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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 Fair Value  Other Liabilities Fair Value
(Millions)2017  2016  2017  2016
Derivatives designated as hedging instruments:      
Fair value hedges - Interest rate contracts(a)$26  $111  $15  $69
Net investment hedges - Foreign exchange contracts41  347  210  35
Total derivatives designated as hedging instruments67  458  225  104
Derivatives not designated as hedging instruments:      
Foreign exchange contracts, including certain embedded derivatives(b)168  308  102  176
Total derivatives, gross235  766  327  280
Less: Cash collateral netting(c)(d) (17)(54)(8)(68)
Derivative asset and derivative liability netting(e) (92)(157)(92)(157)
Total derivatives, net(f)$126$555$227$55

  • Effective January 2017, the Central Clearing Party (CCP) 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 $11 million and liabilities of $87 million net of variation margin of $11 million and $79 million, respectively. The Company also maintained several bilateral interest rate contracts that are not subject to the CCP’s rule change and amounts related to such contracts are shown gross of any collateral exchanged.
  • Includes foreign currency derivatives embedded in certain operating agreements.
  • Represents the offsetting of the fair value of bilateral interest rate contracts and certain foreign exchange contracts with the right to reclaim cash collateral or the obligation to return cash collateral.
  • The Company held no non-cash collateral as of September 30, 2017. As of December 31, 2016, the Company received non-cash collateral from a counterparty in the form of security interests in U.S. Treasury securities, with a fair value of $18 million, none of which was sold or repledged. Such non-cash collateral economically reduced the Company’s risk exposure to $537 million as of December 31, 2016, but did not reduce the net exposure on the Company’s Consolidated Balance Sheets. Additionally, the Company posted $152 million and $169 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 receivables 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.
  • The Company 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 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 the Company’s fair value hedges for the three and nine months ended September 30:

Three Months Ended September 30,Nine Months Ended September 30,
(Millions)2017201620172016
Interest rate derivative contracts$(31)$(123)$(100)$103
Hedged items3913464(90)
Net hedge ineffectiveness$8$11$(36)$13