Federal Home Loan Bank of Chicago reports cash and equivalents of $34 million as of September 30, 2026.

Cover page 2 changes

3 unchanged paragraphs

For the quarterly period ended June September 30, 2026

21 unchanged paragraphs

As of June September 30, 2026, the registrant had 41,679,233 42,705,227 total outstanding shares of Class B Capital Stock, including mandatorily redeemable capital stock.

2 unchanged paragraphs

Condensed Financial Statements 168 changes

2 unchanged paragraphs

Cash and due from banks $ 35 34 $ 103

Interest-bearing deposits 3,460 3,090 2,790

Federal funds sold 8,585 8,459 4,295

Securities purchased under agreements to resell 28,175 16,145 23,175

1 unchanged paragraph

Available-for-sale, $ 29,104 28,822 and $ 27,847 amortized cost, includes $ 825 789 and $ 807 pledged as collateral that may be repledged

Held-to-maturity, $ 1,345 994 and $ 1,466 fair value

Investment debt securities 35,998 35,195 34,244

Advances, $ 130 118 and $ 141 carried at fair value

1 unchanged paragraph

Derivative assets 68 53

Assets $ 163,213 $ 141,202

Derivative assets 6 53

Other assets, $ 45 44 and $ 53 carried at fair value

net of $( 9 8 ) and $( 9 ) allowance for credit losses

Assets $ 151,620 $ 141,202

Demand and overnight - noninterest-bearing $ 293 246 $ 312

Demand and overnight - interest-bearing, $ 14 16 and $ 17 from other FHLBs

Deposits 1,981 1,139 1,279

1 unchanged paragraph

Derivative liabilities 13 3

Discount notes, $ 16,846 1,139 and $ 46,448 carried at fair value

Bonds, $ 506 — and $ 507 carried at fair value

Consolidated obligations, net 149,588 138,914 129,474

Derivative liabilities 9 3

1 unchanged paragraph

Other liabilities 1,085 786

Liabilities 152,879 131,747

Mandatorily redeemable capital stock 30 6 30

Other liabilities 967 786

Liabilities 141,227 131,747

1 unchanged paragraph

Class B1 activity stock, 31 32 and 26 million shares issued and outstanding

2 unchanged paragraphs

Retained earnings - unrestricted 4,606 4,630 4,491

Retained earnings - restricted 1,242 1,271 1,173

Retained earnings 5,848 5,901 5,664

1 unchanged paragraph

Capital 10,334 10,393 9,455

Liabilities and capital $ 163,213 151,620 $ 141,202

4 unchanged paragraphs

Three months ended June 30, Six months ended June 30,

Interest income $ 1,565 $ 1,592 $ 3,058 $ 3,080

Interest expense 1,313 1,355 2,572 2,607

Net interest income 252 237 486 473

Three months ended September 30, Nine months ended September 30,

Interest income $ 1,636 $ 1,663 $ 4,694 $ 4,743

Interest expense 1,382 1,422 3,954 4,029

Net interest income 254 241 740 714

Provision for (reversal of) credit losses 1 3 — — 1 2

Net interest income after provision for (reversal of) credit losses 251 234 485 471 254 241 739 712

1 unchanged paragraph

Trading securities ( 9 ) 13 ( 18 ) 37

Trading securities ( 21 ) 11 ( 39 ) 48

1 unchanged paragraph

MPF fees, $ 9 , $ 7 , $ 17 and $ 15 from other FHLBs

Noninterest income (loss) 25 22 56 41

Instruments held under the fair value option ( 2 ) 1 8 ( 2 ) 6 ( 1 )

MPF fees, $ 9 , $ 9 , $ 26 and $ 24 from other FHLBs

Noninterest income (loss) 18 36 74 77

1 unchanged paragraph

Nonpayroll operating expenses 35 29 63 53

Voluntary Community Investment contributions 6 22 16 37

Other, net ( 2 ) 1 1 3

Noninterest expense 76 89 158 169

Income before assessments 200 167 383 343

Affordable Housing Program assessment 20 16 38 34

Net income $ 180 $ 151 $ 345 $ 309

Compensation and benefits 33 33 68 66 32 101 98

Nonpayroll operating expenses 37 26 100 79

Voluntary Community Investment contributions 33 7 49 44

Federal Housing Finance Agency and Office of Finance 4 5 4 10 10 15 14

Noninterest expense 110 71 268 240

Income before assessments 162 206 545 549

Affordable Housing Program assessment 17 21 55 55

Net income $ 145 $ 185 $ 490 $ 494

4 unchanged paragraphs

Three months ended June 30, Six months ended June 30,

Net income $ 180 $ 151 $ 345 $ 309

Three months ended September 30, Nine months ended September 30,

Net income $ 145 $ 185 $ 490 $ 494

1 unchanged paragraph

Other comprehensive income (loss) 135 ( 88 ) 130 ( 54 )

Comprehensive income (loss) $ 315 $ 63 $ 475 $ 255

Net unrealized gain (loss) available-for-sale debt securities 120 ( 74 173 ) 113 87 ( 13 60 ) 74

Net unrealized gain (loss) cash flow hedges 14 54 ( 14 6 ) 19 73 ( 41 47 )

Postretirement plans ( 1 ) — 2 ( 3 ) —

Other comprehensive income (loss) ( 120 ) 81 10 27

Comprehensive income (loss) $ 25 $ 266 $ 500 $ 521

6 unchanged paragraphs

March 31, 2026 28 $ 2,824 11 $ 1,057 $ 4,544 $ 1,206 $ 213 $ 9,844

Comprehensive income (loss) 144 36 135 315

Issuance of capital stock 13 1,321 — 5 1,326

Repurchases of capital stock — — ( 11 ) ( 1,066 ) ( 1,066 )

1 unchanged paragraph

1 unchanged paragraph

2 unchanged paragraphs

4 unchanged paragraphs

1 unchanged paragraph

1 unchanged paragraph

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4 unchanged paragraphs

2 unchanged paragraphs

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1 unchanged paragraph

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3 unchanged paragraphs

and 88 more changes in the filing

Note 1: Background and Basis of Presentation 1 change

7 unchanged paragraphs

Refer to the Glossary of Terms starting on page 54 55 for the definitions of certain terms used herein.

2 unchanged paragraphs

Note 3: Recently Adopted and Issued Accounting Guidance 4 changes

3 unchanged paragraphs

(ASU 2025-11) This update clarifies and improves the interim reporting guidance by providing a comprehensive list of required interim disclosures and clarifying when interim reporting guidance is applicable, without expanding or reducing current interim disclosure requirements. The amendments add a disclosure principle requiring entities to disclose events since the end of the last annual reporting period that have a material effect on the entity. January 1, 2028. Early adoption is permitted. The Bank is in the process of evaluating this guidance and its effect on interim disclosures. The Bank does not intend to early adopt.

1 unchanged paragraph

(ASU 2025-09) This update expands the hedged risks permitted in cash flow hedges. It also eliminates the net written option test in certain instances. January 1, 2027. Early adoption is permitted. The Bank is in has evaluated the process of evaluating this guidance requirements under the ASU and its effect on does not expect a significant impact to its financial statements upon adoption.

(ASU 2025-08) This update expands the use of the gross-up approach for acquired financial assets by requiring that purchased seasoned loans be accounted for using this method. January 1, 2027. Early adoption is permitted. The Bank is in has evaluated the process of evaluating this guidance requirements under the ASU and its effect on does not expect a significant impact to its financial statements upon adoption.

Targeted Improvements to the Accounting for Internal-Use Software (ASU 2025-06) This update removes all references to prescriptive and sequential software development stages. It requires an entity to start capitalizing software costs when management has committed to funding the project and it is probable that the project will be completed and used for its intended function. January 1, 2028. Early adoption is permitted. The Bank is in the process of evaluating this guidance and its effect on its financial statements. The Bank does not intend to early adopt.

4 unchanged paragraphs

Note 4: Interest Income and Interest Expense 33 changes

1 unchanged paragraph

Three months ended June 30, Six months ended June 30,

Trading $ 47 $ 35 $ 87 $ 63

Available-for-sale 334 350 664 691

Held-to-maturity 13 11 33 34

Investment debt securities 394 396 784 788

Advances interest income 842 856 1,610 1,637

Advances 842 856 1,611 1,637

Federal funds sold 75 96 144 174

Interest-bearing deposits 32 36 62 72

Interest income 1,565 1,592 3,058 3,080

Three months ended September 30, Nine months ended September 30,

Trading $ 49 $ 36 $ 136 $ 99

Available-for-sale interest income 333 350 662 691 335 364 997 1,055

Available-for-sale prepayment fees 1 — — 2 —

Available-for-sale 335 364 999 1,055

Held-to-maturity 20 19 53 53

Investment debt securities 404 419 1,188 1,207

Advances interest income 852 880 2,462 2,517

Advances prepayment fees, net — — 1 — 1 2 1

Advances 853 881 2,464 2,518

MPF Loans held in portfolio 162 144 320 284 171 151 491 435

Federal funds sold 83 96 227 270

Securities purchased under agreements to resell 60 64 136 123 89 82 225 205

Interest-bearing deposits 35 34 97 106

Interest income 1,636 1,663 4,694 4,743

1 unchanged paragraph

Discount notes 472 524 941 931

Bonds 829 816 1,608 1,649

Interest expense 1,313 1,355 2,572 2,607

Net interest income $ 252 $ 237 $ 486 $ 473

Discount notes 480 631 1,421 1,562

Bonds 889 778 2,497 2,427

Interest expense 1,382 1,422 3,954 4,029

Net interest income $ 254 $ 241 $ 740 $ 714

1 unchanged paragraph

Note 5: Investment Debt Securities 8 changes

5 unchanged paragraphs

As of June September 30, 2026 December 31, 2025

U.S. Government & other government related $ 5,247 5,222 $ 4,747

Trading debt securities $ 5,248 5,223 $ 4,749

1 unchanged paragraph

Three months ended June 30, Six months ended June 30,

Three months ended September 30, Nine months ended September 30,

Net unrealized gains (losses) on securities held at period end $ ( 28 21 ) $ 12 $ ( 37 58 ) $ 30 42

Net realized gains (losses) on securities sold/matured during the period 19 — ( 1 ) 19 7 6

Net gains (losses) on trading debt securities $ ( 9 21 ) $ 13 11 $ ( 18 39 ) $ 37 48

1 unchanged paragraph

Note 6: Advances 22 changes

3 unchanged paragraphs

June September 30, 2026 December 31, 2025

1 unchanged paragraph

Total $ 71,480 3.68 % $ 61,346 3.72 %

Due in one year or less $ 42,290 3.72 43,829 3.94 % $ 32,541 3.83 %

One to two years 8,121 3.70 9,035 3.89 % 6,673 3.70 %

Two to three years 5,307 3.34 5,603 3.43 % 5,993 3.37 %

Three to four years 3,635 3.35 3,682 3.52 % 3,526 3.67 %

Four to five years 3,188 4.09 2,785 4.10 % 3,641 3.66 %

Five to fifteen years 7,939 3.52 7,263 3.67 % 8,271 3.46 %

More than fifteen years 1,000 999 5.28 % 701 5.22 %

Total $ 73,196 3.87 % $ 61,346 3.72 %

1 unchanged paragraph

Par value $ 71,480 $ 61,346

Other adjustments ( 61 ) ( 64 )

Advances $ 71,065 $ 61,145

As of June September 30, 2026 December 31, 2025

Par value $ 73,196 $ 61,346

Fair value hedging adjustments ( 354 690 ) ( 137 )

Other adjustments ( 70 ) ( 64 )

Advances $ 72,436 $ 61,145

1 unchanged paragraph

BMO Bank, N.A. $ 8,625 12.1 %

As of June September 30, 2026 Par Value % of Total Outstanding

BMO Bank, N.A. $ 12,250 16.7 %

The Northern Trust Company 8,500 11.9 11.6 %

1 unchanged paragraph

Note 7: MPF Loans Held in Portfolio 10 changes

We acquire MPF Loans from PFIs primarily to hold in our portfolio. MPF Loans that are held in portfolio are fixed-rate conventional and Government Loans secured by one-to-four family residential properties with maturities ranging from 5 years to 30 years.

1 unchanged paragraph

As of June September 30, 2026 December 31, 2025

Medium term (15 years or less) $ 1,321 1,296 $ 1,345

Long term (greater than 15 years) 13,634 14,105 13,197

1 unchanged paragraph

Net premiums, credit enhancement, and/or deferred loan fees 203 206 202

1 unchanged paragraph

MPF Loans held in portfolio, before allowance for credit losses 15,155 15,604 14,735

1 unchanged paragraph

MPF Loans held in portfolio, net $ 15,151 15,600 $ 14,731

Conventional mortgage loans $ 13,992 14,465 $ 13,534

Government Loans 963 936 1,008

Unpaid principal balance $ 14,955 15,401 $ 14,542

2 unchanged paragraphs

Note 8: Allowance for Credit Losses 7 changes

3 unchanged paragraphs

Amounts past due 30 days or more on conventional MPF Loans at June September 30, 2026 and December 31, 2025 totaled $ 134 127 million and $ 138 million, respectively, and are based on amortized cost, which excludes accrued interest receivable.

3 unchanged paragraphs

AFS securities 119 118

Financial instrument type June September 30, 2026 December 31, 2025

MPF Loans held in portfolio $ 107 109 $ 105

AFS securities 111 118

2 unchanged paragraphs

Securities purchased under agreements to resell 3 2 2

Accrued interest receivable $ 420 404 $ 400

1 unchanged paragraph

Note 9: Derivatives and Hedging Activities 20 changes

2 unchanged paragraphs

As of June September 30, 2026 December 31, 2025

2 unchanged paragraphs

Interest rate contracts $ 99,459 $ 822 $ 645 $ 109,216 $ 788 $ 731

Interest rate contracts $ 104,479 $ 1,019 $ 1,009 $ 109,216 $ 788 $ 731

1 unchanged paragraph

Other 105 — — 110 — —

Interest rate contracts 23,609 13 1 6,585 10 — 52,582 11 1

Mortgage delivery commitments 310 1 1 201 — 2 214 1 —

Other 100 3 — 110 — —

Derivatives not in hedge accounting relationships 24,024 14 6,886 13 2 52,906 12 1

1 unchanged paragraph

Netting adjustments and cash collateral ( 768 1,026 ) ( 634 1,002 ) ( 747 ) ( 729 )

Derivatives on Condensed Statements of Condition $ 68 6 $ 13 9 $ 53 $ 3

1 unchanged paragraph

Cash collateral posted and related accrued interest $ 306 524 $ 349

Cash collateral received and related accrued interest 439 549 367

1 unchanged paragraph

Three months ended June 30, Six months ended June 30,

Three months ended September 30, Nine months ended September 30,

1 unchanged paragraph

Interest rate contracts $ 18 $ ( 5 ) $ 32 $ ( 25 )

Mortgage delivery commitments 3 2 6 6

Economic hedges 21 ( 3 ) 38 ( 21 )

Interest rate contracts $ 28 $ 7 $ 60 $ ( 18 )

Mortgage delivery commitments ( 2 ) 2 4 8

Economic hedges 30 9 68 ( 12 )

3 unchanged paragraphs

Notes to the financial statements 32 changes

2 unchanged paragraphs

Three months ended June September 30, 2026 Three months ended June September 30, 2025

1 unchanged paragraph

Available-for-sale debt securities $ 288 $ ( 235 ) $ 53 $ ( 171 ) $ 268 $ 97

Advances 176 ( 138 ) 38 ( 35 ) $ 131 96

Consolidated obligation bonds ( 107 ) 51 ( 56 ) 43 $ ( 209 ) ( 166 )

Discount notes ( 1 ) 1 — — — —

Total $ 356 $ ( 321 ) $ 35 $ ( 163 ) $ 191 $ 28

Six months ended June 30, 2026 Six months ended June 30, 2025

Available-for-sale debt securities $ 974 $ ( 932 ) $ 42 $ ( 3 ) $ 99 $ 96

Advances 387 ( 336 ) 51 56 39 95

Consolidated obligation bonds ( 397 ) 340 ( 57 ) ( 4 ) ( 164 ) ( 168 )

Discount notes ( 2 ) 3 1 — — —

Total $ 962 $ ( 925 ) $ 37 $ 49 $ ( 26 ) $ 23

Nine months ended September 30, 2026 Nine months ended September 30, 2025

1 unchanged paragraph

Available-for-sale debt securities $ 407 $ ( 296 ) $ 111 $ ( 544 ) $ 738 $ 194

Advances 292 ( 217 ) 75 ( 195 ) 389 194

Consolidated obligation bonds ( 222 ) 88 ( 134 ) 221 ( 552 ) ( 331 )

Discount notes ( 1 ) 1 — — — —

Total $ 477 $ ( 425 ) $ 52 $ ( 518 ) $ 576 $ 58

Available-for-sale debt securities $ 1,381 $ ( 1,228 ) $ 153 $ ( 547 ) $ 837 $ 290

Advances 679 ( 553 ) 126 ( 139 ) 428 289

Consolidated obligation bonds ( 619 ) 428 ( 191 ) 217 ( 716 ) ( 499 )

Discount notes ( 3 ) 4 1 — — —

Total $ 1,438 $ ( 1,349 ) $ 89 $ ( 469 ) $ 550 $ 81

1 unchanged paragraph

Available-for-sale securities $ 24,065 $ ( 1,441 ) $ 82 $ ( 1,359 )

Advances 30,691 ( 354 ) — ( 354 )

Consolidated obligation bonds 38,716 ( 674 ) ( 8 ) ( 682 )

Discount notes 2,920 ( 1 ) — ( 1 )

As of June September 30, 2026 Amortized cost of hedged asset/liability Basis adjustments active hedges included in amortized cost Basis adjustments discontinued hedges included in amortized cost Total amount of fair value hedging basis adjustments

Available-for-sale securities $ 23,600 $ ( 2,366 ) $ 74 $ ( 2,292 )

Advances 27,908 ( 689 ) — ( 689 )

Consolidated obligation bonds 32,275 ( 1,015 ) ( 8 ) ( 1,023 )

Discount notes 21,692 ( 4 ) — ( 4 )

5 unchanged paragraphs

Note 10: Consolidated Obligations 33 changes

2 unchanged paragraphs

As of June September 30, 2026 December 31, 2025

Consolidated obligation discount notes - carrying amount $ 68,190 34,924 $ 53,179

Consolidated obligation discount notes - principal amount 68,528 35,100 53,430

Weighted Average Interest Rate 3.63 3.68 % 3.76 %

1 unchanged paragraph

Due in one year or less $ 48,078 3.30 % $ 69,159

One to two years 9,216 3.43 % 8,474

Two to three years 5,512 3.46 % 2,805

Thereafter 12,375 3.89 % 446

Total par value $ 82,087 3.43 % $ 82,087

As of June September 30, 2026 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date

Due in one year or less $ 70,969 3.63 % $ 92,637

One to two years 7,973 3.52 % 7,455

Two to three years 6,429 3.70 % 3,338

Three to four years 2,887 3.82 2,522 3.91 % 752 654

Four to five years 4,019 3.19 4,495 3.29 % 451 434

Thereafter 12,640 4.05 % 510

Total par value $ 105,028 3.67 % $ 105,028

1 unchanged paragraph

Noncallable $ 44,951 $ 34,722

Callable 37,136 42,174

Par value 82,087 76,896

Other adjustments ( 7 ) ( 5 )

As of June September 30, 2026 December 31, 2025

Noncallable $ 69,762 $ 34,722

Callable 35,266 42,174

Par value 105,028 76,896

Fair value hedging adjustments ( 682 1,023 ) ( 596 )

Other adjustments ( 15 ) ( 5 )

Consolidated obligation bonds $ 81,398 103,990 $ 76,295

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 September 30, 2026, and December 31, 2025. Refer to Note 16 - Commitments and Contingencies to the financial statements in our 2025 Form 10-K for further details.

Par value as of June September 30, 2026 December 31, 2025

1 unchanged paragraph

FHLB System total consolidated obligations $ 817,806 905,699 $ 513,036 383,054 $ 1,330,842 1,288,753 $ 716,005 $ 435,779 $ 1,151,784

FHLB Chicago as primary obligor 82,087 68,528 150,615 105,028 35,100 140,128 76,896 53,430 130,326

As a percent of the FHLB System 10 12 % 13 9 % 11 % 11 % 12 % 11 %

1 unchanged paragraph

Note 11: Capital and Mandatorily Redeemable Capital Stock (MRCS) 11 changes

2 unchanged paragraphs

As of June September 30, 2026 December 31, 2025

1 unchanged paragraph

Leverage capital $ 8,161 $ 15,025 $ 7,060 $ 13,899

Total regulatory capital $ 6,529 6,065 $ 10,016 10,171 $ 5,648 $ 9,267

Total regulatory capital ratio 4.00 % 6.14 6.71 % 4.00 % 6.56 %

Leverage capital $ 7,581 $ 15,258 $ 7,060 $ 13,899

Leverage capital ratio 5.00 % 9.21 10.06 % 5.00 % 9.84 %

Risk-based capital $ 2,004 1,795 $ 10,016 10,171 $ 1,948 $ 9,267

3 unchanged paragraphs

There were no The following member(s) (including any successors) that had regulatory capital stock exceeding 10% of our total regulatory capital stock outstanding (which includes MRCS) as of June September 30, 2026.

As of September 30, 2026 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS)

BMO Bank, N.A. $ 555 13.0 % $ —

Our ability to pay dividends is subject to the FHLB Act and FHFA regulations. On July 29, October 28, 2026 our Board of Directors declared a 9.50 9.75 % dividend (annualized) for Class B1 activity stock and a 3.75 % dividend (annualized) for Class B2 membership stock based on our preliminary financial results for the second third quarter of 2026. This dividend totaled $ 93 95 million (recorded as $ 92 94 million dividends on capital stock and $ 1 million interest expense on mandatorily redeemable capital stock) and is scheduled for payment on August 14, November 13, 2026. Any future dividend payment remains subject to declaration by the Board and will depend on future operating results, our Retained Earnings and Dividend Policy and any other factors the Board determines to be relevant.

1 unchanged paragraph

Note 12: Accumulated Other Comprehensive Income (Loss) 32 changes

3 unchanged paragraphs

Beginning balance $ 178 $ 29 $ 6 $ 213

Three months ended June September 30, 2026

Beginning balance $ 298 $ 43 $ 7 $ 348

Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition 119 16 ( 135 173 ) 57 — ( 116 )

1 unchanged paragraph

Noninterest income 1 1

Net interest income ( 2 3 ) ( 2 3 )

1 unchanged paragraph

Ending balance $ 298 $ 43 $ 7 $ 348

Beginning balance $ 28 $ 40 $ 8 $ 76

Ending balance $ 125 $ 97 $ 6 $ 228

Three months ended June September 30, 2025

Beginning balance $ ( 46 ) $ 26 $ 8 $ ( 12 )

Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition ( 74 ) ( 9 ) — ( 83 87 — 1 88

1 unchanged paragraph

Ending balance $ ( 46 ) $ 26 $ 8 $ ( 12 )

Six months ended June 30, 2026

Net interest income ( 5 6 ) ( 5 6 )

Noninterest expense ( 1 ) ( 1 )

Ending balance $ 41 $ 20 $ 8 $ 69

Nine months ended September 30, 2026

1 unchanged paragraph

Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition 112 24 ( 61 ) 81 ( 1 ) 135 19

1 unchanged paragraph

Net interest income ( 5 8 ) ( 5 8 )

1 unchanged paragraph

Noninterest expense ( 1 ) ( 1 )

Ending balance $ 298 $ 43 $ 7 $ 348

Six months ended June 30, 2025

Noninterest expense ( 2 ) ( 2 )

Ending balance $ 125 $ 97 $ 6 $ 228

Nine months ended September 30, 2025

1 unchanged paragraph

Other comprehensive income before reclassification - recorded to the Condensed Statements of Condition ( 13 ) 74 ( 28 ) 1 ( 40 ) 2 48

1 unchanged paragraph

Noninterest expense ( 1 ) ( 1 )

Ending balance $ ( 46 ) $ 26 $ 8 $ ( 12 )

Net interest income ( 13 19 ) ( 13 19 )

Noninterest expense ( 2 ) ( 2 )

Ending balance $ 41 $ 20 $ 8 $ 69

1 unchanged paragraph

Note 13: Fair Value 39 changes

2 unchanged paragraphs

As of September 30, 2026

1 unchanged paragraph

Advances 70,935 71,095 71,095

Other assets 420 420 420

Cash and due from banks and interest-bearing deposits $ 3,495 3,124 $ 3,495 3,124 $ 3,495 3,124

Federal funds sold and securities purchased under agreements to resell 36,760 36,760 24,604 24,604 $ 36,760 24,604

Held-to-maturity debt securities 1,348 1,345 1,342 1,025 994 991 $ 3

Advances 72,318 72,429 72,429

MPF Loans held in portfolio, net 15,138 14,284 14,270 14 15,584 13,970 13,957 13

Other assets 404 404 404

1 unchanged paragraph

Advances 130 130 130

Derivative assets 68 68 836 $ ( 768 )

Other assets 45 45 45

Trading debt securities 5,248 5,248 5,248 5,223 5,223 5,223

Available-for-sale debt securities 29,402 29,402 29,402 28,947 28,947 28,947

Advances 118 118 118

Derivative assets 6 6 1,032 $ ( 1,026 )

Other assets 44 44 44

1 unchanged paragraph

Financial assets 163,003 $ 162,306 $ 3,495 $ 159,548 $ 31 $ ( 768 )

MPF Loans held in portfolio, net 13 13 13 16 16 16

Financial assets 151,414 $ 149,880 $ 3,124 $ 147,749 $ 33 $ ( 1,026 )

Other nonfinancial assets 210 206

1 unchanged paragraph

Deposits $ ( 1,981 ) $ ( 1,981 ) $ ( 1,981 )

Consolidated obligation discount notes ( 51,344 ) ( 51,340 ) ( 51,340 )

Consolidated obligation bonds ( 80,892 ) ( 80,096 ) ( 80,096 )

Other liabilities ( 619 ) ( 619 ) ( 619 )

Deposits $ ( 1,139 ) $ ( 1,139 ) $ ( 1,139 )

Consolidated obligation discount notes ( 33,785 ) ( 33,785 ) ( 33,785 )

Consolidated obligation bonds ( 103,990 ) ( 102,619 ) ( 102,619 )

Mandatorily redeemable capital stock ( 30 6 ) ( 30 6 ) $ ( 30 6 )

Other liabilities ( 636 ) ( 636 ) ( 636 )

1 unchanged paragraph

Consolidated obligation bonds ( 506 ) ( 506 ) ( 506 )

Derivative liabilities ( 13 ) ( 13 ) ( 647 ) $ 634

Financial liabilities ( 152,231 ) $ ( 151,431 ) $ ( 30 ) $ ( 152,035 ) $ — $ 634

Liabilities $ ( 152,879 )

Consolidated obligation discount notes ( 16,846 1,139 ) ( 16,846 1,139 ) ( 16,846 1,139 )

Derivative liabilities ( 9 ) ( 9 ) ( 1,011 ) $ 1,002

Financial liabilities ( 140,704 ) $ ( 139,333 ) $ ( 6 ) $ ( 140,329 ) $ — $ 1,002

Other nonfinancial liabilities ( 648 523 )

Liabilities $ ( 141,227 )

1 unchanged paragraph

Note 14: Commitments and Contingencies 10 changes

1 unchanged paragraph

As of June September 30, 2026 December 31, 2025

1 unchanged paragraph

Member standby letters of credit $ 7,278 $ 7,148 a

Member standby letters of credit $ 6,738 $ 7,685 a

1 unchanged paragraph

Advance commitments 755 — 755 10 — 10

Advance commitments 638 — 638 10 — 10

Housing authority standby bond purchase agreements 71 498 569 94 470 564 150 427 577

Unsettled consolidated obligation discount notes — — 354 — 354 2,050 — 2,050

Unsettled consolidated obligation bonds 7,399 2,770 — 7,399 2,770 95 — 95

Commitments $ 15,748 10,760 $ 7,646 8,155 $ 23,394 18,915 $ 9,132 $ 6,650 $ 15,782 a Contains $ 6.0 5.9 billion and $ 5.2 billion of member standby letters of credit as of June September 30, 2026, and December 31, 2025, which were renewable annually.

2 unchanged paragraphs

Federal Home Loan Bank of Chicago

Note 15: Transactions with Related Parties and Other FHLBs 5 changes

3 unchanged paragraphs

Assets - Advances $ 347 $ 313

As of June September 30, 2026 December 31, 2025

Assets - Advances $ 324 $ 313

1 unchanged paragraph

Equity - Capital Stock 19 18 21

1 unchanged paragraph

We have also, from time to time, assumed the outstanding consolidated obligations of another FHLB rather than issue new consolidated obligations. In connection with these transactions, the Bank becomes the primary obligor for the transferred debt. During the three and nine months ended September 30, 2026, the Bank assumed consolidated obligation discount notes with a par value of $ 250 million from the FHLB of Cincinnati with a corresponding transfer of funds to the Bank from the FHLB of Cincinnati. The Bank did not assume any debt from other FHLBs during the three and nine months ended September 30, 2025.

4 unchanged paragraphs

MD&A 282 changes

Please refer to the Glossary of Terms starting on page 54 55 for the definitions of certain terms used herein.

1 unchanged paragraph

September 30, 2026 June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025

1 unchanged paragraph

Member standby letters of credit outstanding $ 14,423 $ 14,426 $ 12,181 $ 12,874 $ 13,416 $ 13,983

2 unchanged paragraphs

Number of members 625 629 631 637 634 635

Total employees (full and part time) 458 456 466 475 476 478

1 unchanged paragraph

MPF Loans par value amounts funded - FHLB System $ 3,465 $ 3,726 $ 2,907 $ 3,312 $ 3,481 $ 3,525

Quarterly number of PFIs funding MPF products - FHLB System 610 621 583 594 634 610

MPF Loans par value amounts funded - FHLB Chicago PFIs $ 1,021 $ 939 $ 815 $ 974 $ 914 $ 794

Quarterly number of PFIs funding MPF products - FHLB Chicago 160 163 158 159 160 162

1 unchanged paragraph

Total regulatory capital to assets ratio 6.71 % 6.14 % 6.79 % 6.56 % 6.55 % 6.31 %

Market value of equity to book value of equity 99 % 101 % 101 % 102 % 102 % 101 %

Dividend rate class B1 activity stock-period paid 9.25 9.50 % 9.25 % 9.25 % 9.25 % 9.25 %

Dividend rate class B2 membership stock-period paid 3.75 % 3.65 % 3.90 % 4.30 % 4.35 % 4.35 %

Return on average assets 0.37 % 0.46 % 0.45 % 0.47 % 0.52 % 0.44 %

Return on average equity 5.66 % 7.02 % 6.78 % 7.18 % 8.00 % 6.78 %

Average equity to average assets 6.54 % 6.55 % 6.64 % 6.55 % 6.50 % 6.49 %

1 unchanged paragraph

Cash dividends $ 92 $ 82 $ 79 $ 79 $ 79 $ 71

Dividend payout ratio 45.56 63.45 %

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• We recorded net income of $180 million in the second quarter of 2026, up $29 million compared to the second quarter of 2025. The increase was primarily driven by higher net interest income, due to growth in advances and investment debt securities balances and lower funding costs on our discount notes. Lower noninterest expense also contributed to the increase, as described below.

• In the second quarter of 2026, noninterest expense was $76 million, down $13 million compared to the second quarter of 2025, primarily driven by the timing of community investment program activity and member utilization of programs in 2026 compared to the same period in 2025.

Second Third Quarter 2026 Financial Highlights

• Advances outstanding increased to $71.1 $72.4 billion at June 30, 2026, compared to from $61.1 billion at December 31, 2025, driven mainly by increased borrowing by depository institutions institution members and, to a lesser extent, insurance company members.

• MPF Loans held in portfolio increased to $15.2 $15.6 billion at June 30, 2026, compared to from $14.7 billion at December 31, 2025, as acquisition volume outpaced principal paydowns.

• Total investment debt securities increased to $36.0 $35.2 billion at June 30, 2026, compared to from $34.2 billion at December 31, 2025, primarily attributable to an increase in investment in Ginnie Mae reverse mortgage-backed securities and U.S. Treasuries. GSE mortgage-backed securities.

• Total liquid assets increased decreased to $40.3 $27.7 billion at June 30, 2026, compared to from $30.4 billion at December 31, 2025. We intend to maintain a sufficient pool of liquidity to support anticipated member demand for advances and letters of credit.

• Total assets increased to $163.2 $151.6 billion up from $141.2 billion at December 31, 2025, predominately reflecting growth primarily in advances. and the liquidity portfolio.

• Letters of credit commitments increased to $14.4 billion at June 30, 2026, compared to from $12.9 billion at December 31, 2025, attributable to increased usage from members for public unit deposits.

• We recorded net income of $145 million in the third quarter of 2026, down $40 million from the third quarter of 2025, primarily driven by higher noninterest expense, as described below.

• In the second third quarter of 2026, noninterest income (loss) was $25 $18 million, up $3 down $18 million compared to from the second third quarter of 2025, largely due to gains losses on derivatives and hedging activities. trading securities. The increase decrease was mostly offset by losses gains on trading securities. derivatives and hedging activities.

• In the third quarter of 2026, noninterest expense was $110 million, up $39 million from the third quarter of 2025, largely due to increased Community Advance subsidies and additional funding for the Downpayment Plus ® (DPP ® ) Programs and Affordable Housing Program (AHP) General Fund.

• As of June September 30, 2026, we remained in compliance with all our regulatory capital requirements.

Second Third Quarter 2026 Dividends and Dividend Guidance

On July 29, October 28, 2026, the Board of Directors declared a dividend of 9.50% 9.75% (annualized) for Class B1 activity stock and a dividend of 3.75% (annualized) for Class B2 membership stock based on preliminary financial results for the second third quarter of 2026. The dividend for the second third quarter of 2026 will be paid by crediting members' accounts on August 14, November 13, 2026. The Bank pays a higher dividend per share on activity stock compared to membership stock to recognize members' support of the cooperative through the use of our products. We expect to maintain at least a 9.25% 9.50% (annualized) dividend for Class B1 activity stock for the third and fourth quarters quarter of 2026 and first quarter of 2027 , based on current projections and assumptions regarding our financial condition. We are providing this information to assist members in planning their activity with us. Any future dividend payment remains subject to determination and declaration by our Board of Directors and may be impacted by further changes in financial or economic conditions, regulatory and statutory limitations, and any other relevant factors.

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Voluntary Housing and Community Development Contributions : In addition to the Bank's statutory AHP assessments, the Board of Directors may elect to make voluntary contributions to the AHP or other housing and community development activities to increase funding available to members. During the first half of 2026, the Bank contributed $16 million in community investment grants and Community Advance subsidies, which were recognized as noninterest expense in its financial statements. Community investment advance and grant activity is expected to increase during the second half of 2026 as additional funding opportunities become available.

Statutory Affordable Housing Program (AHP) Assessments: : The Bank is required by statute to contribute 10% of its income before assessments to support affordable housing and community development in the communities served by its members. As Through the first nine months of June 30, 2026, the Bank accrued $38 recognized an AHP assessment of $55 million to for its AHP funding pool for 2027. For a discussion of the Bank's total AHP assessment to fund its AHP programs in 2026, see Community Investment Activities starting on page 10 of the 2025 Form 10-K.

Additional Housing and Community Development Support: In addition to its statutory AHP assessments, the Bank provides grants and subsidies to respond to the housing and community development needs of members and their communities. During the third quarter of 2026, we:

• Enhanced the Community Advance product by increasing the annual interest rate subsidy available to members and deepening the discount for eligible advances supporting certain affordable housing and economic development activities.

• Provided additional discretionary funding for the DPP Programs and the AHP General Fund to expand support for affordable homeownership and housing development.

• Increased funding and member capacity for the MPF Habitat for Humanity ® Program, expanding opportunities for participating members to provide below-market mortgage financing to eligible homebuyers.

Through the first nine months of 2026, the Bank recognized $49 million in community investment grants and Community Advance subsidies in Voluntary Community Investment contributions in its financial statements.

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June September 30, 2026 June September 30, 2025 Increase (decrease) due to

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Investment debt securities $ 34,759 $ 394 4.53 % $ 31,006 $ 396 5.11 % $ 48 $ (50) $ (2)

Advances 85,080 842 3.96 % 73,755 856 4.64 % 131 (145) (14)

MPF Loans held in portfolio 15,001 162 4.32 % 13,720 144 4.20 % 13 5 18

Federal funds sold 8,169 75 3.67 % 8,779 96 4.37 % (7) (14) (21)

Securities purchased under agreements to resell 6,564 60 3.66 % 5,839 64 4.38 % 8 (12) (4)

Interest-bearing deposits 3,474 32 3.68 % 3,179 36 4.53 % 3 (7) (4)

Other interest-earning assets 59 — — % 67 — — % — — —

Interest-earning assets 153,106 1,565 4.09 % 136,345 1,592 4.67 % 196 (223) (27)

Noninterest-earning assets 2,014 1,597

Total assets $ 155,120 $ 137,942

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