Derivatives and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 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 December 31:

		Other Assets				Other Liabilities
		Fair Value				Fair Value
(Millions)		2016		2015		2016		2015
Derivatives designated as hedging instruments:
Fair value hedges - Interest rate contracts		$	22	$	64	$	69	$	9
Net investment hedges - Foreign exchange contracts			151		30		1		13
Total derivatives designated as hedging instruments			173		94		70		22
Derivatives not designated as hedging instruments:
	Foreign exchange contracts		128		62		28		33
Total derivatives, gross			301		156		98		55
Less: Cash collateral netting on interest rate contracts (a)			(2)		(53)		(49)		―
Derivative asset and derivative liability netting (b)			(27)		(33)		(27)		(33)
Total derivatives, net (c)		$	272	$	70	$	22	$	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. To mitigate counterparty credit risk related to derivatives, Credco may accept non-cash collateral from its derivatives counterparties. There were no such non-cash collateral as of December 31, 2016 and 2015, respectively. Additionally, Credco posted $144 million and $128 million as of December 31, 2016 and 2015, respectively, as initial margin on its centrally cleared interest rate swaps; such amounts are recorded within Other assets on Credco’s 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 Credco’s Consolidated Balance Sheets.

Effect of fair value hedges on results of operations

The following table summarizes the impact on the Consolidated Statements of Income associated with Credco’s fair value hedges of its fixed-rate long-term debt for the years ended December 31:

(Millions)		2016		2015		2014
Interest rate derivative contracts	$	(102)	$	(31)	$	(93)
Hedged items		91		44		101
Net hedge ineffectiveness (losses) gains	$	(11)	$	13	$	8