	10,071		9,843
Other, net of allowance for credit losses	Other, net of allowance for credit losses	439		433		Other, net of allowance for credit losses	580		434
Assets	Assets	98,594		100,356		Assets	$	109,251	$	96,954

Consolidated obligation discount notes	Consolidated obligation discount notes	40,878		48,643		Consolidated obligation discount notes	$	40,468	$	24,563
Consolidated obligation bonds	Consolidated obligation bonds	49,041		42,670		Consolidated obligation bonds	59,529		63,373
Other	Other	2,115		2,754		Other	2,185		2,266
Liabilities	Liabilities	92,034		94,067		Liabilities	102,182		90,202
Capital stock	Capital stock	1,969		2,010		Capital stock	2,679		2,149
Retained earnings	Retained earnings	4,194		4,072		Retained earnings	4,467		4,261
Accumulated other comprehensive income (loss)	Accumulated other comprehensive income (loss)	397		207		Accumulated other comprehensive income (loss)	(77)		342
Capital	Capital	6,560		6,289		Capital	7,069		6,752
Total liabilities and capital	Total liabilities and capital	$	98,594	$	100,356	Total liabilities and capital	$	109,251	$	96,954

The following is an analysis of the above table and comparisons apply to September 30, ~~2021~~2022 compared to December 31, ~~2020.~~2021.

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

Amounts held in these typically overnight 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.

In the third quarter of ~~2021,~~2022, we maintained a sufficient pool of liquidity to support anticipated member demand for advances and letters of credit.

Investment Debt Securities

Investment debt securities decreased at the end of third quarter 2022 compared to year end 2021 primarily ~~due~~attributable to ~~Treasury securities that matured~~a decline in the fair value of our AFS portfolio driven by rising market interest rates and ~~were not replaced during 2021.~~a reduction in investment in U.S. Treasuries.

Advances

Advance balances ~~slightly declined~~increased at the end of third quarter ~~2021~~2022 compared to year end ~~2020. We believe many of~~2021 attributable to increased borrowings from our depository members experienced an inflow of deposits on their balance sheets along with reduced loan demand, while also having access to other liquidity sources as a result of certain government actions related to the COVID-19 pandemic during 2020. Although these factors continued to limit our depository members’ need for advances, increased advance borrowing by insurance company members has mostly offset the decline.members. Advance balances will vary based primarily on member demand or need for wholesale funding and the underlying cost of the advance to the member. It is possible that member demand for our advances could decline ~~further~~ in future periods should their funding needs change, or to the extent they elect alternative funding resources. In addition, as our advances with our former captive insurance ~~companies~~company members mature, our total advance levels may decrease. For a discussion of risks relating to our former captive insurance ~~companies, and of risks relating to our advance levels as a result of the COVID-19 pandemic,~~company members see Risk Factors starting on page 2322 of our 2021 Form ~~10-K for the year ended 2020.~~10-K. For details on our advances with our former captive insurance company members, see Note 6 - Advances.

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

MPF Loans held in portfolio increased slightly ~~decreased~~ as new-acquisition volume ~~was~~ outpaced by paydown and maturity activity. 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.

Table of Contents

Federal Home Loan Bank of Chicago

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

Liquidity, Funding, & Capital Resources

Liquidity

For the period ending September 30, ~~2021,~~2022, we 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 current liquidity requirements. See Liquidity, Funding, & Capital Resources on page 54 in our ~~2020~~2021 Form 10-K for a detailed description of our current 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% or ~~$3.5~~$3.8 billion of total assets. As of September 30, ~~2021,~~2022, our overnight liquidity was ~~$22.6~~$21.3 billion or ~~23%~~20% of total assets, giving us an excess overnight liquidity of ~~$19.1~~$17.5 billion.

Deposit Coverage – To support our member deposits, FHFA regulations require us to have an amount equal to the current deposits received from our members 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, ~~2021,~~2022, we had excess liquidity of ~~$40.0~~$52.7 billion to support member deposits.

Liquidity Reserves – As discussed on page 54 in the Liquidity, Funding, & Capital Resources section of our ~~2020~~2021 Form 10-K, FHFA guidance on liquidity (the ~~“Liquidity AB”)~~Liquidity AB) requires that we hold positive cash flow assuming no access to the capital markets for a period of between ten to thirty calendar days, and assuming the renewal of all maturing advances. The Liquidity AB also requires the Bank to maintain liquidity reserves between one and 20 percent of our outstanding letter of credit commitments.

~~The~~In an effort to satisfy our current liquidity requirements, we generally maintain increased balances in short-term or liquid investments. Depending on market conditions, the Liquidity AB ~~requires~~may require the Bank to hold an additional amount of liquid assets, which could reduce the Bank’s ability to invest in higher-yielding assets, and may in turn negatively impact net interest income. To the extent that the Bank adjusts pricing for its short-term advances and letters of credit, these products may become less competitive, which may adversely affect advance and capital stock levels as well as letters of credit levels. For additional discussion of how our liquidity requirements may impact our earnings, see Risk Factors section starting on page 2322 of our ~~2020~~2021 Form 10-K.

In addition, we fund certain shorter-term or overnight investments and advances with debt that has a maturity that extends beyond the maturities of the related investments or advances. The Liquidity AB provides guidance on maintaining appropriate funding gaps for three-month (-10% to -20%) and one-year (-25% to -35%) maturity horizons. Subject to market conditions, our cost of funding may increase if we are required to achieve the appropriate funding gap by using longer term funding, on which we generally pay higher interest than on our short-term funding.

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 condensed 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.

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Federal Home Loan Bank of Chicago

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

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~~flows of our assets, including prepayments made in advance of maturity.


		MPF Loans Held in Portfolio			Investment Debt Securities							MPF Loans		Investment Debt Securities
As of September 30, 2021				Available-for Sale			Held-to-Maturity
As of September 30, 2022										As of September 30, 2022		Held in Portfolio		Available-for-Sale		Held-to-Maturity
Year of Expected Principal Cash Flows	Year of Expected Principal Cash Flows										Year of Expected Principal Cash Flows
One year or less	One year or less	$	2,263		$	834		$	344	One year or less		$	1,020	$	952	$	285
After one year through five years	After one year through five years	3,511			2,751			301		After one year through five years		3,718		3,253		216
After five years through ten years	After five years through ten years	2,119			10,747			119		After five years through ten years		2,772		13,937		100
After ten years	After ten years	1,789			3,184			110		After ten years		2,420		3,355		9
Total	Total	$	9,682		$	17,516		$	874	Total		$	9,930	$	21,497	$	610

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 the Risk Factors section starting on page 2322 in our ~~2020~~2021 Form 10-K.

Funding

Conditions in Financial Markets

InContinued concerns about inflation and interest rate hikes by the Federal Reserve, as well as continuing economic pressures, and the ensuing market volatility, were central themes during the third quarter of 2022. At its July ~~2021,~~2022 meeting, the Federal Open Market Committee (FOMC) ~~maintained the target range for~~raised the federal funds rate ~~between 0.00~~target range by 75 basis points to a target of 2.25%-2.50%, noting high inflation, the conflict in Ukraine and ~~0.25 percent~~supply and ~~committed~~demand pressures related to ~~continuing use of its full range of tools, including asset purchases,~~the COVID-19 pandemic as factors to support ~~the economy. The FOMC also announced in July 2021 the details of a Standing Repo Facility for Primary Dealers and a Foreign International Monetary Authority Repo facility.~~its decision. Federal Reserve Chairman Powell’s subsequent remarks at the Jackson Hole ~~symposium speech~~Economic Symposium in August ~~2021 affirmed~~2022 revealed the ~~view expressed in the July 2021 FOMC minutes that most participants believed they could start reducing the pace of asset purchases later in 2021.~~Federal Reserve’s “overarching focus” on bringing inflation back down to their 2.00% goal. At its September ~~2021~~2022 meeting, the FOMC ~~maintained the~~announced another 75 basis point rate hike to a federal ~~funds rate at the same~~fund target range of 3.00%-3.25%.

As both rates and ~~signaled a likely announcement about tapering the pace~~measures of ~~asset purchases~~market volatility continued to ~~come at the November 2021 FOMC meeting. U.S. Treasury yields in~~rise during the third quarter of ~~2021~~2022, yields on U.S. Treasuries were ~~generally lower than~~higher relative to the prevailing yields at the end of the second quarter of ~~2021, with~~2022. After decreasing 1.60% in the ~~exception~~first quarter of 2022, U.S. Gross Domestic Product (GDP) fell by 0.60% in the ~~very short end~~second quarter of 2022. According to the ~~curve.~~Department of Commerce, GDP declined in the second quarter of 2022 as a result of decreases in private inventory investment, residential fixed investment, federal government spending, and state and local government spending. The U.S. stock market ~~declined~~continued to drop in ~~the latter part of~~ the third quarter ~~2021, as~~of 2022, with the Dow Jones Industrial Average ~~stood~~ at ~~33,844~~28,726 points on September 30, ~~2021~~2022 versus ~~34,503~~30,775 points on June 30, ~~2021. Uncertainty regarding~~2022.

For a discussion of risks to the ~~U.S. Government's debt ceiling became a significant concern in the third quarter~~Bank relating to market and other economic conditions and related government policies, including risks related to prolonged inflation, see Risk Factors starting on page 22 of ~~2021. In preparation for the possibility of disorderly markets caused by potential debt defaults of the U.S. Government, we will be monitoring~~ our ~~liquidity position.~~2021 Form 10-K.

We maintained ready access to funding throughout the third quarter of ~~2021.~~2022.

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Federal Home Loan Bank of Chicago

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

LIBOR Transition

Following the United Kingdom's (U.K.) Financial Conduct Authority (FCA)’s 2017 announcement of its intention to cease sustaining the LIBOR indices after 2021, the Alternative Reference Rates Committee (ARRC) identified ~~the Secured Overnight Financing Rate (SOFR)~~SOFR as its recommended alternative rate. SOFR is based on a broad segment of the overnight Treasuries repurchase market and is intended to be a measure of the cost of borrowing cash overnight collateralized by Treasury securities. The FHLB System issued its first SOFR-linked debt in the market on November 13, 2018.

On March 5, 2021, the FCA announced ~~that with respect to USD LIBOR~~the cessation of the 1 week and 2 month USD LIBOR ~~would cease to be provided after~~effective December 31, 2021, and the cessation of the remaining USD LIBOR tenors ~~will cease to be provided or no longer be representative~~effective immediately after June 30, 2023. The FCA announced that it would consult whether to require LIBOR’s administrator (the Intercontinental Exchange Benchmark Administration Limited) to publish certain frequently used USD LIBOR tenors on a non-representative, synthetic basis after ~~such date.~~June 30, 2023. FCA’s announcement ~~constitutes~~constituted an index cessation event under the International Swaps and Derivatives Association's (ISDA) 2020 IBOR Fallbacks Protocol and IBOR Fallbacks Supplement, and as a result, the fallback spread adjustment for derivatives is fixed as of the date of the announcement. We do not have assets indexed to the 1 week and 2 month USD LIBOR, ~~and~~although many of our assets and liabilities are indexed to the remaining USD LIBOR tenors, which will no longer be provided after June 30, 2023.

Additionally, in accordance with a 2019 FHFA supervisory letter, we ceased entering into option embedded advance products that reference LIBOR and ceased purchasing investments that reference LIBOR and ~~mature~~matured after December 31, 2021. We ~~have~~ also suspended transactions in certain structured advances and advances with terms directly linked to LIBOR ~~that mature after December 31, 2021~~ and we no longer enter into consolidated obligation bonds and derivatives with swaps, caps, or floors

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~~Federal Home Loan Bank of Chicago~~

~~(U.S. Dollars in tables in millions except per share amounts unless otherwise indicated)~~

indexed to ~~LIBOR that terminate after December 31, 2021.~~LIBOR. Further, on July 1, 2021, the FHFA issued an additional supervisory letter setting forth its expectations that the FHLBs should be prudent in their use of non-SOFR based alternative reference rates, and should avoid use of alternative reference rates that are not based on underlying transactions or that introduce further model risk. The letter also ~~provides~~requires that an FHLB provide advance notice to its examiner-in-charge of its plans to use a non-SOFR alternative reference rate. For further discussion of the risks related to the replacement of LIBOR, see the Risk Factors section starting on page 2322 in our ~~2020~~2021 Form 10-K.

~~We continue to evaluate~~In keeping with ARRC's recommendation and ~~plan for~~industry developments, the ~~eventual replacement of the LIBOR benchmark interest rate, including the likelihood of~~Bank has selected SOFR as ~~the~~its preferred primary replacement rate for investments and advances. We have ~~developed~~ a LIBOR transition action plan and ~~convened a project team to implement the transition, which is led by a senior executive and comprised of representatives from various areas across the Bank. Our~~our Asset-Liability Management Committee (ALCO) is the management committee responsible for overseeing the transition from LIBOR. In assessing our current exposure to LIBOR, we developed an inventory of financial instruments impacted and identified contracts that would require adding or adjusting the "fallback" language which provides for contractual alternatives to the use of LIBOR when LIBOR cannot be determined based on the method provided in the agreement. We have amended the terms of certain advance products to include fallback ~~language and~~language. On March 15, 2022, the ~~Office of Finance has added~~Adjustable Interest Rate (LIBOR) Act (LIBOR Act) was signed into law. The LIBOR Act creates a uniform process to incorporate a replacement benchmark rate for LIBOR-indexed contracts that either do not contain a LIBOR fallback provision or ~~adjusted~~contain an insufficient LIBOR fallback ~~language applicable to FHLB consolidated obligations.~~provision. On July 19, 2022, the Federal Reserve Board issued proposed implementing regulations under the LIBOR Act, as further discussed in our Form 10-Q for the period ended June 30, 2022.

For over-the-counter derivatives, we adhered to the ISDA 2020 IBOR Fallbacks Protocol. For cleared derivatives, as part of the transition from LIBOR to SOFR, our clearinghouses revised their discounting methodology used to calculate the present value of future cash flows and price alignment on variation margin for USD cleared swaps from the daily effective federal funds rate (EFFR) to SOFR. Both of our clearinghouses have implemented their own unique cash and basis swap compensation mechanisms for market participants to neutralize any value transfer discrepancies from the LIBOR to SOFR conversion. Further, each clearinghouse announced its own ~~proposals~~proposal for the conversion process of LIBOR-linked cleared derivatives to risk-free ~~rates, which is~~rates. The conversions are scheduled to occur in several tranches based on product type, and are generally expected to ~~occur at or shortly~~be completed before the effective date of LIBOR ~~discontinuation.~~discontinuation for all covered products with the exception of zero coupon swaps and any remaining LIBOR swaps with non-representative fixings, which CME Clearing expects to convert on July 3, 2023. We continue to monitor the market-wide efforts to address fallback language related to cleared derivatives and investment securities as well as fallback language for new activities and issuances of financial instruments. We continue to assess our operational readiness, including updating our processes and information technology systems to support the transition from LIBOR to ~~an alternative reference rate.~~SOFR.

Market activity in SOFR-indexed financial instruments continues to increase ~~including the emergence of a SOFR-based derivative market,~~ and we continue to participate in the issuance of SOFR-indexed consolidated bonds. We are using federal funds overnight index ~~swap~~swaps (Fed Funds OIS) ~~swaps~~ and SOFR indexed swaps as an interest rate hedging strategy for financial instruments that do not have embedded options, as an alternative to using LIBOR when entering into new derivative transactions. We are offering SOFR-linked advances to our members, and for the nine months ended September 30, ~~2021,~~2022, have issued ~~$895 million~~$20.4 billion in SOFR-linked advances. For a discussion of risks relating to our use of SOFR-linked consolidated obligations and advances, see Risk Factors starting on page 2322 of our ~~2020~~2021 Form 10-K. We also offer Discount Note-index floater advances, which some members have used as alternatives to LIBOR-linked advance products.

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Federal Home Loan Bank of Chicago

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

Variable-Rate Financial Instruments by Interest-Rate Index and LIBOR-Indexed Financial Instruments

We have LIBOR exposure related to advances, investment securities, consolidated bonds, and derivatives with interest rates indexed to LIBOR. The following tables present our variable rate financial instruments by interest-rate index at September 30, ~~2021~~2022 and may not include instruments that indirectly incorporate LIBOR or another interest rate index. The tables also do not consider the impact of any fallback language contained in our financial products. ABS and MBS are presented by contractual maturity; however, their expected maturities will likely differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

As of September 30, 2021 Advances Investments Consolidated Obligations
Principal amount of variable rate instruments outstanding a
LIBOR $ 701 $ 2,947 $ 250
SOFR 897 500 18,070
Treasury — 118 —
Other 17,412 b 1 —
Total $ 19,010 $ 3,566 $ 18,320
Overnight, 1 month, 3 month, 6 month and 12-Month US Dollar LIBOR that cease or will no longer be representative immediately after June 30, 2023
Due in 2021 $ 10 $ — $ —
Due in 2022 301 — 250
Due through June 30, 2023 36 — —
Due thereafter 354 2,947 —
Total $ 701 $ 2,947 $ 250
Principal amount of SOFR-linked instruments issued YTD through
September 30, 2021 $ 895 $ — $ 12,465


As of September 30, 2022	Advances		Investments		Consolidated Obligations

Principal amount of variable rate instruments outstanding a
LIBOR	$	343	$	2,550	$	—
SOFR	7,285		429		3,615

Treasury	—		87		—
Consolidated obligation yields	19,206		—		—
Other	129		1		—
Total	$	26,963	$	3,067	$	3,615

Overnight, 1 month, 3 month, 6 month and 12-Month US Dollar LIBOR that cease or will no longer be representative immediately after June 30, 2023
Due in 2022	$	13	$	—	$	—
Due through June 30, 2023	36		—		—
Due thereafter	294		2,550		—
Total	$	343	$	2,550	$	—

Principal amount of SOFR-linked instruments issued YTD through
September 30, 2022	$	20,362	$	—	$	—

a With respect to advances, includes fixed rate advances that have cap/floor optionality linked to an interest rate index.

b ~~Consists primarily of advances indexed to consolidated obligation yields.~~

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Federal Home Loan Bank of Chicago

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

The following table details our variable rate financial instruments by pay or receive leg and whether cleared or ~~uncleared:~~uncleared.


As of September 30, 2021						Derivative Notional Amount Outstanding
As of September 30, 2022										As of September 30, 2022					Derivative Notional Amount Outstanding
						Pay Leg		Receive Leg							Pay Leg		Receive Leg
Interest rate swaps outstanding	Interest rate swaps outstanding									Interest rate swaps outstanding
Fixed rate	Fixed rate					$	34,331	$	23,297	Fixed rate					$	39,477	$	51,142
LIBOR	LIBOR					4,385		17,315		LIBOR					1,431		11,676
SOFR	SOFR					441		1,574		SOFR					29,059		15,248
OIS	OIS					18,472		15,443		OIS					20,651		12,552

Total interest rate swaps	Total interest rate swaps					$	57,629	$	57,629	Total interest rate swaps					$	90,618	$	90,618

Breakdown of above LIBOR interest rate swaps by termination date and type	Breakdown of above LIBOR interest rate swaps by termination date and type	Pay Leg				Receive Leg				Breakdown of above LIBOR interest rate swaps by termination date and type	Pay Leg				Receive Leg
		Cleared		Uncleared		Cleared		Uncleared			Cleared		Uncleared		Cleared		Uncleared

Overnight, 1 month, 3 month, 6 month and 12 month US Dollar LIBOR that cease or will no longer be representative immediately after June 30, 2023	Overnight, 1 month, 3 month, 6 month and 12 month US Dollar LIBOR that cease or will no longer be representative immediately after June 30, 2023									Overnight, 1 month, 3 month, 6 month and 12 month US Dollar LIBOR that cease or will no longer be representative immediately after June 30, 2023
Terminates in 2021		$	876	$	315	$	417	$	9
Terminates in 2022	Terminates in 2022	1,768		45		408		271		Terminates in 2022	$	373	$	15	$	155	$	100
Terminates through June 30, 2023	Terminates through June 30, 2023	767		35		474		166		Terminates through June 30, 2023	767		35		261		65
Terminates thereafter	Terminates thereafter	416		163		8,949		6,621		Terminates thereafter	241		1		8,573		2,522
Total	Total	$	3,827	$	558	$	10,248	$	7,067	Total	$	1,381	$	51	$	8,989	$	2,687

Condensed Statements of Cash Flows

Net cash flows from operating activities


Nine months ended September 30,	Nine months ended September 30,	2021		2020		Change		Nine months ended September 30,	2022		2021
Net cash provided by (used in) operating activities	Net cash provided by (used in) operating activities	$	516	$	(1,031)	$	1,547	Net cash provided by (used in) operating activities	$	1,498	$	516

~~The~~In both 2022 and 2021, the majority of our operating cash ~~outflows in 2020~~inflows were related to cash ~~sent daily to~~received from clearinghouses to settle ~~mark-to-market derivative positions due to~~market-to market positions; these inflows reversed the ~~COVID-19 pandemic impact on market volatility, which occurred primarily~~$1.9 billion of cash outflows we experienced in the first quarter of ~~2020. Since then these cash flows have partially reversed during 2021.~~

~~Net cash flows from investing activities with significant activity~~

Nine months ended September 30, 2021 2020 Change
Liquid assets (federal funds sold, securities purchased under agreements to resell, and interest bearing deposits) $ (4,190) $ 4,781 $ (8,971)
Investment debt securities 2,148 (1,669) 3,817
Advances 270 1,375 (1,105)
MPF Loans held in portfolio 127 (585) 712
Other (11) (26) 15
Net cash provided by (used in) investing activities $ (1,656) $ 3,876 $ (5,532)

2020 due to market volatility as a result of the COVID-19 pandemic.

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Federal Home Loan Bank of Chicago

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

Net cash flows from investing activities with significant activity


Nine months ended September 30,	2022		2021



Liquid assets consisting of interest bearing deposits, federal funds sold, and securities purchased under agreements to resell	$	(5,264)	$	(4,190)











Investment debt securities	2,110		2,148



Advances	(13,148)		270



MPF Loans held in portfolio	(262)		127
Other	(13)		(11)
Net cash provided by (used in) investing activities	$	(16,577)	$	(1,656)

Our investing activities consist predominantly of investments in liquid assets, investment debt securities, advances, and MPF Loans held in portfolio. The reasons for the changes in net cash provided by (used in) investing activities and changes in allocation within investing activities are discussed below for the nine months ended September 30, unless otherwise stated.

•~~In 2021, the~~The cash ~~inflow from investment debt securities was primarily due~~flows relating to ~~Treasury securities that matured and were not replaced. Starting at the end of September, we increased~~ our liquid assets ~~as we continue to monitor~~fluctuate depending on the needs of our ~~liquidity position in connection with uncertainty relating to~~members, our investing strategy, the ~~U.S. Government debt ceiling. In 2020 we reduced our liquid assets as we funded increased investment debt securities after we achieved~~economic environment, and/or regulatory ~~requirements related to liquidity, our mission asset ratio and MBS and ABS investments at the beginning of the year.~~requirements. We maintain a sufficient pool of liquidity to support anticipated member demand for advances and letters of credit.

•~~Our~~In 2022 our net cash inflows from ~~advances resulted~~investment debt securities was attributable to a reduction in investment in U.S. Treasuries and Small Business Administration securities that matured and were not replaced. In 2021 our net cash inflows from ~~outstanding advances decreasing slightly~~investment debt securities was primarily attributable to a reduction in ~~2021 as member demand for funding remained steady. We experienced a significantly larger decrease~~investment in ~~advances during the same period in 2020 as members had reduced need for advances as a result of an inflow of deposits on their balance sheets along with reduced loan demand, as well as~~ ~~access to other liquidity sources as a result of certain government actions related to the COVID-19 pandemic~~. U.S. Treasuries.

•In 2022 our net cash outflows for advances was attributable to increased borrowing from our depository members. In 2021 our net cash inflow for advances resulted from a slight decrease in outstanding advances, but member demand for funding remained steady.

•In 2022 our net cash outflows for MPF Loans held in portfolio was due to new-acquisition volume that outpaced paydown and maturity activity. In 2021 our net cash inflows from MPF Loans held in portfolio ~~resulted from a slight decline in net investment due to customer paydowns in mortgage loans as a result of refinancing opportunities relative to an increase in mortgage loans in 2020~~was due to new-acquisition volume ~~outpacing paydowns~~that was outpaced by paydown and ~~maturities.~~maturity activity.

Net cash flows from financing activities with significant activity


Nine months ended September 30,	Nine months ended September 30,	2021		2020		Change		Nine months ended September 30,	2022		2021

Consolidated obligation discount notes	Consolidated obligation discount notes	$	(7,762)	$	200	$	(7,962)	Consolidated obligation discount notes	$	15,804	$	(7,762)

Consolidated obligation bonds	Consolidated obligation bonds	6,614		(2,681)		9,295		Consolidated obligation bonds	(822)		6,614
Other	Other	(320)		801		(1,121)		Other	97		(320)
Net cash provided by (used in) financing activities	Net cash provided by (used in) financing activities	$	(1,468)	$	(1,680)	$	212	Net cash provided by (used in) financing activities	$	15,079	$	(1,468)

Our financing activities primarily reflect cash flows related to issuing and repaying consolidated obligation bonds and discount notes. The change in net cash provided by (used in) financing activities and change in funding allocations are discussed below for the nine months ended September 30, unless otherwise stated.

•In 2022 we paid down our bonds and increased our use of discount notes to align with advantageous funding opportunities. The increased borrowing on our discount notes reflects an increase in debt financing to match the overall increase in assets outstanding as discussed in investing activities above. In 2021 we paid down our discount notes and increased our use of bonds to align with advantageous funding opportunities and ~~our smaller balance sheet. In 2020, while our use of discount notes remained relatively stable, we paid down bonds to align with our smaller~~a contracted balance sheet.

•~~The change in~~In 2022 our net cash inflows for Other was primarily ~~reflects changes in member deposits at~~due to proceeds from issuance of our ~~Bank.~~capital stock. In 2021 our net cash outflows for Other was primarily due to members ~~withdrew a small amount of deposits compared to a large increase in deposits in 2020.~~withdrawing from their deposit accounts.

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Federal Home Loan Bank of Chicago

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

Capital Resources

Capital Rules

~~We implemented the~~Under our amended and restated Capital Plan, ~~of the Federal Home Loan Bank of Chicago,~~ effective ~~as of~~ May 3, 2021 (the Capital Plan).

~~Under the 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 per share and redeemable on five years' written notice, subject to certain conditions. ~~Each~~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. All stock that supports a member’s activity stock requirement with the Bank is classified as Class B1 activity stock. Any additional amount of stock necessary for the total amount of Class B stock held to equal a member’s minimum investment amount will be classified as Class B2 membership stock. Members purchase Class B2 membership stock to satisfy their membership stock requirement with the Bank. Stock held in excess of a member’s minimum investment requirement is classified as Class B2 excess capital stock. Any dividend declared on Class B1 activity stock must be greater than or equal to the dividend on Class B2 membership stock for the same period. The higher dividend paid on Class B1 activity

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~~Federal Home Loan Bank of Chicago~~

~~(U.S. Dollars in tables in millions except per share amounts unless otherwise indicated)~~

stock since late 2013 acknowledges that members, through their utilization of Bank products, provide support to the entire cooperative.

Under the Capital Plan, each member’s activity stock requirement is set at 4.5% for advances other than those borrowed under the Reduced Capitalization Advance Program (RCAP) as further discussed below. The Capital Plan provides that the Board of Directors may periodically adjust members' activity stock requirement for advances between a range of 2% and 5% of a member's outstanding advances.

Additionally, for MPF on-balance sheet products (which includes MPF Original, MPF 125, MPF 35, and MPF Government loans), the activity stock requirement is 2% of the principal loan amount sold into ~~new~~ master commitments ~~executed on~~opened or ~~after May 3, 2021.~~amended. Under the Capital Plan, the range within which our Board may adjust this requirement is between 0% and 5%. For letters of credit, the activity stock requirement is 0.10% of the notional amount of all new letters of credit issued, ~~on or after May 3, 2021,~~ and all existing letters of credit renewed, extended or ~~increased on or after May 3, 2021.~~increased. Under the Capital Plan, the range for the letter of credit activity stock requirement is 0.10% to 2%.

Under the Capital Plan, each member’s membership stock requirement is the greater of either $10,000 or 0.40% of a member's mortgage assets. The Capital Plan provides that the Board may periodically adjust members’ membership stock requirement between a range of 0.20% to 1% of a member’s mortgage assets. A member’s investment in membership stock is capped at $5 million, subject to adjustment by the Board within a range between $1 million and $25 million.

Membership stock requirements are recalculated annually, whereas the activity stock requirement and any automatic conversion ~~between~~of Class B2 membership stock ~~and~~to Class B1 activity stock related to activity continue to apply on a daily basis.

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 as discussed in Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS) to the condensed financial statements. 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.

For details on our capital stock requirements under our capital plan for year-end ~~2019 and 2020,~~2021, see Capital Resources on page 62 of our ~~2020~~2021 Form 10-K. 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.

For details on our minimum regulatory capital requirements see Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS) to the condensed financial statements in this Form 10-Q, and Minimum Capital Requirements in Note 12 - Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements of our ~~2020~~2021 Form 10-K.

Reduced Capitalization Advance Program (RCAP)

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 current 4.5% requirement under our Capital Plan’s general provisions. At September 30, ~~2021,~~2022, RCAP advances outstanding total ~~$21.0~~$20.5 billion to ~~376~~194 members compared to ~~$21.9~~$20.6 billion to ~~449~~351 members at December 31, ~~2020. The advances issued through our COVID-19 relief program are all RCAP advances.~~2021. We may implement future programs for advances with a reduced activity stock requirement that may or may not have the same characteristics as current RCAP offerings.

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Federal Home Loan Bank of Chicago

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

Repurchase of Excess Capital Stock

Members may request repurchase of excess capital stock on any business day. Additionally, ~~starting on March 15, 2021, and continuing~~ on a monthly basis, the Bank ~~plans to~~will repurchase excess capital stock held by each member or former member that exceeds certain ~~limits~~thresholds set by the Bank. All repurchases of excess capital stock, including any future monthly repurchases, will continue until otherwise announced, but remain subject to our regulatory requirements, certain financial and capital thresholds, and prudent business practices. For details on the financial and capital thresholds relating to repurchases, see Repurchase of Excess Capital Stock on page 6566 of our ~~2020~~2021 Form 10-K.

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~~Federal Home Loan Bank of Chicago~~

~~(U.S. Dollars in tables in millions except per share amounts unless otherwise indicated)~~

Capital Amounts

The following table reconciles our capital reported in our Condensed 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 Condensed Statements of Condition.


		September 30, 2021		December 31, 2020			September 30, 2022		December 31, 2021
Capital Stock	Capital Stock	$	1,969	$	2,010	Capital Stock	$	2,679	$	2,149
Mandatorily redeemable capital stock (MRCS) recorded as a liability	Mandatorily redeemable capital stock (MRCS) recorded as a liability	247		279		Mandatorily redeemable capital stock (MRCS) recorded as a liability	247		247
Regulatory capital stock	Regulatory capital stock	2,216		2,289		Regulatory capital stock	2,926		2,396
Retained earnings	Retained earnings	4,194		4,072		Retained earnings	4,467		4,261
Regulatory capital	Regulatory capital	$	6,410	$	6,361	Regulatory capital	$	7,393	$	6,657

Capital stock	Capital stock	$	1,969	$	2,010	Capital stock	$	2,679	$	2,149
Retained earnings	Retained earnings	4,194		4,072		Retained earnings	4,467		4,261
Accumulated other comprehensive income (loss)	Accumulated other comprehensive income (loss)	397		207		Accumulated other comprehensive income (loss)	(77)		342
GAAP capital	GAAP capital	$	6,560	$	6,289	GAAP capital	$	7,069	$	6,752

Accumulated other comprehensive income (loss) in the above table consists of changes in market value of various balance sheet accounts where the change is not recorded in earnings but ~~are~~is instead recorded in equity capital as the income (loss) is not yet realized. For details on these changes please see Note 12 - Accumulated Other Comprehensive Income (Loss) to the condensed financial statements.

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 ~~21, 2021,~~28, 2022, our Board of Directors declared a ~~5.00%~~6.50% dividend (annualized) for Class B1 activity stock and a ~~2.00%~~2.75% dividend (annualized) for Class B2 membership stock based on our preliminary financial results for the third quarter of ~~2021.~~2022. This dividend totaled ~~$25~~$41 million (recorded as ~~$22~~$37 million dividends on capital stock and $3$4 million interest expense on mandatorily redeemable capital stock) and is scheduled for payment on November 15, ~~2021.~~2022.

Although we continue to work to maintain our financial strength to support a reasonable dividend, any future dividend payment remains subject to declaration by our Board 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 ~~see~~ on our Retained Earnings ~~& Dividends~~ ~~on page 66 in~~and Dividend Policy, see our ~~2020~~ Form ~~10-K.~~10-Q for the quarter ended March 31, 2022.

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 in Note 12 - Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements of our ~~2020~~2021 Form 10-K.

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Federal Home Loan Bank of Chicago

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

Credit Risk Management

In light of the economic and financial disruptions related to the COVID-19 pandemic, we are closely monitoring our credit risk exposure. Notwithstanding increasing COVID-19 vaccination rates and the easing of restrictive measures, uncertainty remains with respect to the speed and extent to which normal economic and operating conditions can resume, and with the ultimate effect of the COVID-19 pandemic on our business, financial condition, and results of operations. For a discussion of the credit risks facing the Bank as a result of the COVID-19 pandemic, including as a result of increased forbearances granted by Bank members or PFIs or a decline in the fair value of Bank investments, see ~~Risk Factors~~ ~~starting on page 23 of our 2020 Form 10-K.~~

Managing Our Credit Risk Exposure Related to Member Credit Products

Our credit risk rating system focuses primarily on our members' overall financial health and takes into account the member's asset quality, earnings, and capital position. For further information please see Credit Risk starting on page 69 in our ~~2020~~2021 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, ~~$45.6~~$60.9 billion were advances (par value) and ~~$13.1~~$13.0 billion were letters of credit at September 30, ~~2021,~~2022, compared to ~~$45.8~~$47.7 billion and ~~$16.4~~$11.3 billion at December 31, ~~2020.~~2021.


		September 30, 2021					December 31, 2020						September 30, 2022					December 31, 2021
Rating	Rating	Borrowing Members	Credit Outstanding		Collateral Loan Value		Borrowing Members	Credit Outstanding		Collateral Loan Value		Rating	Borrowing Members	Credit Outstanding		Collateral Loan Value		Borrowing Members	Credit Outstanding		Collateral Loan Value
1-3	1-3	546	$	58,163	$	132,123	556	$	62,021	$	149,125	1-3	508	$	73,625	$	147,127	545	$	58,542	$	131,923
4	4	7	523		817		9	573		790		4	9	497		519		6	464		611
5	5	7	31		45		9	28		61		5	8	68		118		7	30		44
Total	Total	560	$	58,717	$	132,985	574	$	62,622	$	149,976	Total	525	$	74,190	$	147,764	558	$	59,036	$	132,578

Members assigned a 4 rating in the above table were required to submit specific collateral listings and the members assigned a 5 rating were required to deliver collateral to us or to a third party custodian on our behalf.

In response to the COVID-19 pandemic, we began accepting Paycheck Protection Program (PPP) loans as eligible collateral. In addition, as many of our members assist borrowers affected by the COVID-19 pandemic, we are accepting as eligible collateral loans temporarily granted forbearance due to the pandemic as long as the loans continue to meet all other eligibility requirements as defined in our collateral guidelines. To the extent that these loans become delinquent or do not meet the Bank’s eligibility guidelines in the future, the value of collateral pledged to secure member credit may be negatively impacted.

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~~Federal Home Loan Bank of Chicago~~

~~(U.S. Dollars in tables in millions except per share amounts unless otherwise indicated)~~

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 condensed financial statements.

Credit Risk Exposure - Our credit risk exposure on conventional MPF Loans held in portfolio is the potential for financial loss due to borrower default and depreciation in the value of the real estate collateral securing the MPF Loan, offset by our ability to recover losses from PMI, Recoverable CE Fees, and the CE Amount which may include SMI. The PFI is required to pledge collateral to secure any portion of its CE Amount that is a direct obligation of the PFI. For further details see Loss Structure for Credit Risk Sharing Products on page 9 of our ~~2020~~2021 Form 10-K, and Credit Risk Exposure and Setting Credit Enhancement Levels starting on page 72 of our ~~2020~~2021 Form 10-K.

Under our MPF Program for ~~non-government insured/guaranteed~~conventional loans held in our portfolio, the loan payment forbearance offered to borrowers impacted by the COVID-19 pandemic allows a borrower to defer loan payments for up to 180 days without requiring documentation from the borrower to support the relief requested. Borrowers that continue to be impacted by COVID-19 may request extensions of the loan payment forbearance for additional periods of up to a total cumulative forbearance period of 2124 months. A hardship certification from the borrower supporting the continued hardship due to the COVID-19 pandemic is required for approval of additional payment forbearance. During forbearance, late fees are not assessed. At the end of forbearance, borrowers are presented with options for bringing their mortgage loan to a current status.

For ~~government insured or guaranteed loans~~Government Loans held in our portfolio, the forbearance plan requirements of the insuring or ~~guaranteeing~~guarantying agency must be followed. For MPF Xtra loans that are serviced by PFIs or a servicing aggregator approved by the MPF Program, Fannie Mae’s forbearance plan requirements must be ~~followed. The CARES Act requires that servicers servicing government insured or guaranteed loans and loans purchased by Fannie Mae offer their borrowers~~followed, which allow a ~~payment forbearance plan with an initial forbearance period of~~borrower to defer loan payments for up to 180 days with the availability of an additional 180 days for COVID-19 related hardship. Fannie Mae has amended its plan from the CARES Act requirements to offer their borrowers initial forbearance period of up to 180 days with the availability of additional periods of up to 365 days, not exceeding a total cumulative forbearance period of 18 months.

Borrowers who are in existing forbearance plans ~~who have resolved~~are evaluated for reinstatement, repayment, deferment, permanent loan modification, or liquidation options, as appropriate for their COVID-19 related financial hardships, and who are able to resume making their original monthly payments, but are unable to reinstate the loan by repaying the arrears, may be offered deferral plans allowing them to resume making those payments while deferring the COVID-19 related forbearance arrears to the earlier of the loan being paid off, the loan maturity date, or the sale of the property.situation.

~~In addition, the foreclosure moratorium will continue until at least December 31, 2021,~~

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Federal Home Loan Bank of Chicago

(U.S. Dollars in accordance with the recently published Consumer Financial Protection Bureau (CFPB) “Protections for Borrowers Affected by the COVID–19 Emergency Under the Real Estate Settlement Procedures Act (RESPA), Regulation X”. This CFPB rulemaking extends the foreclosure moratorium through the end of 2021; however, it permits the foreclosure of certain loans such as those on vacant property and those that weretables in a delinquency status prior to March 2020. Other than the foreclosure moratorium exceptions noted in the CFPB’s rule, barring any extensions of the CFPB’s requirements or other regulatory limitations, foreclosures are expected to fully resume on January 1, 2022.millions except per share amounts unless otherwise indicated)

Mortgage Repurchase Risk

We are exposed to mortgage repurchase risk in connection with our sale of MPF Loans to Fannie Mae under the MPF Xtra product and to Ginnie Mae for MPF Loans securitized in Ginnie Mae MBS if a loan eligibility requirement or other representation or warranty is breached. We may require the PFI from which we purchased the ineligible MPF Loan to repurchase that loan from us or to indemnify us for related losses, or request indemnification from the PFI’s MPF Bank. Of these two products, our MPF Xtra product is the more popular, and during the nine months ended September 30, 2022 and 2021, we purchased and concurrently delivered $1.2 billion and $5.7 billion, respectively, in unpaid principal balance of these loans to Fannie Mae.

For additional details on our 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, see Mortgage Repurchase Risk on page 74 in our ~~2020~~2021 Form 10-K.

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~~Federal Home Loan Bank of Chicago~~

~~(U.S. Dollars in tables in millions except per share amounts unless otherwise indicated)~~

Investment Debt Securities

We hold a variety of investment debt securities, mostly government backed or insured securities, and we believe these investments are currently low risk. Except for an immaterial amount, all are rated at least AA and there were no material changes in the credit ratings of these securities since December 31, ~~2020.~~2021. For further details see Investment Debt Securities on page 7677 in our ~~2020~~2021 Form 10-K.

Unsecured Short-Term Investments

See Unsecured Short-Term Investments on page 7779 in our ~~2020~~2021 Form 10-K for further details on our unsecured short-term investments as well as policies and procedures to limit and monitor our unsecured credit risk exposure.

The following table presents the credit ratings of our unsecured investment counterparties, organized by the domicile of the counterparty or, where the counterparty is a U.S. branch or agency office of a foreign commercial bank, by the domicile of the counterparty's parent. This table does not reflect the foreign sovereign government's credit rating. The rating used was the lowest rating among the three largest NRSROs. 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, 2021		AA		A		Total
As of September 30, 2022								As of September 30, 2022	AA		A		Total
Domestic U.S.	Domestic U.S.							Domestic U.S.
Interest-Bearing Deposits	Interest-Bearing Deposits	$	—	$	855	$	855	Interest-Bearing Deposits	$	—	$	1,180	$	1,180

U.S. branches and agency offices of foreign commercial banks - federal funds sold:
Fed Funds Sold								Fed Funds Sold	—		1,100		1,100
Total Domestic U.S.								Total Domestic U.S.	—		2,280		2,280
Foreign commercial banks - federal funds sold:								Foreign commercial banks - federal funds sold:
Australia	Australia	—		1,000		1,000		Australia	—		1,000		1,000

Canada	Canada	—		1,675		1,675		Canada	—		2,325		2,325
Finland	Finland	970		—		970		Finland	531		—		531
France		—		200		200

Netherlands	Netherlands	—		700		700		Netherlands	—		500		500
Norway		600		—		600

Sweden	Sweden	—		300		300		Sweden	—		1,000		1,000

Total U.S. branches and agency offices of foreign commercial banks	Total U.S. branches and agency offices of foreign commercial banks	1,570		3,875		5,445		Total U.S. branches and agency offices of foreign commercial banks	531		4,825		5,356
Total unsecured credit exposure	Total unsecured credit exposure	$	1,570	$	4,730	$	6,300	Total unsecured credit exposure	$	531	$	7,105	$	7,636

All ~~$6.300~~$7.636 billion of the unsecured credit exposure shown in the above table were overnight investments.

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

Managing Our Credit Risk Exposure Related to Derivative Agreements

See Note 9 - Derivatives and Hedging Activities to the condensed 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 NRSROs. 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. We had no material concentration of credit risk with any one bilateral derivative counterparty.


		Net Derivative Fair Value Before Collateral		Cash Collateral Pledged		Noncash Collateral Pledged		Net Credit Exposure to Counterparties a			Net Derivative Fair Value Before Collateral		Cash Collateral Pledged		Noncash Collateral Pledged		Net Credit Exposure to Counterparties		a
As of September 30, 2021
As of September 30, 2022										As of September 30, 2022
Nonmember counterparties -	Nonmember counterparties -									Nonmember counterparties -
Undercollateralized asset positions -	Undercollateralized asset positions -									Undercollateralized asset positions -
Bilateral derivatives -	Bilateral derivatives -									Bilateral derivatives -

A	A	$	1	$	—	$	—	$	1	A	$	89	$	(87)	$	—	$	2

Overcollateralized liability positions -	Overcollateralized liability positions -									Overcollateralized liability positions -
Bilateral derivatives -	Bilateral derivatives -									Bilateral derivatives -

A	A	$	(29)	$	32	$	—	$	3	A	$	(1,033)	$	1,036	$	—	$	3
BBB	BBB	(115)		116		—		1		BBB	(1,118)		1,126		—		8

Cleared derivatives	Cleared derivatives	(43)		—		547		504		Cleared derivatives	(21)		—		654		633
Nonmember counterparties	Nonmember counterparties	(186)		148		547		509		Nonmember counterparties	(2,083)		2,075		654		646
Member institutions		2		—		—		2
Total		$	(184)	$	148	$	547	$	511

As of December 31, 2020
Nonmember counterparties -
Undercollateralized asset positions -
Bilateral derivatives -

A		$	2	$	(2)	$	—	$	—

Overcollateralized liability positions -
Bilateral derivatives -

A		(125)		6		120		1
BBB		(147)		—		147		—

Cleared derivatives		(8)		—		623		615
Nonmember counterparties		(278)		4		890		616
CO bond firm commitments										CO bond firm commitments	—		20		—		20
Member counterparties	Member counterparties	5		—		—		5		Member counterparties	1		—		—		1
Total	Total	$	(273)	$	4	$	890	$	621	Total	$	(2,082)	$	2,095	$	654	$	667

a Less than $1 million is shown as zero.

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

Legislative and Regulatory Developments

Significant regulatory actions and developments are summarized below.

Amendments to FINRA Rule 4210: Margining of Covered Agency Transactions.On August 15, 2022, the SEC published amendments to Financial Industries Regulatory ~~Interpretation on Eligibility~~Authority (FINRA) Rule 4210 that delayed the effectiveness of ~~Mortgage Participations as Collateral~~margining requirements for ~~FHLB Advances~~

Oncovered agency transactions from October ~~4, 2021,~~26, 2022, until at least April 24, 2023. Once the FHFA published a Regulatory Interpretation on Eligibility of Mortgage Loan Participations as Collateral for FHLB Advances. The Regulatory Interpretation addresses whether an FHLB can accept as collateralmargining requirements are effective, the Bank may be required to ~~secure advances mortgage loan participations~~collateralize its transactions that ~~cannot be readily liquidated in the form in~~are covered agency transactions, which ~~they are~~include to be ~~pledged. The Regulatory Interpretation concludes that mortgage loan participations must meet~~announced transactions (TBAs). These collateralization requirements could have the ~~requirements~~effect of ~~FHFA regulation 12 CFR 1266.7(a)(4),~~reducing the overall profitability of engaging in covered agency transactions, including the requirement that the collateral can be “liquidated in due course” in order to be eligible to secure FHLB advances. It further concludes that participations for which there would be a known impediment to liquidationTBAs. We do not meet such requirement and therefore are not eligible collateral for advances. Finally, the Regulatory Interpretation rescinds prior guidance from FHLB System regulators that provided mortgage loan participations may be eligible as collateral under regulatory provisions other than 12 CFR 1266.7(a)(4). The Regulatory Interpretation becomes effective on December 13, 2021.

~~Although we do not currently~~ expect ~~the Regulatory Interpretation~~this rule to have a material ~~impact~~effect on our financial condition or results of ~~operations, this restriction on collateral may negatively impact future borrowing by certain members.~~

~~FHLBank Membership~~

On September 9, 2021, the FHFA published a Supervisory Letter on FHLB Membership Issues covering five issues, including (1) Requirements for De Novo Community Development Financial Institutions, (2) Automatic Transfer of Membership, (3) Large Non-Member Institution Merging with a Small Member, (4) Applicant’s Compliance with “Financial Condition” Requirement, and (5) Definition of Insurance Company. This Supervisory Letter is intended to provide uniform guidance to the FHLBs in the event they encounter similar circumstances.

~~We continue to evaluate this Supervisory Letter and its expected effect on Bank membership.~~

~~Fair Housing and Fair Lending Enforcement~~

On July 9, 2021, the FHFA published a Policy Statement on Fair Lending to communicate the FHFA’s general position on monitoring and information gathering, supervisory examinations, and administrative enforcement related to the Equal Credit Opportunity Act, the Fair Housing Act, and the Federal Housing Enterprises Financial Safety and Soundness Act. This Policy Statement became effective on the date of publication.

On August 12, 2021, the FHFA and the U.S. Department of Housing and Urban Development announced they had entered into a Memorandum of Understanding regarding fair housing and fair lending enforcement. Under the Memorandum of Understanding, the two agencies will focus on enhancing their enforcement of the Fair Housing Act and their oversight of Fannie Mae, Freddie Mac, and the FHLBs.

~~We continue to monitor these actions and guidance as they evolve and to evaluate their potential impact on us.~~

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~~Federal Home Loan Bank of Chicago~~

~~(U.S. Dollars in tables in millions except per share amounts unless otherwise indicated)~~

~~U.S. Treasury and Fannie Mae Preferred Stock Purchase Agreement~~

On January 14, 2021, the U.S. Treasury and Fannie Mae entered into a letter agreement amending the terms of their Preferred Stock Purchase Agreement, which could impact PFIs that participate in the MPF Program’s MPF Xtra product (where MPF loans acquired are concurrently sold to Fannie Mae). Under the Preferred Stock Purchase Agreement, the U.S. Treasury provides liquidity to Fannie Mae in exchange for senior preferred stock. Under the Preferred Stock Purchase Agreement amendment, which was to take effect January 1, 2022, the FHFA (acting as conservator for Fannie Mae) and the U.S. Treasury agreed to limit the dollar volume of loans Fannie Mae could purchase from a single seller through Fannie Mae’s cash window to $1.5 billion per year. As administrator of the MPF Program, we purchase MPF Xtra loans from PFIs and sell them to Fannie Mae via the cash window process. Based on recent volumes for the MPF Xtra product, the Preferred Stock Purchase Agreement amendment would significantly curtail MPF Xtra cash window sales. On September 14, 2021, the FHFA and the U.S. Treasury temporarily suspended certain provisions of the Preferred Stock Purchase Agreement, including limits on Fannie Mae’s cash window limits, until at least September 14, 2022.

Although we do not currently expect the cash window limits to have a material impact on our financial condition or results of operations, they may negatively impact the volume of loans that PFIs are able to sell through the MPF Program unless we are successful in our efforts to develop a solution prior to reinstatement of the limits.

~~COVID-19 Developments~~

~~COVID-19 Presidential, Legislative and Regulatory Developments~~

In light of the COVID-19 pandemic, the Presidents of the United States, through executive orders, governmental agencies, including the SEC, OCC, Federal Reserve, FDIC, National Credit Union Administration, CFTC and the FHFA, as well as state governments and agencies, have taken and may continue to take actions to provide various forms of relief from, and guidance regarding, the financial, operational, credit, market, and other effects of the pandemic, and Congress has enacted, and may continue to enact, pandemic relief legislation, some of which may have a direct or indirect impact on the Bank or its members. Many of these actions are temporary in nature. We continue to monitor these actions and guidance as they evolve and to evaluate their potential impact on us.

~~For further discussion of the risks and potential risks relating to the COVID-19 pandemic, see~~ ~~Risk Factors~~ ~~starting on page 23 of our 2020 Form 10-K.~~

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Our Asset/Liability Management Committee and its subcommittees provide oversight of our risk management practices and policies. This includes routine reporting to senior Bank management and the Board of Directors, as well as maintaining the Income and Market Value Risk Policy, which defines our interest rate risk limits. See Item 7A. Quantitative and Qualitative Disclosures About Market Risk on page 81 in our 2021 Form 10-K for further discussion on market risk.

The table below reflects the expected change in market value of equity for the stated increase or decrease in interest rates based on our models and related loss limit for each scenario established in the policy. For our down scenario shock analysis, the down shocks are constrained by scenarios provided by our regulator, which currently are limited so that shocked rates will not go ~~negative.~~negative but are subject to change. As a result, where applicable, we ~~floored~~apply a floor to the down shock scenario at 10 bps. ~~Due to~~In the ~~low~~current rate environment, this floor setting was not triggered for ~~some down~~any of the shock scenarios presented below.

September 30, 2021 December 31, 2020
Scenario as of Change in Market Value of Equity Loss Limit Change in Market Value of Equity Loss Limit
-200 bp $ 398 $ (450) $ 421 $ (450)
-100 bp 83 (200) 225 (200)
-50 bp 37 (90) 140 (90)
-25 bp 17 (45) 96 (45)
+25 bp (26) (45) (11) (45)
+50 bp (52) (90) (31) (90)
+100 bp (103) (200) (84) (200)
+200 bp (197) (450) (187) (450)


	September 30, 2022				December 31, 2021
Scenario as of	Change in Market Value of Equity		Loss Limit		Change in Market Value of Equity		Loss Limit
-200 bp	$	(111)	$	(450)	$	487	$	(450)
-100 bp	(34)		(200)		(44)		(200)
-50 bp	(12)		(90)		(19)		(90)
-25 bp	(5)		(45)		(11)		(45)
+25 bp	4		(45)		(11)		(45)
+50 bp	6		(90)		(28)		(90)
+100 bp	9		(200)		(75)		(200)
+200 bp	5		(450)		(181)		(450)

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:~~value.


		As of September 30, 2021		As of December 31, 2020			As of September 30, 2022		As of December 31, 2021
Yield Curve Risk	Yield Curve Risk	$	(1)	$	—	Yield Curve Risk	$	(1)	$	4
Option Risk	Option Risk					Option Risk
Implied Volatility	Implied Volatility	(1)		(1)		Implied Volatility	4		5
Prepayment Speeds	Prepayment Speeds	(2)		(4)		Prepayment Speeds	1		—
Basis Risk	Basis Risk					Basis Risk
Spread to Swap Curve	Spread to Swap Curve	(18)		(25)		Spread to Swap Curve	(3)		(12)
Mortgage Spread		—		1

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, ~~2021,~~2022, our sensitivity to changes in implied volatility using ~~these models~~a lattice model and Monte Carlo simulation was ~~$(1)~~$4 million, ~~unchanged from $(1)~~compared to $5 million at December 31, ~~2020.~~2021. These sensitivities are limited in that they do not incorporate other risks, including but not limited to non-parallel changes in yield curves, prepayment speeds, 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.

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(U.S. 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 by duration of equity in years. The Bank engages in ongoing performance monitoring for its market risk-related models.


		Duration of equity in years			Duration of equity in years
Scenario as of	Scenario as of	September 30, 2021	December 31, 2020	Scenario as of	September 30, 2022	December 31, 2021
Down 200 bps	Down 200 bps	0.9	1.4	Down 200 bps	-1.3	1.1
Base	Base	1.5	0.6	Base	-0.2	0.4
Up 200 bps	Up 200 bps	1.3	1.4	Up 200 bps	0.1	1.5

As of September 30, ~~2021,~~2022, on a U.S. GAAP basis, our fair value surplus (relative to book value) was ~~$404~~$382 million, and our market value of equity to book value of equity ratio was ~~106%~~105%, compared to ~~$330~~$458 million and ~~105%~~107% at December 31, ~~2020. Our~~2021. The decline in the market value of equity to book value of ~~total capital for regulatory risk-based capital purposes differs from this GAAP calculation,as discussed~~equity was largely a result of wider mortgage spreads observed in ~~Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS)~~ to the ~~condensed financial statements.~~markets.

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 88 of our ~~2020~~2021 Form 10-K.

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PART II - OTHER INFORMATION

Item 1. Legal Proceedings.

~~For a discussion of the litigation relating to PLMBS bonds purchased by the Bank, see~~ ~~Item 3. Legal Proceedings~~ ~~on page 36 of our 2020 Form 10-K.~~

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 starting on page 2322 in our ~~2020~~2021 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.

Item 5. Other Information.

None.

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Item 6. Exhibits.




31.1			Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 by the Principal Executive Officer a

31.2			Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 by the Principal Financial Officer a

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 a

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 a

101.INS			Inline XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document. a

101.SCH			Inline XBRL Taxonomy Extension Schema Document a

101.CAL			Inline XBRL Taxonomy Extension Calculation Linkbase Document a

101.DEF			Inline XBRL Taxonomy Extension Definition Linkbase Document a

101.LAB			Inline XBRL Taxonomy Extension Label Linkbase Document a

101.PRE			Inline XBRL Taxonomy Extension Presentation Linkbase Document a

104			Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101) a

a Filed herewith.

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Federal Home Loan Bank of Chicago

Glossary of Terms

Advances: Secured loans to members.

ABS: Asset backed securities.

AFS: Available-for-sale debt securities.

AOCI: Accumulated Other Comprehensive Income.

Capital Plan: Capital Plan of the Federal Home Loan Bank of Chicago, effective May 3, 2021.

CARES Act: The Coronavirus, Aid, Relief, and Economic Security Act, enacted March 27, 2020.

CE Amount: A PFI's assumption of credit risk, beyond any Recoverable CE Fees in the FLA, on conventional MPF Loan products held in an MPF Bank's portfolio that are funded by, or sold to, an MPF Bank by providing credit enhancement either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide SMI. Does not apply to the MPF Government, MPF Xtra, MPF Direct or MPF Government MBS product.

CE Fee: Credit enhancement fee. PFIs are paid a credit enhancement fee for managing credit risk and in some instances, all or a portion of the CE Fee may be performance based.

CFTC: Commodity Futures Trading Commission.

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.

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.

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FLA: First loss account is a memo account used to track the MPF Bank's exposure to losses until the CE Amount is available to cover losses.

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.

Government Loans: Mortgage loans insured or guaranteed by the Federal Housing Administration (FHA), the Department of Housing and Urban Development (HUD), the Department of Veteran Affairs (VA) or Department of Agriculture Rural Housing Service (RHS).

GSE: Government sponsored enterprise.

HFS: Held for sale.

HTM: Held-to-maturity debt securities.

LIBOR: London Interbank Offered Rate.

Liquidity AB: Advisory Bulletin 2018-07 Liquidity Guidance, issued by the FHFA on August 23, 2018.

Master Commitment (MC): Pool of MPF Loans purchased or funded by an MPF Bank.

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 non-conforming (jumbo) MPF Loans from PFIs without any CE Amount 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 without any CE Amount and concurrently resell them to Fannie Mae.

MRCS: Mandatorily redeemable capital stock.

NRSRO: Nationally Recognized Statistical Rating Organization.

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

OIS: Overnight Index Swap.

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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.

PLMBS: Private label mortgage backed securities.

PMI: Primary Mortgage Insurance.

PPP: Paycheck Protection Program.

RCAP: Reduced Capitalization Advance Program.

Recorded Investment: Recorded investment in a loan is its amortized cost 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 is defined as either the amount funded or the cost to purchase MPF Loans. Specifically, the amortized cost 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.

Recoverable CE Fee: Under the MPF Program, the PFI may receive a contingent performance based credit enhancement fee whereby such fees are reduced up to the amount of the FLA by losses arising under the Master Commitment.

Regulatory capital: Regulatory capital stock plus retained earnings.

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

REO: Real estate owned.

SEC: Securities and Exchange Commission.

SOFR: Secured Overnight Financing Rate.

~~SOFR SARM MBS:~~ ~~SOFR Structured Adjustable Rate Mortgage MBS.~~

SMI: Supplemental mortgage insurance.

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

UPB: Unpaid Principal Balance.

U.S.: United States.

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Federal Home Loan Bank of Chicago

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/ Michael A. Ericson

Name:

Michael A. Ericson

Title:

President and Chief Executive Officer

Date:

November ~~4, 2021~~8, 2022

(Principal Executive Officer)

/s/ Roger D. Lundstrom

Name:

Roger D. Lundstrom

Title:

Executive Vice President and Chief Financial Officer

Date:

November ~~4, 2021~~8, 2022

(Principal Financial Officer and Principal Accounting Officer)

6563


	September 30, 2021		December 31, 2020
Assets
Cash and due from banks	$	933	$	3,541
Interest bearing deposits	855		855
Federal funds sold	5,445		4,125
Securities purchased under agreements to resell	12,990		10,120
Investment debt securities -
Trading, 547 and 1,292 pledged	2,215		4,621

Available-for-sale, 18,610 and 18,145 amortized cost	19,056		18,437

Held-to-maturity, 812 and 1,549 fair value	773		1,491

Investment debt securities	22,044		24,549
Advances, 1,200 and 1,315 carried at fair value	46,042		46,695

MPF Loans held in portfolio, net of (3) and (3) allowance for credit losses	9,846		10,038

Derivative assets	6		5

Other assets, 119 and 105 carried at fair value	433		428

net of (7) and (7) allowance for credit losses

Assets	$	98,594	$	100,356

Liabilities
Deposits -
Demand and overnight - noninterest bearing	$	234	$	394
Demand and overnight - interest bearing, 13 and 18 from other FHLBs	866		875

Term deposits - interest bearing	—		15
Deposits	1,100		1,284
Consolidated obligations, net -
Discount notes, — and 2,000 carried at fair value	40,878		48,643

Bonds, 57 and 1,844 carried at fair value	49,041		42,670

Consolidated obligations, net	89,919		91,313
Derivative liabilities	62		691
Affordable Housing Program assessment payable	81		89

Mandatorily redeemable capital stock	247		279
Other liabilities	625		411
Liabilities	92,034		94,067
Commitments and contingencies - see notes to the condensed financial statements	0		0
Capital

Class B1 activity stock, 13 and 13 million shares issued and outstanding	1,293		1,257

Class B2 membership stock, 7 and 8 million shares issued and outstanding	676		753

Capital stock - putable, $100 and $100 par value per share	1,969		2,010
Retained earnings - unrestricted	3,509		3,424
Retained earnings - restricted	685		648
Retained earnings	4,194		4,072
Accumulated other comprehensive income (loss) (AOCI)	397		207
Capital	6,560		6,289
Liabilities and capital	$	98,594	$	100,356


As of September 30, 2021	Regulatory Capital Stock Outstanding			% of Total Outstanding		Amount of Which is Classified as a Liability (MRCS)
One Mortgage Partners Corp.	$	245	a	11.1	%	$	245


	September 30, 2021			June 30, 2021			March 31, 2021			December 31, 2020				September 30, 2020

Selected Statements of Condition data




Investments a	$	41,334		$	40,586		$	33,514		$	39,649			$	36,364
Advances	46,042			46,270			46,975			46,695				49,771
MPF Loans held in portfolio, net	9,846			9,759			9,895			10,041				10,529
Total assets	98,594			97,494			94,597			100,356				98,387
Consolidated obligation discount notes	40,878			45,728			45,262			48,643				41,801
Consolidated obligation bonds	49,041			42,922			40,260			42,670				47,970
Capital stock	1,969			2,007			2,019			2,010				2,041
Retained earnings	4,194			4,139			4,082			4,072				3,936
Total capital	6,560			6,633			6,542			6,289				5,904
Other selected data at period end
Member standby letters of credit outstanding	$	13,116		$	12,773		$	10,529		$	16,395			$	21,666
MPF Loans par value outstanding - FHLB System b	67,217			67,673			69,107			70,326				71,297
MPF Loans par value outstanding - FHLB Chicago PFIs b	18,716			18,718			18,922			18,934				18,957
Number of members	674			678			680			686				683
Total employees (full and part time)	466			451			469			474				486
Selected Statements of Income data
Net interest income after provision for credit losses	$	140		152			$	110		$	142			$	168
Noninterest income	(2)			(10)			(13)			101			d	(8)
Noninterest expense	52			55			61			68				65
Net income	77			78			32			157			d	85
Other selected MPF data during the periods b
MPF Loans par value amounts funded - FHLB System	$	4,027		$	4,535		$	5,364		$	6,672			$	7,145
Quarterly number of PFIs funding MPF products - FHLB System	678			687			710			707				730
MPF Loans par value amounts funded - FHLB Chicago PFIs	$	1,150		$	1,379		$	1,703		$	1,999			$	2,371
Quarterly number of PFIs funding MPF products - FHLB Chicago	178			177			177			178				184
Selected ratios (rates annualized)
Total regulatory capital to assets ratio	6.50		%	6.56		%	6.73		%	6.34		%		6.36		%
Market value of equity to book value of equity	106		%	106		%	107		%	105		%		106		%
Primary mission asset ratio c	70.7		%	70.5		%	70.3		%	71.5		%		71.6		%
Dividend rate class B1 activity stock-period paid	5.00		%	5.00		%	5.00		%	5.00		%		5.00		%
Dividend rate class B2 membership stock-period paid	2.00		%	2.00		%	2.00		%	2.25		%		2.25		%
Return on average assets	0.31		%	0.32		%	0.13		%	0.62		%	d	0.33		%
Return on average equity	4.54		%	4.59		%	1.99		%	10.06		%	d	6.13		%
Average equity to average assets	6.83		%	6.97		%	6.53		%	6.16		%		5.38		%
Net yield on average interest-earning assets	0.58		%	0.64		%	0.46		%	0.58		%		0.67		%
Cash dividends-period paid	$	22		$	21		$	22		$	21			$	22

Dividend payout ratio-period paid	28.57		%	26.92		%	68.75		%	13.38		%		26.00		%