Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2017

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 March 31, 2017 and December 31, 2016:

		Other Assets				Other Liabilities
		Fair Value				Fair Value
(Millions)		2017		2016		2017		2016
Derivatives designated as hedging instruments:
Fair value hedges - Interest rate contracts (a)		$	―	$	22	$	―	$	69
Net investment hedges - Foreign exchange contracts			4		151		96		1
Total derivatives designated as hedging instruments			4		173		96		70
Derivatives not designated as hedging instruments:
	Foreign exchange contracts		37		128		79		28
Total derivatives, gross			41		301		175		98
Less: Cash collateral netting (b)(c)			―		(2)		―		(49)
Derivative asset and derivative liability netting (d)			(10)		(27)		(10)		(27)
Total derivatives, net (e)		$	31	$	272	$	165	$	22

• Effective January 2017, the Central Clearing Party changed the legal characterization of variation margin payments for centrally cleared derivatives to be settlement payments, as opposed to collateral. As of March 31, 2017, centrally cleared derivatives are fully collateralized.
• 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 derivatives executed with the same counterparty under an enforceable master netting arrangement.
• Credco held no non-cash collateral as of March 31, 2017 and December 31, 2016, respectively. To mitigate counterparty credit risk related to derivatives, Credco may accept non-cash collateral from its derivatives counterparties. Additionally, Credco posted $155 million and $144 million as of March 31, 2017 and December 31,2016, 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 losses recognized in Other expenses associated with Credco’s fair value hedges for the three months endedMarch 31:

		Three Months Ended March 31,
(Millions)		2017		2016
Interest rate derivative contracts	$	(50)	$	142
Hedged items		29		(146)
Net hedge ineffectiveness losses	$	(21)	$	(4)