Fair Value Option (Tables)

3 Months Ended

Mar. 31, 2017

Fair Value, Liabilities Measured on Recurring Basis

The following table summarizes fixed rate debt issuances accounted for under fair value option reporting ("FVO"):



	March 31, 2017		December 31, 2016
	(in millions)
Fixed rate debt accounted for under FVO reported in:
Long-term debt	$	1,326	$	1,317
Due to affiliates	488		485
Total fixed rate debt accounted for under FVO	$	1,814	$	1,802

Unpaid principal balance of fixed rate debt accounted for under FVO⁽¹⁾	$	1,733	$	1,712


⁽¹⁾	Balance includes a foreign currency translation adjustment relating to our foreign denominated FVO debt which decreased the debt balance by $289 million at March 31, 2017 and decreased the debt balance by $310 million at December 31, 2016.

Components of Gain (Loss) on Debt Designated at Fair Value and Related Derivatives

The following table summarizes the components of the gain on debt designated at fair value and related derivatives reflected in the consolidated statement of income (loss) for the three months ended March 31, 2017 and 2016:



Three Months Ended March 31,	2017			2016
	(in millions)
Mark-to-market on debt designated at fair value⁽¹⁾:
Interest rate component	$	18		$	6
Credit risk component⁽²⁾	—			11
Total mark-to-market on debt designated at fair value	18			17
Mark-to-market on the related derivatives⁽¹⁾⁽³⁾	(15		)	(9		)
Net realized gains on the related derivatives⁽¹⁾	9			16
Gain on debt designated at fair value and related derivatives	$	12		$	24


⁽¹⁾	The derivatives associated with debt designated at fair value are economic hedges but do not qualify for hedge accounting. See Note 6, "Derivative Financial Instruments," for additional discussion of these non-qualifying hedges.

⁽²⁾

As discussed below and more fully in Note 13, "New Accounting Pronouncements," beginning January 1, 2017, the fair value movement on fair value option debt attributable to our credit spreads is recorded in common equity as a component of other comprehensive income. For the three months ended March 31, 2017, the fair value movement on fair value option debt attributable to our credit spreads was a loss $8 million.

⁽³⁾

Mark-to-market on debt designated at fair value and related derivatives excludes market value changes due to fluctuations in foreign currency exchange rates. Foreign currency translation gains (losses) recorded in derivative related income (expense) associated with debt designated at fair value was a loss of $21 million and a loss of $66 million for the three months ended March 31, 2017 and 2016, respectively. Offsetting gains (losses) recorded in derivative related income (expense) associated with the related derivatives was a gain of $21 million and a gain of $66 million for the three months ended March 31, 2017 and 2016, respectively.