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Derivative Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Impact of Derivatives on Consolidated Balance Sheet | Impact of Derivatives on Consolidated Balance Sheet
|  |  |  |  | Cash Flow |  |  | Fair Value |  |  | Trading |  |  | Total |
(Dollars in millions) |  | Hedged Risk Exposure |  |  | Sept. 30, 2016 |  |  | Dec. 31, 2015 |  |  | Sept. 30, 2016 |  |  | Dec. 31, 2015 |  |  | Sept. 30, 2016 |  |  | Dec. 31, 2015 |  |  | Sept. 30, 2016 |  |  | Dec. 31, 2015 |
Fair Values(1) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | Interest rate |  |  | $ | — |  |  | $ | — |  |  | $ | 857 |  |  | $ | 694 |  |  | $ | 73 |  |  | $ | 32 |  |  | $ | 930 |  |  | $ | 726 |
Cross-currency interest rate swaps |  |  | Foreign currency & interest rate |  |  |  | — |  |  |  | — |  |  |  | 18 |  |  |  | 2 |  |  |  | — |  |  |  | — |  |  |  | 18 |  |  |  | 2 |
Other(2) |  |  | Interest rate |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1 |  |  |  | — |  |  |  | 1 |  |  |  | — |
Total derivative assets(3) |  |  |  |  |  |  | — |  |  |  | — |  |  |  | 875 |  |  |  | 696 |  |  |  | 74 |  |  |  | 32 |  |  |  | 949 |  |  |  | 728 |
Derivative Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | Interest rate |  |  |  | (207 | ) |  |  | (89 | ) |  |  | — |  |  |  | (3 | ) |  |  | (65 | ) |  |  | (68 | ) |  |  | (272 | ) |  |  | (160 | )
Floor Income Contracts |  |  | Interest rate |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (293 | ) |  |  | (365 | ) |  |  | (293 | ) |  |  | (365 | )
Cross-currency interest rate swaps |  |  | Foreign currency & interest rate |  |  |  | — |  |  |  | — |  |  |  | (731 | ) |  |  | (926 | ) |  |  | (11 | ) |  |  | (62 | ) |  |  | (742 | ) |  |  | (988 | )
Other(2) |  |  | Interest rate |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (11 | ) |  |  | (2 | ) |  |  | (11 | ) |  |  | (2 | )
Total derivative liabilities(3) |  |  |  |  |  |  | (207 | ) |  |  | (89 | ) |  |  | (731 | ) |  |  | (929 | ) |  |  | (380 | ) |  |  | (497 | ) |  |  | (1,318 | ) |  |  | (1,515 | )
Net total derivatives |  |  |  |  |  | $ | (207 | ) |  | $ | (89 | ) |  | $ | 144 |  |  | $ | (233 | ) |  | $ | (306 | ) |  | $ | (465 | ) |  | $ | (369 | ) |  | $ | (787 | )
(1) | Fair values reported are exclusive of collateral held and pledged and accrued interest. Assets and liabilities are presented without consideration of master netting agreements. Derivatives are carried on the balance sheet based on net position by counterparty under master netting agreements, and classified in other assets or other liabilities depending on whether in a net positive or negative position.
(2) | “Other” includes embedded derivatives bifurcated from securitization debt as well as derivatives related to our Total Return Swap Facility.
(3) | The following table reconciles gross positions without the impact of master netting agreements to the balance sheet classification:
Gross Positions without Impact of Master Netting Agreements |
| The following table reconciles gross positions without the impact of master netting agreements to the balance sheet classification:
|  | Other Assets |  |  | Other Liabilities |
(Dollar in millions) |  | September 30, 2016 |  |  | December 31, 2015 |  |  | September 30, 2016 |  |  | December 31, 2015 |
Gross position |  | $ | 949 |  |  | $ | 728 |  |  | $ | (1,318 | ) |  | $ | (1,515 | )
Impact of master netting agreements |  |  | (19 | ) |  |  | (50 | ) |  |  | 19 |  |  |  | 50 |
Derivative values with impact of master netting agreements (as carried on balance sheet) |  |  | 930 |  |  |  | 678 |  |  |  | (1,299 | ) |  |  | (1,465 | )
Cash collateral (held) pledged |  |  | (425 | ) |  |  | (759 | ) |  |  | 407 |  |  |  | 466 |
Net position |  | $ | 505 |  |  | $ | (81 | ) |  | $ | (892 | ) |  | $ | (999 | )
Derivative Notional Values |
|  | Cash Flow |  |  | Fair Value |  |  | Trading |  |  | Total |
(Dollars in billions) |  | Sept. 30, 2016 |  |  | Dec. 31, 2015 |  |  | Sept. 30, 2016 |  |  | Dec. 31, 2015 |  |  | Sept. 30, 2016 |  |  | Dec. 31, 2015 |  |  | Sept. 30, 2016 |  |  | Dec. 31, 2015 |
Notional Values: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 14.7 |  |  | $ | 9.5 |  |  | $ | 12.2 |  |  | $ | 12.6 |  |  | $ | 29.0 |  |  | $ | 33.8 |  |  | $ | 55.9 |  |  | $ | 55.9 |
Floor Income Contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 16.5 |  |  |  | 35.1 |  |  |  | 16.5 |  |  |  | 35.1 |
Cross-currency interest rate swaps |  |  | — |  |  |  | — |  |  |  | 8.6 |  |  |  | 9.1 |  |  |  | .3 |  |  |  | .3 |  |  |  | 8.9 |  |  |  | 9.4 |
Other(1) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3.0 |  |  |  | 3.2 |  |  |  | 3.0 |  |  |  | 3.2 |
Total derivatives |  | $ | 14.7 |  |  | $ | 9.5 |  |  | $ | 20.8 |  |  | $ | 21.7 |  |  | $ | 48.8 |  |  | $ | 72.4 |  |  | $ | 84.3 |  |  | $ | 103.6 |
(1) | “Other” includes embedded derivatives bifurcated from securitization debt as well as derivatives related to our Total Return Swap Facility.
Impact of Derivatives on Consolidated Statements of Income | Impact of Derivatives on Consolidated Statements of Income
|  | Three Months Ended September 30, |
|  | Unrealized Gain (Loss) on Derivatives(1)(2) |  |  | Realized Gain (Loss) on Derivatives(3) |  |  | Unrealized Gain (Loss) on Hedged Item(1) |  |  | Total Gain (Loss) |
(Dollars in millions) |  | 2016 |  |  | 2015 |  |  | 2016 |  |  | 2015 |  |  | 2016 |  |  | 2015 |  |  | 2016 |  |  | 2015 |
Fair Value Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | (149 | ) |  | $ | 209 |  |  | $ | 62 |  |  | $ | 83 |  |  | $ | 175 |  |  | $ | (234 | ) |  | $ | 88 |  |  | $ | 58 |
Cross-currency interest rate swaps |  |  | 112 |  |  |  | (6 | ) |  |  | (22 | ) |  |  | (1 | ) |  |  | (81 | ) |  |  | 35 |  |  |  | 9 |  |  |  | 28 |
Total fair value derivatives |  |  | (37 | ) |  |  | 203 |  |  |  | 40 |  |  |  | 82 |  |  |  | 94 |  |  |  | (199 | ) |  |  | 97 |  |  |  | 86 |
Cash Flow Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | — |  |  |  | — |  |  |  | (20 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (20 | ) |  |  | — |
Total cash flow derivatives |  |  | — |  |  |  | — |  |  |  | (20 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (20 | ) |  |  | — |
Trading: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | (20 | ) |  |  | 82 |  |  |  | 14 |  |  |  | 10 |  |  |  | — |  |  |  | — |  |  |  | (6 | ) |  |  | 92 |
Floor Income Contracts |  |  | 113 |  |  |  | 69 |  |  |  | (28 | ) |  |  | (164 | ) |  |  | — |  |  |  | — |  |  |  | 85 |  |  |  | (95 | )
Cross-currency interest rate swaps |  |  | 6 |  |  |  | 7 |  |  |  | (1 | ) |  |  | (1 | ) |  |  | — |  |  |  | — |  |  |  | 5 |  |  |  | 6 |
Other |  |  | (3 | ) |  |  | 13 |  |  |  | (1 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (4 | ) |  |  | 13 |
Total trading derivatives |  |  | 96 |  |  |  | 171 |  |  |  | (16 | ) |  |  | (155 | ) |  |  | — |  |  |  | — |  |  |  | 80 |  |  |  | 16 |
Total |  |  | 59 |  |  |  | 374 |  |  |  | 4 |  |  |  | (73 | ) |  |  | 94 |  |  |  | (199 | ) |  |  | 157 |  |  |  | 102 |
Less: realized gains (losses) recorded in interest expense |  |  | — |  |  |  | — |  |  |  | 20 |  |  |  | 82 |  |  |  | — |  |  |  | — |  |  |  | 20 |  |  |  | 82 |
Gains (losses) on derivative and hedging activities, net |  | $ | 59 |  |  | $ | 374 |  |  | $ | (16 | ) |  | $ | (155 | ) |  | $ | 94 |  |  | $ | (199 | ) |  | $ | 137 |  |  | $ | 20 |
(1) | Recorded in “Gains (losses) on derivative and hedging activities, net” in the consolidated statements of income.
(2) | Represents ineffectiveness related to cash flow hedges.
(3) | For fair value and cash flow hedges, recorded in interest expense. For trading derivatives, recorded in “Gains (losses) on derivative and hedging activities, net.”
|  | Nine Months Ended September 30, |
|  | Unrealized Gain (Loss) on Derivatives(1)(2) |  |  | Realized Gain (Loss) on Derivatives(3) |  |  | Unrealized Gain (Loss) on Hedged Item(1) |  |  | Total Gain (Loss) |
(Dollars in millions) |  | 2016 |  |  | 2015 |  |  | 2016 |  |  | 2015 |  |  | 2016 |  |  | 2015 |  |  | 2016 |  |  | 2015 |
Fair Value Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 166 |  |  | $ | 95 |  |  | $ | 201 |  |  | $ | 265 |  |  | $ | (172 | ) |  | $ | (111 | ) |  | $ | 195 |  |  | $ | 249 |
Cross-currency interest rate swaps |  |  | 210 |  |  |  | (547 | ) |  |  | (58 | ) |  |  | 3 |  |  |  | (135 | ) |  |  | 682 |  |  |  | 17 |  |  |  | 138 |
Total fair value derivatives |  |  | 376 |  |  |  | (452 | ) |  |  | 143 |  |  |  | 268 |  |  |  | (307 | ) |  |  | 571 |  |  |  | 212 |  |  |  | 387 |
Cash Flow Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | — |  |  |  | — |  |  |  | (31 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (31 | ) |  |  | — |
Total cash flow derivatives |  |  | — |  |  |  | — |  |  |  | (31 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (31 | ) |  |  | — |
Trading: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  |  | 44 |  |  |  | 94 |  |  |  | 35 |  |  |  | 30 |  |  |  | — |  |  |  | — |  |  |  | 79 |  |  |  | 124 |
Floor Income Contracts |  |  | 147 |  |  |  | 312 |  |  |  | (222 | ) |  |  | (489 | ) |  |  | — |  |  |  | — |  |  |  | (75 | ) |  |  | (177 | )
Cross-currency interest rate swaps |  |  | 51 |  |  |  | 3 |  |  |  | (3 | ) |  |  | (3 | ) |  |  | — |  |  |  | — |  |  |  | 48 |  |  |  | — |
Other |  |  | (8 | ) |  |  | 9 |  |  |  | (2 | ) |  |  | (2 | ) |  |  | — |  |  |  | — |  |  |  | (10 | ) |  |  | 7 |
Total trading derivatives |  |  | 234 |  |  |  | 418 |  |  |  | (192 | ) |  |  | (464 | ) |  |  | — |  |  |  | — |  |  |  | 42 |  |  |  | (46 | )
Total |  |  | 610 |  |  |  | (34 | ) |  |  | (80 | ) |  |  | (196 | ) |  |  | (307 | ) |  |  | 571 |  |  |  | 223 |  |  |  | 341 |
Less: realized gains (losses) recorded in interest expense |  |  | — |  |  |  | — |  |  |  | 112 |  |  |  | 268 |  |  |  | — |  |  |  | — |  |  |  | 112 |  |  |  | 268 |
Gains (losses) on derivative and hedging activities, net |  | $ | 610 |  |  | $ | (34 | ) |  | $ | (192 | ) |  | $ | (464 | ) |  | $ | (307 | ) |  | $ | 571 |  |  | $ | 111 |  |  | $ | 73 |
(1) | Recorded in “Gains (losses) on derivative and hedging activities, net” in the consolidated statements of income.
(2) | Represents ineffectiveness related to cash flow hedges.
(3) | For fair value and cash flow hedges, recorded in interest expense. For trading derivatives, recorded in “Gains (losses) on derivative and hedging activities, net.”
Collateral Held and Pledged | Collateral held and pledged related to derivative exposures between us and our derivative counterparties are detailed in the following table:
(Dollars in millions) |  | September 30, 2016 |  |  | December 31, 2015 |
Collateral held: |  |  |  |  |  |  |  |
Cash (obligation to return cash collateral is recorded in short-term borrowings)(1) |  | $ | 425 |  |  | $ | 759 |
Securities at fair value — corporate derivatives (not recorded in the financial statements)(2) |  |  | 376 |  |  |  | — |
Securities at fair value — on-balance sheet securitization derivatives (not recorded in financial statements)(3) |  |  | 394 |  |  |  | 301 |
Total collateral held |  | $ | 1,195 |  |  | $ | 1,060 |
Derivative asset at fair value including accrued interest |  | $ | 1,062 |  |  | $ | 896 |
Collateral pledged to others: |  |  |  |  |  |  |  |
Cash (right to receive return of cash collateral is recorded in investments) |  | $ | 407 |  |  | $ | 466 |
Total collateral pledged |  | $ | 407 |  |  | $ | 466 |
Derivative liability at fair value including accrued interest and premium receivable |  | $ | 1,343 |  |  | $ | 1,395 |
(1) | At September 30, 2016 and December 31, 2015, $0 and $2 million, respectively, were held in restricted cash accounts.
(2) | The Company has the ability to sell or re-pledge securities it holds as collateral.
(3) | The trusts do not have the ability to sell or re-pledge securities they hold as collateral.

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