Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2015

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, 2015 and December 31, 2014:

		Other Assets				Other Liabilities
		Fair Value				Fair Value
(Millions)		2015		2014		2015		2014
Derivatives designated as hedging instruments:
Interest rate contracts
	Fair value hedges	$	391	$	314	$	―	$	4
Foreign exchange contracts
	Net investment hedges		385		492		102		46
Total derivatives designated as hedging instruments			776		806		102		50
Derivatives not designated as hedging instruments:
	Foreign exchange contracts, including certain embedded derivatives(a)		146		185		116		114
Total derivatives, gross			922		991		218		164
Less: Cash collateral netting(b)			(307)		(158)		―		(4)
Derivative asset and derivative liability netting(c)			(130)		(122)		(130)		(122)
Total derivatives, net(d)		$	485	$	711	$	88	$	38

• Includes foreign currency derivatives embedded in certain operating agreements.
• 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 derivative instrument(s) executed with the same counterparty under an enforceable master netting arrangement. From time to time, the Company also receives non-cash collateral from counterparties in the form of security interests in U.S. Treasury securities, which reduces the Company’s risk exposure, but does not reduce the net exposure on the Company’s Consolidated Balance Sheets. The Company had such non-cash collateral as of December 31, 2014 with a fair value of $91 million, none of which was sold or repledged. The Company did not have any such non-cash collateral as of September 30, 2015. Additionally, the Company posted $155 million and $114 million as of September 30, 2015 and December 31, 2014, respectively, as initial margin on its centrally cleared interest rate swaps; such amounts are recorded within Other receivables on the Company’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.
• 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 derivative liabilities are presented within Other assets and Other liabilities on the Company’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 the Company’s fair value hedges for the three and nine months endedSeptember 30:

Three Months Ended September 30: (Millions)
	Gains (losses) recognized in income
	Derivative contract					Hedged item					Net hedge
		Amount					Amount				ineffectiveness
Derivative relationship	Income Statement Line Item	2015		2014		Income Statement Line Item	2015		2014		2015		2014
Interest rate contracts	Other expenses	$	108	$	(109)	Other expenses	$	(114)	$	112	$	(6)	$	3

Nine Months Ended September 30: (Millions)
	Gains (losses) recognized in income
	Derivative contract					Hedged item					Net hedge
		Amount					Amount				ineffectiveness
Derivative relationship	Income Statement Line Item	2015		2014		Income Statement Line Item	2015		2014		2015		2014
Interest rate contracts	Other expenses	$	82	$	(170)	Other expenses	$	(85)	$	176	$	(3)	$	6
Total return contract	Other non-interest revenues		―		11	Other non-interest revenues		―		(11)		―		―

Derivative instruments gain loss recognized in income

The following table summarizes the impact on the Consolidated Statements of Income associated with the Company’s derivatives not designated as hedges:

		Pretax (losses) gains
		Three Months Ended				Nine Months Ended
		September 30,				September 30,
		Amount				Amount
Description (Millions)	Income Statement Line Item	2015		2014		2015		2014
Foreign exchange contracts(a)	Other expenses	$	(19)	$	2	$	15	$	84
	Cost of Card Member services		4		―		(2)		4
Total		$	(15)	$	2	$	13	$	88

Foreign exchange contracts include forwards and embedded foreign currency derivatives.