Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 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 September 30, 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	$	8	$	69
Net investment hedges - Foreign exchange contracts			18		151		63		1
Total derivatives designated as hedging instruments			18		173		71		70
Derivatives not designated as hedging instruments:
	Foreign exchange contracts		50		128		50		28
Total derivatives, gross			68		301		121		98
Less: Cash collateral netting^(b)(c)			―		(2)		―		(49)
Derivative asset and derivative liability netting^(d)			(38)		(27)		(38)		(27)
Total derivatives, net^(e)		$	30	$	272	$	83	$	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. Accordingly, the amounts disclosed for 2017 related to centrally cleared derivatives are based on gross assets of $1 million and liabilities of $87 million net of variation margin of $1 million and $79 million respectively.
Represents the offsetting of the fair value of bilateral interest rate contracts with the right to reclaim cash collateral or the obligation to return cash collateral.
Credco held no non-cash collateral as of September 30, 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 $135 million and $144 million as of September 30, 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 gains (losses) recognized in Other expenses associated with Credco’s fair value hedges for the three and nine months ended September 30:

		Three Months Ended				Nine Months Ended
		September 30,				September 30,
(Millions)		2017		2016		2017		2016
Interest rate derivative contracts	$	(11)	$	(90)	$	(40)	$	115
Hedged items		20		100		11		(101)
Net hedge ineffectiveness	$	9	$	10	$	(29)	$	14