Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2016

Derivatives And Hedging Activities Tables [Abstract]

Schedule of derivative instruments in statement of financial position, fair value

The following table summarizes the total fair value, excluding interest accruals, of derivative assets and liabilities as of June 30, 2016 and December 31, 2015:

		Other Assets				Other Liabilities
		Fair Value				Fair Value
(Millions)		2016		2015		2016		2015
Derivatives designated as hedging instruments:
Interest rate contracts
	Fair value hedges	$	260	$	64	$	―	$	9
Foreign exchange contracts
	Net investment hedges		51		30		56		13
Total derivatives designated as hedging instruments			311		94		56		22
Derivatives not designated as hedging instruments:
	Foreign exchange contracts		303		62		15		33
Total derivatives, gross			614		156		71		55
Less: Cash collateral netting^(a)			(260)		(53)		―		―
Derivative asset and derivative liability netting^(b)			(28)		(33)		(28)		(33)
Total derivatives, net^(c)		$	326	$	70	$	43	$	22

Represents the offsetting of derivative instruments and the right to reclaim cash collateral (a receivable) or the obligation to return cash collateral (a payable) arising from derivative instrument(s) executed with the same counterparty under an enforceable master netting arrangement. Additionally, Credco posted $139 million and $128 million as of June 30, 2016 and December 31, 2015, respectively, as initial margin on its centrally cleared interest rate swaps; such amounts are recorded within Other assets on the Consolidated Balance Sheets and are not netted against the derivative balances.
Represents the amount of netting of derivative assets and derivative liabilities executed with the same counterparty under an enforceable master netting arrangement.
Credco has no individually significant derivative counterparties and therefore, no significant risk exposure to any single derivative counterparty. The total net derivative assets and derivative liabilities are presented within Other assets and Accrued interest and Other liabilities on the Consolidated Balance Sheets.

Effect of fair value hedges on results of operations

The following table summarizes the impact on the Consolidated Statements of Income and Retained Earnings associated with Credco’s fair value hedges for the three and six months ended June 30:

Three Months Ended June 30: (Millions)
	Gains (losses) recognized in income
	Derivative contract					Hedged item					Net hedge
		Amount					Amount				ineffectiveness
Derivative relationship	Income Statement Line Item	2016		2015		Income Statement Line Item	2016		2015		2016		2015
Interest rate contracts	Other expenses	$	63	$	(45)	Other expenses	$	(55)	$	45	$	8	$	―


Six Months Ended June 30: (Millions)
	Gains (losses) recognized in income
	Derivative contract					Hedged item					Net hedge
		Amount					Amount				ineffectiveness
Derivative relationship	Income Statement Line Item	2016		2015		Income Statement Line Item	2016		2015		2016		2015

Interest rate contracts	Other expenses	$	205	$	3	Other expenses	$	(201)	$	1	$	4	$	4