8-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d) of the

Securities Exchange Act of 1934

Date of Report (Date of earliest event reported): April 23, 2013

FEDERAL HOME LOAN BANK OF CHICAGO

(Exact name of registrant as specified in its charter)

Federally chartered corporation	000-51401	36-6001019
(State or other jurisdiction of incorporation or organization)	(Commission File Number)	(IRS Employer Identification No.)
200 East Randolph Drive Chicago, Illinois		60601
(Address of principal executive offices)		(Zip Code)

Registrant's telephone number, including area code:

(312) 565-5700

Former name or former address, if changed since last report:

Not Applicable

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

o Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

o Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

o Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

o Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Item 2.02 Results of Operations and Financial Condition.

On April 23, 2013, the Federal Home Loan Bank of Chicago (the “Bank”) sent a letter to its members to report selected preliminary unaudited financial results for the quarter ended March 31, 2013 and the declaration of a dividend. The text of the member letter is furnished as Exhibit 99.1 to this Form 8-K.

The information being furnished pursuant to Items 2.02, and 9.01 on this Current Report on Form 8-K shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to the liability of that section, and shall not be incorporated by reference into any registration statement or other document filed under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such filing.

This Current Report contains forward-looking statements which are based upon our current expectations and speak only as of the date hereof. These statements may use forward-looking terms, such as “anticipates,” “believes,” “expects,” “could,” “plans,” “estimates,” “may,” “should,” “will,” or their negatives or other variations on these terms. The Bank cautions that, by their nature, forward-looking statements involve risk or uncertainty, that actual results could differ materially from those expressed or implied in these forward-looking statements, and that actual events could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These forward-looking statements involve risks and uncertainties including, but not limited to, instability in the credit and debt markets; economic conditions (including effects on, among other things, mortgage-backed securities); changes in mortgage interest rates and prepayment speeds on mortgage assets; the Bank's ability to successfully transition to a new business model and to pay future dividends; the Bank's ability to meet required conditions to repurchase or redeem excess capital stock from its members, including maintaining compliance with its minimum regulatory capital requirements and determining that its financial condition is sound enough to support such repurchases and redemptions; and the risk factors set forth in the Bank's periodic filings with the Securities and Exchange Commission, which are available on the Bank's website at www.fhlbc.com. The Bank assumes no obligation to update any forward-looking statements made in this Current Report.

Item 9.01 Financial Statements and Exhibits

Exhibit No.	Description
99.1	Member letter dated April 23, 2013

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Signature(s)

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 hereunto duly authorized.

	Federal Home Loan Bank of Chicago
Date: April 23, 2013	By:	/s/ Roger D. Lundstrom
		Roger D. Lundstrom
		Executive Vice President and Chief Financial Officer

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EX-99.1

Exhibit 99.1

April 23, 2013

To Our Members:

I am pleased to announce that we have received approval from our regulator and our Board to launch the Community First™ Fund, a $50 million revolving loan fund designed to support affordable housing and economic development in Illinois and Wisconsin. We have been designing the Community First Fund for more than a year, with substantial input from members and from community development organizations in our District and throughout the United States. As we roll out the fund over the next couple of years, our focus will be to provide a sustainable source of funding to selected partner community organizations in the form of unsecured low-interest loans, rather than one-time grants, which differentiates it from our competitive Affordable Housing Program (AHP). Partnerships between our members and organizations in your communities are essential to the success of the fund, which will serve as another way to support our members by supporting your communities. We look forward to providing updates and plan to do so in future member letters.

First Quarter 2013 Dividend

Also today, our Board of Directors declared a cash dividend at an annualized rate of 0.30% per share, based on the Bank's preliminary financial results for the first quarter of 2013. We are pleased that the Bank can continue to pay a reasonable dividend. The dividend will be paid by crediting your account as of May 14, 2013.

Focused on You: Summer Management Conference

The Federal Home Loan Bank of Chicago anticipates reporting net income of $80 million for the first quarter of 2013 when we file our Form 10-Q with the Securities and Exchange Commission next month. This net income plus our record-high $1.8 billion in retained earnings allows us to focus the resources of the cooperative where they should be: on you, our members.

To that end, please plan to join us at our second-annual FHLBC management conference on August 8-9 in Chicago. As part of our goal to be your strategic partner, we've designed a program to stimulate your thinking and promote dialogue about leadership and decision-making during this weak economic recovery. We have an outstanding roster of distinguished speakers joining us at this year's conference:

• Jeb Bush, Governor of Florida (1999-2007)

• John Dugan, 29th Comptroller of the Currency for the United States Department of

the Treasury

• Dr. Martin Feldstein, Harvard professor and economic advisor to presidents

• Marshall Goldsmith, best-selling author and influential business thinker

We will be sending the invitation to the FHLBC management conference in the near future.

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Resources that Are Easier to Use

Enhancements to our member-only website, eBanking, continue to progress this year and will include the ability for you to initiate certain types of advances and wire transfers on-line. We have also streamlined the competitive AHP application process by implementing a new system called AHP Online. The application will be available from April 29 to June 28. Members will access AHP Online exclusively through our new eBanking portal. More than $27 million is available for AHP in 2013-our largest allocation in recent years. The new AHP Online system will be the only way to apply for a competitive grant in 2013.All ofthe new capabilities associated with eBanking require your Board of Directors to approve our eBanking resolutions and an authorized signer to accept the eBanking Service Agreement.

First Quarter 2013 Financial Highlights

The results discussed here are preliminary and unaudited. Please refer to the attached Condensed Statements of Income and Statements of Condition. We expect to file our first quarter 2013 Form 10-Q with the Securities and Exchange Commission next month. You will be able to access it on our website, www.fhlbc.com or through the SEC's reporting website, http://www.sec.gov/edgar/

searchedgar/companysearch.html.

• We recorded net income of $80 million for the first quarter of 2013, lower than the $116 million earned in the first quarter of 2012, but still a financially strong quarter and consistent with our plan to build a consistently profitable member-focused Bank while managing our level of risk.

• Advance prepayment fees (net of fair value hedge adjustments) were down dramatically from the same quarter one year ago: $5 million in 2013 compared to $26 million during the first quarter of 2012.

• We realized gains of $2 million on our derivatives and hedging activities, compared to gains of $11 million during the first quarter of 2012. Our overall hedge costs remain low given the extended low rate environment.

• Due primarily to decreased losses on Real Estate Owned (REO) sales, which were affected by improving housing prices in many areas across the country, non-interest expenses decreased in the first quarter of 2013 to $25 million from $30 million in the first quarter

of 2012.

• Advances outstanding at March 31, 2013, were $14.4 billion, almost equal to the $14.5 billion at year-end 2012 and $14.7 billion on March 31, 2012. Until the economy fully recovers, we expect member deposits to remain high and demand for advances to remain low. However, some members are positioning their balance sheets for the likely rise in interest rates that is expected to occur when the current Fed policies end. Forward-starting advances have been an attractive funding option to accomplish this, as they provide interest rate protection without resulting in a current inflow of cash.

• Mortgage Partnership Finance^® (MPF^®) loans held in portfolio declined slightly to $9.7 billion at March 31, 2013, from $10.4 billion at year-end. The steady reduction over the past

few years is a direct result of our 2008 decision not to add MPF loans to our balance sheet. However, the MPF Xtra^® product, where home loans are aggregated and sold to Fannie Mae,

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and which lets smaller lenders provide the same competitively priced loans as larger lenders while keeping the local touch their customers appreciate, continues to gain popularity. In the first quarter of 2013, MPF Xtra^®loan volume for the program overall was $1.7 billion compared to $1.2 billion in the first quarter of 2012. MPF Xtra loan volume for FHLBC Participating Financial Institutions (PFIs) alone was $834 million during the quarter compared to $683 million a year earlier. We expect overall growth to continue as the Federal Home Loan Bank of Dallas recently joined the MPF Program to offer the MPF Xtra product.

• Total investment securities decreased 3% to $33.4 billion this quarter, reflecting our current investment restriction which limits our ability to acquire longer-term investments.

• Total assets fell $4.7 billion (7%) to $64.9 billion from $69.6 billion at year end. At the end of 2012, we increased our liquidity position in an effort to protect the cooperative against potential short-term future funding challenges posed by the political and economic climate; and as those concerns eased this quarter, we decreased our cash and due from banks by 88% to $442 million at March 31, 2013, from $3.6 billion at year end 2012.

• As a result of our strong net income, our retained earnings grew $79 million (net income of $80 million less $1 million of dividends) to $1.8 billion.

• We remain in compliance with all of our regulatory capital requirements.

As always, I want to thank you for your membership in the Federal Home Loan Bank of Chicago. More than ever, we are focusing all of our resources on you to enhance your competitiveness and manage your interest rate risk. We look forward to continuing to serve you.

Best regards,

Matt Feldman

President and CEO

This letter contains forward-looking statements which are based upon our current expectations and speak only as of the date hereof. These statements may use forward-looking terms, such as “anticipates,” “believes,” “expects,” “could,” “plans,” “estimates,” “may,” “should,” “will,” or their negatives or other variations on these terms. We caution that, by their nature, forward-looking statements involve risk or uncertainty, that actual results could differ materially from those expressed or implied in these forward-looking statements, and that actual events could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These forward-looking statements involve risks and uncertainties including, but not limited to, instability in the credit and debt markets, economic conditions (including effects on, among other things, mortgage-backed securities), changes in mortgage interest rates and prepayment speeds on mortgage assets, our ability to successfully transition to a new business model and to pay future dividends, our ability to meet required conditions to repurchase or redeem excess capital stock from our members, including maintaining compliance with our minimum regulatory capital requirements and determining our financial condition is sound enough to support such repurchases and redemptions, and the risk factors set forth in our periodic filings with the Securities and Exchange Commission, which are available on our website at www.fhlbc.com. We assume no obligation to update any forward-looking statements made in this letter. The financial results discussed in this letter are preliminary and unaudited. “Mortgage Partnership Finance,” “MPF,” “MPF Xtra,” “Downpayment Plus,” and “DPP” are registered trademarks of the Federal Home Loan Bank of Chicago. “Community First” is a trademark of the Federal Home Loan Bank of Chicago.

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Condensed Statements of Condition
(Dollars in millions)
(Preliminary and Unaudited)
	March 31, 2013		December 31, 2012		Change
Cash and due from banks	$	442	$	3,564	(88	)%
Federal Funds sold and securities purchased under agreement to resell	6,761		6,500		4	%
Investment securities	33,377		34,250		(3	)%
Advances	14,403		14,530		(1	)%
MPF Loans held in portfolio, net	9,653		10,432		(7	)%
Other	286		308		(7	)%
Total assets	$	64,922	$	69,584	(7	)%
Consolidated obligation discount notes	$	24,292	$	31,260	(22	)%
Consolidated obligation bonds	34,751		32,569		7	%
Subordinated notes	1,000		1,000		—	%
Other	1,430		1,307		9	%
Total liabilities	61,473		66,136		(7	)%
Capital stock	1,549		1,650		(6	)%
Retained earnings	1,770		1,691		5	%
Accumulated other comprehensive income (loss)	130		107		21	%
Total capital	3,449		3,448		—	%
Total liabilities and capital	$	64,922	$	69,584	(7	)%

Condensed Statements of Income
(Dollars in millions)
(Preliminary and Unaudited)
	For the three months ended March 31,
	2013			2012			Change
Interest income	$	403		$	525		(23	)%
Interest expense	290			366			(21	)%
Provision for credit losses	—			6			(100	)%
Net interest income	113			153			(26	)%
Other-than-temporary impairment (credit loss)	—			(1		)	100	%
Other non-interest gain (loss)	1			7			(86	)%
Non-interest expense	25			30			(17	)%
Assessments	9			13			(31	)%
Net income	$	80		$	116		(31	)%
Net yield on interest-earning assets	0.67		%	0.91		%	(0.24	)%

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