July 25 2016 FEDERAL HOME LOAN BANK UPDATE

July 25, 2016 FEDERAL HOME LOAN BANK UPDATE AASCIF Conference Scott Brennan, Federal Home Loan Bank of Atlanta Carolyn Jaw, Federal Home Loan Bank of Chicago 1

Disclaimer Certain information included in this presentation speaks only as of a particular date or dates included in this presentation. The information in the presentation may have become out of date. The Federal Home Loan Bank of Chicago (FHLBC) and the Federal Home Loan Bank of Atlanta (FHLBank Atlanta) do not undertake an obligation, and disclaims any duty, to update any of the information in this presentation. The risks, uncertainties, and factors that could affect the FHLBC and FHLBank Atlanta and their financial results are discussed more fully in the Bank’s reports filed with the Securities and Exchange Commission, which are available on www. fhlbc. com and www. fhlbatl. com. Mortgage Partnership Finance®, MPF Xtra®, Downpayment Plus® Program, and DPP® are registered trademarks of the Federal Home Loan Bank of Chicago. Community First Fund is a trademark of the Federal Home Loan Bank of Chicago. The data, scenarios and valuations provided to you in this presentation are for information purposes only and are provided as an accommodation and without charge and are not intended for further distribution. The data, scenarios and valuations are estimates only and may not represent the actual or indicative terms at which new (or economically equivalent) transactions could be entered into or the actual or indicative terms at which existing (or economically equivalent) transactions could be prepaid, terminated, liquidated, assigned or unwound. The scenarios and valuations were derived using proprietary pricing models and estimates and assumptions about relevant future market conditions and other matters, all of which are subject to change without notice. The scenarios and valuations were prepared without specific information about your institution’s balance sheet composition, hedging strategies or financial assumptions and plans, any of which may affect the relevance of these valuations to your own analysis. The FHLBC and FHLBank Atlanta make no representations or warranties about the accuracy or suitability of any information in this presentation. This presentation is not intended to constitute legal, accounting, investment or financial advice or the rendering of legal, accounting, consulting, or other professional services of any kind. You should consult with your accountants, counsel, financial representatives, consultants and/or other advisors regarding the extent these scenarios and valuations may be useful to you and with respect to any legal, tax, business and/or financial matters or questions. 2

Discussion Topics • FHLBank System Overview • Joining the FHLBank System • FHLBank Insurance Company Membership • Using the FHLBank System 3

FHLBank System Overview 4

The FHLBank System FHLBanks Overview • SEC-registered, privately managed cooperatives owned by members* in its district • Significant contributors to affordable housing and economic development initiatives across the nation • Governed by a separate board of directors, but regulated by a single regulator, the Federal Housing Finance Agency (FHFA) • As a Government Sponsored Enterprise (GSE), the System has tremendous access to global capital markets which provide competitively priced funding • Provide liquidity and funding solutions to over 7, 200 members *Members include insurance companies, commercial banks, credit unions, savings associations, and community development financial institutions 5

How FHLBank System Financing Works Collateral Members FHLBanks Investors Advances Debt Securities Investment Capital Issuance Proceeds Mortgage Lending & Community Investment Debt Securities Dealers The 11 FHLBanks are GSEs organized under an act of Congress (Federal Home Loan Bank Act of 1932) Issuance Proceeds Office of Finance FHLBanks serve the general public by providing readily available, low-cost funding to over 7, 200 members, thereby increasing the availability of credit for residential mortgage lending and investment in housing and community development Homeowners FHLBanks fund their operations principally via the sale of debt securities through the Office of Finance Current ratings: • S&P: AA+/A-1+ • Moody’s: Aaa/P-1 Source: Office of Finance 6

Global Bond Investor Distribution By Investor Type By Geographic Region 100% Other/Unknown Other/Unknown Other/Unknown Other/Unknow Other/Unknow State/Local Other/Unknown n State/Local Other/Unknow n 90%Other. Pension/Insura Other/Unknow n Pension/Insura State/Local Pension/Insura n Other/Unknow 90% Pension/Insura n n State/Local Pension/Insura State/Local n Europe nce nce nce State/Local Europe n Europe Pension/Insura State/Local Pension/Insura nce Pension/Insura Europe 80% State/Local Europe 80% nce Banks Pension/Insura Europe Banks nce nce Banks Europe Pension/Ins Banks nce Banks 70% Banks Europe Banks 60% US 50% 40% US Fund Managers US US US Asia 10% 40% 30% 20% Fund Managers Fund Managers Fund Managers Fund Manager 50% 20% Asia Asia Asia 0% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Central Banks Central Central Banks Central 10% Central Banks 0% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Source: FHLBanks Office of Finance – as 4/30/16 and subject to rounding – “Other” may include investors not specified by underwriters 7

FHLBanks: Member Owned Cooperatives Membership Capital Stock • Minimum capital investment for membership • Formula varies by FHLBank Dividend Activity Stock • Capitalizes advances • Allows for scalability of balance sheet • Capitalization requirements depend on FHLBank • Repurchases vary by FHLBank 8 FHLBank

FHLBank Performance Through the 2008 -2009 Credit Crisis Before, During, and After the Crisis: FHLBanks Continue to Perform as Designed Durability The fully-collateralized lending model continues to shield the FHLBanks from sustaining any credit losses on advances despite a record number of bank closures Scalability The flexible capital base is designed to expand contract in response to members’ borrowing needs Flexibility The FHLBanks reacted quickly to changes within the agency debt market sparked by the credit crisis, and continued to obtain a majority of funding via highly customizable reverse inquiry based programs Source: Office of Finance 9

FHLBanks Provided Funding When it was Needed Most: Role During the Financial Crisis of 2008 FHLB Advances Borrowing had grown by 50%+ in Q 3 2008 from Q 1 2007 Source: FHLB System Financial Statements Long-term Equilibrium level of 3 m. L – 20 bps Cheaper Funding FHLB Funding Cost became cheaper during the crisis § FHLB 3 month Funding Levels during the crisis Source: Office of Finance DN Auction Data Strength of System Demonstrated During the Crisis of 2008 10

Rating Agency Comments on the FHLBank System The Federal Home Loan Bank (FHLB) system has become a growing source of borrowing capacity for U. S. insurers. Life insurers remain the largest FHLB users within its “insurance” category, but property-casualty carriers and other insurance sectors have increasingly benefited as the FHLBs gain experience with insurance industry lending. From Moody’s June 25, 2015 Special Report We believe FHLB borrowing capacity, if used judiciously, is credit positive for insurers, providing an alternative funding for operational and/or stress liquidity purposes. Good Source of Backup Liquidity: Fitch Ratings believes membership in the FHLB system can enhance liquidity and provide flexible financing for insurance companies, particularly those with limited access to the capital markets Funding availability proved to be particularly important during the financial crisis. . . when access to traditional capital market sources decreased. FHLB programs provide financial flexibility for insurance company members and are an attractive source of capital because of the low rates offered on advances. From A. M. Best’s Jan. 17, 2012 Criteria Report 11

Rating Agency Comments on the FHLBank System • One of the primary liquidity providers to U. S. mortgage market participants, especially in times of stress • Diverse global investor base that provides ample liquidity at low funding costs across maturities • Excellent asset quality in the fully collateralized wholesale lending portfolio From Standard & Poor’s Aug. 19, 2014 Special Report 12 Good Source of Backup Liquidity: Fitch Ratings believes membership in the FHLB system can enhance liquidity and provide flexible financing for insurance companies, particularly those with limited access to the capital markets. Funding availability proved to be particularly important during the financial crisis. . . when access to traditional capital market sources decreased. From Fitch’s Feb. 11, 2016 Special Report

Joining the FHLBank System 13

The System Join One of Eleven Districts Seattle and Des Moines FHLBank districts merged in 2015 condensing the total number of districts to eleven 14

Statutory Membership Eligibility Requirements A financial institution interested in membership in the System must first satisfy statutory membership requirements: Any insurance company, as defined in 12 CFR 1263, upon application satisfying all of the requirements of the FHLBank Act, is eligible to become a member of an FHLBank if: 1. It is duly organized under tribal law, the laws of any state, or of the United States; 2. It is subject to inspection and regulation under the banking laws or similar laws of any state or of the United States; 3. It makes long-term home mortgage loans (originates or purchases); 4. The character of its management is consistent with sound and economical home financing; 5. Its financial condition is such that advances may be safely made to it; and 6. Its home financing policy is consistent with sound and economical home financing, and it has mortgage-related assets that reflect a commitment to housing finance. 15

Acquiring FHLBank Membership Purchase Capital Stock Following Approval Submit Membership Application Post Eligible Collateral to Borrow Collateral Eligibility Securities Collateral Eligible Ineligible Whole Loans US Treasury Securities Residential 1 – 4 Agency Securities HELOCs and 2 nd Mortgages Agency MBS Private Label RMBS Eligible* Ineligible Multifamily Commercial Mortgages CMBS Municipals* Corporates Private Placements Public Equities 16 *Whole loan eligibility subject to state of domicile and FHLBank specific underwriting criteria *Not all municipal securities are eligible; eligibility is based on having the real property nexus

FHLBank Advances Cycle Borrow Funds Borrowing Costs *Subsidized by Dividend Payment Added Income Returned via Dividend Purchase Activity Stock Capital Stock Leveraged *May occur when dividend yield sufficiently exceeds advance rate. *Dividends are subject to earnings and at the discretion of the Bank’s executive management and Board 17

FHLBank Insurance Company Membership 18

FHLBank Insurance Membership, 1 Q 2016 Workers’ Compensation insurers account for 13% of System-wide Insurance and 35% of property insurance FHLBank membership 1% 5% 15% 42% 37% Source: SNL data 19 19 Life Property & Casualty Captive Health Other

System Insurance Membership and Borrowings Growing 382 insurance company members borrowed a total of $97 billion as of Q 1 2016 across the System, up 21% and 28%, respectively year over year. Source: FHLB System Database and Office of Finance Combined Report 20

Top Workers’ Comp Writers and FHLBank Membership FHLBank Member Company Name A. I. M Mutual Insurance Company FCCI Insurance Company Peerless Insurance Company Accident Fund Insurance Company of America First Dakota Indemnity Corporation Rural Mutual Insurance Company American Home Assurance Company Firstcomp Insurance Company Safety National Casualty Corporation Amerisure Insurance Company Grinell Mutual Reinsurance Company SECURA Insurance, A Mutual Company Amerisure Mutual Insurance Company Guide. One Mutual Insurance Company Selective Insurance Company of America Auto-Owners Insurance Company Employers Preferred Insurance Company Selective Insurance Company of South Carolina Brick. Street Mutual Insurance Company Erie Insurance Company Selective Insurance Company of the Southeast Brotherhood Mutual Insurance Company Erie Insurance Exchange SFM Mutual Insurance Company Builders Insurance (A Mutual Captive Company) Hanover Insurance Company (The) Society Insurance, a mutual company Builders Mutual Insurance Company Hastings Mutual Insurance Company Star Insurance Company Chesapeake Employers’ Insurance Company Kentucky Employers’ Mutual Insurance State Automobile Mutual Insurance Company Continental Casualty Company Liberty Mutual Fire Insurance Company State Compensation Insurance Fund Country Mutual Insurance Company Michigan Insurance Company Texas Mutual Insurance Company Depositors Insurance Fund Midwest Family Mutual Insurance Company United Fire & Casualty Company Employers Assurance Company National Union Fire Company of Pittsburgh, PA West Bend Mutual Insurance Company Employers Compensation Insurance Company Nationwide Mutual Insurance Company Western National Mutual Insurance Company Employers Insurance Company of Wausau New Mexico Mutual Casualty Company Westfield Insurance Company Employers Mutual Casualty Company Footnote: An additional top ten Workers’ Compensation writer joined the FHLBank in May 2016 21 Source: Membership as of 3/31/2016

Using the FHLBank System 22

Cooperative Structure vs. Traditional Commercial Bank FHLBank Customizable Terms Rate Flexibility Commitment Fees Borrow at Holding Co. Competitive Pricing Reliability Across Economic Cycles Secured Borrowing Stock Purchase 23 Commercial Bank

Why Insurance Companies Join FHLBanks Strategic Objectives Risk Management Investments Liquidity Partner in Social Goals 24 • Support business acquisition through long-term funding • Manage regulatory liquidity requirements • Secure or guaranty third party obligations with letter of credit • Product specific risk management • Embed derivatives for effective Asset Liability Management • Optimize RBC risk • Optimize portfolio composition for income and liquidity • Match fund to achieve greater consistency and mitigate interest rate risk • Remain more fully invested to reduce cash drag • Affordable, reliable funding source with same-day access • Customizable substitute for debt issuance • Economical alternative to asset liquidation • Leverage FHLB grants for Affordable Housing projects in your community • Promote economic development through FHLB community investment products

Top Reasons Workers’ Comp Writers use FHLBank Products Long -term Fixed Rate advance Floating Rate advance Short-term Fixed Rate advance Forward Starting advance Overnight advances Letters of Credit Acquisitions Reduce existing commercial bank facility Working capital/general corporate use Pre-fund liabilities Investment spread strategy Reduce overall cost of funds/increase profitability Funding liquidity pool Source: Company Financial Statements 25

Advance Product Matrix Fixed Rate, Variable Rate, Embedded Options, Customized 26 Floating Rate • 1 M or 3 M LIBOR Floaters • Float-to-fixed • Embedded caps or floors • Leveraged • Forward start • Corridors • Other Adjustable Advances Fixed Rate • Fixed rate, fixed term • 1 month – 20 year terms • Symmetrical prepayment • Bullet or amortizing • Embedded caps or floors • Leveraged • Forward start • Corridors Structured Advances with Embedded Options • Callable • Bullet or Amortizer • Expander • Option to increase borrowing in the future • Net interest margin protection advance • Floating rate with embedded cap/floor • Floating rate with embedded corridor/collar • Fixed rate with embedded cap/floor • Putable • Floating rate, Fixed rate, Floating-to-Fixed rate Other Customized Structured Advances • Tailored to specific member ALM needs • Specific to industry sector • Match terms for specific loan portfolios • Customized features • Forward Starting • Floating-to-Fixed rate • Custom amortization

Contacts Carolyn Jaw – Managing Director, Institutional Sales 312. 552. 1240 cjaw@fhlbc. com Scott Brennan – First Vice President, Director of Sales 404. 888. 5386 sbrennan@fhlbatl. com 27