Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [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, 2020 and December 31, 2019:

	Other Assets				Other Liabilities
	Fair Value				Fair Value
(Millions)	2020		2019		2020		2019
Derivatives designated as hedging instruments:
Fair value hedges - Interest rate contracts (a)(b)	$	—	$	—	$	—	$	—
Net investment hedges - Foreign exchange contracts	43		12		60		44
Total derivatives designated as hedging instruments	43		12		60		44
Derivatives not designated as hedging instruments:
Foreign exchange contracts	62		31		39		182
Total derivatives, gross	105		43		99		226
Derivative asset and derivative liability netting (c)	(36)		(27)		(36)		(27)
Total derivatives, net	$	69	$	16	$	63	$	199

(a)For Credco’s centrally cleared derivatives, variation margin payments are legally characterized as settlement payments as opposed to collateral.

(b)Credco posted $17 million and $20 million as of September 30, 2020 and December 31, 2019, 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.

(c)Represents the amount of netting of derivative assets and derivative liabilities executed with the same counterparties under an enforceable master netting arrangement.

Effect of fair value hedges on results of operations

The following table presents the gains and losses recognized in Interest expense on the Consolidated Statements of Income associated with the fair value hedges of Credco’s fixed-rate long-term debt for the three and nine months ended September 30:

	Gains (losses)
		Three Months Ended September 30,				Nine Months Ended September 30,
(Millions)		2020		2019		2020		2019
Fixed-rate long-term debt		$	12	$	(22)	$	(54)	$	(177)
Derivatives designated as hedging instruments		(15)		26		57		183
Total		$	(3)	$	4	$	3	$	6