Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 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 September 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		$	170	$	64	$	―	$	9
Foreign exchange contracts - Net investment hedges			54		30		56		13
Total derivatives designated as hedging instruments			224		94		56		22
Derivatives not designated as hedging instruments:
	Foreign exchange contracts		107		62		5		33
Total derivatives, gross			331		156		61		55
Less: Cash collateral netting on interest rate contracts (a)			(170)		(53)		―		―
Derivative asset and derivative liability netting (b)			(25)		(33)		(25)		(33)
Total derivatives, net (c)		$	136	$	70	$	36	$	22

• Represents the offsetting of derivatives and the right to reclaim cash collateral (a receivable) or the obligation to return cash collateral (a payable) arising from derivatives executed with the same counterparty under an enforceable master netting arrangement. Additionally, Credco posted $124 million and $128 million as of September 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 net derivative liabilities are presented within Other assets and Accrued interest and Other liabilities, respectively, on the Consolidated Balance Sheets.

Effect of fair value hedges on results of operations

The following table summarizes the gains (losses) recognized in Other expenses associated with Credco’s fair value hedgesfor the three and nine months endedSeptember 30:

		Three Months Ended September 30,				Nine Months Ended September 30,
(Millions)		2016		2015		2016		2015
Interest rate derivative contracts	$	(90)	$	89	$	115	$	91
Hedged items		100		(93)		(101)		(91)
Net hedge ineffectiveness	$	10	$	(4)	$	14	$	―