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Fair Value Measurements (Tables) | 6 Months Ended
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Jun. 30, 2016
Fair Value Disclosures [Abstract] |
Valuation of Financial Instruments that are Marked-to-Market on Recurring Basis | The following table summarizes the valuation of our financial instruments that are marked-to-market on a recurring basis.
|  | Fair Value Measurements on a Recurring Basis |
|  | June 30, 2016 |  |  | December 31, 2015 |
(Dollars in millions) |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | 1 |
Other |  |  | — |  |  |  | 3 |  |  |  | — |  |  |  | 3 |  |  |  | — |  |  |  | 4 |  |  |  | — |  |  |  | 4 |
Total available-for-sale investments |  |  | — |  |  |  | 4 |  |  |  | — |  |  |  | 4 |  |  |  | — |  |  |  | 5 |  |  |  | — |  |  |  | 5 |
Derivative instruments:(1) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | — |  |  |  | 1,070 |  |  |  | 28 |  |  |  | 1,098 |  |  |  | — |  |  |  | 709 |  |  |  | 17 |  |  |  | 726 |
Cross-currency interest rate swaps |  |  | — |  |  |  | — |  |  |  | 10 |  |  |  | 10 |  |  |  | — |  |  |  | — |  |  |  | 2 |  |  |  | 2 |
Other |  |  | — |  |  |  | — |  |  |  | 1 |  |  |  | 1 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total derivative assets(3) |  |  | — |  |  |  | 1,070 |  |  |  | 39 |  |  |  | 1,109 |  |  |  | — |  |  |  | 709 |  |  |  | 19 |  |  |  | 728 |
Total |  | $ | — |  |  | $ | 1,074 |  |  | $ | 39 |  |  | $ | 1,113 |  |  | $ | — |  |  | $ | 714 |  |  | $ | 19 |  |  | $ | 733 |
Liabilities(2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative instruments(1) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | — |  |  | $ | (280 | ) |  | $ | (65 | ) |  | $ | (345 | ) |  | $ | — |  |  | $ | (99 | ) |  | $ | (61 | ) |  | $ | (160 | )
Floor Income Contracts |  |  | — |  |  |  | (406 | ) |  |  | — |  |  |  | (406 | ) |  |  | — |  |  |  | (365 | ) |  |  | — |  |  |  | (365 | )
Cross-currency interest rate swaps |  |  | — |  |  |  | (41 | ) |  |  | (811 | ) |  |  | (852 | ) |  |  | — |  |  |  | (83 | ) |  |  | (905 | ) |  |  | (988 | )
Other |  |  | — |  |  |  | — |  |  |  | (8 | ) |  |  | (8 | ) |  |  | — |  |  |  | — |  |  |  | (2 | ) |  |  | (2 | )
Total derivative liabilities(3) |  |  | — |  |  |  | (727 | ) |  |  | (884 | ) |  |  | (1,611 | ) |  |  | — |  |  |  | (547 | ) |  |  | (968 | ) |  |  | (1,515 | )
Total |  | $ | — |  |  | $ | (727 | ) |  | $ | (884 | ) |  | $ | (1,611 | ) |  | $ | — |  |  | $ | (547 | ) |  | $ | (968 | ) |  | $ | (1,515 | )
(1) | Fair value of derivative instruments excludes accrued interest and the value of collateral.
(2) | Borrowings which are the hedged items in a fair value hedge relationship and which are adjusted for changes in value due to benchmark interest rates only are not carried at full fair value and are not reflected in this table.
(3) | See “Note 4 — Derivative Financial Instruments” for a reconciliation of gross positions without the impact of master netting agreements to the balance sheet classification.
Change in Balance Sheet Carrying Value Associated with Level 3 Financial Instruments Carried at Fair Value on Recurring Basis | The following tables summarize the change in balance sheet carrying value associated with level 3 financial instruments carried at fair value on a recurring basis.
|  | Three Months Ended June 30, |
|  | 2016 |  |  | 2015 |
|  | Derivative instruments |  |  | Derivative instruments |
(Dollars in millions) |  | Interest Rate Swaps |  |  | Cross Currency Interest Rate Swaps |  |  | Other |  |  | Total Derivative Instruments |  |  | Interest Rate Swaps |  |  | Cross Currency Interest Rate Swaps |  |  | Other |  |  | Total Derivative Instruments |
Balance, beginning of period |  | $ | (32 | ) |  | $ | (528 | ) |  | $ | (4 | ) |  | $ | (564 | ) |  | $ | (88 | ) |  | $ | (958 | ) |  | $ | (13 | ) |  | $ | (1,059 | )
Total gains/(losses) (realized and unrealized): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings(1) |  |  | (5 | ) |  |  | (293 | ) |  |  | (4 | ) |  |  | (302 | ) |  |  | 5 |  |  |  | 306 |  |  |  | (3 | ) |  |  | 308 |
Included in other comprehensive income |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | — |  |  |  | 20 |  |  |  | 1 |  |  |  | 21 |  |  |  | 1 |  |  |  | (2 | ) |  |  | 1 |  |  |  | — |
Transfers in and/or out of level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | (37 | ) |  | $ | (801 | ) |  | $ | (7 | ) |  | $ | (845 | ) |  | $ | (82 | ) |  | $ | (654 | ) |  | $ | (15 | ) |  | $ | (751 | )
Change in unrealized gains/(losses) relating to instruments still held at the reporting date(2) |  | $ | (4 | ) |  | $ | (273 | ) |  | $ | (4 | ) |  | $ | (281 | ) |  | $ | 6 |  |  | $ | 304 |  |  | $ | (2 | ) |  | $ | 308 |
|  | Six Months Ended June 30, |
|  | 2016 |  |  | 2015 |
|  | Derivative instruments |  |  | Derivative instruments |
(Dollars in millions) |  | Interest Rate Swaps |  |  | Cross Currency Interest Rate Swaps |  |  | Other |  |  | Total Derivative Instruments |  |  | Interest Rate Swaps |  |  | Cross Currency Interest Rate Swaps |  |  | Other |  |  | Total Derivative Instruments |
Balance, beginning of period |  | $ | (44 | ) |  | $ | (903 | ) |  | $ | (2 | ) |  | $ | (949 | ) |  | $ | (88 | ) |  | $ | (117 | ) |  | $ | (11 | ) |  | $ | (216 | )
Total gains/(losses) (realized and unrealized): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings(1) |  |  | 6 |  |  |  | 65 |  |  |  | (6 | ) |  |  | 65 |  |  |  | 6 |  |  |  | (534 | ) |  |  | (6 | ) |  |  | (534 | )
Included in other comprehensive income |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Settlements |  |  | 1 |  |  |  | 37 |  |  |  | 1 |  |  |  | 39 |  |  |  | — |  |  |  | (3 | ) |  |  | 2 |  |  |  | (1 | )
Transfers in and/or out of level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance, end of period |  | $ | (37 | ) |  | $ | (801 | ) |  | $ | (7 | ) |  | $ | (845 | ) |  | $ | (82 | ) |  | $ | (654 | ) |  | $ | (15 | ) |  | $ | (751 | )
Change in unrealized gains/(losses) relating to instruments still held at the reporting date(2) |  | $ | 8 |  |  | $ | 102 |  |  | $ | (6 | ) |  | $ | 104 |  |  | $ | 6 |  |  | $ | (534 | ) |  | $ | (4 | ) |  | $ | (532 | )
(1) | “Included in earnings” is comprised of the following amounts recorded in the specified line item in the consolidated statements of income:
Included in Earnings |
Three Months Ended June 30, |  |  | Six Months Ended June 30, |
(Dollars in millions) |  | 2016 |  |  | 2015 |  |  | 2016 |  |  | 2015 |
Gains (losses) on derivative and hedging activities, net |  | $ | (282 | ) |  | $ | 306 |  |  | $ | 102 |  |  | $ | (537 | )
Interest expense |  |  | (20 | ) |  |  | 2 |  |  |  | (37 | ) |  |  | 3 |
Total |  | $ | (302 | ) |  | $ | 308 |  |  | $ | 65 |  |  | $ | (534 | )
(2) | Recorded in “gains (losses) on derivative and hedging activities, net” in the consolidated statements of income.
Unobservable Data Used in Recurring Valuations of Level 3 | The following table presents the significant inputs that are unobservable or from inactive markets used in the recurring valuations of the level 3 financial instruments detailed above.
(Dollars in millions) |  | Fair Value at June 30, 2016 |  |  | Valuation Technique |  | Input |  | Range (Weighted Average)
Derivatives |  |  |  |  |  |  |  |  |  |
Consumer Price Index/ LIBOR basis swaps |  | $ | 10 |  |  | Discounted cash flow |  | Bid/ask adjustment to discount rate |  | .02% — .05% (.05%)
Prime/LIBOR basis swaps |  |  | (47 | ) |  | Discounted cash flow |  | Constant prepayment rate |  | 4.9%
|  |  |  |  |  |  |  | Bid/ask adjustment to discount rate |  | .03% — .05% (.05%)
Cross-currency interest rate swaps |  |  | (801 | ) |  | Discounted cash flow |  | Constant prepayment rate |  | 2.8%
Other |  |  | (7 | ) |  |  |  |  |  |
Total |  | $ | (845 | ) |  |  |  |  |  |
Fair Values of Financial Assets and Liabilities, Including Derivative Financial Instruments | The following table summarizes the fair values of our financial assets and liabilities, including derivative financial instruments.
|  | June 30, 2016 |  |  | December 31, 2015 |
(Dollars in millions) |  | Fair Value |  |  | Carrying Value |  |  | Difference |  |  | Fair Value |  |  | Carrying Value |  |  | Difference |
Earning assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FFELP Loans |  | $ | 90,723 |  |  | $ | 92,618 |  |  | $ | (1,895 | ) |  | $ | 94,377 |  |  | $ | 96,498 |  |  | $ | (2,121 | )
Private Education Loans |  |  | 24,126 |  |  |  | 24,741 |  |  |  | (615 | ) |  |  | 25,772 |  |  |  | 26,394 |  |  |  | (622 | )
Cash and investments(1) |  |  | 5,535 |  |  |  | 5,535 |  |  |  | — |  |  |  | 5,833 |  |  |  | 5,833 |  |  |  | — |
Total earning assets |  |  | 120,384 |  |  |  | 122,894 |  |  |  | (2,510 | ) |  |  | 125,982 |  |  |  | 128,725 |  |  |  | (2,743 | )
Interest-bearing liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Short-term borrowings |  |  | 2,376 |  |  |  | 2,370 |  |  |  | (6 | ) |  |  | 2,569 |  |  |  | 2,570 |  |  |  | 1 |
Long-term borrowings |  |  | 113,665 |  |  |  | 119,637 |  |  |  | 5,972 |  |  |  | 118,471 |  |  |  | 124,833 |  |  |  | 6,362 |
Total interest-bearing liabilities |  |  | 116,041 |  |  |  | 122,007 |  |  |  | 5,966 |  |  |  | 121,040 |  |  |  | 127,403 |  |  |  | 6,363 |
Derivative financial instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Floor Income Contracts |  |  | (406 | ) |  |  | (406 | ) |  |  | — |  |  |  | (365 | ) |  |  | (365 | ) |  |  | — |
Interest rate swaps |  |  | 753 |  |  |  | 753 |  |  |  | — |  |  |  | 566 |  |  |  | 566 |  |  |  | — |
Cross-currency interest rate swaps |  |  | (842 | ) |  |  | (842 | ) |  |  | — |  |  |  | (986 | ) |  |  | (986 | ) |  |  | — |
Other |  |  | (7 | ) |  |  | (7 | ) |  |  | — |  |  |  | (2 | ) |  |  | (2 | ) |  |  | — |
Excess of net asset fair value over carrying value |  |  |  |  |  |  |  |  |  | $ | 3,456 |  |  |  |  |  |  |  |  |  |  | $ | 3,620 |
(1) | “Cash and investments” includes available-for-sale investments that consist of investments that are primarily agency securities whose cost basis is $4 million and $4 million at June 30, 2016 and December 31, 2015, respectively, versus a fair value of $4 million and $5 million at June 30, 2016 and December 31, 2015, respectively.

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- Definition Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c)(1) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of financial instruments classified in shareholders' equity using significant unobservable inputs (level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of level 3 (for example, transfers due to changes in the observability of significant inputs) by class of equity. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19279-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 + Details
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