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Derivative Financial Instruments (Tables)

9 Months Ended

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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Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624171-113959

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-Publisher FASB
-Name Accounting Standards Codification
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Tabular disclosure of financial instruments held by the entity for its own account for trading or investment purposes that are carried at fair value and pledged to counterparties as collateral for financing transactions. Description may include equity, fixed income, debt or other securities.

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 30
-Section 50
-Paragraph 1A
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Tabular disclosure of the notional amounts of outstanding derivative positions.

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