10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended June 30, 2016

OR

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

For the transition period from              to             

Commission File No. 000-51401

Federal Home Loan Bank of Chicago

(Exact name of registrant as specified in its charter)

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

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

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one)

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

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

As of June 30, 2016, including mandatorily redeemable capital stock, registrant had 20,761,778 total outstanding shares of Class B Capital Stock.

1

TABLE OF CONTENTS

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

2

PART I - FINANCIAL INFORMATION

Item 1.    Financial Statements.

Statements of Condition (unaudited)

(Dollars in millions, except capital stock par value)

	June 30, 2016			December 31, 2015
Assets
Cash and due from banks	$	375		$	499
Interest bearing deposits	650			650
Federal Funds sold	3,573			1,702
Securities purchased under agreements to resell	1,750			1,375
Investment securities -
Trading, $101 and $62 pledged	1,200			1,160
Available-for-sale	16,248			17,470
Held-to-maturity, $6,090 and $6,513 fair value	5,543			5,967
Investment securities	22,991			24,597
Advances, $594 and $511 carried at fair value	46,424			36,778
MPF Loans held in portfolio, net of allowance for credit losses of $(3) and $(3)	4,667			4,828
Derivative assets	4			2
Other assets, $36 and $54 carried at fair value	228			240
Assets	$	80,662		$	70,671
Liabilities
Deposits -
Noninterest bearing	$	50		$	41
Interest bearing, $24 and $12 from other FHLBs	482			497
Deposits	532			538
Consolidated obligations, net -
Discount notes, $10,140 and $9,006 carried at fair value	45,876			41,564
Bonds, $5,960 and $952 carried at fair value	29,091			22,582
Consolidated obligations, net	74,967			64,146
Derivative liabilities	51			55
Affordable Housing Program assessment payable	93			89
Mandatorily redeemable capital stock	302			8
Other liabilities	210			239
Subordinated notes	—			944
Liabilities	76,155			66,019
Commitments and contingencies - see notes to the financial statements
Capital
Class B1 activity stock - putable $100 par value - 12 million and 13 million shares issued and outstanding	1,232			1,313
Class B2 membership stock - putable $100 par value - 5 million and 6 million shares issued and outstanding	542			637
Capital stock	1,774			1,950
Retained earnings - unrestricted	2,526			2,407
Retained earnings - restricted	358			323
Retained earnings	2,884			2,730
Accumulated other comprehensive income (loss) (AOCI)	(151		)	(28		)
Capital	4,507			4,652
Liabilities and capital	$	80,662		$	70,671

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

3

Statements of Income (unaudited)

(Dollars in millions)

	Three months ended June 30,					Six months ended June 30,
	2016			2015		2016			2015
Interest income	$	317		$	309	$	635		$	630
Interest expense	206			188		404			379
Net interest income	111			121		231			251
Provision for (reversal of) credit losses	—			4		—			4
Net interest income after provision for (reversal of) credit losses	111			117		231			247
Noninterest gain (loss) on -
Trading securities	(1		)	—		—			(1		)
Derivatives and hedging activities	2			9		(14		)	(2		)
Instruments held under fair value option	1			—		6			3
Litigation settlement awards	38			10		38			11
Other, net	10			5		17			8
Noninterest gain (loss)	50			24		47			19
Noninterest expense -
Compensation and benefits	22			18		45			37
Operating expenses	14			14		29			25
Other	10			1		12			4
Noninterest expense	46			33		86			66
Income before assessments	115			108		192			200
Affordable Housing Program assessment	11			11		19			20
Net income	$	104		$	97	$	173		$	180

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

4

Statements of Comprehensive Income (unaudited)

(Dollars in millions)

	Three months ended June 30,						Six months ended June 30,
	2016			2015			2016			2015
Net income	$	104		$	97		$	173		$	180
Other comprehensive income (loss) -
Net unrealized gain (loss) available-for-sale securities	(60		)	(113		)	(100		)	(135		)
Non-credit OTTI held-to-maturity securities	10			13			21			26
Net unrealized gain (loss) cash flow hedges	8			67			(45		)	39
Post-retirement plans	1			—			1			(8		)
Other comprehensive income (loss)	(41		)	(33		)	(123		)	(78		)
Comprehensive income	$	63		$	64		$	50		$	102

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

5

Statements of Capital (unaudited)

(Dollars and shares in millions)

	Capital Stock - Putable - B1 Activity					Capital Stock - Putable - B2 Membership					Capital Stock					Retained Earnings											Total Capital
	Shares		Value			Shares		Value			Shares		Value			Unrestricted			Restricted		Total			AOCI
December 31, 2015	13		$	1,313		6		$	637		19		$	1,950		$	2,407		$	323	$	2,730		$	(28	)	$	4,652
Comprehensive income																138			35		173			(123		)	50
Proceeds from issuance of capital stock	7		702			—		5			7		707														707
Repurchases of capital stock	(3	)	(319		)	(3	)	(265		)	(6	)	(584		)												(584		)
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)	(3	)	(294		)	—		(5		)	(3	)	(299		)												(299		)
Transfers between classes of capital stock	(2	)	(170		)	2		170
Cash dividends - class B1																(17		)			(17		)				(17		)
Class B1 annualized rate																											2.70		%
Cash dividends - class B2																(2		)			(2		)				(2		)
Class B2 annualized rate																											0.60		%
Total change in period	(1	)	(81		)	(1	)	(95		)	(2	)	(176		)	119			35		154			(123		)	(145		)
June 30, 2016	12		$	1,232		5		$	542		17		$	1,774		$	2,526		$	358	$	2,884		$	(151	)	$	4,507
December 31, 2014	8		$	827		11		$	1,075		19		$	1,902		$	2,152		$	254	$	2,406		$	217		$	4,525
Comprehensive income																144			36		180			(78		)	102
Proceeds from issuance of capital stock	1		119			—		12			1		131														131
Repurchases of capital stock	—		(2		)	(2	)	(195		)	(2	)	(197		)												(197		)
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)	—		—			—		(1		)	—		(1		)												(1		)
Transfers between classes of capital stock	—		(3		)	—		3
Cash dividends - class B1																(8		)			(8		)				(8		)
Class B1 annualized rate																											2.25		%
Cash dividends - class B2																(3		)			(3		)				(3		)
Class B2 annualized rate																											0.50		%
Total change in period	1		114			(2	)	(181		)	(1	)	(67		)	133			36		169			(78		)	24
June 30, 2015	9		$	941		9		$	894		18		$	1,835		$	2,285		$	290	$	2,575		$	139		$	4,549

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

6

Condensed Statements of Cash Flows (unaudited)

(Dollars in millions)

	Six months ended June 30,	2016				2015
Operating	Net cash provided by (used in) operating activities	$	(8	)		$	316
Investing	Net change Federal Funds sold	(1,871		)		774
	Net change securities purchased under agreements to resell	(375		)		2,150
	Advances -
	Principal collected	381,703				150,185
	Issued	(391,161		)		(152,279		)
	MPF Loans held in portfolio -
	Principal collected	570				720
	Purchases	(409		)		(44		)
	Trading securities -
	Sales	1,006				—
	Proceeds from maturities and paydowns	105				4
	Purchases	(1,153		)		—
	Held-to-maturity securities -
	Short-term held-to-maturity securities, net	5			a	138			a
	Proceeds from maturities and paydowns	486				510
	Purchases	(27		)		(9		)
	Available-for-sale securities -
	Proceeds from maturities and paydowns	1,159				974
	Purchases	(2		)		—
	Other investing activities	20				27
	Net cash provided by (used in) investing activities	(9,944		)		3,150
Financing	Net change deposits	(6		)		(28		)
	Net proceeds from issuance of consolidated obligations -
	Discount notes	231,170				178,092
	Bonds	14,341				7,426
	Payments for maturing and retiring consolidated obligations-
	Discount notes	(226,872		)		(174,603		)
	Bonds	(7,932		)		(13,035		)
	Net proceeds (payments) on derivative contracts with financing element	(26		)		(30		)
	Payments for retiring of subordinated debt	(944		)		—
	Proceeds from issuance of capital stock	707				131
	Repurchase of capital stock	(584		)		(197		)
	Other financing activities	(7		)		(2		)
	Cash dividends paid	(19		)		(11		)
	Net cash provided by (used in) financing activities	9,828				(2,257		)
	Net increase (decrease) in cash and due from banks	(124		)		1,209
	Cash and due from banks at beginning of period	499				342
	Cash and due from banks at end of period	$	375			$	1,551
Noncash	Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)	$	299			$	1

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

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

7

Notes to Financial Statements - (Unaudited)

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

Note 1 – Background and Basis of Presentation

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

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

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

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

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

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

Refer to the Glossary of Terms starting on page 62 for the definitions of certain terms used herein.

Use of Estimates

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

Consolidation of Variable Interest Entities

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

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

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

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

8

Notes to Financial Statements - (Unaudited)

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

Gross versus Net Presentation of Financial Instruments

We present derivative assets and liabilities on a net basis in our statements of condition on the basis that the Bank's right of setoff with its clearing agents and/or its counterparties is enforceable at law. We include accrued interest receivable/payable and cash collateral, including initial and variation margin, in the carrying amount of a derivative. Derivatives are netted by contract (e.g., master netting agreement) or otherwise, to discharge all or a portion of the debt owed to our counterparty by applying against the debt an amount that our counterparty owes to us. Additionally, we clear certain derivatives transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO) through a Futures Commission Merchant (FCM). If these netted amounts are positive, they are classified as a derivative asset and if negative, they are classified as a derivative liability.  Any over-collateralization amount received by us is not offset against another derivative asset counterparty exposure for which there is no legal right of offset, while any over-collateralization delivered by us is not offset against another derivative liability counterparty exposure for which there is no legal right of offset. Refer to Note 9 - Derivatives and Hedging Activities for further details.

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

Note 2 – Summary of Significant Accounting Policies

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

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

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

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships

In March of 2016, the FASB issued new guidance clarifying that a change in counterparty (novation) to a derivative instrument that has been designated as the hedging instrument in an existing hedging relationship would not, in and of itself, be considered a termination of the derivative instrument or be considered a change in the critical term of the hedging relationship. We early adopted this new guidance on a prospective basis effective January 1, 2016. The new guidance did not have a material effect on our financial condition, results of operations, or cash flows at the time of adoption.

Note 3 – Recently Issued but Not Yet Adopted Accounting Standards

Measurement of Credit Losses on Financial Instruments

In June of 2016, the FASB amended existing GAAP guidance applicable to measuring credit losses on financial instruments. The amendment is expected to result in recognizing credit losses in the financial statements on a more timely basis by utilizing forward looking information. Outlined below are key provisions of the amendment.

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

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

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

9

Notes to Financial Statements - (Unaudited)

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

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

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

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

We are required to adopt the amendment effective January 1, 2020; however, we are permitted to early adopt the amendment effective January 1, 2019. A modified retrospective transition approach is required to be applied when measuring expected credit losses upon adoption with any cumulative-effect adjustment recorded to retained earnings as of the effective date. A prospective transition approach is required for debt securities for which an other-than-temporary impairment had been recognized before our effective date. This means write-downs recognized prior to our effective date on securities may not be reversed at the time of our adoption. Instead, improvements in expected cash flows that exist at the time we adopt will continue to be accreted into income over the remaining life of the security. Additionally, recoveries of amounts previously written off prior to the date of adoption will be recorded in earnings when received. We are in the process of reviewing the expected effect of this guidance on our financial condition, results of operations, and cash flows.

Contingent Put and Call Options in Debt Instruments

In March of 2016, the FASB issued new guidance clarifying the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. The new guidance clarifies that entities no longer will be required to assess whether the event triggering the acceleration of the contingent call (put) option is related to interest rates or credit risk as opposed to some extraneous event or factor when determining if the contingent call (put) option is clearly and closely related to its debt host. We plan to adopt the new guidance on its effective date, which is January 1, 2017. The modified retrospective approach is required when adopting the new guidance. We do not expect the new guidance to have a material effect on our financial condition, results of operations, or cash flows at the time of adoption.

Leases

In February of 2016, the FASB issued new guidance pertaining to lease accounting. Outlined below are the key provisions relevant to us. These provisions provide guidance governing lessee accounting for operating leases. Currently, we record operating leases off-balance sheet rather than on-balance sheet in our statements of condition.

• Recognize a right-of-use asset and a lease liability, initially measured at the present value of lease payments, in our statement of condition.

• Recognize a single lease cost, calculated so that the cost of the lease is allocated over the lease term on a generally straight-line basis.

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

• For leases with a term of 12 months or less, we would be permitted to make an accounting policy election by class of underlying asset not to recognize lease assets and lease liabilities.

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

• Our existing off-balance sheet operating leases are not material. As a result, we expect to record an insignificant amount of operating leases in our statements of condition relative to our total assets and total liabilities at the time of adoption.

• Our lease payments and interest expense on operating leases will continue to be reported in a single line item within our statements of income.

10

Notes to Financial Statements - (Unaudited)

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

• Our lease payments will continue to be reported within operating activities in our statements of cash flows.

Recognition and Measurement of Financial Assets and Financial Liabilities

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

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

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

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

• Eliminates the requirement to disclose the method(s) and assumptions used to estimate fair value of financial instruments measured at amortized cost on our statements of condition.

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

Revenue from Contracts with Customers

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

11

Notes to Financial Statements - (Unaudited)

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

Note 4 – Interest Income and Interest Expense

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

	Three months ended June 30,				Six months ended June 30,
	2016		2015		2016		2015
Interest income -
Investment securities -
Trading	$	3	$	1	$	5	$	2
Available-for-sale	119		130		251		264
Held-to-maturity	56		69		115		138
Investment securities	178		200		371		404
Advances -
Advance interest income	68		42		130		81
Advance prepayment fees	6		—		7		6
Advances	74		42		137		87
MPF Loans held in portfolio	55		66		112		135
Other interest bearing assets	10		1		15		4
Interest income	317		309		635		630
Interest expense -
Consolidated obligations -
Discount notes	95		72		177		144
Bonds	98		103		200		208
Consolidated obligations	193		175		377		352
Subordinated notes	10		13		24		27
Other interest bearing liabilities	3		—		3		—
Interest expense	206		188		404		379
Net interest income	$	111	$	121	231		251
Provision for (reversal of) credit losses	—		4		—		4
Net interest income after provision for (reversal of) credit losses	$	111	$	117	$	231	$	247

12

Notes to Financial Statements - (Unaudited)

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

Note 5 – Investment Securities

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

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

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

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

• Government-guaranteed MBS.

• Private-label residential MBS.

• State or local housing agency obligations.

Pledged Collateral

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

Trading Securities

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

As of	June 30, 2016		December 31, 2015
U.S. Government & other government related	$	1,153	$	1,108
Residential MBS:
GSE	45		50
Government-guaranteed	2		2
Residential MBS	47		52
Trading securities	$	1,200	$	1,160

13

Notes to Financial Statements - (Unaudited)

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

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

	Amortized Cost Basis		Gross Unrealized Gains in AOCI		Gross Unrealized (Losses) in AOCI			Carrying Amount and Fair Value
As of June 30, 2016
U.S. Government & other government related	$	374	$	24	$	(4	)	$	394
State or local housing agency	20		1		—			21
FFELP ABS	4,740		128		(34		)	4,834
Residential MBS:
GSE	8,936		402		(16		)	9,322
Government-guaranteed	1,568		52		—			1,620
Private-label	52		5		—			57
Residential MBS	10,556		459		(16		)	10,999
Available-for-sale securities	$	15,690	$	612	$	(54	)	$	16,248
As of December 31, 2015
U.S. Government & other government related	$	405	$	21	$	(4	)	$	422
State or local housing agency	18		—		—			18
FFELP ABS	5,090		233		(24		)	5,299
Residential MBS:
GSE	9,427		383		(12		)	9,798
Government-guaranteed	1,811		57		—			1,868
Private-label	61		4		—			65
Residential MBS	11,299		444		(12		)	11,731
Available-for-sale securities	$	16,812	$	698	$	(40	)	$	17,470

We had no sales of AFS securities for the periods presented.

14

Notes to Financial Statements - (Unaudited)

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

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

	Amortized Cost Basis		Non-credit OTTI Recognized in AOCI (Loss)			Carrying Amount		Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)			Fair Value
As of June 30, 2016
U.S. Government & other government related	$	1,835	$	—		$	1,835	$	83	$	—		$	1,918
State or local housing agency	14		—			14		—		—			14
Residential MBS:
GSE	2,024		—			2,024		150		—			2,174
Government-guaranteed	883		—			883		17		—			900
Private-label	983		(196		)	787		298		(1		)	1,084
Residential MBS	3,890		(196		)	3,694		465		(1		)	4,158
Held-to-maturity securities	$	5,739	$	(196	)	$	5,543	$	548	$	(1	)	$	6,090
As of December 31, 2015
U.S. Government & other government related	$	1,932	$	—		$	1,932	$	64	$	(1	)	$	1,995
State or local housing agency	16		—			16		—		—			16
Residential MBS:
GSE	2,163		—			2,163		134		—			2,297
Government-guaranteed	969		—			969		16		—			985
Private-label	1,104		(217		)	887		334		(1		)	1,220
Residential MBS	4,236		(217		)	4,019		484		(1		)	4,502
Held-to-maturity securities	$	6,184	$	(217	)	$	5,967	$	548	$	(2	)	$	6,513

We had no sales of HTM securities for the periods presented.

15

Notes to Financial Statements - (Unaudited)

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

Aging of Unrealized Temporary Losses

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

Available-for-Sale Securities

	Less than 12 Months					12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of June 30, 2016
U.S. Government & other government related	$	35	$	(1	)	$	51	$	(3	)	$	86	$	(4	)
FFELP ABS	57		(1		)	733		(33		)	790		(34		)
Residential MBS:
GSE	1,533		(5		)	1,012		(11		)	2,545		(16		)
Government-guaranteed	24		—			—		—			24		—
Private-label	—		—			8		—			8		—
Residential MBS	1,557		(5		)	1,020		(11		)	2,577		(16		)
Available-for-sale securities	$	1,649	$	(7	)	$	1,804	$	(47	)	$	3,453	$	(54	)
As of December 31, 2015
U.S. Government & other government related	$	30	$	(1	)	$	45	$	(3	)	$	75	$	(4	)
State or local housing agency	4		—			—		—			4		—
FFELP ABS	64		(1		)	787		(23		)	851		(24		)
Residential MBS:
GSE	1,081		(3		)	1,006		(9		)	2,087		(12		)
Government-guaranteed	90		—			—		—			90		—
Private-label	—		—			8		—			8		—
Residential MBS	1,171		(3		)	1,014		(9		)	2,185		(12		)
Available-for-sale securities	$	1,269	$	(5	)	$	1,846	$	(35	)	$	3,115	$	(40	)

16

Notes to Financial Statements - (Unaudited)

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

Held-to-Maturity Securities

	Less than 12 Months				12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)		Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of June 30, 2016
U.S. Government & other government related	$	—	$	—	$	16	$	—		$	16	$	—
State or local housing agency	—		—		1		—			1		—
Residential MBS:
GSE	4		—		—		—			4		—
Government-guaranteed	134		—		—		—			134		—
Private-label	4		—		1,038		(197		)	1,042		(197		)
Residential MBS	142		—		1,038		(197		)	1,180		(197		)
Held-to-maturity securities	$	142	$	—	$	1,055	$	(197	)	$	1,197	$	(197	)
As of December 31, 2015
U.S. Government & other government related	$	606	$	—	$	16	$	(1	)	$	622	$	(1	)
State or local housing agency	1		—		10		—			11		—
Residential MBS:
GSE	4		—		—		—			4		—
Private-label	—		—		1,167		(218		)	1,167		(218		)
Residential MBS	4		—		1,167		(218		)	1,171		(218		)
Held-to-maturity securities	$	611	$	—	$	1,193	$	(219	)	$	1,804	$	(219	)

Contractual Maturity Terms

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

	Available-for-Sale				Held-to-Maturity
As of June 30, 2016	Amortized Cost Basis		Carrying Amount and Fair Value		Carrying Amount		Fair Value
Year of Maturity -
Due in one year or less	$	—	$	—	$	694	$	694
Due after one year through five years	64		67		303		318
Due after five years through ten years	30		32		89		91
Due after ten years	300		316		763		829
ABS and MBS without a single maturity date	15,296		15,833		3,694		4,158
Total securities	$	15,690	$	16,248	$	5,543	$	6,090

17

Notes to Financial Statements - (Unaudited)

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

Other-Than-Temporary Impairment Analysis

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

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

• First model. This model considers borrower characteristics and the particular attributes of the loans underlying the securities, in conjunction with assumptions about future changes in home prices and interest rates, prepayment rates, default rates, and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (CBSAs), which are based upon an assessment of the individual housing markets. Outputs from this first model are then used as inputs by the second model as follows.

• Second model. This model uses the month-by-month projections of future loan performance derived from the first model and allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules.

As of June 30, 2016, we had a short-term housing price forecast with projected changes ranging from -2.0% to +10.0% over the twelve month period beginning April 1, 2016, over all markets. For the vast majority of markets, the short-term forecast has changes ranging from +2.0% to +6.0%. 

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

	Three months ended June 30,						Six months ended June 30,
	2016			2015			2016			2015
Beginning Balance	$	555		$	605		$	568		$	620
Reductions:
Increases in expected future cash flows recorded as accretion into interest income	(13		)	(14		)	(26		)	(29		)
Ending Balance	$	542		$	591		$	542		$	591

Ongoing Litigation

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

18

Notes to Financial Statements - (Unaudited)

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

Note 6 – Advances

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

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

As of June 30, 2016	Weighted Average Contractual Interest Rate			Amount
Due in one year or less	0.59	%		$	15,928
One to two years	0.74	%		9,686
Two to three years	0.61	%	a	4,966
Three to four years	0.54	%	a	9,147
Four to five years	1.05	%	a	2,255
More than five years	1.69	%		4,079
Par value	0.73	%		$	46,061

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

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

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

As of	June 30, 2016		December 31, 2015
Par value	$	46,061	$	36,605
Hedging adjustments	335		159
Other adjustments	28		14
Advances	$	46,424	$	36,778

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

As of June 30, 2016	Par Value			% of Total Outstanding
One Mortgage Partners Corp.	$	11,000	a	24	%
The Northern Trust Company	6,000			13	%
BMO Harris Bank, N.A.	4,875			11	%

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

19

Notes to Financial Statements - (Unaudited)

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

Note 7 – MPF Loans Held in Portfolio

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

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

As of	June 30, 2016			December 31, 2015
Medium term (15 years or less)	$	507		$	662
Long term (greater than 15 years)	4,103			4,112
Unpaid principal balance	4,610			4,774
Net premiums, credit enhancement and deferred loan fees	28			20
Hedging adjustments	32			37
MPF Loans held in portfolio, before allowance for credit losses	4,670			4,831
Allowance for credit losses on MPF Loans	(3		)	(3		)
MPF Loans held in portfolio, net	$	4,667		$	4,828
Conventional mortgage loans	$	3,467		$	3,568
Government Loans	1,143			1,206
Unpaid principal balance	$	4,610		$	4,774

See the MPF Risk Sharing Structure on page F-14 in our 2015 Form 10-Kfor information related to our credit losses on MPF Loans held in portfolio

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

20

Notes to Financial Statements - (Unaudited)

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

Note 8 – Allowance for Credit Losses

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

We have identified our portfolio segments as shown below:

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

•Conventional MPF Loans held in portfolio;

•Government Loans held in portfolio; and

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

Member Credit Products

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

Conventional MPF Loans Held in Portfolio

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

As of	June 30, 2016		December 31, 2015
Recorded investment in conventional MPF Loans -
Individually evaluated for impairment	$	87	$	107
Collectively evaluated for impairment	3,442		3,519
Recorded investment	$	3,529	$	3,626
Allowance for credit losses on conventional MPF Loans -
Homogeneous pools of loans collectively evaluated for impairment	$	3	$	3

Government Loans Held in Portfolio

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

21

Notes to Financial Statements - (Unaudited)

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

Credit Quality Indicators - MPF Loans Held in Portfolio

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

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

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

	June 30, 2016									December 31, 2015
As of	Conventional			Government			Total			Conventional			Government			Total
Past due 30-59 days	$	81		$	50		$	131		$	99		$	63		$	162
Past due 60-89 days	26			17			43			32			21			53
Past due 90 days or more	80			18			98			100			15			115
Past due	187			85			272			231			99			330
Current	3,342			1,081			4,423			3,395			1,130			4,525
Recorded investment	$	3,529		$	1,166		$	4,695		$	3,626		$	1,229		$	4,855
In process of foreclosure	$	42		$	4		$	46		$	51		$	3		$	54
Serious delinquency rate	2.27		%	1.52		%	2.08		%	2.77		%	1.23		%	2.38		%
Past due 90 days or more still accruing interest	$	6		$	18		$	24		$	10		$	15		$	25
On nonaccrual status	$	87		$	—		$	87		$	107		$	—		$	107

Individually Evaluated Impaired MPF Loans

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

As of	June 30, 2016		December 31, 2015
Recorded investment without an allowance for credit losses	$	87	$	107
Unpaid principal balance without an allowance for credit losses	94		117

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

	Three months ended June 30,				Six months ended June 30,
	2016		2015		2016		2015
Average recorded investment without allowance for credit losses	$	88	$	131	$	93	$	140

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

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

22

Notes to Financial Statements - (Unaudited)

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

Note 9 – Derivatives and Hedging Activities

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

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

Managing Credit Risk on Derivative Agreements

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

Our over-the-counter bilateral derivative agreements may contain provisions that require us to post additional collateral with our counterparties if there is deterioration in our credit rating, except for those derivative agreements with a zero unsecured collateral threshold for both parties, in which case positions are required to be fully collateralized regardless of credit rating. If our credit rating is lowered by a major credit rating agency, such as Standard and Poor's or Moody’s, we would be required to deliver additional collateral on derivatives in net liability positions. If our credit rating had been lowered from its current rating to the next lower rating, we would have been required to deliver up to an additional $31 million of collateral at fair value to our derivatives counterparties at June 30, 2016.

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

We present our derivative assets and liabilities on a net basis in our statements of condition. Refer to Note 1 - Background and Basis of Presentation for further discussion. In addition to the cash collateral as noted in the following table, we also pledged $101 million of investment securities that can be sold or repledged, as part of our initial margin related to cleared derivative transactions at June 30, 2016.

23

Notes to Financial Statements - (Unaudited)

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

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

	June 30, 2016										December 31, 2015
As of	Notional Amount		Derivative Assets				Derivative Liabilities				Notional Amount		Derivative Assets				Derivative Liabilities
Derivatives in hedge accounting relationships-
Interest rate swaps	$	23,525	$	62			$	1,312			$	25,140	$	30			$	1,082
Derivatives not in hedge accounting relationships-
Interest rate swaps	33,655		581				500				28,866		456				341
Interest rate swaptions	820		58				—				1,270		40				—
Interest rate caps or floors	1,129		65				—				1,131		76				—
Interest rate futures	23		—				—				7		—				—
Mortgage delivery commitments	1,001		3				2				479		1				1
TBAs Ginnie Mae securitizations	92		—				1				114		—				—
Derivatives not in hedge accounting relationships	36,720		707				503				31,867		573				342
Gross derivative amount before adjustments	$	60,245	769				1,815				$	57,007	603				1,424
Netting adjustments and cash collateral			(765		)	a	(1,764		)	a			(601		)	a	(1,369		)	a
Derivatives on statements of condition			$	4			$	51					$	2			$	55

^a  Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same clearing agent and/or counterparty. Cash collateral posted was $1.0 billion and $793 million at June 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million.

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

	Derivative Assets									Derivative Liabilities
As of June 30, 2016	Bilateral			Cleared			Total			Bilateral			Cleared			Total
Derivatives with legal right of offset -
Gross recognized amount	$	580		$	186		$	766		$	1,166		$	647		$	1,813
Netting adjustments and cash collateral	(579		)	(186		)	(765		)	(1,131		)	(633		)	(1,764		)
Derivatives with legal right of offset - net	1			—			1			35			14			49
Derivatives without legal right of offset	3			—			3			2			—			2
Derivatives on statements of condition	4			—			4			37			14			51
Cash collateral for initial margin				(1		)	(1		)
Noncash collateral received (pledged) and cannot be sold or repledged	1			—			1			—			14			14
Net amount	$	3		$	1		$	4		$	37		$	—		$	37
As of December 31, 2015
Derivatives with legal right of offset -
Gross recognized amount	$	509		$	93		$	602		$	1,182		$	241		$	1,423
Netting adjustments and cash collateral	(508		)	(93		)	(601		)	(1,140		)	(229		)	(1,369		)
Derivatives with legal right of offset - net	1			—			1			42			12			54
Derivatives without legal right of offset	1			—			1			1			—			1
Derivatives on statements of condition	2			—			2			43			12			55
Noncash collateral received (pledged) and cannot be sold or repledged	—			—			—			—			12			12
Net amount	$	2		$	—		$	2		$	43		$	—		$	43

At June 30, 2016, we had $87 million of additional net credit exposure on cleared derivatives due to our pledging of non-cash collateral to a DCO for initial margin, which exceeded our net derivative liability position. We had $50 million comparable exposure at December 31, 2015.

24

Notes to Financial Statements - (Unaudited)

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

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

	Three months ended June 30,						Six months ended June 30,
For the periods ending	2016			2015			2016			2015
Fair value hedges -
Interest rate swaps	$	(3	)	$	6		$	(12	)	$	(13	)
Cash flow hedges	4			1			4			1
Economic hedges -
Interest rate swaps	(12		)	(6		)	(39		)	(29		)
Interest rate swaptions	7			(5		)	18			3
Interest rate caps or floors	(8		)	(7		)	(11		)	(8		)
Interest rate future forwards	(1		)	—			(1		)	—
Net interest settlements	16			20			28			44
Mortgage delivery commitments	—			—			2			—
TBAs Ginnie Mae securitizations	(1		)	—			(3		)	—
Economic hedges	1			2			(6		)	10
Gains (losses) on derivatives and hedging activities	$	2		$	9		$	(14	)	$	(2	)

25

Notes to Financial Statements - (Unaudited)

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

Fair Value Hedges

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

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

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

	On Derivative			On Hedged Item			Total Ineffectiveness Recognized in Derivatives and Hedging Activities			Amount Recorded in Net Interest Income
Three months ended June 30, 2016
Available-for-sale securities	$	(4	)	$	2		$	(2	)	$	(28	)
Advances	(68		)	68			—			(20		)
MPF Loans held for portfolio	—			—			—			(3		)
Consolidated obligation bonds	8			(9		)	(1		)	17
Total	$	(64	)	$	61		$	(3	)	$	(34	)
Three months ended June 30, 2015
Available-for-sale securities	$	48		$	(45	)	$	3		$	(34	)
Advances	89			(86		)	3			(22		)
MPF Loans held for portfolio	—			—			—			(3		)
Consolidated obligation bonds	(44		)	44			—			57
Total	$	93		$	(87	)	$	6		$	(2	)
Six months ended June 30, 2016
Available-for-sale securities	$	(55	)	$	50		$	(5	)	$	(62	)
Advances	(178		)	177			(1		)	(40		)
MPF Loans held for portfolio	—			—			—			(5		)
Consolidated obligation bonds	76			(82		)	(6		)	39
Total	$	(157	)	$	145		$	(12	)	$	(68	)
Six months ended June 30, 2015
Available-for-sale securities	$	12		$	(14	)	$	(2	)	$	(78	)
Advances	28			(29		)	(1		)	(41		)
MPF Loans held for portfolio	—			—			—			(7		)
Consolidated obligation bonds	30			(40		)	(10		)	115
Total	$	70		$	(83	)	$	(13	)	$	(11	)

26

Notes to Financial Statements - (Unaudited)

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

Cash Flow Hedges

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

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

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

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

		Ineffective Portion Recorded in Derivatives and Hedging Activities		Effective Portion Recorded in AOCI			Amount Recorded in Net Interest Income
Three months ended June 30, 2016
Advances	Interest rate floors	$	—	$	—		$	4
Discount notes	Interest rate swaps	4		14			(51		)
Bonds	Interest rate swaps	—		—			(1		)
Total		$	4	$	14		$	(48	)
Three months ended June 30, 2015
Advances	Interest rate floors	$	—	$	—		$	3
Discount notes	Interest rate swaps	1		70			(62		)
Bonds	Interest rate swaps	—		—			(1		)
Total		$	1	$	70		$	(60	)
Six months ended June 30, 2016
Advances	Interest rate floors	$	—	$	—		$	6
Discount notes	Interest rate swaps	4		(38		)	(98		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	4	$	(38	)	$	(94	)
Six months ended June 30, 2015
Advances	Interest rate floors	$	—	$	—		$	6
Discount notes	Interest rate swaps	1		43			(125		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	1	$	43		$	(121	)

27

Notes to Financial Statements - (Unaudited)

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

Note 10 – Consolidated Obligations

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

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

As of June 30, 2016	Contractual Maturity		Weighted Average Interest Rate		By Maturity or Next Call Date
Due in one year or less	$	12,279	0.88	%	$	22,060
One to two years	4,885		1.74	%	3,425
Two to three years	3,395		1.35	%	1,995
Three to four years	2,213		1.48	%	403
Four to five years	3,271		2.06	%	363
Thereafter	3,052		3.33	%	849
Par value	$	29,095	1.51	%	$	29,095

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	June 30, 2016			December 31, 2015
Carrying Amount	$	45,876		$	41,564
Par Value	45,906			41,584
Weighted Average Interest Rate	0.39		%	0.22		%

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

As of	June 30, 2016			December 31, 2015
Noncallable	$	18,393		$	10,148
Callable	10,702			12,536
Par value	29,095			22,684
Hedging adjustments	(13		)	(101		)
Other adjustments	9			(1		)
Consolidated obligation bonds	$	29,091		$	22,582

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

	June 30, 2016									December 31, 2015
Par values as of	Bonds			Discount Notes			Total			Bonds			Discount Notes			Total
FHLB System total consolidated obligations	$	492,431		$	471,379		$	963,810		$	410,859		$	494,343		$	905,202
FHLB Chicago as primary obligor	29,095			45,906			75,001			22,684			41,584			64,268
As a percent of the FHLB System	6		%	10		%	8		%	6		%	8		%	7		%

28

Notes to Financial Statements - (Unaudited)

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

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

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

Minimum Capital Requirements

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

	June 30, 2016						December 31, 2015
	Requirement			Actual			Requirement			Actual
Risk-based capital	$	984		$	4,960		$	1,027		$	4,688
Total regulatory capital	$	3,226		$	4,960		$	2,827		$	4,688
Total regulatory capital ratio	4.00		%	6.15		%	4.00		%	6.63		%
Leverage capital	$	4,033		$	7,440		$	3,534		$	7,032
Leverage capital ratio	5.00		%	9.22		%	5.00		%	9.95		%

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

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

As of June 30, 2016	Regulatory Capital Stock Outstanding			% of Total Outstanding
One Mortgage Partners Corp.	$	245	a	12	%
The Northern Trust Company	$	220		11	%
BMO Harris Bank, N.A.	$	219		11	%

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

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

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

Excess Capital Stock

In February 2016, we announced significant reductions in our membership stock and activity stock requirements, which went into effect on April 1, 2016. As a result of these changes, we held $593 million of excess capital stock on April 1, 2016. As of June 30, 2016, we held excess capital stock of $391 million. The reduction was a result of members requesting repurchase of their excess stock and members utilizing excess stock to support new advance borrowing activities.

29

Notes to Financial Statements - (Unaudited)

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

Note 12 - Accumulated Other Comprehensive Income (Loss)

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

	Net Unrealized -			Non-credit OTTI -			Net Unrealized - Cash Flow Hedges
	Available-for-sale Securities			Held-to-maturity Securities						Post-Retirement Plans			AOCI
Three months ended June 30, 2016
Beginning balance	$	618		$	(206	)	$	(516	)	$	(6	)	$	(110	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(60		)	10			14			1			(35		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(2		)	—			(2		)
Non-interest gain (loss)	—			—			(4		)	—			(4		)
Other comprehensive income in the period	(60		)	10			8			1			(41		)
Ending balance	$	558		$	(196	)	$	(508	)	$	(5	)	$	(151	)
Three months ended June 30, 2015
Beginning balance	$	1,038		$	(251	)	$	(608	)	$	(7	)	$	172
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(113		)	13			70			—			(30		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(2		)	—			(2		)
Non-interest gain (loss)	—			—			(1		)	—			(1		)
Other comprehensive income in the period	(113		)	13			67			—			(33		)
Ending balance	$	925		$	(238	)	$	(541	)	$	(7	)	$	139
Six months ended June 30, 2016
Beginning balance	$	658		$	(217	)	$	(463	)	$	(6	)	$	(28	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(100		)	21			(38		)	1			(116		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(3		)	—			(3		)
Non-interest gain (loss)	—			—			(4		)	—			(4		)
Other comprehensive income in the period	(100		)	21			(45		)	1			(123		)
Ending balance	$	558		$	(196	)	$	(508	)	$	(5	)	$	(151	)
Six months ended June 30, 2015
Beginning balance	$	1,060		$	(264	)	$	(580	)	$	1		$	217
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(135		)	26			43			(8		)	(74		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(3		)	—			(3		)
Non-interest gain (loss)	—			—			(1		)	—			(1		)
Other comprehensive income in the period	(135		)	26			39			(8		)	(78		)
Ending balance	$	925		$	(238	)	$	(541	)	$	(7	)	$	139

30

Notes to Financial Statements - (Unaudited)

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

Note 13 - Fair Value

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

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

The following table shows the fair values of financial instruments that are measured at amortized cost on our statements of condition, except where we elected the fair value option. Financial instruments for which we elected the fair value option are measured at fair value on a recurring basis on our statements of condition and are parenthetically shown in the following table.

	Carrying Amount						Fair Value Hierarchy
				Fair Value			Level 1			Level 2			Level 3
June 30, 2016
Financial Assets -
Cash and due from banks	$	375		$	375		$	375		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	3,573			3,573			—			3,573			—
Securities purchased under agreements to resell	1,750			1,750			—			1,750			—
Held-to-maturity securities	5,543			6,090			—			5,006			1,084
Advances	46,424			46,384			—			46,384			—
MPF Loans held in portfolio, net	4,667			4,996			—			4,958			38
Financial Liabilities -
Deposits	(532		)	(532		)	—			(532		)	—
Consolidated obligation discount notes	(45,876		)	(45,881		)	—			(45,881		)	—
Consolidated obligation bonds	(29,091		)	(29,576		)	—			(29,576		)	—
Mandatorily redeemable capital stock	(302		)	(302		)	(302		)	—			—
December 31, 2015
Financial Assets -
Cash and due from banks	$	499		$	499		$	499		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	1,702			1,702			—			1,702			—
Securities purchased under agreements to resell	1,375			1,375			—			1,375			—
Held-to-maturity securities	5,967			6,513			—			5,293			1,220
Advances	36,778			36,736			—			36,736			—
MPF Loans held in portfolio, net	4,828			5,190			—			5,155			35
Financial Liabilities -
Deposits	(538		)	(538		)	—			(538		)	—
Consolidated obligation discount notes	(41,564		)	(41,563		)	—			(41,563		)	—
Consolidated obligation bonds	(22,582		)	(22,986		)	—			(22,931		)	(55		)	a
Mandatorily redeemable capital stock	(8		)	(8		)	(8		)	—			—
Subordinated notes	(944		)	(966		)	—			(966		)	—

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

31

Notes to Financial Statements - (Unaudited)

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

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

June 30, 2016	Level 2			Level 3				Netting			Fair Value
Financial assets -
U.S. Government & other government related non-MBS	$	1,153		$	—						$	1,153
GSE residential MBS	45			—							45
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,200			—							1,200
U.S. Government & other government related non-MBS	394			—							394
State or local housing agency non-MBS	21			—							21
FFELP ABS	4,834			—							4,834
GSE residential MBS	9,322			—							9,322
U.S. Government-guaranteed residential MBS	1,620			—							1,620
Private-label residential MBS	—			57							57
Available-for-sale securities	16,191			57							16,248
Advances	594			—							594
Derivative assets	769			—				$	(765	)	4
Other assets - Mortgage loans held for sale	36			—							36
Financial assets at fair value	$	18,790		$	57			$	(765	)	$	18,082
Level 3 as a percent of total assets at fair value				0.3		%
Financial liabilities -
Consolidated obligation discount notes	$	(10,140	)	$	—						$	(10,140	)
Consolidated obligation bonds	(5,960		)	—							(5,960		)
Derivative liabilities	(1,815		)	—				$	1,764		(51		)
Financial liabilities at fair value	$	(17,915	)	$	—			$	1,764		$	(16,151	)
December 31, 2015
Financial assets -
U.S. Government & other government related non-MBS	$	1,108		$	—						$	1,108
GSE residential MBS	50			—							50
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,160			—							1,160
U.S. Government & other government related non-MBS	422			—							422
State or local housing agency non-MBS	18			—							18
FFELP ABS	5,299			—							5,299
GSE residential MBS	9,798			—							9,798
U.S. Government-guaranteed residential MBS	1,868			—							1,868
Private-label residential MBS	—			65							65
Available-for-sale securities	17,405			65							17,470
Advances	511			—							511
Derivative assets	598			5				$	(601	)	2
Other assets - Mortgage loans held for sale	54			—							54
Financial assets at fair value	$	19,728		$	70			$	(601	)	$	19,197
Level 3 as a percent of total assets at fair value				0.4		%
Financial liabilities -
Consolidated obligation discount notes	$	(9,006	)	$	—						$	(9,006	)
Consolidated obligation bonds	(952		)	(55		)	a				(1,007		)
Derivative liabilities	(1,424		)	—				$	1,369		(55		)
Financial liabilities at fair value	$	(11,382	)	$	(55	)		$	1,369		$	(10,068	)
Level 3 as a percent of total liabilities at fair value				0.5		%

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

32

Notes to Financial Statements - (Unaudited)

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

Fair Value Option

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

The following table summarizes the net gain (loss) related to financial assets and liabilities for which we elected the fair value option.

	Three months ended June 30,						Six months ended June 30,
	2016			2015			2015			2014
Advances	$	5		$	—		$	16		$	1
Bonds	(2		)	2			(5		)	4
Discount notes	(2		)	(2		)	(5		)	(2		)
Net gain (loss) instruments held under fair value option	$	1		$	—		$	6		$	3

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

	June 30, 2016				December 31, 2015
As of	Advances		Consolidated Obligation Bonds		Advances		Consolidated Obligation Bonds
Unpaid principal balance	$	576	$	5,949	$	509	$	953
Fair value over (under) UPB	18		11		2		(1		)
Fair value	$	594	$	5,960	$	511	$	952

33

Notes to Financial Statements - (Unaudited)

(Dollars 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.

	June 30, 2016							December 31, 2015
As of	Expire within one year		Expire after one year			Total		Expire within one year		Expire after one year			Total
Unsettled consolidated obligation bonds	$	714	$	—		$	714	$	105	$	—		$	105
Unsettled consolidated obligation discount notes	43		—			43		—		—			—
Member standby letters of credit	6,355		2,067		a	8,422		5,063		1,615		a	6,678
Housing authority standby bond purchase agreements	50		265			315		49		362			411
Advance commitments	187		—			187		163		5			168
MPF delivery commitments	558		—			558		279		—			279
Other commitments	44		1			45		48		3			51
Commitments	$	7,951	$	2,333		$	10,284	$	5,707	$	1,985		$	7,692

^a  Contains $369 million and $637 million of member standby letters of credit at June 30, 2016, and December 31, 2015, which were renewable annually.

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

Note 15 – Transactions with Related Parties and Other FHLBs

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

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

Members

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

As of	June 30, 2016		December 31, 2015
Assets - Interest bearing deposits	$	650	$	650
Assets - Advances	22,016		15,168
Assets - Advance Interest Receivable	9		5
Liabilities - Deposits	26		20
Equity - Capital Stock	703		467

Other FHLBs

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

34

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

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

Selected Financial Data

As of or for the three months ended	June 30, 2016			March 31, 2016			December 31, 2015			September 30, 2015			June 30, 2015
Selected statements of condition data
Total investments a	$	28,964		$	27,597		$	28,324		$	28,883		$	28,080
Advances	46,424			38,353			36,778			35,044			34,553
MPF Loans held in portfolio, gross	4,670			4,681			4,831			5,082			5,377
Less: allowance for credit losses	(3		)	(2		)	(3		)	(3		)	(3		)
Total assets	80,662			70,913			70,671			69,824			69,760
Consolidated obligation discount notes, net	45,876			40,293			41,564			37,290			34,552
Consolidated obligation bonds, net	29,091			24,021			22,582			26,062			28,672
Total capital stock	1,774			1,733			1,950			1,892			1,835
Total retained earnings	2,884			2,790			2,730			2,640			2,575
Mandatorily redeemable capital stock (MRCS)	302			302			8			9			8
Total capital	4,507			4,413			4,652			4,573			4,549
Other selected data at period end
MPF off-balance sheet loans outstanding FHLB System b	$	16,061		$	15,664		$	15,399		$	15,083		$	14,840
MPF off-balance sheet loans outstanding FHLB Chicago PFIs b	7,892			7,827			7,785			7,765			7,725
FHLB systemwide consolidated obligations (par)	963,810			896,828			905,202			856,511			852,783
Number of members	732			737			740			742			748
Total employees (full and part time)	432			425			422			410			413
Selected statements of income data
Net interest income after provision for credit losses	$	111		$	120		$	135		$	121		$	117
Non-interest gain (loss)	50			(3		)	10			(6		)	24
Non-interest expense	46			40			37			35			33
Net income	104			69			97			72			97
Other selected data during the periods
MPF off-balance sheet loan volume funded FHLB System b	$	960		$	703		$	849		$	807		$	800
MPF off-balance sheet loan volume funded FHLB Chicago PFIs b	395			277			329			363			388
Selected ratios (rates annualized)
Total regulatory capital to assets ratio	6.15		%	6.81		%	6.63		%	6.50		%	6.33		%
Market value of equity to book value of equity	107		%	107		%	108		%	108		%	110		%
Total investments - % of total assets	36		%	39		%	40		%	41		%	40		%
Advances - % of total assets	58		%	54		%	52		%	50		%	50		%
MPF Loans held in portfolio, net - % of total assets	6		%	7		%	7		%	7		%	8		%
Dividend rate class B1 activity stock-period paid	2.80		%	2.60		%	2.50		%	2.25		%	2.25		%
Dividend rate class B2 membership stock-period paid	0.60		%	0.60		%	0.50		%	0.50		%	0.50		%
Return on average assets	0.53		%	0.38		%	0.53		%	0.42		%	0.56		%
Return on average equity	9.38		%	5.87		%	8.44		%	6.31		%	8.51		%
Average equity to average assets	5.65		%	6.47		%	6.28		%	6.66		%	6.58		%
Net yield on average interest-earning assets	0.57		%	0.66		%	0.75		%	0.72		%	0.71		%
Return on average Regulatory Capital spread to three month LIBOR index	7.97		%	5.17		%	7.94		%	6.15		%	8.59		%
Cash dividends	$	10		$	9		$	7		$	7		$	6
Dividend payout ratio	10		%	13		%	7		%	10		%	6		%

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

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

35

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

Forward-Looking Information

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

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

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

• limits on our investments in long-term assets;

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

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

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

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

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

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

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

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

36

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

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

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

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

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

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

• our ability to attract and retain skilled employees;

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

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

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

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

For a more detailed discussion of the risk factors applicable to us, see Risk Factors in our 2015 Form 10-K on page 19 and in this Form 10-Q on page 60.

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.

37

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

Executive Summary

Second Quarter 2016 Financial Highlights

• We recorded net income of $104 million for the second quarter of 2016, up from $97 million in the second quarter of 2015, as we benefitted from continued litigation settlement awards related to our private-label MBS as discussed below.

• Net interest income for the second quarter of 2016 was $111 million, which included approximately $11 million of income from the prepayment fees associated with certain advance and investment security prepayments during the period. For the second quarter of 2015, net interest income was $121 million, which included approximately $12 million of income from prepayment fees associated with certain investment security prepayments during the period. The primary factor for the decline in net interest incomebetween the second quarters of 2016 and 2015 was the result of the continued maturity of our higher earning investments and MPF Loan portfolios in addition to increased funding costs we experienced during the period. These increased funding costs were the result of our utilization of longer-term funding for our balance sheet.

• Litigation settlement awardsrelated to our private-label MBS were $38 million for the second quarter of 2016 compared to $10 million for the second quarter of 2015, as such remaining outstanding litigation, and any related settlement awards, wind down.

• Other noninterest expense increased to $46 million for the second quarter of 2016, compared to $33 million for the second quarter of 2015, driven mainly by litigation expenses of $5 million and $1 million, respectively, related to our private-label MBS litigation settlements during the periods, along with an increase in other operating expenses.

• Total investment securities decreased $1.6 billion to $23.0 billion at June 30, 2016, down 7% from $24.6 billion at December 31, 2015, as our investment portfolio continued to pay down.

• Advances outstanding increased $9.6 billion to $46.4 billion at June 30, 2016, up 26% from $36.8 billion at December 31, 2015, as members support investment activities and loan growth in their communities.

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

• Totalassetsincreased $10 billion to $80.7 billion as of June 30, 2016, up 14% compared to $70.7 billion as of December 31, 2015.

• We reached nearly $2.9 billion in retained earningsat June 30, 2016.

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

Summary and Outlook

Second Quarter 2016 Dividend

On July 21, 2016, the Bank's Board of Directors maintained the dividend levels set last quarter for the second quarter of 2016. The Board again recognized our members that borrow from the Bank by declaring a dividend of 2.80% (annualized) for Class B1 activity capital stock, based on the Bank’s preliminary financial results for the second quarter of 2016. The Board also declared a 0.60% dividend (annualized) for Class B2 membership capital stock.

Meeting Members’ Business Needs

We have focused our efforts over the past few years to optimize members’ investment in the Bank as one way to enhance the value of their membership. This quarter, we announced the latest evolution of our Reduced Capitalization Advance Program (RCAP), which allows members to borrow new advances using less activity stock. The new RCAP has no minimum term requirement and is available for most products, including short-term advances. This provides our borrowing members with flexibility in how they choose to benefit from supporting the cooperative.

In addition, this quarter, we announced enhancements to our MPF Direct product. The single-family loan limit is increasing to $2.5 million from $1.5 million. Hybrid adjustable rate mortgages, which our members tell us they wish to sell into the MPF Program, will also be eligible for delivery.

Advances outstanding reached all-time highs in the second quarter, as did letter of credit balances. At June 30, 2016, advances were $46.4 billion, up 26% from December 31, 2015, and letters of credit were $8.4 billion, up 25% from December 31, 2015. Volume in the MPF Program continues to grow as well. As a member-focused cooperative, we have designed our products and services to focus on member needs. The growth in member products is an important way in which we measure our success in fulfilling our role as our members’ Home Loan Bank.

38

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

Results of Operations

Net Interest Income

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

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

• Amortization of premiums;

• Accretion of discounts;

• Amortization of hedge adjustments;

• Advance prepayment fees; and

• MPF credit enhancement fees.

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

• Average daily balances are computed using historical amortized cost balances except for trading securities and items carried under the fair value option, which both immediately recognize changes in fair value into our statements of income.

• MPF Loans held in portfolio that are on nonaccrual status are included in average daily balances used to determine the effective yield/rate. Amounts included in interest income on MPF Loans held in portfolio are presented as detailed in MPF Loans Held in Portfolio, Net of Allowance for Credit Losses on page 47.

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

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

39

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

	June 30, 2016						June 30, 2015						Increase (decrease) due to
For the three months ended	Average Balance		Total Interest		Yield/ Rate		Average Balance		Total Interest		Yield/ Rate		Volume			Rate			Net Change
Investment securities	$	22,148	$	178	3.21	%	$	24,414	$	200	3.28	%	$	(18	)	$	(4	)	$	(22	)
Advances	43,759		74		0.68	%	32,859		42		0.51	%	18			14			32
MPF Loans held in portfolio	4,666		55		4.71	%	5,445		66		4.85	%	(9		)	(2		)	(11		)
Other interest bearing assets	7,779		10		0.51	%	5,260		1		0.08	%	3			6			9
Interest income on assets	78,352		317		1.62	%	67,978		309		1.82	%	42			(34		)	8
Consolidated obligation discount notes	46,242		95		0.82	%	31,341		72		0.92	%	31			(8		)	23
Consolidated obligation bonds	26,216		98		1.50	%	31,081		103		1.33	%	(18		)	13			(5		)
Subordinated notes	758		10		5.28	%	944		13		5.51	%	(2		)	(1		)	(3		)
Other interest bearing liabilities	842		3		1.43	%							3			—			3
Interest expense on liabilities	74,058		206		1.11	%	63,366		188		1.19	%	31			(13		)	18
Net yield on interest-earning assets	$	78,352	$	111	0.57	%	$	67,978	$	121	0.71	%	$	14		$	(24	)	$	(10	)
For the six months ended
Investment securities	$	22,744	$	371	3.26	%	$	25,042	$	404	3.23	%	$	(35	)	$	2		$	(33	)
Advances	41,050		137		0.67	%	32,285		87		0.54	%	40			10			50
MPF Loans held in portfolio	4,697		112		4.77	%	5,616		135		4.81	%	(22		)	(1		)	(23		)
Other interest bearing assets	6,791		15		0.44	%	8,207		4		0.10	%	4			7			11
Interest income on assets	75,282		635		1.69	%	71,150		630		1.77	%	19			(14		)	5
Consolidated obligation discount notes	44,763		177		0.79	%	33,794		144		0.85	%	38			(5		)	33
Consolidated obligation bonds	24,527		200		1.63	%	31,889		208		1.30	%	(34		)	26			(8		)
Subordinated notes	851		24		5.64	%	944		27		5.72	%	(3		)	—			(3		)
Other interest bearing liabilities	815		3		0.74	%							3			—			3
Interest expense on liabilities	70,956		404		1.14	%	66,627		379		1.14	%	25			—			25
Net yield on interest-earning assets	$	75,282	$	231	0.61	%	$	71,150	$	251	0.71	%	$	(2	)	$	(18	)	$	(20	)

Net interest income changed mainly due to the following:

• Interest income from investment securities declined primarily due to the decline in average investment balances as securities matured or paid down during the period. Our ability to make new investmentsthat have a term to maturity in excess of 270 days is restricted. For further information, see Investments on page 12 in our 2015 Form 10-K. This decline in interest income was also negatively impacted by declines in accretion into interest income of expected improvements in future cash flows on securities that were previously charged with credit related OTTI. For the year to date through June 30, 2016, we recorded accretion of $26 million compared to $29 million for the same period in 2015; and $13 million and $14 million for the comparable second quarter to date periods ended June 30. Accretion is dependent upon how estimated market conditions impact future cash flows, and may vary from past experience.

• Interest income from advances increased due to higher member demand for advances along with increases in interest rates, primarily as a result of the Federal Reserve Bank's actions at year end 2015. The following were key factors resulting in the increased demand by members for advances.

• The funding needs of our members in Illinois and Wisconsin have increased as members support investment activities and loan growth in their communities.

• The benefits we offer our members through our continuing Reduced Capitalization Advance Program (RCAP), which is designed to make the net cost of borrowing through advances more attractive to members and allows members to borrow new advances using less activity based capital stock.

40

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

• Interest income from MPF Loans held in portfolio continued to decline as expected due to the net decrease in our outstanding MPF Loans held in portfolio. Though we had a small net decrease in our outstanding MPF Loans year over year, we resumed purchasing MPF Loans and in the second quarter of 2016, our purchases were large enough to mostly offset our current loan paydown activity in the quarter.

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

• Interest expense increased, primarily due to higher volume outstanding on our consolidated obligation discount notes. Rates on our outstanding debt decreased in our consolidated obligation discount notes but increased on our longer-termed consolidated obligation bonds as lower rate bonds matured during the period.

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

41

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

Non-Interest Gain (Loss)

	Three months ended June 30,					Six months ended June 30,
	2016			2015		2016			2015
Trading securities	$	(1	)	$	—	$	—		$	(1	)
Derivatives and hedging activities	2			9		(14		)	(2		)
Instruments held under fair value option	1			—		6			3
Trading Securities, Derivatives and Hedging Activities, and Instruments Held Under Fair Value Option	2			9		(8		)	—
Litigation settlement awards	38			10		38			11
Other, net	10			5		17			8
Noninterest gain (loss)	$	50		$	24	$	47		$	19

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

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

Litigation settlement awards

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

Other, net

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

42

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

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

	Advances			Investments			MPF Loans			Discount Notes			Bonds			Total
Three months ended June 30, 2016
Amortization/accretion	$	2		$	—		$	(3	)	$	(1	)	$	(2	)	$	(4	)
Net interest settlements	(18		)	(28		)	—			(50		)	18			(78		)
Total recorded in net interest income	(16		)	(28		)	(3		)	(51		)	16			(82		)
Fair value hedges - ineffectiveness net gain (loss)	—			(2		)	—			—			(1		)	(3		)
Cash flow hedges - ineffectiveness net gain (loss)	—			—			—			4			—			4
Economic hedges - net gain (loss)	(6		)	(1		)	3			2			3			1
Total recorded derivatives & hedging activities	(6		)	(3		)	3			6			2			2
Trading securities - hedged	—			(2		)	—			—			—			(2		)
Instruments held under fair value option	5			—			—			(2		)	(2		)	1
Total net effect gain (loss) of hedging activities	$	(17	)	$	(33	)	$	—		$	(47	)	$	16		$	(81	)
Three months ended June 30, 2015
Amortization/accretion	$	2		$	—		$	(3	)	$	—		$	(4	)	$	(5	)
Net interest settlements	(21		)	(34		)	—			(62		)	60			(57		)
Total recorded in net interest income	(19		)	(34		)	(3		)	(62		)	56			(62		)
Fair value hedges - ineffectiveness net gain (loss)	3			3			—			—			—			6
Cash flow hedges - ineffectiveness net gain (loss)	—			—			—			1			—			1
Economic hedges - net gain (loss)	—			—			(3		)	3			2			2
Total recorded derivatives & hedging activities	3			3			(3		)	4			2			9
Instruments held under fair value option	—			—			—			(2		)	2			—
Total net effect gain (loss) of hedging activities	$	(16	)	$	(31	)	$	(6	)	$	(60	)	$	60		$	(53	)
Six months ended June 30, 2016
Amortization/accretion	$	4		$	(4	)	$	(5	)	$	(1	)	$	(6	)	$	(12	)
Net interest settlements	(38		)	(58		)	—			(97		)	43			(150		)
Total recorded in net interest income	(34		)	(62		)	(5		)	(98		)	37			(162		)
Fair value hedges - ineffectiveness net gain (loss)	(1		)	(5		)	—			—			(6		)	(12		)
Cash flow hedges - ineffectiveness net gain (loss)	—			—			—			4			—			4
Economic hedges - net gain (loss)	(19		)	(1		)	7			1			6			(6		)
Total recorded derivatives & hedging activities	(20		)	(6		)	7			5			—			(14		)
Trading securities - hedged	—			(1		)	—			—			—			(1		)
Instruments held under fair value option	16			—			—			(5		)	(5		)	6
Total net effect gain (loss) of hedging activities	$	(38	)	$	(69	)	$	2		$	(98	)	$	32		$	(171	)
Six months ended June 30, 2015
Amortization/accretion	$	6		$	(10	)	$	(7	)	$	(1	)	$	(5	)	$	(17	)
Net interest settlements	(41		)	(68		)	—			(124		)	118			(115		)
Total recorded in net interest income	(35		)	(78		)	(7		)	(125		)	113			(132		)
Fair value hedges - ineffectiveness net gain (loss)	(1		)	(2		)	—			—			(10		)	(13		)
Cash flow hedges - ineffectiveness net gain (loss)	—			—			—			1			—			1
Economic hedges - net gain (loss)	(2		)	—			(1		)	5			8			10
Total recorded derivatives & hedging activities	(3		)	(2		)	(1		)	6			(2		)	(2		)
Trading securities - hedged	—			—			—			—			—			—
Instruments held under fair value option	1			—			—			(2		)	4			3
Total net effect gain (loss) of hedging activities	$	(37	)	$	(80	)	$	(8	)	$	(121	)	$	115		$	(131	)

43

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

Noninterest Expense

	Three months ended June 30,				Six months ended June 30,
	2016		2015		2016		2015
Compensation and benefits	$	22	$	18	$	45	$	37
Operating expenses	14		14		29		25
Other	10		1		12		4
Noninterest expense	$	46	$	33	$	86	$	66

Compensation and benefits increased primarily due to defined benefit pension costs and other post retirement benefit related expenses, driven in part by the continued low interest rate environment and a change in the mortality tables used to calculate the estimated pension liability. To a lesser extent, it also increased due to increased headcount and incentive compensation expenses. We had 432 employees as of June 30, 2016, compared to 413 as of June 30, 2015.

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

Assessments

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

44

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

Other Comprehensive Income (Loss)

	Three months ended June 30,						Six months ended June 30,
	2016			2015			2016			2015
Net unrealized gain (loss) available-for-sale securities	$	(60	)	$	(113	)	$	(100	)	$	(135	)
Non-credit OTTI held-to-maturity securities	10			13			21			26
Net unrealized gain (loss) cash flow hedges	8			67			(45		)	39
Post-retirement plans	1			—			1			(8		)
Other comprehensive income (loss)	$	(41	)	$	(33	)	$	(123	)	$	(78	)

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

Our available-for-sale portfolio securities are in a net unrealized gain position as market interest rates have declined since we acquired these securities. As these securities mature, the net unrealized gain position gradually reverses to zero since we will only collect the face value at their maturity. Such reversals result in a net unrealized (loss) which will decline over time as individual securities mature. Our unrealized net gain position related to our available-for-sale securities portfolio in AOCI was $558 million as of June 30, 2016.

Non-credit OTTI on held-to-maturity securities

We accrete the non-credit related OTTI amount in AOCI to the carrying amount of each related held-to-maturity security over its remaining life. The decrease resulted from a decline in our outstanding non-credit OTTI balance, which drove a reduction in the accretion amounts. Our remaining non-credit OTTI amount on held-to-maturity securities in AOCI was $(196) million as of June 30, 2016. We expect this remaining amount to continue to decline as our OTTI held-to-maturity securities approach maturity.

Net unrealized gain (loss) on cash flow hedges

Our cash flow hedges are more sensitive to changes in longer-term market interest rates than to changes in shorter-term market interest rates. Our year-to-date net unrealized (loss) as of June 30, 2016 was ($45) million compared to a $39 million year-to-date net unrealized gain as of June 30, 2015. The net unrealized (loss) during 2016 resulted from a decline in interest rates, especially in Q1 2016. In Q2 2016, rates stabilized, resulting in a minimal gain compared to the same period in 2015. As of June 30, 2016, we had a net unrealized (loss) of $(508) million in AOCI related to our cash flow hedges.

Post-retirement plans

The $8 million OCI (loss) in Q1 2015 was due to a revision to the mortality tables we use for our post-retirement healthcare and supplemental defined benefit equalization plan and is being amortized into compensation and benefits expense over the average number of years employment remaining before retirement. The annual amount of amortization is expected to be no more than $1 million.

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

45

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

Statements of Condition

	June 30, 2016			December 31, 2015
Cash and due from banks, interest bearing deposits, Federal Funds sold, and securities purchased under agreement to resell	$	6,348		$	4,226
Investment securities	22,991			24,597
Advances	46,424			36,778
MPF Loans held in portfolio, net of allowance for credit losses	4,667			4,828
Other	232			242
Assets	$	80,662		$	70,671
Consolidated obligation discount notes	$	45,876		$	41,564
Consolidated obligation bonds	29,091			22,582
Subordinated notes	—			944
Other	1,188			929
Liabilities	76,155			66,019
Capital stock	1,774			1,950
Retained earnings	2,884			2,730
Accumulated other comprehensive income (loss)	(151		)	(28		)
Capital	4,507			4,652
Total liabilities and capital	$	80,662		$	70,671

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

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

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

• Liquidity requirements;

• Counterparties available; and

• Collateral availability on securities purchased under agreements to resell.

46

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

Investment Securities

We are required to obtain FHFA approval for any new investments that have a term to maturity in excess of 270 days until such time as our MBS portfolio is less than three times our total regulatory capital and our advances represent more than 50% of our total assets. At June 30, 2016, our MBS portfolio was 3.86 times our total regulatory capital and our advances represented 58% of our total assets.

Advances

Advances increased in 2016 primarily due to the following factors:

• The increased funding needs of our members in Illinois and Wisconsin as members support investment activities and loan growth in their communities.

• The benefits we offer our members through our continuing Reduced Capitalization Advance Program (RCAP), which is designed to make the net cost of borrowing through advances more attractive to members and allows members to borrow new advances using less activity stock.

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

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

We had only a small net decrease in our outstanding MPF Loans from year end, as we resumed purchasing a material amount of new loans. In the second quarter of 2016, our purchases were large enough to mostly offset our current loan paydowns in the quarter. A portion of our new loans were refinancings, and this activity is dependent on interest rates. If rates rise quickly, refinancings may decline. Our recent trend is toward new purchase activity, which may be less susceptible to interest rate increases. However, we cannot predict if these trends will continue. For the year to date period ended June 30, 2016, we acquired $409 million in new MPF Loans to our portfolio, compared to $44 million in the same period in 2015.

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

47

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

Liquidity, Funding, & Capital Resources

Liquidity

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

Overnight Liquidity – Our policy requires us to maintain overnight liquid assets at least equal to 3.5% of total assets. As of June 30, 2016, our overnight liquidity was $10.5 billion or 13% of total assets, giving us an excess overnight liquidity of $7.7 billion.

Deposit Coverage – To support our member deposits, FHFA regulations require us to have an amount equal to the current deposits invested in obligations of the U.S. Government, deposits in eligible banks or trust companies, or advances with maturities not exceeding five years. As of June 30, 2016, we had excess liquidity of $47.9 billion to support member deposits.

Contingency Liquidity – The cumulative five business day liquidity measurement assumes there is a localized credit crisis for all FHLBs where the FHLBs do not have the ability to issue new consolidated obligations or borrow unsecured funds from other sources (e.g., purchasing Federal Funds or customer deposits). Our net liquidity in excess of our total uses and reserves over a cumulative five-business-day period was $18.4 billion as of June 30, 2016.

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

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

	MPF Loans Held in Portfolio		Investment Securities
As of June 30, 2016			Available-for Sale		Held-to-Maturity
Year of Expected Principal Cash Flows
One year or less	$	1,390	$	1,575	$	2,209
After one year through five years	2,295		11,038		3,047
After five years through ten years	683		1,818		630
After ten years	242		853		178
Total	$	4,610	$	15,284	$	6,064

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

48

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

Funding

Conditions in Financial Markets

During the second quarter of 2016, the Federal Open Market Committee (FOMC) delayed further interest rate hikes due to potential economic stress caused by the United Kingdom leaving the European Union, commonly known as "Brexit." The increased economic uncertainty caused by Brexit lead to a fall in interest rates. The 10 year Treasury Note fell 30 basis points over the quarter ending at 1.47 percent.

We maintained ready access to funding during the quarter.

Cash flows from operating activities

Our operating assets and liabilities support our mission to provide our member shareholders competitively priced funding, a reasonable return on their investment in our capital stock, and support for community investment activities.  Operating assets and liabilities can vary significantly in the normal course of business due to the amount and timing of cash flows, which are affected by member-driven activities and market conditions. We believe cash flows from operations, available cash balances and our ability to generate cash through short- and long-term borrowings are sufficient to fund our operating liquidity needs.  Net cash provided by (used in) operating activities was $(8) millionfor the six months ended June 30, 2016 compared to $316 million for the six months ended June 30, 2015, resulting in a year over year decrease of $324 million. This difference primarily resulted from the following year over year changes:

• The non-cash adjustment attributable to the net fair value adjustment on derivatives and hedging activities, which represented a $165 million decrease in net cash flows during 2016 compared to a $196 million increase in net cash flows during 2015, or a total decrease year over year of $361 million in net cash flows from derivatives and hedging activities; and

• Net cash flows from Ginnie Mae securitization activities during 2016 that increased cash flows from operating activities by $32 million compared to a $11 million decrease in cash flows related to gross purchases of MPF Loans held for sale during 2015, or a total increase year over year of $43 million from Ginnie Mae securitization activities.

Cash flows from investing activities

Our investing activities predominantly include advances, MPF Loans held in portfolio, investment securities, and other short-term interest-earning assets. Net cash provided by (used in) investing activities was $(9.9) billionfor the six months ended June 30, 2016 compared to $3.2 billion for the six months ended June 30, 2015, resulting in a year over year decrease of $(13.1) billion. This difference primarily resulted from the following year over year changes:

• A net increase of $7 billion in cash outflows related to funding advances, which reflects our objective to make advances to our members our primary business;

• A net increase of $5 billion in cash outflows related to Federal Funds sold and securities purchased under agreements to resell, which reflects our objective to invest in liquid assets to meet the needs of our members; and

• A net increase of $525 million in cash outflows to purchase MPF Loans Held in Portfolio which reflects our decision in mid 2015 to resume these purchases.

Cash flows from financing activities

Our financing activities primarily reflect cash flows related to issuing and repaying consolidated obligations. Net cash provided by (used in) financing activities was $9.8 billionfor the six months ended June 30, 2016 compared to $(2.3) billion for the six months ended June 30, 2015, resulting in a year over year increase of $12.1 billion. This year over year increase was primarily driven by a net increase in our consolidated obligation discount notes and consolidated obligations bonds outstanding partially offset by the retirement of our subordinated notes. The proceeds from the increased issuances of our consolidated obligation discount notes and consolidated obligations bonds were primarily utilized to fund the net increases in our investing activities as noted above.

Consolidated Obligation Bonds and Discount Notes

We fund our assets principally with consolidated obligations (bonds and discount notes) issued through the Office of Finance, and capital stock. Consolidated obligations have GSE status although they are not obligations of the United States and the United States does not guarantee them.

During the first six months of 2016, discount notes and bonds increased in a manner consistent with the rise in the level of

49

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

assets being funded. For the comparable period in 2015, we relied more on shorter term discount notes to fund our assets as longer term bonds matured. The 2015 shift to discount note funding was driven by increased demand from our members for short term advances as well as taking advantage of funding opportunities in discount notes (versus bonds). For further discussion of our reliance on discount note funding, see page 24 of the Risk Factors section of our 2015 Form 10-K.

The following shows our net cash flow issuances (redemptions) by type of consolidated obligation:

Six months ended June 30,	2016		2015
Discount notes	$	4,298	$	3,489
Bonds	6,409		(5,609		)
Total consolidated obligations	$	10,707	$	(2,120	)

Subordinated Notes Payoff

As approved by the Finance Board (predecessor to the FHFA), we issued $1 billion of 10-year subordinated notes in 2006, and during 2013, we purchased $56 million of these notes in the open market. On June 13, 2016, our remaining $944 million subordinated notes matured. On this maturity date, we paid the holders of our subordinated note in full in accordance with the terms of their notes. For further discussion of our subordinated notes, see Note 12 - Subordinated Notes to the financial statements of our 2015 Form 10-K.

Capital Resources

Capital Rules

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

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

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

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

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

50

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

Membership stock requirements will continue to be recalculated annually, whereas the activity stock requirement and any automatic conversion of Class B2 membership stock to Class B1 activity stock related to the threshold will apply on a daily basis. The revised membership stock and activity stock requirements discussed above went into effect on April 1, 2016. As a result of these changes, we held $593 million of excess capital stock on April 1, 2016. As of June 30, 2016, we held excess capital stock of $391 million. The reduction was a result of members requesting repurchase of their excess stock and members utilizing excess stock to support new advance borrowing activities.

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

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

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

Reduced Capitalization Advance Program

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

Capital Amounts

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

	June 30, 2016			December 31, 2015			Change
Capital stock	$	1,774		$	1,950		$	(176	)
Total retained earnings	2,884			2,730			154
Accumulated other comprehensive income (loss)	(151		)	(28		)	(123		)
Total GAAP capital	$	4,507		$	4,652		$	(145	)
Capital Stock	$	1,774		$	1,950		$	(176	)
MRCS	302			8			294
Total retained earnings	2,884			2,730			154
Regulatory capital	$	4,960		$	4,688		$	272

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

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

On July 21, 2016, our Board of Directors approved maintaining the dividend levels set last quarter for the second quarter of 2016 and declared a 2.80% dividend (annualized) for Class B1 activity stock and a 0.60% dividend (annualized) for Class B2 membership stock based on our preliminary financial results for the second quarter of 2016. This dividend, including dividends on mandatorily redeemable capital stock, totaled $11 million and will be paid on August 15, 2016.  With this action, the Board continues the practice of rewarding members that use the Bank’s advances and support the financial health of the entire

51

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

cooperative. Although we continue to work to maintain our financial strength to support a reasonable dividend, any future dividend determination by our Board will be at our Board's sole discretion and will depend on future operating results, our Retained Earnings and Dividend Policy and any other factors the Board determines to be relevant. For further information about our Retained Earnings and Dividend Policy, see Retained Earnings and Dividend Policy on page 57 in our 2015 Form 10-K.

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

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

Critical Accounting Policies

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

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

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

52

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

Risk Management - Credit Risk

Managing Our Credit Risk Exposure Related to Member Credit Products

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

The following table presents the number of members and related credit outstanding to them by credit risk rating. Credit outstanding consists primarily of outstanding advances and letters of credit. MPF credit enhancement obligations, member derivative exposures, and other obligations make up the rest. Of the total credit outstanding, $46.1 billion were advances (par value) and $8.4 billion were letters of credit at June 30, 2016, compared to $36.6 billion and $6.7 billion at December 31, 2015.

	June 30, 2016									December 31, 2015
Rating	Borrowing Members	% of Total		Credit Outstanding		% of Total		Collateral Loan Value		Borrowing Members	% of Total		Credit Outstanding		% of Total		Collateral Loan Value
1-3	485	96	%	$	54,421	100	%	$	96,637	482	94	%	$	43,090	100	%	$	90,366
4	7	1	%	51		—	%	108		12	2	%	158		—	%	318
5	15	3	%	150		—	%	282		20	4	%	145		—	%	353
Total	507	100	%	$	54,622	100	%	$	97,027	514	100	%	$	43,393	100	%	$	91,037

MPF Loans and Related Exposures

For details on our allowance for credit losses on MPF Loans, please see the MPF Risk Sharing Structure on page F-14 in our 2015 Form 10-K.

Mortgage Repurchase Risk

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

For the three and six months ended June 30, 2016, we have repurchased $3 million and $6 million of unpaid principal balances related to MPF Loans. Due to recoveries from PFIs, we incurred no material losses on these loans. As of June 30, 2016, we have $37 million of unpaid principal with respect to mortgage loans that represent unresolved claims with investors, in which a repurchase demand may occur, compared to $38 million at December 31, 2015; see Note 14 -Commitments and Contingencies to the financial statements.

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

53

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

Investment Securities

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

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

Unsecured Short-Term Investments Credit Exposure

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

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

As of June 30, 2016	AA		A		Unrated		Total
Domestic U.S.
Interest-Bearing Deposits	$	—	$	650	$	—	$	650
Fed Funds Sold	—		—		23		23
U.S. branches and agency offices of foreign commercial banks - Federal Funds sold:
Australia	500		—		—		500
Canada	—		850		—		850
Finland	500		—		—		500
Netherlands	—		500		—		500
Norway	—		500		—		500
Sweden	500		200		—		700
Total unsecured credit exposure	$	1,500	$	2,700	$	23	$	4,223

All $4.2 billion of the unsecured credit exposure shown in the above table were overnight investments.

54

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

Managing Our Credit Risk Exposure Related to Derivative Agreements

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

The following table presents our derivative positions where we have such credit exposures. The rating used was the lowest rating among the three largest 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.

	Net Fair Value Before Collateral			Cash Collateral Pledged			Non-cash Collateral Pledged		Net Credit Exposure to Counterparties
As of June 30, 2016
Non-member counterparties -
Undercollateralized asset positions -
Bilateral derivatives -
A rated	$	2		$	(2	)	$	—	$	—
Cleared derivatives	—			1			—		1
Overcollateralized liability positions -
Cleared derivatives	(461		)	447			101		87
Non-member counterparties	(459		)	446			101		88
Member institutions	3			—			—		3
Total	$	(456	)	$	446		$	101	$	91
As of December 31, 2015
Non-member counterparties -
Overcollateralized liability positions -
Bilateral derivatives -
AA rated	$	(14	)	$	14		$	—	$	—	a
A rated	(4		)	4			—		—		a
Cleared derivatives	(147		)	136			62		51
Non-member counterparties	(165		)	154			62		51
Member institutions	1			—			—		1
Total	$	(164	)	$	154		$	62	$	52

^a  Less than $1 million.

55

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

Legislative and Regulatory Developments

Significant regulatory actions and developments for the period covered by this report are summarized below.

Joint Proposed Rule on Incentive-Based Compensation Arrangements

On June 10, 2016, the FHFA, jointly with five other federal regulators, published the rule contemplated by Section 956 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act), which requires implementation of regulations or guidelines to (1) prohibit incentive-based payment arrangements that these regulators determine encourage inappropriate risks by certain financial institutions by providing excessive compensation or that could lead to material financial loss; and (2) require those financial institutions to disclose information concerning incentive-based compensation arrangements to the appropriate federal regulator.

The proposed rule identifies three categories of institutions that would be covered by these regulations based on average total consolidated assets, applying less prescriptive incentive-based compensation program requirements to the smallest covered institutions (Level 3) and progressively more rigorous requirements to the larger covered institutions (Level 1). The proposed rule specifies that the Bank would fall into the middle category, Level 2. The proposed rule would supplement existing FHFA executive compensation rules.

The proposed rule would prohibit the Bank from establishing or maintaining incentive-based compensation arrangements that encourage inappropriate risks by “senior executive officers” and “significant risk-takers” (each as defined in the proposed rule, together, “covered persons”) that could lead to a material financial loss at the Bank.

If adopted in its current form, the proposed rule would, among other things, impose requirements related to the Bank’s incentive-based compensation arrangements for covered persons, related to:

• mandatory deferrals of 50 percent and 40 percent of annual and "long-term" incentive-based compensation payments for senior executive officers and significant risk takers, respectively, over no less than three years for annual incentive-based compensation and one year for compensation awarded under a long-term incentive plan;

• risk of downward adjustment and forfeiture of awards;

• clawbacks of vested compensation; and

• limits on the maximum incentive-based compensation opportunity.

The proposed rule would impact the design and operation of our compensation policies and practices, including our incentive compensation policies and practices, if adopted as proposed. Comments were due on the proposed rule by July 22, 2016.

Joint Proposed Rule Regarding Net Stable Funding Ratio

On May 3, 2016, the Federal Reserve Board (FRB), the Department of Treasury and the Federal Deposit Insurance Corporation, jointly issued a proposed rule that would implement a stable funding requirement, the net stable funding ratio (NSFR), for large and internationally active banking organizations. The NSFR will require institutions to maintain liquidity to match their assets over a one-year time horizon. The FRB is proposing a modified NSFR requirement for bank holding companies and certain savings and loan holding companies that, in each case, have more than $50 billion, but less than $250 billion, in total consolidated assets and less than $10 billion in total on-balance sheet foreign exposure. If adopted in its current form, the proposed rule would provide that secured funding with maturities between six months and one year, including FHLB advances, would be assigned 50% liquidity credit for purposes of calculating compliance with the NSFR, which could adversely affect demand for the Bank’s advances. Comments are due on the proposed rule by August 5, 2016.

56

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Measurement of Market Risk Exposure

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

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

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

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

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

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

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

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

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

As of June 30, 2016, our sensitivity to changes in implied volatility was nil. At December 31, 2015, our sensitivity to changes in implied volatility was $(1) million. These sensitivities are limited in that they do not incorporate other risks, including but not limited to, non-parallel changes in yield curves, 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.

57

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

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

June 30, 2016			December 31, 2015
Down 200 bps	Base	Up 200 bps	Down 200 bps	Base	Up 200 bps
2.5	1.1	0.6	2.8	0.6	0.7

Duration gap is another measure of interest rate sensitivity. Duration gap is calculated by dividing the dollar duration of equity by the fair value of assets. A positive duration gap indicates an exposure to rising interest rates. As of June 30, 2016, our duration gap was 0.8 months, compared to 0.5 months as of December 31, 2015.

As of June 30, 2016, on a U.S. GAAP basis, our fair value surplus (relative to book value) was $358 million, and our market value of equity to book value of equity ratio was 107%, compared to $351 million and 108% at December 31, 2015. Our market to book value of total capital for regulatory risk-based capital purposes differs from this GAAP calculation,as discussed in Note 11 - Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements.

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

	June 30, 2016						December 31, 2015
Scenario as of	Change in Market Value of Equity			Loss Limit			Change in Market Value of Equity			Loss Limit
-200 bp	$	(22.1	)	$	(370.0	)	$	123.0		$	(370.0	)
-100 bp	69.3			(155.0		)	65.2			(155.0		)
-50 bp	57.3			(60.0		)	21.8			(60.0		)
-25 bp	18.0			(30.0		)	7.5			(30.0		)
+25 bp	(8.6		)	(30.0		)	(6.4		)	(30.0		)
+50 bp	(13.2		)	(60.0		)	(13.9		)	(60.0		)
+100 bp	(18.5		)	(155.0		)	(31.3		)	(155.0		)
+200 bp	(41.4		)	(370.0		)	(62.8		)	(370.0		)

58

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

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

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

Changes in Internal Control Over Financial Reporting

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

Consolidated Obligations

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

59

PART II - OTHER INFORMATION

Item 1. Legal Proceedings.

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

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

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

Item 1A. Risk Factors.

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

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

Not applicable.

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

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

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

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

60

• the borrowings are in good standing and neither Lender has the right to take action against PwC, as borrower, in connection with the financings;

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

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

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

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

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

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

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

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

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

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

Item 6. Exhibits.

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

61

Glossary of Terms

Advances: Secured loans to members.

ABS: Asset-backed-securities.

AFS: Available-for-sale securities.

AOCI: Accumulated Other Comprehensive Income.

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

CBSA: Core Based Statistical Areas (CBSAs), which are based upon an assessment of the individual housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the United States Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people.

CDFI: Community development financial institution.

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.

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

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

Fannie Mae: Federal National Mortgage Association.

FASB: Financial Accounting Standards Board.

FCM: Futures Commission Merchant.

FDIC: Federal Deposit Insurance Corporation.

FFELP: Federal Family Education Loan Program.

FHA: Federal Housing Administration.

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.

62

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 Veterans Affairs (VA) or Department of Agriculture Rural Housing Service (RHS).

GSE: Government sponsored enterprise.

HFS: Held for sale.

Housing Act: Housing and Economic Recovery Act of 2008, enacted July 30, 2008.

HUD: Department of Housing and Urban Development.

HTM: Held-to-maturity securities.

LIBOR: London Interbank Offered Rate.

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 jumbo MPF Loans from PFIs and concurrently resell them to a third party investor.

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

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

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

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

MRCS: mandatorily redeemable capital stock. 

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

NRSRO: Nationally Recognized Statistical Rating Organization.

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

63

OIS: Fed Funds Effective Swap Rate (or Overnight Index Swap Rate).

OTTI: Other-than-temporary impairment.

OTTI Committee: An FHLB System OTTI Committee formed by the FHLBs to achieve consistency among the FHLBs in their analyses of the OTTI of private-label MBS.

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.

PMI: Primary Mortgage Insurance.

PwC: PricewaterhouseCoopers LLP.

RCAP: Reduced Capitalization Advance Program.

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

Regulatory capital: Regulatory capital stock plus retained earnings.

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

REO: Real estate owned.

RHS: Department of Agriculture Rural Housing Service.

SEC: Securities and Exchange Commission.

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

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

UPB: Unpaid Principal Balance.

U.S.: United States

VA: Department of Veterans Affairs.

64

Signatures

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

		FEDERAL HOME LOAN BANK OF CHICAGO
		/s/    Matthew R. Feldman
		By:	Matthew R. Feldman
		Title:	President and Chief Executive Officer
Date:	August 4, 2016	(Principal Executive Officer)
		/s/   Roger D. Lundstrom
		By:	Roger D. Lundstrom
		Title:	Executive Vice President and Chief Financial Officer
Date:	August 4, 2016	(Principal Financial Officer and Principal Accounting Officer)

S-1

EX-31.1

Exhibit 31.1

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

by the Principal Executive Officer

I, Matthew R. Feldman, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date:	August 4, 2016	By:	/s/ Matthew R. Feldman
		Name:	Matthew R. Feldman
		Title:	President and Chief Executive Officer
			(Principal Executive Officer)

EX-31.2

Exhibit 31.2

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

by the Principal Financial Officer

I, Roger D. Lundstrom, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date:	August 4, 2016	By:	/s/ Roger D. Lundstrom
		Name:	Roger D. Lundstrom
		Title:	Executive Vice President and Chief Financial Officer
			(Principal Financial Officer and Principal Accounting Officer)

EX-32.1

Exhibit 32.1

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

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

by the Principal Executive Officer

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

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

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

Date:	August 4, 2016	By:	/s/ Matthew R. Feldman
		Name:	Matthew R. Feldman
		Title:	President and Chief Executive Officer
			(Principal Executive Officer)

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

EX-32.2

Exhibit 32.2

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

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

by the Principal Financial Officer

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

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

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

Date:	August 4, 2016	By:	/s/ Roger D. Lundstrom
		Name:	Roger D. Lundstrom
		Title:	Executive Vice President and Chief Financial Officer
			(Principal Financial Officer and Principal Accounting Officer)

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

XML

Document and Entity Information	6 Months Ended
	Jun. 30, 2016 shares
Entity Information [Line Items]
Entity Registrant Name	Federal Home Loan Bank of Chicago
Entity Central Index Key	0001331451
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Document Type	10-Q
Document Period End Date	Jun. 30, 2016
Document Fiscal Year Focus	2016
Document Fiscal Period Focus	Q2
Amendment Flag	false
Entity Common Stock, Shares Outstanding	20,761,778
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes

XML

Statements of Condition - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Assets
Cash and due from banks	$ 375	$ 499
Interest bearing deposits	650	650
Federal Funds sold	3,573	1,702
Securities purchased under agreements to resell	1,750	1,375
Investment securities -
Trading, $101 and $62 pledged	1,200	1,160
Available-for-sale	16,248	17,470
Held-to-maturity, $6,090 and $6,513 fair value	5,543	5,967
Investment securities	22,991	24,597
Advances, $594 and $511 carried at fair value	46,424	36,778
MPF Loans held in portfolio, net of allowance for credit losses of $(3) and $(3)	4,667	4,828
Derivative assets	4	2
Other assets, $36 and $54 carried at fair value	228	240
Assets	80,662	70,671
Deposits -
Noninterest bearing	50	41
Interest bearing, $24 and $12 from other FHLBs	482	497
Deposits	532	538
Consolidated obligations, net -
Discount notes, $10,140 and $9,006 carried at fair value	45,876	41,564
Bonds, $5,960 and $952 carried at fair value	29,091	22,582
Consolidated obligations, net	74,967	64,146
Derivative liabilities	51	55
Affordable Housing Program assessment payable	93	89
Mandatorily redeemable capital stock	302	8
Other liabilities	210	239
Subordinated notes	0	944
Liabilities	76,155	66,019
Commitments and contingencies - see notes to the financial statements
Capital
Class B1 activity stock - putable $100 par value - 12 million and 13 million shares issued and outstanding	1,232	1,313
Class B2 membership stock - putable $100 par value - 5 million and 6 million shares issued and outstanding	542	637
Capital stock	1,774	1,950
Retained earnings - unrestricted	2,526	2,407
Retained earnings - restricted	358	323
Retained earnings	2,884	2,730
Accumulated other comprehensive income (loss) (AOCI)	(151)	(28)
Capital	4,507	4,652
Liabilities and capital	$ 80,662	$ 70,671

XML

Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Statement of Financial Position [Abstract]
Trading securities pledged	$ 101	$ 62
Held-to-maturity fair value	6,090	6,513
Advances carried at fair value	594	511
Allowance for credit losses on MPF Loans	(3)	(3)
Mortgage loans held for sale (in other assets) carried at fair value	36	54
Interest bearing deposits from other FHLBs	24	12
Discount notes carried at fair value	10,140	9,006
Consolidated obligation bonds carried at fair value	$ 5,960	$ 952
Capital stock par value	$ 100	$ 100
Class B1 activity shares issued	12	13
Class B1 activity shares outstanding	12	13
Class B2 membership shares issued	5	6
Class B2 membership shares outstanding	5	6

XML

Statements of Income - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Income Statement [Abstract]
Interest income	$ 317	$ 309	$ 635	$ 630
Interest expense	206	188	404	379
Net interest income	111	121	231	251
Provision for (reversal of) credit losses	0	4	0	4
Net interest income after provision for (reversal of) credit losses	111	117	231	247
Noninterest gain (loss) on -
Trading securities	(1)	0	0	(1)
Derivatives and hedging activities	2	9	(14)	(2)
Instruments held under fair value option	1	0	6	3
Litigation settlement awards	38	10	38	11
Other, net	10	5	17	8
Noninterest gain (loss)	50	24	47	19
Noninterest expense -
Compensation and benefits	22	18	45	37
Operating expenses	14	14	29	25
Other	10	1	12	4
Noninterest expense	46	33	86	66
Income before assessments	115	108	192	200
Affordable Housing Program assessment	11	11	19	20
Net income	$ 104	$ 97	$ 173	$ 180

XML

Statements of Comprehensive Income - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Statement of Comprehensive Income [Abstract]
Net income	$ 104	$ 97	$ 173	$ 180
Other comprehensive income (loss) -
Net unrealized gain (loss) available-for-sale securities	(60)	(113)	(100)	(135)
Non-credit OTTI held-to-maturity securities	10	13	21	26
Net unrealized gain (loss) cash flow hedges	8	67	(45)	39
Post-retirement plans	1	0	1	(8)
Other comprehensive income (loss)	(41)	(33)	(123)	(78)
Comprehensive income	$ 63	$ 64	$ 50	$ 102

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Statements of Stockholders' Equity - USD ($) shares in Millions, $ in Millions	Total	Capital Stock	Retained Earnings, Unrestricted	Retained Earnings, Restricted	Retained Earnings, Total	AOCI	Capital Stock - Putable - B1 Activity	Capital Stock - Putable - B2 Membership
Shares, beginning at Dec. 31, 2014		19					8	11
Balance, beginning at Dec. 31, 2014	$ 4,525	$ 1,902	$ 2,152	$ 254	$ 2,406	$ 217	$ 827	$ 1,075
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive income	102		144	36	180	(78)
Proceeds from issuance of capital stock (shares)		1					1	0
Proceeds from issuance of capital stock	131	$ 131					$ 119	$ 12
Repurchases of capital stock (shares)		(2)					0	(2)
Repurchases of capital stock	(197)	$ (197)					$ (2)	$ (195)
Capital stock reclassified to mandatorily redeemable capital stock (shares)		0					0	0
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)	(1)	$ (1)					$ 0	$ (1)
Transfers between classes of capital stock (shares)							0	0
Transfers between classes of capital stock							$ (3)	$ 3
Cash dividends - class B1	(8)		(8)		(8)
Cash dividends - class B2	(3)		(3)		(3)
Common Stock Dividend - Annualized Rate							2.25%	0.50%
Total change in period (shares)		(1)					1	(2)
Total change in period	24	$ (67)	133	36	169	(78)	$ 114	$ (181)
Shares, ending at Jun. 30, 2015		18					9	9
Balance, ending at Jun. 30, 2015	4,549	$ 1,835	2,285	290	2,575	139	$ 941	$ 894
Shares, beginning at Dec. 31, 2015		19					13	6
Balance, beginning at Dec. 31, 2015	4,652	$ 1,950	2,407	323	2,730	(28)	$ 1,313	$ 637
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive income	50		138	35	173	(123)
Proceeds from issuance of capital stock (shares)		7					7	0
Proceeds from issuance of capital stock	707	$ 707					$ 702	$ 5
Repurchases of capital stock (shares)		(6)					(3)	(3)
Repurchases of capital stock	(584)	$ (584)					$ (319)	$ (265)
Capital stock reclassified to mandatorily redeemable capital stock (shares)		(3)					(3)	0
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities)	(299)	$ (299)					$ (294)	$ (5)
Transfers between classes of capital stock (shares)							(2)	2
Transfers between classes of capital stock							$ (170)	$ 170
Cash dividends - class B1	(17)		(17)		(17)
Cash dividends - class B2	(2)		(2)		(2)
Common Stock Dividend - Annualized Rate							2.70%	0.60%
Total change in period (shares)		(2)					(1)	(1)
Total change in period	(145)	$ (176)	119	35	154	(123)	$ (81)	$ (95)
Shares, ending at Jun. 30, 2016		17					12	5
Balance, ending at Jun. 30, 2016	$ 4,507	$ 1,774	$ 2,526	$ 358	$ 2,884	$ (151)	$ 1,232	$ 542

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Condensed Statements of Cash Flows - USD ($) $ in Millions		6 Months Ended
		Jun. 30, 2016	Jun. 30, 2015
Statement of Cash Flows [Abstract]
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Value		$ 299	$ 1
Operating
Net cash provided by (used in) operating activities		(8)	316
Investing
Net change Federal Funds sold		(1,871)	774
Net change securities purchased under agreements to resell		(375)	2,150
Advances -
Principal collected		381,703	150,185
Issued		(391,161)	(152,279)
MPF Loans held in portfolio -
Principal collected		570	720
Purchases		(409)	(44)
Trading securities -
Sales		1,006	0
Proceeds from maturities and paydowns		105	4
Purchases		(1,153)	0
Held-to-maturity securities -
Short-term held-to-maturity securities, net	[1]	5	138
Proceeds from maturities and paydowns		486	510
Purchases		(27)	(9)
Available-for-sale securities -
Proceeds from maturities and paydowns		1,159	974
Purchases		(2)	0
Other investing activities		20	27
Net cash provided by (used in) investing activities		(9,944)	3,150
Financing
Net change deposits		(6)	(28)
Net proceeds from issuance of consolidated obligations -
Discount notes		231,170	178,092
Bonds		14,341	7,426
Payments for maturing and retiring consolidated obligations-
Discount notes		(226,872)	(174,603)
Bonds		(7,932)	(13,035)
Net proceeds (payments) on derivative contracts with financing element		(26)	(30)
Payments for retiring of subordinated debt		(944)	0
Proceeds from issuance of capital stock		707	131
Repurchase of capital stock		(584)	(197)
Other financing activities		(7)	(2)
Cash dividends paid		(19)	(11)
Net cash provided by (used in) financing activities		9,828	(2,257)
Net increase (decrease) in cash and due from banks		(124)	1,209
Cash and due from banks at beginning of period		499	342
Cash and due from banks at end of period		$ 375	$ 1,551

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

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Background and Basis of Presentation

6 Months Ended

Jun. 30, 2016

Organization, Consolidation and Presentation of Financial Statements [Abstract]

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

Background and Basis of Presentation

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

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

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

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

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

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

Refer to the Glossary of Terms starting on page 62 for the definitions of certain terms used herein.

Use of Estimates

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

Consolidation of Variable Interest Entities

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

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

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

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

Gross versus Net Presentation of Financial Instruments

We present derivative assets and liabilities on a net basis in our statements of condition on the basis that the Bank's right of setoff with its clearing agents and/or its counterparties is enforceable at law. We include accrued interest receivable/payable and cash collateral, including initial and variation margin, in the carrying amount of a derivative. Derivatives are netted by contract (e.g., master netting agreement) or otherwise, to discharge all or a portion of the debt owed to our counterparty by applying against the debt an amount that our counterparty owes to us. Additionally, we clear certain derivatives transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO) through a Futures Commission Merchant (FCM). If these netted amounts are positive, they are classified as a derivative asset and if negative, they are classified as a derivative liability.  Any over-collateralization amount received by us is not offset against another derivative asset counterparty exposure for which there is no legal right of offset, while any over-collateralization delivered by us is not offset against another derivative liability counterparty exposure for which there is no legal right of offset. Refer to Note 9 - Derivatives and Hedging Activities for further details.

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

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Summary of Significant Accounting Policies

6 Months Ended

Jun. 30, 2016

Accounting Policies [Abstract]

Significant Accounting Policies [Text Block]

Summary of Significant Accounting Policies

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

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

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

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships

In March of 2016, the FASB issued new guidance clarifying that a change in counterparty (novation) to a derivative instrument that has been designated as the hedging instrument in an existing hedging relationship would not, in and of itself, be considered a termination of the derivative instrument or be considered a change in the critical term of the hedging relationship. We early adopted this new guidance on a prospective basis effective January 1, 2016. The new guidance did not have a material effect on our financial condition, results of operations, or cash flows at the time of adoption.

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Recently Issued but Not Yet Adopted Accounting Standards

6 Months Ended

Jun. 30, 2016

New Accounting Pronouncements and Changes in Accounting Principles [Abstract]

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

Recently Issued but Not Yet Adopted Accounting Standards

Measurement of Credit Losses on Financial Instruments

In June of 2016, the FASB amended existing GAAP guidance applicable to measuring credit losses on financial instruments. The amendment is expected to result in recognizing credit losses in the financial statements on a more timely basis by utilizing forward looking information. Outlined below are key provisions of the amendment.

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

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

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

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

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

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

We are required to adopt the amendment effective January 1, 2020; however, we are permitted to early adopt the amendment effective January 1, 2019. A modified retrospective transition approach is required to be applied when measuring expected credit losses upon adoption with any cumulative-effect adjustment recorded to retained earnings as of the effective date. A prospective transition approach is required for debt securities for which an other-than-temporary impairment had been recognized before our effective date. This means write-downs recognized prior to our effective date on securities may not be reversed at the time of our adoption. Instead, improvements in expected cash flows that exist at the time we adopt will continue to be accreted into income over the remaining life of the security. Additionally, recoveries of amounts previously written off prior to the date of adoption will be recorded in earnings when received. We are in the process of reviewing the expected effect of this guidance on our financial condition, results of operations, and cash flows.

Contingent Put and Call Options in Debt Instruments

In March of 2016, the FASB issued new guidance clarifying the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. The new guidance clarifies that entities no longer will be required to assess whether the event triggering the acceleration of the contingent call (put) option is related to interest rates or credit risk as opposed to some extraneous event or factor when determining if the contingent call (put) option is clearly and closely related to its debt host. We plan to adopt the new guidance on its effective date, which is January 1, 2017. The modified retrospective approach is required when adopting the new guidance. We do not expect the new guidance to have a material effect on our financial condition, results of operations, or cash flows at the time of adoption.

Leases

In February of 2016, the FASB issued new guidance pertaining to lease accounting. Outlined below are the key provisions relevant to us. These provisions provide guidance governing lessee accounting for operating leases. Currently, we record operating leases off-balance sheet rather than on-balance sheet in our statements of condition.

• Recognize a right-of-use asset and a lease liability, initially measured at the present value of lease payments, in our statement of condition.

• Recognize a single lease cost, calculated so that the cost of the lease is allocated over the lease term on a generally straight-line basis.

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

• For leases with a term of 12 months or less, we would be permitted to make an accounting policy election by class of underlying asset not to recognize lease assets and lease liabilities.

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

• Our existing off-balance sheet operating leases are not material. As a result, we expect to record an insignificant amount of operating leases in our statements of condition relative to our total assets and total liabilities at the time of adoption.

• Our lease payments and interest expense on operating leases will continue to be reported in a single line item within our statements of income.

• Our lease payments will continue to be reported within operating activities in our statements of cash flows.

Recognition and Measurement of Financial Assets and Financial Liabilities

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

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

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

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

• Eliminates the requirement to disclose the method(s) and assumptions used to estimate fair value of financial instruments measured at amortized cost on our statements of condition.

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

Revenue from Contracts with Customers

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

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Interest Income and Interest Expense

6 Months Ended

Jun. 30, 2016

Interest Income (Expense), Net [Abstract]

Interest Income and Interest Expense Disclosure [Text Block]

Interest Income and Interest Expense

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

	Three months ended June 30,				Six months ended June 30,
	2016		2015		2016		2015
Interest income -
Investment securities -
Trading	$	3	$	1	$	5	$	2
Available-for-sale	119		130		251		264
Held-to-maturity	56		69		115		138
Investment securities	178		200		371		404
Advances -
Advance interest income	68		42		130		81
Advance prepayment fees	6		—		7		6
Advances	74		42		137		87
MPF Loans held in portfolio	55		66		112		135
Other interest bearing assets	10		1		15		4
Interest income	317		309		635		630
Interest expense -
Consolidated obligations -
Discount notes	95		72		177		144
Bonds	98		103		200		208
Consolidated obligations	193		175		377		352
Subordinated notes	10		13		24		27
Other interest bearing liabilities	3		—		3		—
Interest expense	206		188		404		379
Net interest income	$	111	$	121	231		251
Provision for (reversal of) credit losses	—		4		—		4
Net interest income after provision for (reversal of) credit losses	$	111	$	117	$	231	$	247

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Investment Securities

6 Months Ended

Jun. 30, 2016

Investments, Debt and Equity Securities [Abstract]

Investment Securities [Text Block]

Investment Securities

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

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

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

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

• Government-guaranteed MBS.

• Private-label residential MBS.

• State or local housing agency obligations.

Pledged Collateral

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

Trading Securities

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

As of	June 30, 2016		December 31, 2015
U.S. Government & other government related	$	1,153	$	1,108
Residential MBS:
GSE	45		50
Government-guaranteed	2		2
Residential MBS	47		52
Trading securities	$	1,200	$	1,160

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

	Amortized Cost Basis		Gross Unrealized Gains in AOCI		Gross Unrealized (Losses) in AOCI			Carrying Amount and Fair Value
As of June 30, 2016
U.S. Government & other government related	$	374	$	24	$	(4	)	$	394
State or local housing agency	20		1		—			21
FFELP ABS	4,740		128		(34		)	4,834
Residential MBS:
GSE	8,936		402		(16		)	9,322
Government-guaranteed	1,568		52		—			1,620
Private-label	52		5		—			57
Residential MBS	10,556		459		(16		)	10,999
Available-for-sale securities	$	15,690	$	612	$	(54	)	$	16,248
As of December 31, 2015
U.S. Government & other government related	$	405	$	21	$	(4	)	$	422
State or local housing agency	18		—		—			18
FFELP ABS	5,090		233		(24		)	5,299
Residential MBS:
GSE	9,427		383		(12		)	9,798
Government-guaranteed	1,811		57		—			1,868
Private-label	61		4		—			65
Residential MBS	11,299		444		(12		)	11,731
Available-for-sale securities	$	16,812	$	698	$	(40	)	$	17,470

We had no sales of AFS securities for the periods presented.

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

	Amortized Cost Basis		Non-credit OTTI Recognized in AOCI (Loss)			Carrying Amount		Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)			Fair Value
As of June 30, 2016
U.S. Government & other government related	$	1,835	$	—		$	1,835	$	83	$	—		$	1,918
State or local housing agency	14		—			14		—		—			14
Residential MBS:
GSE	2,024		—			2,024		150		—			2,174
Government-guaranteed	883		—			883		17		—			900
Private-label	983		(196		)	787		298		(1		)	1,084
Residential MBS	3,890		(196		)	3,694		465		(1		)	4,158
Held-to-maturity securities	$	5,739	$	(196	)	$	5,543	$	548	$	(1	)	$	6,090
As of December 31, 2015
U.S. Government & other government related	$	1,932	$	—		$	1,932	$	64	$	(1	)	$	1,995
State or local housing agency	16		—			16		—		—			16
Residential MBS:
GSE	2,163		—			2,163		134		—			2,297
Government-guaranteed	969		—			969		16		—			985
Private-label	1,104		(217		)	887		334		(1		)	1,220
Residential MBS	4,236		(217		)	4,019		484		(1		)	4,502
Held-to-maturity securities	$	6,184	$	(217	)	$	5,967	$	548	$	(2	)	$	6,513

We had no sales of HTM securities for the periods presented.

Aging of Unrealized Temporary Losses

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

Available-for-Sale Securities

	Less than 12 Months					12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of June 30, 2016
U.S. Government & other government related	$	35	$	(1	)	$	51	$	(3	)	$	86	$	(4	)
FFELP ABS	57		(1		)	733		(33		)	790		(34		)
Residential MBS:
GSE	1,533		(5		)	1,012		(11		)	2,545		(16		)
Government-guaranteed	24		—			—		—			24		—
Private-label	—		—			8		—			8		—
Residential MBS	1,557		(5		)	1,020		(11		)	2,577		(16		)
Available-for-sale securities	$	1,649	$	(7	)	$	1,804	$	(47	)	$	3,453	$	(54	)
As of December 31, 2015
U.S. Government & other government related	$	30	$	(1	)	$	45	$	(3	)	$	75	$	(4	)
State or local housing agency	4		—			—		—			4		—
FFELP ABS	64		(1		)	787		(23		)	851		(24		)
Residential MBS:
GSE	1,081		(3		)	1,006		(9		)	2,087		(12		)
Government-guaranteed	90		—			—		—			90		—
Private-label	—		—			8		—			8		—
Residential MBS	1,171		(3		)	1,014		(9		)	2,185		(12		)
Available-for-sale securities	$	1,269	$	(5	)	$	1,846	$	(35	)	$	3,115	$	(40	)

Held-to-Maturity Securities

	Less than 12 Months				12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)		Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of June 30, 2016
U.S. Government & other government related	$	—	$	—	$	16	$	—		$	16	$	—
State or local housing agency	—		—		1		—			1		—
Residential MBS:
GSE	4		—		—		—			4		—
Government-guaranteed	134		—		—		—			134		—
Private-label	4		—		1,038		(197		)	1,042		(197		)
Residential MBS	142		—		1,038		(197		)	1,180		(197		)
Held-to-maturity securities	$	142	$	—	$	1,055	$	(197	)	$	1,197	$	(197	)
As of December 31, 2015
U.S. Government & other government related	$	606	$	—	$	16	$	(1	)	$	622	$	(1	)
State or local housing agency	1		—		10		—			11		—
Residential MBS:
GSE	4		—		—		—			4		—
Private-label	—		—		1,167		(218		)	1,167		(218		)
Residential MBS	4		—		1,167		(218		)	1,171		(218		)
Held-to-maturity securities	$	611	$	—	$	1,193	$	(219	)	$	1,804	$	(219	)

Contractual Maturity Terms

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

	Available-for-Sale				Held-to-Maturity
As of June 30, 2016	Amortized Cost Basis		Carrying Amount and Fair Value		Carrying Amount		Fair Value
Year of Maturity -
Due in one year or less	$	—	$	—	$	694	$	694
Due after one year through five years	64		67		303		318
Due after five years through ten years	30		32		89		91
Due after ten years	300		316		763		829
ABS and MBS without a single maturity date	15,296		15,833		3,694		4,158
Total securities	$	15,690	$	16,248	$	5,543	$	6,090

Other-Than-Temporary Impairment Analysis

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

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

• First model. This model considers borrower characteristics and the particular attributes of the loans underlying the securities, in conjunction with assumptions about future changes in home prices and interest rates, prepayment rates, default rates, and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (CBSAs), which are based upon an assessment of the individual housing markets. Outputs from this first model are then used as inputs by the second model as follows.

• Second model. This model uses the month-by-month projections of future loan performance derived from the first model and allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules.

As of June 30, 2016, we had a short-term housing price forecast with projected changes ranging from -2.0% to +10.0% over the twelve month period beginning April 1, 2016, over all markets. For the vast majority of markets, the short-term forecast has changes ranging from +2.0% to +6.0%. 

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

	Three months ended June 30,						Six months ended June 30,
	2016			2015			2016			2015
Beginning Balance	$	555		$	605		$	568		$	620
Reductions:
Increases in expected future cash flows recorded as accretion into interest income	(13		)	(14		)	(26		)	(29		)
Ending Balance	$	542		$	591		$	542		$	591

Ongoing Litigation

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

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Advances

6 Months Ended

Jun. 30, 2016

Federal Home Loan Banks [Abstract]

Advances [Text Block]

Advances

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

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

As of June 30, 2016	Weighted Average Contractual Interest Rate			Amount
Due in one year or less	0.59	%		$	15,928
One to two years	0.74	%		9,686
Two to three years	0.61	%	a	4,966
Three to four years	0.54	%	a	9,147
Four to five years	1.05	%	a	2,255
More than five years	1.69	%		4,079
Par value	0.73	%		$	46,061

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

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

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

As of	June 30, 2016		December 31, 2015
Par value	$	46,061	$	36,605
Hedging adjustments	335		159
Other adjustments	28		14
Advances	$	46,424	$	36,778

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

As of June 30, 2016	Par Value			% of Total Outstanding
One Mortgage Partners Corp.	$	11,000	a	24	%
The Northern Trust Company	6,000			13	%
BMO Harris Bank, N.A.	4,875			11	%

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

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MPF Loans

6 Months Ended

Jun. 30, 2016

Mortgage Loans on Real Estate [Abstract]

MPF Loans [Text Block]

MPF Loans Held in Portfolio

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

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

As of	June 30, 2016			December 31, 2015
Medium term (15 years or less)	$	507		$	662
Long term (greater than 15 years)	4,103			4,112
Unpaid principal balance	4,610			4,774
Net premiums, credit enhancement and deferred loan fees	28			20
Hedging adjustments	32			37
MPF Loans held in portfolio, before allowance for credit losses	4,670			4,831
Allowance for credit losses on MPF Loans	(3		)	(3		)
MPF Loans held in portfolio, net	$	4,667		$	4,828
Conventional mortgage loans	$	3,467		$	3,568
Government Loans	1,143			1,206
Unpaid principal balance	$	4,610		$	4,774

See the MPF Risk Sharing Structure on page F-14 in our 2015 Form 10-Kfor information related to our credit losses on MPF Loans held in portfolio

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

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Allowance for Credit Losses

6 Months Ended

Jun. 30, 2016

Receivables [Abstract]

Allowance for Credit Losses [Text Block]

Allowance for Credit Losses

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

We have identified our portfolio segments as shown below:

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

•Conventional MPF Loans held in portfolio;

•Government Loans held in portfolio; and

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

Member Credit Products

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

Conventional MPF Loans Held in Portfolio

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

As of	June 30, 2016		December 31, 2015
Recorded investment in conventional MPF Loans -
Individually evaluated for impairment	$	87	$	107
Collectively evaluated for impairment	3,442		3,519
Recorded investment	$	3,529	$	3,626
Allowance for credit losses on conventional MPF Loans -
Homogeneous pools of loans collectively evaluated for impairment	$	3	$	3

Government Loans Held in Portfolio

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

Credit Quality Indicators - MPF Loans Held in Portfolio

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

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

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

	June 30, 2016									December 31, 2015
As of	Conventional			Government			Total			Conventional			Government			Total
Past due 30-59 days	$	81		$	50		$	131		$	99		$	63		$	162
Past due 60-89 days	26			17			43			32			21			53
Past due 90 days or more	80			18			98			100			15			115
Past due	187			85			272			231			99			330
Current	3,342			1,081			4,423			3,395			1,130			4,525
Recorded investment	$	3,529		$	1,166		$	4,695		$	3,626		$	1,229		$	4,855
In process of foreclosure	$	42		$	4		$	46		$	51		$	3		$	54
Serious delinquency rate	2.27		%	1.52		%	2.08		%	2.77		%	1.23		%	2.38		%
Past due 90 days or more still accruing interest	$	6		$	18		$	24		$	10		$	15		$	25
On nonaccrual status	$	87		$	—		$	87		$	107		$	—		$	107

Individually Evaluated Impaired MPF Loans

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

As of	June 30, 2016		December 31, 2015
Recorded investment without an allowance for credit losses	$	87	$	107
Unpaid principal balance without an allowance for credit losses	94		117

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

	Three months ended June 30,				Six months ended June 30,
	2016		2015		2016		2015
Average recorded investment without allowance for credit losses	$	88	$	131	$	93	$	140

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

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

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Derivatives and Hedging Activities

6 Months Ended

Jun. 30, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities [Text Block]

Derivatives and Hedging Activities

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

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

Managing Credit Risk on Derivative Agreements

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

Our over-the-counter bilateral derivative agreements may contain provisions that require us to post additional collateral with our counterparties if there is deterioration in our credit rating, except for those derivative agreements with a zero unsecured collateral threshold for both parties, in which case positions are required to be fully collateralized regardless of credit rating. If our credit rating is lowered by a major credit rating agency, such as Standard and Poor's or Moody’s, we would be required to deliver additional collateral on derivatives in net liability positions. If our credit rating had been lowered from its current rating to the next lower rating, we would have been required to deliver up to an additional $31 million of collateral at fair value to our derivatives counterparties at June 30, 2016.

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

We present our derivative assets and liabilities on a net basis in our statements of condition. Refer to Note 1 - Background and Basis of Presentation for further discussion. In addition to the cash collateral as noted in the following table, we also pledged $101 million of investment securities that can be sold or repledged, as part of our initial margin related to cleared derivative transactions at June 30, 2016.

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

	June 30, 2016										December 31, 2015
As of	Notional Amount		Derivative Assets				Derivative Liabilities				Notional Amount		Derivative Assets				Derivative Liabilities
Derivatives in hedge accounting relationships-
Interest rate swaps	$	23,525	$	62			$	1,312			$	25,140	$	30			$	1,082
Derivatives not in hedge accounting relationships-
Interest rate swaps	33,655		581				500				28,866		456				341
Interest rate swaptions	820		58				—				1,270		40				—
Interest rate caps or floors	1,129		65				—				1,131		76				—
Interest rate futures	23		—				—				7		—				—
Mortgage delivery commitments	1,001		3				2				479		1				1
TBAs Ginnie Mae securitizations	92		—				1				114		—				—
Derivatives not in hedge accounting relationships	36,720		707				503				31,867		573				342
Gross derivative amount before adjustments	$	60,245	769				1,815				$	57,007	603				1,424
Netting adjustments and cash collateral			(765		)	a	(1,764		)	a			(601		)	a	(1,369		)	a
Derivatives on statements of condition			$	4			$	51					$	2			$	55

^a  Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same clearing agent and/or counterparty. Cash collateral posted was $1.0 billion and $793 million at June 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million.

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

	Derivative Assets									Derivative Liabilities
As of June 30, 2016	Bilateral			Cleared			Total			Bilateral			Cleared			Total
Derivatives with legal right of offset -
Gross recognized amount	$	580		$	186		$	766		$	1,166		$	647		$	1,813
Netting adjustments and cash collateral	(579		)	(186		)	(765		)	(1,131		)	(633		)	(1,764		)
Derivatives with legal right of offset - net	1			—			1			35			14			49
Derivatives without legal right of offset	3			—			3			2			—			2
Derivatives on statements of condition	4			—			4			37			14			51
Cash collateral for initial margin				(1		)	(1		)
Noncash collateral received (pledged) and cannot be sold or repledged	1			—			1			—			14			14
Net amount	$	3		$	1		$	4		$	37		$	—		$	37
As of December 31, 2015
Derivatives with legal right of offset -
Gross recognized amount	$	509		$	93		$	602		$	1,182		$	241		$	1,423
Netting adjustments and cash collateral	(508		)	(93		)	(601		)	(1,140		)	(229		)	(1,369		)
Derivatives with legal right of offset - net	1			—			1			42			12			54
Derivatives without legal right of offset	1			—			1			1			—			1
Derivatives on statements of condition	2			—			2			43			12			55
Noncash collateral received (pledged) and cannot be sold or repledged	—			—			—			—			12			12
Net amount	$	2		$	—		$	2		$	43		$	—		$	43

At June 30, 2016, we had $87 million of additional net credit exposure on cleared derivatives due to our pledging of non-cash collateral to a DCO for initial margin, which exceeded our net derivative liability position. We had $50 million comparable exposure at December 31, 2015.

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

	Three months ended June 30,						Six months ended June 30,
For the periods ending	2016			2015			2016			2015
Fair value hedges -
Interest rate swaps	$	(3	)	$	6		$	(12	)	$	(13	)
Cash flow hedges	4			1			4			1
Economic hedges -
Interest rate swaps	(12		)	(6		)	(39		)	(29		)
Interest rate swaptions	7			(5		)	18			3
Interest rate caps or floors	(8		)	(7		)	(11		)	(8		)
Interest rate future forwards	(1		)	—			(1		)	—
Net interest settlements	16			20			28			44
Mortgage delivery commitments	—			—			2			—
TBAs Ginnie Mae securitizations	(1		)	—			(3		)	—
Economic hedges	1			2			(6		)	10
Gains (losses) on derivatives and hedging activities	$	2		$	9		$	(14	)	$	(2	)

Fair Value Hedges

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

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

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

	On Derivative			On Hedged Item			Total Ineffectiveness Recognized in Derivatives and Hedging Activities			Amount Recorded in Net Interest Income
Three months ended June 30, 2016
Available-for-sale securities	$	(4	)	$	2		$	(2	)	$	(28	)
Advances	(68		)	68			—			(20		)
MPF Loans held for portfolio	—			—			—			(3		)
Consolidated obligation bonds	8			(9		)	(1		)	17
Total	$	(64	)	$	61		$	(3	)	$	(34	)
Three months ended June 30, 2015
Available-for-sale securities	$	48		$	(45	)	$	3		$	(34	)
Advances	89			(86		)	3			(22		)
MPF Loans held for portfolio	—			—			—			(3		)
Consolidated obligation bonds	(44		)	44			—			57
Total	$	93		$	(87	)	$	6		$	(2	)
Six months ended June 30, 2016
Available-for-sale securities	$	(55	)	$	50		$	(5	)	$	(62	)
Advances	(178		)	177			(1		)	(40		)
MPF Loans held for portfolio	—			—			—			(5		)
Consolidated obligation bonds	76			(82		)	(6		)	39
Total	$	(157	)	$	145		$	(12	)	$	(68	)
Six months ended June 30, 2015
Available-for-sale securities	$	12		$	(14	)	$	(2	)	$	(78	)
Advances	28			(29		)	(1		)	(41		)
MPF Loans held for portfolio	—			—			—			(7		)
Consolidated obligation bonds	30			(40		)	(10		)	115
Total	$	70		$	(83	)	$	(13	)	$	(11	)

Cash Flow Hedges

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

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

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

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

		Ineffective Portion Recorded in Derivatives and Hedging Activities		Effective Portion Recorded in AOCI			Amount Recorded in Net Interest Income
Three months ended June 30, 2016
Advances	Interest rate floors	$	—	$	—		$	4
Discount notes	Interest rate swaps	4		14			(51		)
Bonds	Interest rate swaps	—		—			(1		)
Total		$	4	$	14		$	(48	)
Three months ended June 30, 2015
Advances	Interest rate floors	$	—	$	—		$	3
Discount notes	Interest rate swaps	1		70			(62		)
Bonds	Interest rate swaps	—		—			(1		)
Total		$	1	$	70		$	(60	)
Six months ended June 30, 2016
Advances	Interest rate floors	$	—	$	—		$	6
Discount notes	Interest rate swaps	4		(38		)	(98		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	4	$	(38	)	$	(94	)
Six months ended June 30, 2015
Advances	Interest rate floors	$	—	$	—		$	6
Discount notes	Interest rate swaps	1		43			(125		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	1	$	43		$	(121	)

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Consolidated Obligations

6 Months Ended

Jun. 30, 2016

Debt Disclosure [Abstract]

Debt Disclosure [Text Block]

Consolidated Obligations

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

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

As of June 30, 2016	Contractual Maturity		Weighted Average Interest Rate		By Maturity or Next Call Date
Due in one year or less	$	12,279	0.88	%	$	22,060
One to two years	4,885		1.74	%	3,425
Two to three years	3,395		1.35	%	1,995
Three to four years	2,213		1.48	%	403
Four to five years	3,271		2.06	%	363
Thereafter	3,052		3.33	%	849
Par value	$	29,095	1.51	%	$	29,095

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	June 30, 2016			December 31, 2015
Carrying Amount	$	45,876		$	41,564
Par Value	45,906			41,584
Weighted Average Interest Rate	0.39		%	0.22		%

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

As of	June 30, 2016			December 31, 2015
Noncallable	$	18,393		$	10,148
Callable	10,702			12,536
Par value	29,095			22,684
Hedging adjustments	(13		)	(101		)
Other adjustments	9			(1		)
Consolidated obligation bonds	$	29,091		$	22,582

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

	June 30, 2016									December 31, 2015
Par values as of	Bonds			Discount Notes			Total			Bonds			Discount Notes			Total
FHLB System total consolidated obligations	$	492,431		$	471,379		$	963,810		$	410,859		$	494,343		$	905,202
FHLB Chicago as primary obligor	29,095			45,906			75,001			22,684			41,584			64,268
As a percent of the FHLB System	6		%	10		%	8		%	6		%	8		%	7		%

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Capital and Mandatorily Redeemable Capital Stock (MRCS)

6 Months Ended

Jun. 30, 2016

Capital [Abstract]

Stockholders' Equity Note Disclosure [Text Block]

Capital and Mandatorily Redeemable Capital Stock (MRCS)

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

Minimum Capital Requirements

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

	June 30, 2016						December 31, 2015
	Requirement			Actual			Requirement			Actual
Risk-based capital	$	984		$	4,960		$	1,027		$	4,688
Total regulatory capital	$	3,226		$	4,960		$	2,827		$	4,688
Total regulatory capital ratio	4.00		%	6.15		%	4.00		%	6.63		%
Leverage capital	$	4,033		$	7,440		$	3,534		$	7,032
Leverage capital ratio	5.00		%	9.22		%	5.00		%	9.95		%

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

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

As of June 30, 2016	Regulatory Capital Stock Outstanding			% of Total Outstanding
One Mortgage Partners Corp.	$	245	a	12	%
The Northern Trust Company	$	220		11	%
BMO Harris Bank, N.A.	$	219		11	%

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

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

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

Excess Capital Stock

In February 2016, we announced significant reductions in our membership stock and activity stock requirements, which went into effect on April 1, 2016. As a result of these changes, we held $593 million of excess capital stock on April 1, 2016. As of June 30, 2016, we held excess capital stock of $391 million. The reduction was a result of members requesting repurchase of their excess stock and members utilizing excess stock to support new advance borrowing activities.

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Accumulated Other Comprehensive Income (Loss)

6 Months Ended

Jun. 30, 2016

Equity [Abstract]

Accumulated Other Comprehensive Income (Loss) [Text Block]

Accumulated Other Comprehensive Income (Loss)

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

	Net Unrealized -			Non-credit OTTI -			Net Unrealized - Cash Flow Hedges
	Available-for-sale Securities			Held-to-maturity Securities						Post-Retirement Plans			AOCI
Three months ended June 30, 2016
Beginning balance	$	618		$	(206	)	$	(516	)	$	(6	)	$	(110	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(60		)	10			14			1			(35		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(2		)	—			(2		)
Non-interest gain (loss)	—			—			(4		)	—			(4		)
Other comprehensive income in the period	(60		)	10			8			1			(41		)
Ending balance	$	558		$	(196	)	$	(508	)	$	(5	)	$	(151	)
Three months ended June 30, 2015
Beginning balance	$	1,038		$	(251	)	$	(608	)	$	(7	)	$	172
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(113		)	13			70			—			(30		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(2		)	—			(2		)
Non-interest gain (loss)	—			—			(1		)	—			(1		)
Other comprehensive income in the period	(113		)	13			67			—			(33		)
Ending balance	$	925		$	(238	)	$	(541	)	$	(7	)	$	139
Six months ended June 30, 2016
Beginning balance	$	658		$	(217	)	$	(463	)	$	(6	)	$	(28	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(100		)	21			(38		)	1			(116		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(3		)	—			(3		)
Non-interest gain (loss)	—			—			(4		)	—			(4		)
Other comprehensive income in the period	(100		)	21			(45		)	1			(123		)
Ending balance	$	558		$	(196	)	$	(508	)	$	(5	)	$	(151	)
Six months ended June 30, 2015
Beginning balance	$	1,060		$	(264	)	$	(580	)	$	1		$	217
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(135		)	26			43			(8		)	(74		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(3		)	—			(3		)
Non-interest gain (loss)	—			—			(1		)	—			(1		)
Other comprehensive income in the period	(135		)	26			39			(8		)	(78		)
Ending balance	$	925		$	(238	)	$	(541	)	$	(7	)	$	139

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Fair Value Accounting

6 Months Ended

Jun. 30, 2016

Fair Value Disclosures [Abstract]

Fair Value Disclosures [Text Block]

Fair Value

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

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

The following table shows the fair values of financial instruments that are measured at amortized cost on our statements of condition, except where we elected the fair value option. Financial instruments for which we elected the fair value option are measured at fair value on a recurring basis on our statements of condition and are parenthetically shown in the following table.

	Carrying Amount						Fair Value Hierarchy
				Fair Value			Level 1			Level 2			Level 3
June 30, 2016
Financial Assets -
Cash and due from banks	$	375		$	375		$	375		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	3,573			3,573			—			3,573			—
Securities purchased under agreements to resell	1,750			1,750			—			1,750			—
Held-to-maturity securities	5,543			6,090			—			5,006			1,084
Advances	46,424			46,384			—			46,384			—
MPF Loans held in portfolio, net	4,667			4,996			—			4,958			38
Financial Liabilities -
Deposits	(532		)	(532		)	—			(532		)	—
Consolidated obligation discount notes	(45,876		)	(45,881		)	—			(45,881		)	—
Consolidated obligation bonds	(29,091		)	(29,576		)	—			(29,576		)	—
Mandatorily redeemable capital stock	(302		)	(302		)	(302		)	—			—
December 31, 2015
Financial Assets -
Cash and due from banks	$	499		$	499		$	499		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	1,702			1,702			—			1,702			—
Securities purchased under agreements to resell	1,375			1,375			—			1,375			—
Held-to-maturity securities	5,967			6,513			—			5,293			1,220
Advances	36,778			36,736			—			36,736			—
MPF Loans held in portfolio, net	4,828			5,190			—			5,155			35
Financial Liabilities -
Deposits	(538		)	(538		)	—			(538		)	—
Consolidated obligation discount notes	(41,564		)	(41,563		)	—			(41,563		)	—
Consolidated obligation bonds	(22,582		)	(22,986		)	—			(22,931		)	(55		)	a
Mandatorily redeemable capital stock	(8		)	(8		)	(8		)	—			—
Subordinated notes	(944		)	(966		)	—			(966		)	—

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

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

June 30, 2016	Level 2			Level 3				Netting			Fair Value
Financial assets -
U.S. Government & other government related non-MBS	$	1,153		$	—						$	1,153
GSE residential MBS	45			—							45
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,200			—							1,200
U.S. Government & other government related non-MBS	394			—							394
State or local housing agency non-MBS	21			—							21
FFELP ABS	4,834			—							4,834
GSE residential MBS	9,322			—							9,322
U.S. Government-guaranteed residential MBS	1,620			—							1,620
Private-label residential MBS	—			57							57
Available-for-sale securities	16,191			57							16,248
Advances	594			—							594
Derivative assets	769			—				$	(765	)	4
Other assets - Mortgage loans held for sale	36			—							36
Financial assets at fair value	$	18,790		$	57			$	(765	)	$	18,082
Level 3 as a percent of total assets at fair value				0.3		%
Financial liabilities -
Consolidated obligation discount notes	$	(10,140	)	$	—						$	(10,140	)
Consolidated obligation bonds	(5,960		)	—							(5,960		)
Derivative liabilities	(1,815		)	—				$	1,764		(51		)
Financial liabilities at fair value	$	(17,915	)	$	—			$	1,764		$	(16,151	)
December 31, 2015
Financial assets -
U.S. Government & other government related non-MBS	$	1,108		$	—						$	1,108
GSE residential MBS	50			—							50
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,160			—							1,160
U.S. Government & other government related non-MBS	422			—							422
State or local housing agency non-MBS	18			—							18
FFELP ABS	5,299			—							5,299
GSE residential MBS	9,798			—							9,798
U.S. Government-guaranteed residential MBS	1,868			—							1,868
Private-label residential MBS	—			65							65
Available-for-sale securities	17,405			65							17,470
Advances	511			—							511
Derivative assets	598			5				$	(601	)	2
Other assets - Mortgage loans held for sale	54			—							54
Financial assets at fair value	$	19,728		$	70			$	(601	)	$	19,197
Level 3 as a percent of total assets at fair value				0.4		%
Financial liabilities -
Consolidated obligation discount notes	$	(9,006	)	$	—						$	(9,006	)
Consolidated obligation bonds	(952		)	(55		)	a				(1,007		)
Derivative liabilities	(1,424		)	—				$	1,369		(55		)
Financial liabilities at fair value	$	(11,382	)	$	(55	)		$	1,369		$	(10,068	)
Level 3 as a percent of total liabilities at fair value				0.5		%

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

Fair Value Option

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

The following table summarizes the net gain (loss) related to financial assets and liabilities for which we elected the fair value option.

	Three months ended June 30,						Six months ended June 30,
	2016			2015			2015			2014
Advances	$	5		$	—		$	16		$	1
Bonds	(2		)	2			(5		)	4
Discount notes	(2		)	(2		)	(5		)	(2		)
Net gain (loss) instruments held under fair value option	$	1		$	—		$	6		$	3

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

	June 30, 2016				December 31, 2015
As of	Advances		Consolidated Obligation Bonds		Advances		Consolidated Obligation Bonds
Unpaid principal balance	$	576	$	5,949	$	509	$	953
Fair value over (under) UPB	18		11		2		(1		)
Fair value	$	594	$	5,960	$	511	$	952

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Commitments and Contingencies

6 Months Ended

Jun. 30, 2016

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies [Text Block]

Commitments and Contingencies

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

	June 30, 2016							December 31, 2015
As of	Expire within one year		Expire after one year			Total		Expire within one year		Expire after one year			Total
Unsettled consolidated obligation bonds	$	714	$	—		$	714	$	105	$	—		$	105
Unsettled consolidated obligation discount notes	43		—			43		—		—			—
Member standby letters of credit	6,355		2,067		a	8,422		5,063		1,615		a	6,678
Housing authority standby bond purchase agreements	50		265			315		49		362			411
Advance commitments	187		—			187		163		5			168
MPF delivery commitments	558		—			558		279		—			279
Other commitments	44		1			45		48		3			51
Commitments	$	7,951	$	2,333		$	10,284	$	5,707	$	1,985		$	7,692

^a  Contains $369 million and $637 million of member standby letters of credit at June 30, 2016, and December 31, 2015, which were renewable annually.

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

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Transactions with Related Parties and Other FHLBs

6 Months Ended

Jun. 30, 2016

Related Party Transactions [Abstract]

Transactions with Related Parties and Other FHLBs [Text Block]

Transactions with Related Parties and Other FHLBs

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

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

Members

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

As of	June 30, 2016		December 31, 2015
Assets - Interest bearing deposits	$	650	$	650
Assets - Advances	22,016		15,168
Assets - Advance Interest Receivable	9		5
Liabilities - Deposits	26		20
Equity - Capital Stock	703		467

Other FHLBs

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

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Summary of Significant Accounting Policies (Policies)

6 Months Ended

Jun. 30, 2016

Accounting Policies [Abstract]

Debt, Policy [Policy Text Block]

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

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

Derivatives, Hedge Discontinuances, Termination of Hedging Instrument or Hedged Item [Policy Text Block]

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships

In March of 2016, the FASB issued new guidance clarifying that a change in counterparty (novation) to a derivative instrument that has been designated as the hedging instrument in an existing hedging relationship would not, in and of itself, be considered a termination of the derivative instrument or be considered a change in the critical term of the hedging relationship. We early adopted this new guidance on a prospective basis effective January 1, 2016. The new guidance did not have a material effect on our financial condition, results of operations, or cash flows at the time of adoption.

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Interest Income and Interest Expense (Tables)

6 Months Ended

Jun. 30, 2016

Interest Income (Expense), Net [Abstract]

Interest Income and Interest Expense [Table Text Block]

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

	Three months ended June 30,				Six months ended June 30,
	2016		2015		2016		2015
Interest income -
Investment securities -
Trading	$	3	$	1	$	5	$	2
Available-for-sale	119		130		251		264
Held-to-maturity	56		69		115		138
Investment securities	178		200		371		404
Advances -
Advance interest income	68		42		130		81
Advance prepayment fees	6		—		7		6
Advances	74		42		137		87
MPF Loans held in portfolio	55		66		112		135
Other interest bearing assets	10		1		15		4
Interest income	317		309		635		630
Interest expense -
Consolidated obligations -
Discount notes	95		72		177		144
Bonds	98		103		200		208
Consolidated obligations	193		175		377		352
Subordinated notes	10		13		24		27
Other interest bearing liabilities	3		—		3		—
Interest expense	206		188		404		379
Net interest income	$	111	$	121	231		251
Provision for (reversal of) credit losses	—		4		—		4
Net interest income after provision for (reversal of) credit losses	$	111	$	117	$	231	$	247

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Investment Securities (Tables)

6 Months Ended

Jun. 30, 2016

Investments, Debt and Equity Securities [Abstract]

Trading Securities by Major Security Type [Table Text Block]

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

As of	June 30, 2016		December 31, 2015
U.S. Government & other government related	$	1,153	$	1,108
Residential MBS:
GSE	45		50
Government-guaranteed	2		2
Residential MBS	47		52
Trading securities	$	1,200	$	1,160

Available-for-sale Securities by Major Security Type [Table Text Block]

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

	Amortized Cost Basis		Gross Unrealized Gains in AOCI		Gross Unrealized (Losses) in AOCI			Carrying Amount and Fair Value
As of June 30, 2016
U.S. Government & other government related	$	374	$	24	$	(4	)	$	394
State or local housing agency	20		1		—			21
FFELP ABS	4,740		128		(34		)	4,834
Residential MBS:
GSE	8,936		402		(16		)	9,322
Government-guaranteed	1,568		52		—			1,620
Private-label	52		5		—			57
Residential MBS	10,556		459		(16		)	10,999
Available-for-sale securities	$	15,690	$	612	$	(54	)	$	16,248
As of December 31, 2015
U.S. Government & other government related	$	405	$	21	$	(4	)	$	422
State or local housing agency	18		—		—			18
FFELP ABS	5,090		233		(24		)	5,299
Residential MBS:
GSE	9,427		383		(12		)	9,798
Government-guaranteed	1,811		57		—			1,868
Private-label	61		4		—			65
Residential MBS	11,299		444		(12		)	11,731
Available-for-sale securities	$	16,812	$	698	$	(40	)	$	17,470

We had no sales of AFS securities for the periods presented.

Held-to-maturity Securities by Major Security Type [Table Text Block]

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

	Amortized Cost Basis		Non-credit OTTI Recognized in AOCI (Loss)			Carrying Amount		Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)			Fair Value
As of June 30, 2016
U.S. Government & other government related	$	1,835	$	—		$	1,835	$	83	$	—		$	1,918
State or local housing agency	14		—			14		—		—			14
Residential MBS:
GSE	2,024		—			2,024		150		—			2,174
Government-guaranteed	883		—			883		17		—			900
Private-label	983		(196		)	787		298		(1		)	1,084
Residential MBS	3,890		(196		)	3,694		465		(1		)	4,158
Held-to-maturity securities	$	5,739	$	(196	)	$	5,543	$	548	$	(1	)	$	6,090
As of December 31, 2015
U.S. Government & other government related	$	1,932	$	—		$	1,932	$	64	$	(1	)	$	1,995
State or local housing agency	16		—			16		—		—			16
Residential MBS:
GSE	2,163		—			2,163		134		—			2,297
Government-guaranteed	969		—			969		16		—			985
Private-label	1,104		(217		)	887		334		(1		)	1,220
Residential MBS	4,236		(217		)	4,019		484		(1		)	4,502
Held-to-maturity securities	$	6,184	$	(217	)	$	5,967	$	548	$	(2	)	$	6,513

We had no sales of HTM securities for the periods presented.

Securities in a Continuous Unrealized Loss Position [Table Text Block]

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

Available-for-Sale Securities

	Less than 12 Months					12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of June 30, 2016
U.S. Government & other government related	$	35	$	(1	)	$	51	$	(3	)	$	86	$	(4	)
FFELP ABS	57		(1		)	733		(33		)	790		(34		)
Residential MBS:
GSE	1,533		(5		)	1,012		(11		)	2,545		(16		)
Government-guaranteed	24		—			—		—			24		—
Private-label	—		—			8		—			8		—
Residential MBS	1,557		(5		)	1,020		(11		)	2,577		(16		)
Available-for-sale securities	$	1,649	$	(7	)	$	1,804	$	(47	)	$	3,453	$	(54	)
As of December 31, 2015
U.S. Government & other government related	$	30	$	(1	)	$	45	$	(3	)	$	75	$	(4	)
State or local housing agency	4		—			—		—			4		—
FFELP ABS	64		(1		)	787		(23		)	851		(24		)
Residential MBS:
GSE	1,081		(3		)	1,006		(9		)	2,087		(12		)
Government-guaranteed	90		—			—		—			90		—
Private-label	—		—			8		—			8		—
Residential MBS	1,171		(3		)	1,014		(9		)	2,185		(12		)
Available-for-sale securities	$	1,269	$	(5	)	$	1,846	$	(35	)	$	3,115	$	(40	)

Held-to-Maturity Securities

	Less than 12 Months				12 Months or More					Total
	Fair Value		Gross Unrealized (Losses)		Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
As of June 30, 2016
U.S. Government & other government related	$	—	$	—	$	16	$	—		$	16	$	—
State or local housing agency	—		—		1		—			1		—
Residential MBS:
GSE	4		—		—		—			4		—
Government-guaranteed	134		—		—		—			134		—
Private-label	4		—		1,038		(197		)	1,042		(197		)
Residential MBS	142		—		1,038		(197		)	1,180		(197		)
Held-to-maturity securities	$	142	$	—	$	1,055	$	(197	)	$	1,197	$	(197	)
As of December 31, 2015
U.S. Government & other government related	$	606	$	—	$	16	$	(1	)	$	622	$	(1	)
State or local housing agency	1		—		10		—			11		—
Residential MBS:
GSE	4		—		—		—			4		—
Private-label	—		—		1,167		(218		)	1,167		(218		)
Residential MBS	4		—		1,167		(218		)	1,171		(218		)
Held-to-maturity securities	$	611	$	—	$	1,193	$	(219	)	$	1,804	$	(219	)

Securities by Contractual Maturity [Table Text Block]

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

	Available-for-Sale				Held-to-Maturity
As of June 30, 2016	Amortized Cost Basis		Carrying Amount and Fair Value		Carrying Amount		Fair Value
Year of Maturity -
Due in one year or less	$	—	$	—	$	694	$	694
Due after one year through five years	64		67		303		318
Due after five years through ten years	30		32		89		91
Due after ten years	300		316		763		829
ABS and MBS without a single maturity date	15,296		15,833		3,694		4,158
Total securities	$	15,690	$	16,248	$	5,543	$	6,090

Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]

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

	Three months ended June 30,						Six months ended June 30,
	2016			2015			2016			2015
Beginning Balance	$	555		$	605		$	568		$	620
Reductions:
Increases in expected future cash flows recorded as accretion into interest income	(13		)	(14		)	(26		)	(29		)
Ending Balance	$	542		$	591		$	542		$	591

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Advances (Tables)

6 Months Ended

Jun. 30, 2016

Concentration Risk [Line Items]

Federal Home Loan Bank, Advances [Table Text Block]

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

As of June 30, 2016	Weighted Average Contractual Interest Rate			Amount
Due in one year or less	0.59	%		$	15,928
One to two years	0.74	%		9,686
Two to three years	0.61	%	a	4,966
Three to four years	0.54	%	a	9,147
Four to five years	1.05	%	a	2,255
More than five years	1.69	%		4,079
Par value	0.73	%		$	46,061

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

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

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

As of	June 30, 2016		December 31, 2015
Par value	$	46,061	$	36,605
Hedging adjustments	335		159
Other adjustments	28		14
Advances	$	46,424	$	36,778

Credit Concentration Risk

Concentration Risk [Line Items]

Schedules of Concentration of Risk, by Risk Factor [Table Text Block]

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

As of June 30, 2016	Par Value			% of Total Outstanding
One Mortgage Partners Corp.	$	11,000	a	24	%
The Northern Trust Company	6,000			13	%
BMO Harris Bank, N.A.	4,875			11	%

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

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MPF Loans (Tables)

6 Months Ended

Jun. 30, 2016

Mortgage Loans on Real Estate [Abstract]

Mortgage Loans Held for Portfolio [Table Text Block]

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

As of	June 30, 2016			December 31, 2015
Medium term (15 years or less)	$	507		$	662
Long term (greater than 15 years)	4,103			4,112
Unpaid principal balance	4,610			4,774
Net premiums, credit enhancement and deferred loan fees	28			20
Hedging adjustments	32			37
MPF Loans held in portfolio, before allowance for credit losses	4,670			4,831
Allowance for credit losses on MPF Loans	(3		)	(3		)
MPF Loans held in portfolio, net	$	4,667		$	4,828
Conventional mortgage loans	$	3,467		$	3,568
Government Loans	1,143			1,206
Unpaid principal balance	$	4,610		$	4,774

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Allowance for Credit Losses (Tables)

6 Months Ended

Jun. 30, 2016

Receivables [Abstract]

Allowance for Credit Losses on Financing Receivables [Table Text Block]

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

As of	June 30, 2016		December 31, 2015
Recorded investment in conventional MPF Loans -
Individually evaluated for impairment	$	87	$	107
Collectively evaluated for impairment	3,442		3,519
Recorded investment	$	3,529	$	3,626
Allowance for credit losses on conventional MPF Loans -
Homogeneous pools of loans collectively evaluated for impairment	$	3	$	3

Past Due Financing Receivables [Table Text Block]

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

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

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

	June 30, 2016									December 31, 2015
As of	Conventional			Government			Total			Conventional			Government			Total
Past due 30-59 days	$	81		$	50		$	131		$	99		$	63		$	162
Past due 60-89 days	26			17			43			32			21			53
Past due 90 days or more	80			18			98			100			15			115
Past due	187			85			272			231			99			330
Current	3,342			1,081			4,423			3,395			1,130			4,525
Recorded investment	$	3,529		$	1,166		$	4,695		$	3,626		$	1,229		$	4,855
In process of foreclosure	$	42		$	4		$	46		$	51		$	3		$	54
Serious delinquency rate	2.27		%	1.52		%	2.08		%	2.77		%	1.23		%	2.38		%
Past due 90 days or more still accruing interest	$	6		$	18		$	24		$	10		$	15		$	25
On nonaccrual status	$	87		$	—		$	87		$	107		$	—		$	107

Impaired Financing Receivables [Table Text Block]

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

As of	June 30, 2016		December 31, 2015
Recorded investment without an allowance for credit losses	$	87	$	107
Unpaid principal balance without an allowance for credit losses	94		117

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

	Three months ended June 30,				Six months ended June 30,
	2016		2015		2016		2015
Average recorded investment without allowance for credit losses	$	88	$	131	$	93	$	140

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Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

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

	June 30, 2016										December 31, 2015
As of	Notional Amount		Derivative Assets				Derivative Liabilities				Notional Amount		Derivative Assets				Derivative Liabilities
Derivatives in hedge accounting relationships-
Interest rate swaps	$	23,525	$	62			$	1,312			$	25,140	$	30			$	1,082
Derivatives not in hedge accounting relationships-
Interest rate swaps	33,655		581				500				28,866		456				341
Interest rate swaptions	820		58				—				1,270		40				—
Interest rate caps or floors	1,129		65				—				1,131		76				—
Interest rate futures	23		—				—				7		—				—
Mortgage delivery commitments	1,001		3				2				479		1				1
TBAs Ginnie Mae securitizations	92		—				1				114		—				—
Derivatives not in hedge accounting relationships	36,720		707				503				31,867		573				342
Gross derivative amount before adjustments	$	60,245	769				1,815				$	57,007	603				1,424
Netting adjustments and cash collateral			(765		)	a	(1,764		)	a			(601		)	a	(1,369		)	a
Derivatives on statements of condition			$	4			$	51					$	2			$	55

^a  Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same clearing agent and/or counterparty. Cash collateral posted was $1.0 billion and $793 million at June 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million.

Balance Sheet Offsetting [Table Text Block]

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

	Derivative Assets									Derivative Liabilities
As of June 30, 2016	Bilateral			Cleared			Total			Bilateral			Cleared			Total
Derivatives with legal right of offset -
Gross recognized amount	$	580		$	186		$	766		$	1,166		$	647		$	1,813
Netting adjustments and cash collateral	(579		)	(186		)	(765		)	(1,131		)	(633		)	(1,764		)
Derivatives with legal right of offset - net	1			—			1			35			14			49
Derivatives without legal right of offset	3			—			3			2			—			2
Derivatives on statements of condition	4			—			4			37			14			51
Cash collateral for initial margin				(1		)	(1		)
Noncash collateral received (pledged) and cannot be sold or repledged	1			—			1			—			14			14
Net amount	$	3		$	1		$	4		$	37		$	—		$	37
As of December 31, 2015
Derivatives with legal right of offset -
Gross recognized amount	$	509		$	93		$	602		$	1,182		$	241		$	1,423
Netting adjustments and cash collateral	(508		)	(93		)	(601		)	(1,140		)	(229		)	(1,369		)
Derivatives with legal right of offset - net	1			—			1			42			12			54
Derivatives without legal right of offset	1			—			1			1			—			1
Derivatives on statements of condition	2			—			2			43			12			55
Noncash collateral received (pledged) and cannot be sold or repledged	—			—			—			—			12			12
Net amount	$	2		$	—		$	2		$	43		$	—		$	43

At June 30, 2016, we had $87 million of additional net credit exposure on cleared derivatives due to our pledging of non-cash collateral to a DCO for initial margin, which exceeded our net derivative liability position. We had $50 million comparable exposure at December 31, 2015.

Derivatives And Hedging Activities as Presented in the Statements of Income [Table Text Block]

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

	Three months ended June 30,						Six months ended June 30,
For the periods ending	2016			2015			2016			2015
Fair value hedges -
Interest rate swaps	$	(3	)	$	6		$	(12	)	$	(13	)
Cash flow hedges	4			1			4			1
Economic hedges -
Interest rate swaps	(12		)	(6		)	(39		)	(29		)
Interest rate swaptions	7			(5		)	18			3
Interest rate caps or floors	(8		)	(7		)	(11		)	(8		)
Interest rate future forwards	(1		)	—			(1		)	—
Net interest settlements	16			20			28			44
Mortgage delivery commitments	—			—			2			—
TBAs Ginnie Mae securitizations	(1		)	—			(3		)	—
Economic hedges	1			2			(6		)	10
Gains (losses) on derivatives and hedging activities	$	2		$	9		$	(14	)	$	(2	)

Fair Value Hedges [Table Text Block]

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

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

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

	On Derivative			On Hedged Item			Total Ineffectiveness Recognized in Derivatives and Hedging Activities			Amount Recorded in Net Interest Income
Three months ended June 30, 2016
Available-for-sale securities	$	(4	)	$	2		$	(2	)	$	(28	)
Advances	(68		)	68			—			(20		)
MPF Loans held for portfolio	—			—			—			(3		)
Consolidated obligation bonds	8			(9		)	(1		)	17
Total	$	(64	)	$	61		$	(3	)	$	(34	)
Three months ended June 30, 2015
Available-for-sale securities	$	48		$	(45	)	$	3		$	(34	)
Advances	89			(86		)	3			(22		)
MPF Loans held for portfolio	—			—			—			(3		)
Consolidated obligation bonds	(44		)	44			—			57
Total	$	93		$	(87	)	$	6		$	(2	)
Six months ended June 30, 2016
Available-for-sale securities	$	(55	)	$	50		$	(5	)	$	(62	)
Advances	(178		)	177			(1		)	(40		)
MPF Loans held for portfolio	—			—			—			(5		)
Consolidated obligation bonds	76			(82		)	(6		)	39
Total	$	(157	)	$	145		$	(12	)	$	(68	)
Six months ended June 30, 2015
Available-for-sale securities	$	12		$	(14	)	$	(2	)	$	(78	)
Advances	28			(29		)	(1		)	(41		)
MPF Loans held for portfolio	—			—			—			(7		)
Consolidated obligation bonds	30			(40		)	(10		)	115
Total	$	70		$	(83	)	$	(13	)	$	(11	)

Cash Flow Hedges [Table Text Block]

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

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

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

		Ineffective Portion Recorded in Derivatives and Hedging Activities		Effective Portion Recorded in AOCI			Amount Recorded in Net Interest Income
Three months ended June 30, 2016
Advances	Interest rate floors	$	—	$	—		$	4
Discount notes	Interest rate swaps	4		14			(51		)
Bonds	Interest rate swaps	—		—			(1		)
Total		$	4	$	14		$	(48	)
Three months ended June 30, 2015
Advances	Interest rate floors	$	—	$	—		$	3
Discount notes	Interest rate swaps	1		70			(62		)
Bonds	Interest rate swaps	—		—			(1		)
Total		$	1	$	70		$	(60	)
Six months ended June 30, 2016
Advances	Interest rate floors	$	—	$	—		$	6
Discount notes	Interest rate swaps	4		(38		)	(98		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	4	$	(38	)	$	(94	)
Six months ended June 30, 2015
Advances	Interest rate floors	$	—	$	—		$	6
Discount notes	Interest rate swaps	1		43			(125		)
Bonds	Interest rate swaps	—		—			(2		)
Total		$	1	$	43		$	(121	)

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Consolidated Obligations (Tables)

6 Months Ended

Jun. 30, 2016

Debt Disclosure [Abstract]

Schedule of Maturities of Long-term Debt [Table Text Block]

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

As of June 30, 2016	Contractual Maturity		Weighted Average Interest Rate		By Maturity or Next Call Date
Due in one year or less	$	12,279	0.88	%	$	22,060
One to two years	4,885		1.74	%	3,425
Two to three years	3,395		1.35	%	1,995
Three to four years	2,213		1.48	%	403
Four to five years	3,271		2.06	%	363
Thereafter	3,052		3.33	%	849
Par value	$	29,095	1.51	%	$	29,095

Schedule of Short-term Debt [Table Text Block]

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

As of	June 30, 2016			December 31, 2015
Carrying Amount	$	45,876		$	41,564
Par Value	45,906			41,584
Weighted Average Interest Rate	0.39		%	0.22		%

Schedule of Long-term Debt Instruments [Table Text Block]

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

As of	June 30, 2016			December 31, 2015
Noncallable	$	18,393		$	10,148
Callable	10,702			12,536
Par value	29,095			22,684
Hedging adjustments	(13		)	(101		)
Other adjustments	9			(1		)
Consolidated obligation bonds	$	29,091		$	22,582

Schedule of Guarantor Obligations [Table Text Block]

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

	June 30, 2016									December 31, 2015
Par values as of	Bonds			Discount Notes			Total			Bonds			Discount Notes			Total
FHLB System total consolidated obligations	$	492,431		$	471,379		$	963,810		$	410,859		$	494,343		$	905,202
FHLB Chicago as primary obligor	29,095			45,906			75,001			22,684			41,584			64,268
As a percent of the FHLB System	6		%	10		%	8		%	6		%	8		%	7		%

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Capital and Mandatorily Redeemable Capital Stock (MRCS) (Tables)

6 Months Ended

Jun. 30, 2016

Concentration Risk [Line Items]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block]

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

	June 30, 2016						December 31, 2015
	Requirement			Actual			Requirement			Actual
Risk-based capital	$	984		$	4,960		$	1,027		$	4,688
Total regulatory capital	$	3,226		$	4,960		$	2,827		$	4,688
Total regulatory capital ratio	4.00		%	6.15		%	4.00		%	6.63		%
Leverage capital	$	4,033		$	7,440		$	3,534		$	7,032
Leverage capital ratio	5.00		%	9.22		%	5.00		%	9.95		%

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

Stockholders' Equity, Total [Member]

Concentration Risk [Line Items]

Schedules of Concentration of Risk, by Risk Factor [Table Text Block]

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

As of June 30, 2016	Regulatory Capital Stock Outstanding			% of Total Outstanding
One Mortgage Partners Corp.	$	245	a	12	%
The Northern Trust Company	$	220		11	%
BMO Harris Bank, N.A.	$	219		11	%

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

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Accumulated Other Comprehensive Income (Loss) (Tables)

6 Months Ended

Jun. 30, 2016

Equity [Abstract]

Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]

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

	Net Unrealized -			Non-credit OTTI -			Net Unrealized - Cash Flow Hedges
	Available-for-sale Securities			Held-to-maturity Securities						Post-Retirement Plans			AOCI
Three months ended June 30, 2016
Beginning balance	$	618		$	(206	)	$	(516	)	$	(6	)	$	(110	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(60		)	10			14			1			(35		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(2		)	—			(2		)
Non-interest gain (loss)	—			—			(4		)	—			(4		)
Other comprehensive income in the period	(60		)	10			8			1			(41		)
Ending balance	$	558		$	(196	)	$	(508	)	$	(5	)	$	(151	)
Three months ended June 30, 2015
Beginning balance	$	1,038		$	(251	)	$	(608	)	$	(7	)	$	172
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(113		)	13			70			—			(30		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(2		)	—			(2		)
Non-interest gain (loss)	—			—			(1		)	—			(1		)
Other comprehensive income in the period	(113		)	13			67			—			(33		)
Ending balance	$	925		$	(238	)	$	(541	)	$	(7	)	$	139
Six months ended June 30, 2016
Beginning balance	$	658		$	(217	)	$	(463	)	$	(6	)	$	(28	)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(100		)	21			(38		)	1			(116		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(3		)	—			(3		)
Non-interest gain (loss)	—			—			(4		)	—			(4		)
Other comprehensive income in the period	(100		)	21			(45		)	1			(123		)
Ending balance	$	558		$	(196	)	$	(508	)	$	(5	)	$	(151	)
Six months ended June 30, 2015
Beginning balance	$	1,060		$	(264	)	$	(580	)	$	1		$	217
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(135		)	26			43			(8		)	(74		)
Amounts reclassified in period to statements of income:
Net interest income	—			—			(3		)	—			(3		)
Non-interest gain (loss)	—			—			(1		)	—			(1		)
Other comprehensive income in the period	(135		)	26			39			(8		)	(78		)
Ending balance	$	925		$	(238	)	$	(541	)	$	(7	)	$	139

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Fair Value Accounting (Tables)

6 Months Ended

Jun. 30, 2016

Fair Value Disclosures [Abstract]

Fair Value Measurement [Table Text Block]

The following table shows the fair values of financial instruments that are measured at amortized cost on our statements of condition, except where we elected the fair value option. Financial instruments for which we elected the fair value option are measured at fair value on a recurring basis on our statements of condition and are parenthetically shown in the following table.

	Carrying Amount						Fair Value Hierarchy
				Fair Value			Level 1			Level 2			Level 3
June 30, 2016
Financial Assets -
Cash and due from banks	$	375		$	375		$	375		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	3,573			3,573			—			3,573			—
Securities purchased under agreements to resell	1,750			1,750			—			1,750			—
Held-to-maturity securities	5,543			6,090			—			5,006			1,084
Advances	46,424			46,384			—			46,384			—
MPF Loans held in portfolio, net	4,667			4,996			—			4,958			38
Financial Liabilities -
Deposits	(532		)	(532		)	—			(532		)	—
Consolidated obligation discount notes	(45,876		)	(45,881		)	—			(45,881		)	—
Consolidated obligation bonds	(29,091		)	(29,576		)	—			(29,576		)	—
Mandatorily redeemable capital stock	(302		)	(302		)	(302		)	—			—
December 31, 2015
Financial Assets -
Cash and due from banks	$	499		$	499		$	499		$	—		$	—
Interest bearing deposits	650			650			650			—			—
Federal Funds sold	1,702			1,702			—			1,702			—
Securities purchased under agreements to resell	1,375			1,375			—			1,375			—
Held-to-maturity securities	5,967			6,513			—			5,293			1,220
Advances	36,778			36,736			—			36,736			—
MPF Loans held in portfolio, net	4,828			5,190			—			5,155			35
Financial Liabilities -
Deposits	(538		)	(538		)	—			(538		)	—
Consolidated obligation discount notes	(41,564		)	(41,563		)	—			(41,563		)	—
Consolidated obligation bonds	(22,582		)	(22,986		)	—			(22,931		)	(55		)	a
Mandatorily redeemable capital stock	(8		)	(8		)	(8		)	—			—
Subordinated notes	(944		)	(966		)	—			(966		)	—

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

Assets and Liabilities Measured at Fair Value on a Recurring Basis [Table Text Block]

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

June 30, 2016	Level 2			Level 3				Netting			Fair Value
Financial assets -
U.S. Government & other government related non-MBS	$	1,153		$	—						$	1,153
GSE residential MBS	45			—							45
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,200			—							1,200
U.S. Government & other government related non-MBS	394			—							394
State or local housing agency non-MBS	21			—							21
FFELP ABS	4,834			—							4,834
GSE residential MBS	9,322			—							9,322
U.S. Government-guaranteed residential MBS	1,620			—							1,620
Private-label residential MBS	—			57							57
Available-for-sale securities	16,191			57							16,248
Advances	594			—							594
Derivative assets	769			—				$	(765	)	4
Other assets - Mortgage loans held for sale	36			—							36
Financial assets at fair value	$	18,790		$	57			$	(765	)	$	18,082
Level 3 as a percent of total assets at fair value				0.3		%
Financial liabilities -
Consolidated obligation discount notes	$	(10,140	)	$	—						$	(10,140	)
Consolidated obligation bonds	(5,960		)	—							(5,960		)
Derivative liabilities	(1,815		)	—				$	1,764		(51		)
Financial liabilities at fair value	$	(17,915	)	$	—			$	1,764		$	(16,151	)
December 31, 2015
Financial assets -
U.S. Government & other government related non-MBS	$	1,108		$	—						$	1,108
GSE residential MBS	50			—							50
U.S. Governmental-guaranteed residential MBS	2			—							2
Trading securities	1,160			—							1,160
U.S. Government & other government related non-MBS	422			—							422
State or local housing agency non-MBS	18			—							18
FFELP ABS	5,299			—							5,299
GSE residential MBS	9,798			—							9,798
U.S. Government-guaranteed residential MBS	1,868			—							1,868
Private-label residential MBS	—			65							65
Available-for-sale securities	17,405			65							17,470
Advances	511			—							511
Derivative assets	598			5				$	(601	)	2
Other assets - Mortgage loans held for sale	54			—							54
Financial assets at fair value	$	19,728		$	70			$	(601	)	$	19,197
Level 3 as a percent of total assets at fair value				0.4		%
Financial liabilities -
Consolidated obligation discount notes	$	(9,006	)	$	—						$	(9,006	)
Consolidated obligation bonds	(952		)	(55		)	a				(1,007		)
Derivative liabilities	(1,424		)	—				$	1,369		(55		)
Financial liabilities at fair value	$	(11,382	)	$	(55	)		$	1,369		$	(10,068	)
Level 3 as a percent of total liabilities at fair value				0.5		%

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

Fair Value, Option, Quantitative Disclosures [Table Text Block]

The following table summarizes the net gain (loss) related to financial assets and liabilities for which we elected the fair value option.

	Three months ended June 30,						Six months ended June 30,
	2016			2015			2015			2014
Advances	$	5		$	—		$	16		$	1
Bonds	(2		)	2			(5		)	4
Discount notes	(2		)	(2		)	(5		)	(2		)
Net gain (loss) instruments held under fair value option	$	1		$	—		$	6		$	3

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

	June 30, 2016				December 31, 2015
As of	Advances		Consolidated Obligation Bonds		Advances		Consolidated Obligation Bonds
Unpaid principal balance	$	576	$	5,949	$	509	$	953
Fair value over (under) UPB	18		11		2		(1		)
Fair value	$	594	$	5,960	$	511	$	952

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Commitments and Contingencies (Tables)

6 Months Ended

Jun. 30, 2016

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments [Table Text Block]

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

	June 30, 2016							December 31, 2015
As of	Expire within one year		Expire after one year			Total		Expire within one year		Expire after one year			Total
Unsettled consolidated obligation bonds	$	714	$	—		$	714	$	105	$	—		$	105
Unsettled consolidated obligation discount notes	43		—			43		—		—			—
Member standby letters of credit	6,355		2,067		a	8,422		5,063		1,615		a	6,678
Housing authority standby bond purchase agreements	50		265			315		49		362			411
Advance commitments	187		—			187		163		5			168
MPF delivery commitments	558		—			558		279		—			279
Other commitments	44		1			45		48		3			51
Commitments	$	7,951	$	2,333		$	10,284	$	5,707	$	1,985		$	7,692

^a  Contains $369 million and $637 million of member standby letters of credit at June 30, 2016, and December 31, 2015, which were renewable annually.

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Transactions with Related Parties and Other FHLBs (Tables)

6 Months Ended

Jun. 30, 2016

Related Party Transactions [Abstract]

Related Party Transactions, by Balance Sheet Grouping [Table Text Block]

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

As of	June 30, 2016		December 31, 2015
Assets - Interest bearing deposits	$	650	$	650
Assets - Advances	22,016		15,168
Assets - Advance Interest Receivable	9		5
Liabilities - Deposits	26		20
Equity - Capital Stock	703		467

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Interest Income and Interest Expense (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Investment securities -
Trading	$ 3	$ 1	$ 5	$ 2
Available-for-sale	119	130	251	264
Held-to-maturity	56	69	115	138
Investment securities	178	200	371	404
Advances -
Advance interest income	68	42	130	81
Advance prepayment fees	6	0	7	6
Advances	74	42	137	87
MPF Loans held in portfolio	55	66	112	135
Other interest bearing assets	10	1	15	4
Interest income	317	309	635	630
Consolidated obligations -
Discount notes	95	72	177	144
Bonds	98	103	200	208
Consolidated obligations	193	175	377	352
Subordinated notes	10	13	24	27
Other interest bearing liabilities	3	0	3	0
Interest expense	206	188	404	379
Net interest income	111	121	231	251
Provision for (reversal of) credit losses	0	4	0	4
Net interest income after provision for (reversal of) credit losses	$ 111	$ 117	$ 231	$ 247

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Investment Securities (Trading Securities) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 1,200	$ 1,160
U.S. Government & other government related
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	1,153	1,108
Residential MBS:
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	47	52
Residential MBS: | GSE
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	45	50
Residential MBS: | Government-guaranteed
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 2	$ 2

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Investment Securities (Available-for-sale Securities) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	$ 15,690	$ 16,812
Gross Unrealized Gains in AOCI	612	698
Gross Unrealized (Losses) in AOCI	(54)	(40)
Carrying Amount and Fair Value	16,248	17,470
U.S. Government & other government related
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	374	405
Gross Unrealized Gains in AOCI	24	21
Gross Unrealized (Losses) in AOCI	(4)	(4)
Carrying Amount and Fair Value	394	422
State or local housing agency
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	20	18
Gross Unrealized Gains in AOCI	1	0
Gross Unrealized (Losses) in AOCI	0	0
Carrying Amount and Fair Value	21	18
FFELP ABS | FFELP ABS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	4,740	5,090
Gross Unrealized Gains in AOCI	128	233
Gross Unrealized (Losses) in AOCI	(34)	(24)
Carrying Amount and Fair Value	4,834	5,299
Residential MBS:
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	10,556	11,299
Gross Unrealized Gains in AOCI	459	444
Gross Unrealized (Losses) in AOCI	(16)	(12)
Carrying Amount and Fair Value	10,999	11,731
Residential MBS: | GSE
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	8,936	9,427
Gross Unrealized Gains in AOCI	402	383
Gross Unrealized (Losses) in AOCI	(16)	(12)
Carrying Amount and Fair Value	9,322	9,798
Residential MBS: | Government-guaranteed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	1,568	1,811
Gross Unrealized Gains in AOCI	52	57
Gross Unrealized (Losses) in AOCI	0	0
Carrying Amount and Fair Value	1,620	1,868
Residential MBS: | Private-label
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost Basis	52	61
Gross Unrealized Gains in AOCI	5	4
Gross Unrealized (Losses) in AOCI	0	0
Carrying Amount and Fair Value	$ 57	$ 65

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Investment Securities (Held-to-Maturities Securities) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	$ 5,739	$ 6,184
Non-credit OTTI Recognized in AOCI (Loss)	(196)	(217)
Carrying Amount	5,543	5,967
Gross Unrecognized Holding Gains	548	548
Gross Unrecognized Holding (Losses)	(1)	(2)
Held-to-maturity fair value	6,090	6,513
U.S. Government & other government related
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	1,835	1,932
Non-credit OTTI Recognized in AOCI (Loss)	0	0
Carrying Amount	1,835	1,932
Gross Unrecognized Holding Gains	83	64
Gross Unrecognized Holding (Losses)	0	(1)
Held-to-maturity fair value	1,918	1,995
State or local housing agency
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	14	16
Non-credit OTTI Recognized in AOCI (Loss)	0	0
Carrying Amount	14	16
Gross Unrecognized Holding Gains	0	0
Gross Unrecognized Holding (Losses)	0	0
Held-to-maturity fair value	14	16
Residential MBS:
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	3,890	4,236
Non-credit OTTI Recognized in AOCI (Loss)	(196)	(217)
Carrying Amount	3,694	4,019
Gross Unrecognized Holding Gains	465	484
Gross Unrecognized Holding (Losses)	(1)	(1)
Held-to-maturity fair value	4,158	4,502
Residential MBS: | GSE
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	2,024	2,163
Non-credit OTTI Recognized in AOCI (Loss)	0	0
Carrying Amount	2,024	2,163
Gross Unrecognized Holding Gains	150	134
Gross Unrecognized Holding (Losses)	0	0
Held-to-maturity fair value	2,174	2,297
Residential MBS: | Government-guaranteed
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	883	969
Non-credit OTTI Recognized in AOCI (Loss)	0	0
Carrying Amount	883	969
Gross Unrecognized Holding Gains	17	16
Gross Unrecognized Holding (Losses)	0	0
Held-to-maturity fair value	900	985
Residential MBS: | Private-label
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost Basis	983	1,104
Non-credit OTTI Recognized in AOCI (Loss)	(196)	(217)
Carrying Amount	787	887
Gross Unrecognized Holding Gains	298	334
Gross Unrecognized Holding (Losses)	(1)	(1)
Held-to-maturity fair value	$ 1,084	$ 1,220

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Investment Securities (Aging of Unrealized Temporary Losses on Available-for-sale Securities) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Less than 12 Months
Fair Value	$ 1,649	$ 1,269
Gross Unrealized (Losses)	(7)	(5)
12 Months or More
Fair Value	1,804	1,846
Gross Unrealized (Losses)	(47)	(35)
Total
Fair Value	3,453	3,115
Gross Unrealized (Losses)	(54)	(40)
U.S. Government & other government related
Less than 12 Months
Fair Value	35	30
Gross Unrealized (Losses)	(1)	(1)
12 Months or More
Fair Value	51	45
Gross Unrealized (Losses)	(3)	(3)
Total
Fair Value	86	75
Gross Unrealized (Losses)	(4)	(4)
State or local housing agency
Less than 12 Months
Fair Value		4
Gross Unrealized (Losses)		0
12 Months or More
Fair Value		0
Gross Unrealized (Losses)		0
Total
Fair Value		4
Gross Unrealized (Losses)		0
FFELP ABS | FFELP ABS
Less than 12 Months
Fair Value	57	64
Gross Unrealized (Losses)	(1)	(1)
12 Months or More
Fair Value	733	787
Gross Unrealized (Losses)	(33)	(23)
Total
Fair Value	790	851
Gross Unrealized (Losses)	(34)	(24)
Residential MBS:
Less than 12 Months
Fair Value	1,557	1,171
Gross Unrealized (Losses)	(5)	(3)
12 Months or More
Fair Value	1,020	1,014
Gross Unrealized (Losses)	(11)	(9)
Total
Fair Value	2,577	2,185
Gross Unrealized (Losses)	(16)	(12)
Residential MBS: | GSE
Less than 12 Months
Fair Value	1,533	1,081
Gross Unrealized (Losses)	(5)	(3)
12 Months or More
Fair Value	1,012	1,006
Gross Unrealized (Losses)	(11)	(9)
Total
Fair Value	2,545	2,087
Gross Unrealized (Losses)	(16)	(12)
Residential MBS: | Government-guaranteed
Less than 12 Months
Fair Value	24	90
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	0	0
Gross Unrealized (Losses)	0	0
Total
Fair Value	24	90
Gross Unrealized (Losses)	0	0
Residential MBS: | Private-label
Less than 12 Months
Fair Value	0	0
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	8	8
Gross Unrealized (Losses)	0	0
Total
Fair Value	8	8
Gross Unrealized (Losses)	$ 0	$ 0

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Investment Securities (Aging of Unrealized Temporary Losses on Held-to-maturity Securities) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Less than 12 Months
Fair Value	$ 142	$ 611
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	1,055	1,193
Gross Unrealized (Losses)	(197)	(219)
Total
Fair Value	1,197	1,804
Gross Unrealized (Losses)	(197)	(219)
U.S. Government & other government related
Less than 12 Months
Fair Value	0	606
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	16	16
Gross Unrealized (Losses)	0	(1)
Total
Fair Value	16	622
Gross Unrealized (Losses)	0	(1)
State or local housing agency
Less than 12 Months
Fair Value	0	1
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	1	10
Gross Unrealized (Losses)	0	0
Total
Fair Value	1	11
Gross Unrealized (Losses)	0	0
Residential MBS:
Less than 12 Months
Fair Value	142	4
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	1,038	1,167
Gross Unrealized (Losses)	(197)	(218)
Total
Fair Value	1,180	1,171
Gross Unrealized (Losses)	(197)	(218)
Residential MBS: | GSE
Less than 12 Months
Fair Value	4	4
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	0	0
Gross Unrealized (Losses)	0	0
Total
Fair Value	4	4
Gross Unrealized (Losses)	0	0
Residential MBS: | Government-guaranteed
Less than 12 Months
Fair Value	134
Gross Unrealized (Losses)	0
12 Months or More
Fair Value	0
Gross Unrealized (Losses)	0
Total
Fair Value	134
Gross Unrealized (Losses)	0
Residential MBS: | Private-label
Less than 12 Months
Fair Value	4	0
Gross Unrealized (Losses)	0	0
12 Months or More
Fair Value	1,038	1,167
Gross Unrealized (Losses)	(197)	(218)
Total
Fair Value	1,042	1,167
Gross Unrealized (Losses)	$ (197)	$ (218)

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Investment Securities (Contractual Maturity Terms) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis	$ 0
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis	64
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis	30
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis	300
Available-for-sale Securities, Debt Maturities, without Single Maturity Date, Amortized Cost Basis	15,296
Amortized Cost Basis	15,690	$ 16,812
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value	0
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value	67
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value	32
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value	316
Available-for-sale Securities, Debt Maturities, without Single Maturity Date, Fair Value	15,833
Carrying Amount and Fair Value	16,248	17,470
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost	694
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost	303
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost	89
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Amortized Cost	763
Held-to-maturity Securities, Debt Maturities, without Single Maturity Date, Net Carrying Amount	3,694
Carrying Amount	5,543	5,967
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value	694
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value	318
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value	91
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Fair Value	829
Held-to-maturity Securities, Debt Maturities, without Single Maturity Date, Fair Value	4,158
Fair Value	$ 6,090	$ 6,513

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Investment Securities (Significant Inputs Used to Determine OTTI) (Details)	Jun. 30, 2016
Minimum
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Assumed Home Price Change Rate all markets	(2.00%)
Projected House Price Change Rate majority of markets	2.00%
Maximum
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Assumed Home Price Change Rate all markets	10.00%
Projected House Price Change Rate majority of markets	6.00%

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Investment Securities (OTTI rollforward) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Investments, Debt and Equity Securities [Abstract]
Beginning Balance	$ 555	$ 605	$ 568	$ 620
Reductions:
Increases in expected future cash flows recorded as accretion into interest income	(13)	(14)	(26)	(29)
Ending Balance	$ 542	$ 591	$ 542	$ 591

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Investment Securities Ongoing Litigation (Details) - Private-label - October 15 2010 On-going PLMBS Litigation $ in Millions	1 Months Ended
	Apr. 30, 2016 USD ($)	Jun. 30, 2016 USD ($) bonds	Oct. 15, 2010 USD ($) bonds
Gain Contingencies [Line Items]
Number of Debt Securities | bonds		4	64
Marketable Securities, Original Principal Amount		$ 77.5	$ 4,290.0
Litigation Settlement, Amount	$ 37.5
Litigation Settlement, Expense	$ 5.0

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Advances By redemption terms (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Federal Home Loan Bank, Advances, Rolling Maturity [Abstract]
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months		0.59%
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two		0.74%
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three	[1]	0.61%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four	[1]	0.54%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five	[1]	1.05%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five		1.69%
Federal Home Loan Bank, Advances, Weighted Average Interest Rate		0.73%
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months		$ 15,928
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two		9,686
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three		4,966
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four		9,147
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five		2,255
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Five		4,079
Par value		$ 46,061	$ 36,605

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

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Advances Reconciliation of par values to carrying values (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Federal Home Loan Banks [Abstract]
Par value	$ 46,061	$ 36,605
Hedging adjustments	335	159
Other adjustments	28	14
Advances	$ 46,424	$ 36,778

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Advances By counterparty concentration (Details) - USD ($) $ in Millions		3 Months Ended
		Jun. 30, 2016	Dec. 31, 2015
Concentration Risk [Line Items]
Par value		$ 46,061	$ 36,605
One Mortgage Partners Corp.
Concentration Risk [Line Items]
Par value	[1]	$ 11,000
One Mortgage Partners Corp. | Credit Concentration Risk
Concentration Risk [Line Items]
% of Total Outstanding		24.00%
The Northern Trust Company
Concentration Risk [Line Items]
Par value		$ 6,000
The Northern Trust Company | Credit Concentration Risk
Concentration Risk [Line Items]
% of Total Outstanding		13.00%
BMO Harris Bank, N.A.
Concentration Risk [Line Items]
Par value		$ 4,875
BMO Harris Bank, N.A. | Credit Concentration Risk
Concentration Risk [Line Items]
% of Total Outstanding		11.00%

[1] One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA.

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MPF Loans (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 4,610	$ 4,774
Net premiums, credit enhancement and deferred loan fees	28	20
Hedging adjustments	32	37
MPF Loans held in portfolio, before allowance for credit losses	4,670	4,831
Allowance for credit losses on MPF Loans	(3)	(3)
MPF Loans held in portfolio, net	4,667	4,828
Medium term (15 years or less)
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	507	662
Long term (greater than 15 years)
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	4,103	4,112
Conventional mortgage loans
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	3,467	3,568
Government Loans
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 1,143	$ 1,206

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Allowance for Credit Losses Loans evaluated for impairment (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Recorded investment
Recorded investment	$ 4,695	$ 4,855
Conventional
Recorded investment
Individually evaluated for impairment	87	107
Collectively evaluated for impairment	3,442	3,519
Recorded investment	3,529	3,626
Allowance for credit losses on conventional MPF Loans -
Homogeneous pools of loans collectively evaluated for impairment	$ 3	$ 3

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Allowance for Credit Losses (Credit Quality Indicators - MPF Loans) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Recorded Investment, Past Due [Line Items]
Past due	$ 272	$ 330
Current	4,423	4,525
Recorded investment	4,695	4,855
In process of foreclosure	$ 46	$ 54
Serious delinquency rate	2.08%	2.38%
Past due 90 days or more still accruing interest	$ 24	$ 25
On nonaccrual status	87	107
Past due 30-59 days
Recorded Investment, Past Due [Line Items]
Past due	131	162
Past due 60-89 days
Recorded Investment, Past Due [Line Items]
Past due	43	53
Past due 90 days or more
Recorded Investment, Past Due [Line Items]
Past due	98	115
Conventional
Recorded Investment, Past Due [Line Items]
Past due	187	231
Current	3,342	3,395
Recorded investment	3,529	3,626
In process of foreclosure	$ 42	$ 51
Serious delinquency rate	2.27%	2.77%
Past due 90 days or more still accruing interest	$ 6	$ 10
On nonaccrual status	87	107
Conventional | Past due 30-59 days
Recorded Investment, Past Due [Line Items]
Past due	81	99
Conventional | Past due 60-89 days
Recorded Investment, Past Due [Line Items]
Past due	26	32
Conventional | Past due 90 days or more
Recorded Investment, Past Due [Line Items]
Past due	80	100
Government
Recorded Investment, Past Due [Line Items]
Past due	85	99
Current	1,081	1,130
Recorded investment	1,166	1,229
In process of foreclosure	$ 4	$ 3
Serious delinquency rate	1.52%	1.23%
Past due 90 days or more still accruing interest	$ 18	$ 15
On nonaccrual status	0	0
Government | Past due 30-59 days
Recorded Investment, Past Due [Line Items]
Past due	50	63
Government | Past due 60-89 days
Recorded Investment, Past Due [Line Items]
Past due	17	21
Government | Past due 90 days or more
Recorded Investment, Past Due [Line Items]
Past due	$ 18	$ 15

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Allowance for Credit Losses (Impaired MPF Loans at period ends) (Details) - Conventional - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Financing Receivable, Impaired [Line Items]
Recorded investment without an allowance for credit losses	$ 87	$ 107
Unpaid principal balance without an allowance for credit losses	$ 94	$ 117

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Allowance for Credit Losses (Impaired MPF Loans during the periods) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Conventional
Financing Receivable, Impaired [Line Items]
Average recorded investment without allowance for credit losses	$ 88	$ 131	$ 93	$ 140

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Derivatives and Hedging Activities (Narrative) (Details) $ in Millions	Jun. 30, 2016 USD ($)
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Additional collateral due to derivatives counterparties if credit rating was lowered one level	$ 31
Financial Instruments Owned and Pledged as Collateral, Amount Eligible to be Repledged by Counterparty	$ 101

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Derivatives and Hedging Activities (Derivatives in statements of condition) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Notional Amount		$ 60,245	$ 57,007
Netting adjustments and cash collateral derivative assets		(765)	(601)
Derivative assets on statements of condition		4	2
Netting adjustments and cash collateral derivative liabilities		(1,764)	(1,369)
Derivative liabilities on statements of condition		51	55
Cash collateral posted		1,000	793
Cash collateral received		29	25
Derivatives in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Notional Amount		23,525	25,140
Derivatives not in hedge accounting relationships-
Derivatives, Fair Value [Line Items]
Notional Amount		36,720	31,867
Derivatives not in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Notional Amount		33,655	28,866
Derivatives not in hedge accounting relationships- | Interest rate swaptions
Derivatives, Fair Value [Line Items]
Notional Amount		820	1,270
Derivatives not in hedge accounting relationships- | Interest rate caps or floors
Derivatives, Fair Value [Line Items]
Notional Amount		1,129	1,131
Derivatives not in hedge accounting relationships- | Interest rate futures
Derivatives, Fair Value [Line Items]
Notional Amount		23	7
Derivatives not in hedge accounting relationships- | Mortgage delivery commitments
Derivatives, Fair Value [Line Items]
Notional Amount		1,001	479
Derivatives not in hedge accounting relationships- | TBAs Ginnie Mae securitizations
Derivatives, Fair Value [Line Items]
Notional Amount		92	114
Derivative Assets
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		769	603
Netting adjustments and cash collateral derivative assets	[1]	(765)	(601)
Derivative assets on statements of condition		4	2
Derivative Assets | Derivatives in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		62	30
Derivative Assets | Derivatives not in hedge accounting relationships-
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		707	573
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		581	456
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate swaptions
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		58	40
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate caps or floors
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		65	76
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate futures
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		0	0
Derivative Assets | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		3	1
Derivative Assets | Derivatives not in hedge accounting relationships- | TBAs Ginnie Mae securitizations
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		0	0
Derivative Liabilities
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		1,815	1,424
Netting adjustments and cash collateral derivative liabilities	[1]	(1,764)	(1,369)
Derivative liabilities on statements of condition		51	55
Derivative Liabilities | Derivatives in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		1,312	1,082
Derivative Liabilities | Derivatives not in hedge accounting relationships-
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		503	342
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate swaps
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		500	341
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate swaptions
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		0	0
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate caps or floors
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		0	0
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate futures
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		0	0
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		2	1
Derivative Liabilities | Derivatives not in hedge accounting relationships- | TBAs Ginnie Mae securitizations
Derivatives, Fair Value [Line Items]
Gross derivative amount before adjustments		$ 1	$ 0

[1] Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same clearing agent and/or counterparty. Cash collateral posted was $1.0 billion and $793 million at June 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million.

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Derivatives and Hedging Activities (Derivative instruments with legal right of offset) (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Derivatives with legal right of offset -
Netting adjustments and cash collateral derivative assets		$ (765)	$ (601)
Netting adjustments and cash collateral derivative liabilities		(1,764)	(1,369)
Derivative assets on statements of condition		4	2
Derivative liabilities on statements of condition		51	55
Credit Exposure On Overcollateralized Pledged Securities Exceeding Derivative Liability		87	50
Derivative Assets
Derivatives with legal right of offset -
Gross recognized amount		766	602
Netting adjustments and cash collateral derivative assets	[1]	(765)	(601)
Derivatives with legal right of offset - net		1	1
Derivatives without legal right of offset		3	1
Derivative assets on statements of condition		4	2
Cash collateral for initial margin		(1)
Noncash collateral received (pledged) and cannot be sold or repledged		1	0
Net amount		4	2
Derivative Assets | Bilateral
Derivatives with legal right of offset -
Gross recognized amount		580	509
Netting adjustments and cash collateral derivative assets		(579)	(508)
Derivatives with legal right of offset - net		1	1
Derivatives without legal right of offset		3	1
Derivative assets on statements of condition		4	2
Noncash collateral received (pledged) and cannot be sold or repledged		1	0
Net amount		3	2
Derivative Assets | Cleared
Derivatives with legal right of offset -
Gross recognized amount		186	93
Netting adjustments and cash collateral derivative assets		(186)	(93)
Derivatives with legal right of offset - net		0	0
Derivatives without legal right of offset		0	0
Derivative assets on statements of condition		0	0
Cash collateral for initial margin		(1)
Noncash collateral received (pledged) and cannot be sold or repledged		0	0
Net amount		1	0
Derivative Liabilities
Derivatives with legal right of offset -
Gross recognized amount		1,813	1,423
Netting adjustments and cash collateral derivative liabilities	[1]	(1,764)	(1,369)
Derivatives with legal right of offset - net		49	54
Derivatives without legal right of offset		2	1
Derivative liabilities on statements of condition		51	55
Noncash collateral received (pledged) and cannot be sold or repledged		14	12
Net amount		37	43
Derivative Liabilities | Bilateral
Derivatives with legal right of offset -
Gross recognized amount		1,166	1,182
Netting adjustments and cash collateral derivative liabilities		(1,131)	(1,140)
Derivatives with legal right of offset - net		35	42
Derivatives without legal right of offset		2	1
Derivative liabilities on statements of condition		37	43
Noncash collateral received (pledged) and cannot be sold or repledged		0	0
Net amount		37	43
Derivative Liabilities | Cleared
Derivatives with legal right of offset -
Gross recognized amount		647	241
Netting adjustments and cash collateral derivative liabilities		(633)	(229)
Derivatives with legal right of offset - net		14	12
Derivatives without legal right of offset		0	0
Derivative liabilities on statements of condition		14	12
Noncash collateral received (pledged) and cannot be sold or repledged		14	12
Net amount		$ 0	$ 0

[1] Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same clearing agent and/or counterparty. Cash collateral posted was $1.0 billion and $793 million at June 30, 2016, and December 31, 2015, and cash collateral received was $29 million and $25 million.

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Gains (losses) on derivatives and hedging activities	$ 2	$ 9	$ (14)	$ (2)
Fair value hedges
Derivative Instruments, Gain (Loss) [Line Items]
Fair value hedges	(3)	6	(12)	(13)
Fair value hedges | Interest rate swaps
Derivative Instruments, Gain (Loss) [Line Items]
Fair value hedges	(3)	6	(12)	(13)
Cash flow hedges
Derivative Instruments, Gain (Loss) [Line Items]
Cash flow hedges	4	1	4	1
Economic hedges
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	1	2	(6)	10
Economic hedges | Interest rate swaps
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	(12)	(6)	(39)	(29)
Economic hedges | Interest rate swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	7	(5)	18	3
Economic hedges | Interest rate caps or floors
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	(8)	(7)	(11)	(8)
Economic hedges | Interest rate futures
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	(1)	0	(1)	0
Economic hedges | Net interest settlements
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	16	20	28	44
Economic hedges | Mortgage delivery commitments
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	0	0	2	0
Economic hedges | TBAs Ginnie Mae securitizations
Derivative Instruments, Gain (Loss) [Line Items]
Economic hedges	$ (1)	$ 0	$ (3)	$ 0

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Derivatives and Hedging Activities (Fair Value Hedges) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Amount Recorded in Net Interest Income	$ 111	$ 121	$ 231	$ 251
Fair value hedges
Derivative Instruments, Gain (Loss) [Line Items]
On Derivative	(64)	93	(157)	70
On Hedged Item	61	(87)	145	(83)
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	(3)	6	(12)	(13)
Amount Recorded in Net Interest Income	(34)	(2)	(68)	(11)
Fair value hedges | Available-for-sale securities
Derivative Instruments, Gain (Loss) [Line Items]
On Derivative	(4)	48	(55)	12
On Hedged Item	2	(45)	50	(14)
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	(2)	3	(5)	(2)
Amount Recorded in Net Interest Income	(28)	(34)	(62)	(78)
Fair value hedges | Advances
Derivative Instruments, Gain (Loss) [Line Items]
On Derivative	(68)	89	(178)	28
On Hedged Item	68	(86)	177	(29)
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	0	3	(1)	(1)
Amount Recorded in Net Interest Income	(20)	(22)	(40)	(41)
Fair value hedges | MPF Loans held for portfolio
Derivative Instruments, Gain (Loss) [Line Items]
On Derivative	0	0	0	0
On Hedged Item	0	0	0	0
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	0	0	0	0
Amount Recorded in Net Interest Income	(3)	(3)	(5)	(7)
Fair value hedges | Consolidated obligation bonds
Derivative Instruments, Gain (Loss) [Line Items]
On Derivative	8	(44)	76	30
On Hedged Item	(9)	44	(82)	(40)
Total Ineffectiveness Recognized in Derivatives and Hedging Activities	(1)	0	(6)	(10)
Amount Recorded in Net Interest Income	$ 17	$ 57	$ 39	$ 115

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Derivatives and Hedging Activities (Cash Flow Hedges) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Amount Recorded in Net Interest Income	$ 111	$ 121	$ 231	$ 251
Cash Flow Hedge Gain (Loss) to be Reclassified Next 12 Months, Net	$ (8)		(8)
Maximum Hedging Period For Forecasted Cash Flows	4 years
Cash flow hedges
Derivative Instruments, Gain (Loss) [Line Items]
Ineffective Portion Recorded in Derivatives and Hedging Activities	$ 4	1	4	1
Effective Portion Recorded in AOCI	14	70	(38)	43
Amount Recorded in Net Interest Income	(48)	(60)	(94)	(121)
Cash flow hedges | Advances | Interest rate floors
Derivative Instruments, Gain (Loss) [Line Items]
Ineffective Portion Recorded in Derivatives and Hedging Activities	0	0	0	0
Effective Portion Recorded in AOCI	0	0	0	0
Amount Recorded in Net Interest Income	4	3	6	6
Cash flow hedges | Discount Notes | Interest rate swaps
Derivative Instruments, Gain (Loss) [Line Items]
Ineffective Portion Recorded in Derivatives and Hedging Activities	4	1	4	1
Effective Portion Recorded in AOCI	14	70	(38)	43
Amount Recorded in Net Interest Income	(51)	(62)	(98)	(125)
Cash flow hedges | Consolidated obligation bonds | Interest rate swaps
Derivative Instruments, Gain (Loss) [Line Items]
Ineffective Portion Recorded in Derivatives and Hedging Activities	0	0	0	0
Effective Portion Recorded in AOCI	0	0	0	0
Amount Recorded in Net Interest Income	$ (1)	$ (1)	$ (2)	$ (2)

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Consolidated Obligations (Bonds by maturity date) (Details) - Consolidated obligation bonds - USD ($) $ in Millions	3 Months Ended
	Jun. 30, 2016	Dec. 31, 2015
Contractual Maturity
Due in one year or less	$ 12,279
One to two years	4,885
Two to three years	3,395
Three to four years	2,213
Four to five years	3,271
Thereafter	3,052
Par value	$ 29,095	$ 22,684
Weighted Average Interest Rate
Due in one year or less	0.88%
One to two years	1.74%
Two to three years	1.35%
Three to four years	1.48%
Four to five years	2.06%
Thereafter	3.33%
Par value	1.51%
By Maturity or Next Call Date
Contractual Maturity
Due in one year or less	$ 22,060
One to two years	3,425
Two to three years	1,995
Three to four years	403
Four to five years	363
Thereafter	849
Par value	$ 29,095
Minimum
Extinguishment of Debt [Line Items]
Debt Instrument, Term	1 year
Maximum
Extinguishment of Debt [Line Items]
Debt Instrument, Term	20 years

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Consolidated Obligations (Short term discount notes) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Short-term Debt [Line Items]
Carrying Amount	$ 45,876	$ 41,564
Discount Notes
Short-term Debt [Line Items]
Carrying Amount	45,876	41,564
Par Value	$ 45,906	$ 41,584
Weighted Average Interest Rate	0.39%	0.22%

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Consolidated Obligations (Bonds by callable feature) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Debt Instrument [Line Items]
Consolidated obligation bonds	$ 29,091	$ 22,582
Consolidated obligation bonds
Debt Instrument [Line Items]
Par Value	29,095	22,684
Hedging adjustments	(13)	(101)
Other adjustments	9	(1)
Consolidated obligation bonds	29,091	22,582
Consolidated obligation bonds | Noncallable
Debt Instrument [Line Items]
Par Value	18,393	10,148
Consolidated obligation bonds | Callable
Debt Instrument [Line Items]
Par Value	$ 10,702	$ 12,536

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Consolidated Obligations (Systemwide joint & several liability) (Details) - USD ($) $ in Millions	3 Months Ended
	Jun. 30, 2016	Dec. 31, 2015
Consolidated obligation bonds
Obligation with Joint and Several Liability Arrangement [Line Items]
FHLB System total consolidated obligations	$ 492,431	$ 410,859
FHLB Chicago as primary obligor	$ 29,095	$ 22,684
As a percent of the FHLB System	6.00%	6.00%
Discount Notes
Obligation with Joint and Several Liability Arrangement [Line Items]
FHLB System total consolidated obligations	$ 471,379	$ 494,343
FHLB Chicago as primary obligor	$ 45,906	$ 41,584
As a percent of the FHLB System	10.00%	8.00%
Total
Obligation with Joint and Several Liability Arrangement [Line Items]
FHLB System total consolidated obligations	$ 963,810	$ 905,202
FHLB Chicago as primary obligor	$ 75,001	$ 64,268
As a percent of the FHLB System	8.00%	7.00%

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Capital and Mandatorily Redeemable Capital Stock (MRCS) (Capital rules) (Details) - $ / shares	3 Months Ended
	Jun. 30, 2016	Dec. 31, 2015
Capital [Abstract]
Capital stock par value	$ 100	$ 100
Capital Stock, Redemption, Period of Written Notice	5 years

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Capital and Mandatorily Redeemable Capital Stock (MRCS) (Regulatory capital requirements) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Federal Home Loan Banks [Abstract]
Risk Based Capital, Requirement	$ 984	$ 1,027
Risk Based Capital, Actual	4,960	4,688
Regulatory Capital, Requirement	3,226	2,827
Regulatory Capital, Actual	$ 4,960	$ 4,688
Regulatory Capital Ratio, Requirement	4.00%	4.00%
Regulatory Capital Ratio, Actual	6.15%	6.63%
Leverage Capital, Requirement	$ 4,033	$ 3,534
Leverage Capital, Actual	$ 7,440	$ 7,032
Leverage Ratio, Requirement	5.00%	5.00%
Leverage Ratio, Actual	9.22%	9.95%

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Capital and Mandatorily Redeemable Capital Stock (MRCS) Stockholder Concentration (Details) $ in Millions	3 Months Ended
	Jun. 30, 2016 USD ($)
One Mortgage Partners Corp.
Concentration Risk [Line Items]
Regulatory Capital Stock Outstanding	$ 245	[1]
The Northern Trust Company
Concentration Risk [Line Items]
Regulatory Capital Stock Outstanding	220
BMO Harris Bank, N.A.
Concentration Risk [Line Items]
Regulatory Capital Stock Outstanding	$ 219
Stockholders' Equity, Total [Member] | One Mortgage Partners Corp.
Concentration Risk [Line Items]
% of Total Outstanding	12.00%
Stockholders' Equity, Total [Member] | The Northern Trust Company
Concentration Risk [Line Items]
% of Total Outstanding	11.00%
Stockholders' Equity, Total [Member] | BMO Harris Bank, N.A.
Concentration Risk [Line Items]
% of Total Outstanding	11.00%

[1] One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA.

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Capital and Mandatorily Redeemable Capital Stock (MRCS) Transfer of Capital Stock to Mandatorily Redeemable Capital Stock (MRCS) (Details) - USD ($) $ in Millions	3 Months Ended	6 Months Ended
	Mar. 31, 2016	Jun. 30, 2016	Jun. 30, 2015
Equity [Abstract]
Capital stock reclassified to mandatorily redeemable capital stock	$ 294	$ 299	$ 1

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Capital and Mandatorily Redeemable Capital Stock (MRCS) Excess capital stock (Details) - USD ($) $ in Millions	Jun. 30, 2016	Apr. 01, 2016
Banking and Thrift [Abstract]
Excess Capital	$ 391	$ 593

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Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance			$ (28)
Amounts reclassified in period to statements of income:
Ending balance	$ (151)		(151)
AOCI
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance	(110)	$ 172	(28)	$ 217
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(35)	(30)	(116)	(74)
Amounts reclassified in period to statements of income:
Net interest income	(2)	(2)	(3)	(3)
Non-interest gain (loss)	(4)	(1)	(4)	(1)
Other comprehensive income in the period	(41)	(33)	(123)	(78)
Ending balance	(151)	139	(151)	139
Net Unrealized - | Available-for-sale Securities
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance	618	1,038	658	1,060
Change in the period recorded to the statements of condition, before reclassifications to statements of income	(60)	(113)	(100)	(135)
Amounts reclassified in period to statements of income:
Net interest income	0	0	0	0
Non-interest gain (loss)	0	0	0	0
Other comprehensive income in the period	(60)	(113)	(100)	(135)
Ending balance	558	925	558	925
Non-credit OTTI - | Held-to-maturity Securities
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance	(206)	(251)	(217)	(264)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	10	13	21	26
Amounts reclassified in period to statements of income:
Net interest income	0	0	0	0
Non-interest gain (loss)	0	0	0	0
Other comprehensive income in the period	10	13	21	26
Ending balance	(196)	(238)	(196)	(238)
Net Unrealized - Cash Flow Hedges
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance	(516)	(608)	(463)	(580)
Change in the period recorded to the statements of condition, before reclassifications to statements of income	14	70	(38)	43
Amounts reclassified in period to statements of income:
Net interest income	(2)	(2)	(3)	(3)
Non-interest gain (loss)	(4)	(1)	(4)	(1)
Other comprehensive income in the period	8	67	(45)	39
Ending balance	(508)	(541)	(508)	(541)
Post-Retirement Plans
Accumulated Other Comprehensive Income (Loss) [Roll Forward]
Beginning balance	(6)	(7)	(6)	1
Change in the period recorded to the statements of condition, before reclassifications to statements of income	1	0	1	(8)
Amounts reclassified in period to statements of income:
Net interest income	0	0	0	0
Non-interest gain (loss)	0	0	0	0
Other comprehensive income in the period	1	0	1	(8)
Ending balance	$ (5)	$ (7)	$ (5)	$ (7)

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Fair Value Accounting (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Financial Assets -
Cash and due from banks	$ 375	$ 499
Interest bearing deposits	650	650
Federal Funds sold	3,573	1,702
Securities purchased under agreements to resell	1,750	1,375
Held-to-maturity securities	6,090	6,513
Carrying Amount
Financial Assets -
Cash and due from banks	375	499
Interest bearing deposits	650	650
Federal Funds sold	3,573	1,702
Securities purchased under agreements to resell	1,750	1,375
Held-to-maturity securities	5,543	5,967
Advances	46,424	36,778
MPF Loans held in portfolio, net	4,667	4,828
Financial Liabilities -
Deposits	(532)	(538)
Consolidated obligation discount notes	(45,876)	(41,564)
Consolidated obligation bonds	(29,091)	(22,582)
Mandatorily redeemable capital stock	(302)	(8)
Subordinated notes		(944)
Fair Value
Financial Assets -
Cash and due from banks	375	499
Interest bearing deposits	650	650
Federal Funds sold	3,573	1,702
Securities purchased under agreements to resell	1,750	1,375
Held-to-maturity securities	6,090	6,513
Advances	46,384	36,736
MPF Loans held in portfolio, net	4,996	5,190
Financial Liabilities -
Deposits	(532)	(538)
Consolidated obligation discount notes	(45,881)	(41,563)
Consolidated obligation bonds	(29,576)	(22,986)
Mandatorily redeemable capital stock	(302)	(8)
Subordinated notes		(966)
Level 1
Financial Assets -
Cash and due from banks	375	499
Interest bearing deposits	650	650
Federal Funds sold	0	0
Securities purchased under agreements to resell	0	0
Held-to-maturity securities	0	0
Advances	0	0
MPF Loans held in portfolio, net	0	0
Financial Liabilities -
Deposits	0	0
Consolidated obligation discount notes	0	0
Consolidated obligation bonds	0	0
Mandatorily redeemable capital stock	(302)	(8)
Subordinated notes		0
Level 2
Financial Assets -
Cash and due from banks	0	0
Interest bearing deposits	0	0
Federal Funds sold	3,573	1,702
Securities purchased under agreements to resell	1,750	1,375
Held-to-maturity securities	5,006	5,293
Advances	46,384	36,736
MPF Loans held in portfolio, net	4,958	5,155
Financial Liabilities -
Deposits	(532)	(538)
Consolidated obligation discount notes	(45,881)	(41,563)
Consolidated obligation bonds	(29,576)	(22,931)
Mandatorily redeemable capital stock	0	0
Subordinated notes		(966)
Level 3
Financial Assets -
Cash and due from banks	0	0
Interest bearing deposits	0	0
Federal Funds sold	0	0
Securities purchased under agreements to resell	0	0
Held-to-maturity securities	1,084	1,220
Advances	0	0
MPF Loans held in portfolio, net	38	35
Financial Liabilities -
Deposits	0	0
Consolidated obligation discount notes	0	0
Consolidated obligation bonds	0	(55)	[1]
Mandatorily redeemable capital stock	$ 0	0
Subordinated notes		$ 0

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

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Fair Value Accounting (Fair Value Measured on Recurring Basis) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Financial Assets -
Advances	$ 594	$ 511
Derivative assets	4	2
Other assets - Mortgage loans held for sale	36	54
Netting	(765)	(601)
Financial Liabilities -
Derivative liabilities	(51)	(55)
Netting	1,764	1,369
Level 2
Financial Liabilities -
Consolidated obligation discount notes	(45,881)	(41,563)
Consolidated obligation bonds	(29,576)	(22,931)
Level 3
Financial Liabilities -
Consolidated obligation discount notes	0	0
Consolidated obligation bonds	0	(55)	[1]
Fair Value Recurring
Financial Assets -
Trading securities	1,200	1,160
Available-for-sale securities	16,248	17,470
Advances	594	511
Derivative assets	4	2
Other assets - Mortgage loans held for sale	36	54
Financial assets at fair value	18,082	19,197
Financial Liabilities -
Consolidated obligation discount notes	(10,140)	(9,006)
Consolidated obligation bonds	(5,960)	(1,007)
Derivative liabilities	(51)	(55)
Financial liabilities at fair value	(16,151)	(10,068)
Fair Value Recurring | U.S. Government & other government related non-MBS
Financial Assets -
Trading securities	1,153	1,108
Available-for-sale securities	394	422
Fair Value Recurring | State or local housing agency non-MBS
Financial Assets -
Available-for-sale securities	21	18
Fair Value Recurring | FFELP ABS | FFELP ABS
Financial Assets -
Available-for-sale securities	4,834	5,299
Fair Value Recurring | Residential MBS: | GSE residential MBS
Financial Assets -
Trading securities	45	50
Available-for-sale securities	9,322	9,798
Fair Value Recurring | Residential MBS: | U.S. Government-guaranteed residential MBS
Financial Assets -
Trading securities	2	2
Available-for-sale securities	1,620	1,868
Fair Value Recurring | Residential MBS: | Private-label residential MBS
Financial Assets -
Available-for-sale securities	57	65
Fair Value Recurring | Level 2
Financial Assets -
Trading securities	1,200	1,160
Available-for-sale securities	16,191	17,405
Advances	594	511
Derivative assets	769	598
Other assets - Mortgage loans held for sale	36	54
Financial assets at fair value	18,790	19,728
Financial Liabilities -
Consolidated obligation discount notes	(10,140)	(9,006)
Consolidated obligation bonds	(5,960)	(952)
Derivative liabilities	(1,815)	(1,424)
Financial liabilities at fair value	(17,915)	(11,382)
Fair Value Recurring | Level 2 | U.S. Government & other government related non-MBS
Financial Assets -
Trading securities	1,153	1,108
Available-for-sale securities	394	422
Fair Value Recurring | Level 2 | State or local housing agency non-MBS
Financial Assets -
Available-for-sale securities	21	18
Fair Value Recurring | Level 2 | FFELP ABS | FFELP ABS
Financial Assets -
Available-for-sale securities	4,834	5,299
Fair Value Recurring | Level 2 | Residential MBS: | GSE residential MBS
Financial Assets -
Trading securities	45	50
Available-for-sale securities	9,322	9,798
Fair Value Recurring | Level 2 | Residential MBS: | U.S. Government-guaranteed residential MBS
Financial Assets -
Trading securities	2	2
Available-for-sale securities	1,620	1,868
Fair Value Recurring | Level 2 | Residential MBS: | Private-label residential MBS
Financial Assets -
Available-for-sale securities	0	0
Fair Value Recurring | Level 3
Financial Assets -
Trading securities	0	0
Available-for-sale securities	57	65
Advances	0	0
Derivative assets	0	5
Other assets - Mortgage loans held for sale	0	0
Financial assets at fair value	$ 57	$ 70
Level 3 as a percent of total assets at fair value	0.30%	0.40%
Financial Liabilities -
Consolidated obligation discount notes	$ 0	$ 0
Consolidated obligation bonds	0	(55)	[1]
Derivative liabilities	0	0
Financial liabilities at fair value	0	$ (55)
Level 3 as a percent of total liabilities at fair value		0.50%
Fair Value Recurring | Level 3 | U.S. Government & other government related non-MBS
Financial Assets -
Trading securities	0	$ 0
Available-for-sale securities	0	0
Fair Value Recurring | Level 3 | State or local housing agency non-MBS
Financial Assets -
Available-for-sale securities	0	0
Fair Value Recurring | Level 3 | FFELP ABS | FFELP ABS
Financial Assets -
Available-for-sale securities	0	0
Fair Value Recurring | Level 3 | Residential MBS: | GSE residential MBS
Financial Assets -
Trading securities	0	0
Available-for-sale securities	0	0
Fair Value Recurring | Level 3 | Residential MBS: | U.S. Government-guaranteed residential MBS
Financial Assets -
Trading securities	0	0
Available-for-sale securities	0	0
Fair Value Recurring | Level 3 | Residential MBS: | Private-label residential MBS
Financial Assets -
Available-for-sale securities	$ 57	$ 65

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

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Fair Value Accounting Fair Value Option Gain (Loss) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain (loss) on instruments held at fair value	$ 1	$ 0	$ 6	$ 3
Advances
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain (loss) on instruments held at fair value	5	0	16	1
Consolidated obligation bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain (loss) on instruments held at fair value	(2)	2	(5)	4
Discount Notes
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain (loss) on instruments held at fair value	$ (2)	$ (2)	$ (5)	$ (2)

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Fair Value Accounting (Fair Value Option Difference Between Fair Value and Unpaid Principal Balance) (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Fair Value, Option, Quantitative Disclosures [Line Items]
Unpaid principal balance	$ 46,061	$ 36,605
Fair value	594	511
Fair value	5,960	952
Advances
Fair Value, Option, Quantitative Disclosures [Line Items]
Unpaid principal balance	576	509
Fair value over (under) UPB	18	2
Fair value	594	511
Consolidated Obligation Bonds
Fair Value, Option, Quantitative Disclosures [Line Items]
Unpaid principal balance	5,949	953
Fair value over (under) UPB	11	(1)
Fair value	$ 5,960	$ 952

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Commitments and Contingencies (Details) - USD ($) $ in Millions		Jun. 30, 2016	Dec. 31, 2015
Commitments
Expire within one year		$ 7,951	$ 5,707
Expire after one year		2,333	1,985
Total		10,284	7,692
Unsettled consolidated obligation bonds
Commitments
Expire within one year		714	105
Expire after one year		0	0
Total		714	105
Unsettled consolidated obligation discount notes
Commitments
Expire within one year		43	0
Expire after one year		0	0
Total		43	0
Member standby letters of credit
Commitments
Expire within one year		6,355	5,063
Expire after one year	[1]	2,067	1,615
Total		8,422	6,678
Portion of member standby letters of credit that expire after one year that were also renewable annually		369	637
Housing authority standby bond purchase agreements
Commitments
Expire within one year		50	49
Expire after one year		265	362
Total		315	411
Advance commitments
Commitments
Expire within one year		187	163
Expire after one year		0	5
Total		187	168
MPF delivery commitments
Commitments
Expire within one year		558	279
Expire after one year		0	0
Total		558	279
Other commitments
Commitments
Expire within one year		44	48
Expire after one year		1	3
Total		$ 45	$ 51

[1] Contains $369 million and $637 million of member standby letters of credit at June 30, 2016, and December 31, 2015, which were renewable annually.

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Transactions with Related Parties and Other FHLBs (Details) - USD ($) $ in Millions	Jun. 30, 2016	Dec. 31, 2015
Accounts With Related Party Transactions [Line Items]
Assets - Interest bearing deposits	$ 650	$ 650
Assets - Advances	46,424	36,778
Liabilities - Deposits	532	538
Equity - Capital Stock	1,774	1,950
Transactions with members
Accounts With Related Party Transactions [Line Items]
Assets - Interest bearing deposits	650	650
Assets - Advances	22,016	15,168
Assets - Advance Interest Receivable	9	5
Liabilities - Deposits	26	20
Equity - Capital Stock	$ 703	$ 467