Fair Values

9 Months Ended

Sep. 30, 2016

5. Fair Values

Financial Assets and Financial Liabilities Carried at Fair Value

The following table summarizes Credco’s financial assets and financial liabilities measured at fair value on a recurring basis, categorized under the fair valuation hierarchy as Level 2, as of September 30, 2016 and December 31, 2015:

(Millions)		2016		2015
Assets:
Derivatives^(a)	$	331	$	156
Total assets		331		156
Liabilities:
Derivatives^(a)		61		55
Total liabilities	$	61	$	55

Refer to Note 4 for the fair values of derivative assets and liabilities, on a further disaggregated basis.

Financial Assets and Financial Liabilities Carried at Other Than Fair Value

The following table summarizes the estimated fair values of Credco’s financial assets and financial liabilities that are not required to be carried at fair value on a recurring basis, as of September 30, 2016 and December 31, 2015. The fair values of these financial instruments are estimates based upon the market conditions and perceived risks as of September 30, 2016 and December 31, 2015, and require management’s judgment. These figures may not be indicative of future fair values, nor can the fair value of Credco be estimated by aggregating the amounts presented.

				Carrying		Corresponding Fair Value Amount
2016 (Billions)				Value		Total		Level 1		Level 2		Level 3
Financial Assets:
	Financial assets for which carrying values
		equal or approximate fair value
			Cash and cash equivalents^(a)	$	0.7	$	0.7	$	0.2	$	0.5	$	―
			Other financial assets		16.2		16.2		―		16.2		―
	Financial assets carried at other than fair value
			Card Member loans, net		0.4		0.4		―		―		0.4
			Loans to affiliates and other		10.5		10.5		―		7.7		2.8
Financial Liabilities:
	Financial liabilities for which carrying values equal
		or approximate fair value			6.9		6.9		―		6.9		―
	Financial liabilities carried at other than fair value
			Long-term debt	$	18.7	$	18.8	$	―	$	18.8	$	―

				Carrying		Corresponding Fair Value Amount
2015 (Billions)				Value		Total		Level 1		Level 2		Level 3
Financial Assets:
	Financial assets for which carrying values
		equal or approximate fair value
			Cash and cash equivalents^(a)	$	0.2	$	0.2	$	0.2	$	―	$	―
			Card Member receivables HFS		(b)		(b)		―		(b)		―
			Other financial assets		18.2		18.2		―		18.2		―
	Financial assets carried at other than fair value
			Card Member loans, net		0.4		0.4		―		―		0.4
			Loans to affiliates and other		14.3		14.3		―		11.3		3.0
Financial Liabilities:
	Financial liabilities for which carrying values equal
		or approximate fair value			9.4		9.4		―		9.4		―
	Financial liabilities carried at other than fair value
			Long-term debt	$	21.7	$	21.8	$	―	$	21.8	$	―

Level 1 amounts reflect interest-bearing deposits in banks and Level 2 amounts reflect time deposits and short-term investments.
Reflects carrying value and the associated fair value of Card Member receivables HFS of $24 million but does not include any fair value associated with Card Member account relationships.

Nonrecurring Fair Value Measurements

During the nine months ended September 30, 2016 and during the year ended December 31, 2015, Credco did not have any assets that were measured at fair value due to impairment on a nonrecurring basis.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details