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Derivatives and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2016
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, 2016 and December 31, 2015:

Other Assets  Other Liabilities
Fair Value  Fair Value
(Millions)2016  2015  2016  2015
Derivatives designated as hedging instruments:      
Interest rate contracts - Fair value hedges$330  $236  $―  $9
Foreign exchange contracts - Net investment hedges189  191  92  57
Total derivatives designated as hedging instruments519  427  92  66
Derivatives not designated as hedging instruments:      
Foreign exchange contracts, including certain embedded derivatives(a)201  117  149  135
Total derivatives, gross720  544  241  201
Less: Cash collateral netting on interest rate contracts(b) (256)(155)――
Derivative asset and derivative liability netting(c) (99)(107)(99)(107)
Total derivatives, net(d)$365$282$142$94

  • Includes foreign currency derivatives embedded in certain operating agreements.
  • Represents the offsetting of derivatives 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. 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 $24 million as of September 30, 2016, none of which was sold or repledged. Such non-cash collateral economically reduced the Company’s risk exposure to $341 million but did not reduce the net exposure on the Company’s Consolidated Balance Sheets. The Company did not have any such non-cash collateral as of December 31, 2015. Additionally, the Company posted $144 million and $149 million as of September 30, 2016 and December 31, 2015, 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)2016201520162015
Interest rate derivative contracts$(123)$108$103$82
Hedged items134(114)(90)(85)
Net hedge ineffectiveness$11$(6)$13$(3)