v3.6.0.2
Derivatives and Hedging Activities (Tables)
 12 Months Ended
Dec. 31, 2016
Table Text Block [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 December 31:

Other Assets Fair Value  Other Liabilities Fair Value
(Millions)2016  2015  2016  2015
Derivatives designated as hedging instruments:      
Fair value hedges - Interest rate contracts$111  $236  $69  $9
Net investment hedges - Foreign exchange contracts347  191  35  57
Total derivatives designated as hedging instruments458  427  104  66
Derivatives not designated as hedging instruments:      
Foreign exchange contracts, including certain embedded derivatives(a)308  117  176  135
Total derivatives, gross766  544  280  201
Less: Cash collateral netting on interest rate contracts(b) (54)(155)(68)―
Derivative asset and derivative liability netting(c) (157)(107)(157)(107)
Total derivatives, net(d) $555$282$55$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 $18 million as of December 31, 2016, none of which was sold or repledged. Such non-cash collateral economically reduced the Company’s risk exposure to $537 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 $169 million and $149 million as of December 31, 2016 and 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.

The following table summarizes the total fair value, excluding interest accruals, of derivative assets and liabilities as of December 31:
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 of its fixed-rate long-term debt for the years ended December 31:

(Millions)201620152014
Other expenses:
Interest rate derivative contracts$(184)$(83)$(143)
Hedged items16393148
Net hedge ineffectiveness (losses) gains$(21)$10$5

The following table summarizes the impact on the Consolidated Statements of Income associated with the Company’s fair value hedges of its fixed-rate long-term debt and its investment in ICBC for the years ended December 31: