Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Carrying and Estimated Fair Value

The following table summarizes the carrying values and estimated fair value of our financial instruments at September 30, 2014 and December 31, 2013.

	September 30, 2014
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Cash	$	173	$	173	$	173	$	—	$	—
Securities purchased under agreements to resell	4,841		4,841		—		4,841		—
Real estate secured receivables(1):
First lien	19,417		17,484		—		—		17,484
Second lien	2,412		1,322		—		—		1,322
Total real estate secured receivables	21,829		18,806		—		—		18,806
Real estate secured receivables held for sale	1,840		1,904		—		1,031		873
Due from affiliates	159		159		—		159		—
Financial liabilities:
Due to affiliates carried at fair value	506		506		—		506		—
Due to affiliates not carried at fair value	6,434		6,677		—		6,677		—
Long-term debt carried at fair value	6,976		6,976		—		6,976		—
Long-term debt not carried at fair value	10,160		10,720		—		9,185		1,535

	December 31, 2013
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Cash	$	175	$	175	$	175	$	—	$	—
Securities purchased under agreements to resell	6,924		6,924		—		6,924		—
Real estate secured receivables(1):
First lien	21,514		18,577		—		—		18,577
Second lien	2,659		1,418		—		—		1,418
Total real estate secured receivables	24,173		19,995		—		—		19,995
Real estate secured receivables held for sale	2,047		2,047		—		—		2,047
Due from affiliates	86		86		—		86		—
Financial liabilities:
Due to affiliates carried at fair value	496		496		—		496		—
Due to affiliates not carried at fair value	8,246		8,369		—		8,369		—
Long-term debt carried at fair value	8,025		8,025		—		8,025		—
Long-term debt not carried at fair value	12,814		13,301		—		11,232		2,069

⁽¹⁾  The carrying amount of receivables presented in the table above reflects the amortized cost of the receivable, including any accrued interest, less credit loss reserves as well as any charge-offs recorded in accordance with our existing charge-off policies.

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

The following table presents information about our assets and liabilities measured at fair value on a recurring basis as of September 30, 2014 and December 31, 2013, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value.

	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Netting(1)			Total of Assets (Liabilities) Measured at Fair Value
	(in millions)
September 30, 2014:
Derivative financial assets:
Interest rate swaps	$	—	$	186		$	—	$	—		$	186
Currency swaps	—		347			—		—			347
Derivative netting	—		—			—		(533		)	(533		)
Total derivative financial assets	—		533			—		(533		)	—
Total assets	$	—	$	533		$	—	$	(533	)	$	—
Due to affiliates carried at fair value	$	—	$	(506	)	$	—	$	—		$	(506	)
Long-term debt carried at fair value	—		(6,976		)	—		—			(6,976		)
Derivative related liabilities:
Interest rate swaps	—		(377		)	—		—			(377		)
Currency swaps	—		(50		)	—		—			(50		)
Derivative netting	—		—			—		427			427
Total derivative related liabilities	—		(427		)	—		427			—
Total liabilities	$	—	$	(7,909	)	$	—	$	427		$	(7,482	)
December 31, 2013:
Derivative financial assets:
Interest rate swaps	$	—	$	310		$	—	$	—		$	310
Currency swaps	—		797			—		—			797
Derivative netting	—		—			—		(1,107		)	(1,107		)
Total derivative financial assets	—		1,107			—		(1,107		)	—
Total assets	$	—	$	1,107		$	—	$	(1,107	)	$	—
Due to affiliates carried at fair value	$	—	$	(496	)	$	—	$	—		$	(496	)
Long-term debt carried at fair value	—		(8,025		)	—		—			(8,025		)
Derivative related liabilities:
Interest rate swaps	—		(309		)	—		—			(309		)
Currency swaps	—		(28		)	—		—			(28		)
Derivative netting	—		—			—		337			337
Total derivative related liabilities	—		(337		)	—		337			—
Total liabilities	$	—	$	(8,858	)	$	—	$	337		$	(8,521	)

⁽¹⁾  Represents counterparty and swap collateral netting which allow the offsetting of amounts relating to certain contracts when certain conditions are met.

Assets and Liabilities Recorded at Fair Value on a Non-recurring Basis

The following table presents information about our assets and liabilities measured at fair value on a non-recurring basis as of September 30, 2014 and 2013, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value.

	Non-Recurring Fair Value Measurements  as of September 30, 2014								Total Gains (Losses) for the Three Months Ended September 30, 2014			Total Gains (Losses) for the Nine Months Ended September 30, 2014
	Level 1		Level 2		Level 3		Total
	(in millions)
Real estate secured receivables held for sale	$	—	$	998	$	842	$	1,840	$	84		$	292
Receivables held for investment carried at the lower of amortized cost or fair value of the collateral less cost to sell(1)	—		690		—		690		(86		)	(319		)
Real estate owned(2)	—		178		—		178		(11		)	(43		)
Total assets at fair value on a non-recurring basis	$	—	$	1,866	$	842	$	2,708	$	(13	)	$	(70	)

	Non-Recurring Fair Value Measurements  as of September 30, 2013								Total Gains (Losses) for the Three Months Ended September 30, 2013			Total Gains (Losses) for the Nine Months Ended September 30, 2013
	Level 1		Level 2		Level 3		Total
	(in millions)
Receivables held for sale:
Real estate secured	$	—	$	901	$	3,816	$	4,717	$	66		$	974
Personal non-credit card(3)	—		—		—		—		—			(82		)
Total receivables held for sale	—		901		3,816		4,717		66			892
Receivables held for investment carried at the lower of amortized cost or fair value of the collateral less cost to sell(1)	—		883		—		883		(203		)	(708		)
Real estate owned(2)	—		392		—		392		(20		)	(55		)
Total assets at fair value on a non-recurring basis	$	—	$	2,176	$	3,816	$	5,992	$	(157	)	$	129

⁽¹⁾  Total gains (losses) for the three and nine months ended September 30, 2014 and 2013 includes amounts recorded on receivables that were subsequently transferred to held for sale.

⁽²⁾  Real estate owned is required to be reported on the balance sheet net of transactions costs. The real estate owned amounts in the table above reflect the fair value of the underlying asset unadjusted for transaction costs.

⁽³⁾  Our personal non-credit card portfolio was sold on April 1, 2013 as discussed more fully in Note 7, "Receivables Held for Sale," in our 2013 Form 10-K.

Fair Value Inputs, Assets, Quantitative Information

The following table presents quantitative information about non-recurring fair value measurements of assets and liabilities classified as Level 3 in the fair value hierarchy as of September 30, 2014 and December 31, 2013:

	Fair Value						Range of Inputs
Financial Instrument Type	Sept. 30, 2014		Dec. 31,  2013		Valuation Technique	Significant Unobservable Inputs	September 30, 2014				December 31, 2013
	(in millions)
Receivables held for sale carried at fair value:
Real estate secured	$	842	$	2,047	Third party appraisal valuation based on	Collateral loss severity rates(1)	0	%	-	87%	0	%	-	93	%
					estimated loss severities, including collateral values, cash flows and	Expenses incurred through collateral disposition	5	%	-	10%	5	%	-	10	%
					market discount rate	Market discount rate	4	%	-	8%	6	%	-	10%

⁽¹⁾  The majority of the real estate secured receivables held for sale consider collateral value, among other items, in determining fair value. Collateral values are based on the most recently available broker's price opinion and the collateral loss severity rates averaged 18 percent and 21 percent at September 30, 2014 and December 31, 2013, respectively. In the current market conditions, investors also take into consideration the fact that the most recently available broker's price opinion may not capture all of the home price appreciation due to the timing of the receipt of the opinion.