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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2016
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, 2016 and December 31, 2015.
 
September 30, 2016
 
Carrying
Value
 
Estimated
Fair Value
 
Level 1
 
Level 2
 
Level 3
 
(in millions)
Financial assets:
 
 
 
 
 
 
 
 
 
Cash
$
120

 
$
120

 
$
120

 
$
—

 
$
—

Securities purchased under agreements to resell
824

 
824

 
—

 
824

 
—

Real estate secured receivables held for sale
10,148

 
10,257

 
—

 
757

 
9,500

Due from affiliates
78

 
78

 
—

 
78

 
—

Financial liabilities:
 
 
 
 
 
 
 
 
 
Due to affiliates carried at fair value
497

 
497

 
—

 
497

 
—

Due to affiliates not carried at fair value
4,327

 
4,425

 
—

 
4,425

 
—

Long-term debt carried at fair value
1,431

 
1,431

 
—

 
1,431

 
—

Long-term debt not carried at fair value
3,063

 
3,469

 
—

 
3,469

 
—


 
December 31, 2015
 
Carrying
Value
 
Estimated
Fair Value
 
Level 1
 
Level 2
 
Level 3
 
(in millions)
Financial assets:
 
 
 
 
 
 
 
 
 
Cash
$
124

 
$
124

 
$
124

 
$
—

 
$
—

Securities purchased under agreements to resell
2,724

 
2,724

 
—

 
2,724

 
—

Real estate secured receivables held for investment(1):
 
 
 
 
 
 
 
 
 
First lien
7,237

 
7,174

 
—

 
—

 
7,174

Second lien
1,750

 
1,156

 
—

 
—

 
1,156

Total real estate secured receivables held for investment
8,987

 
8,330

 
—

 
—

 
8,330

Real estate secured receivables held for sale
8,265

 
8,668

 
—

 
—

 
8,668

Due from affiliates
128

 
128

 
—

 
128

 
—

Financial liabilities:
 
 
 
 
 
 
 
 
 
Due to affiliates carried at fair value
496

 
496

 
—

 
496

 
—

Due to affiliates not carried at fair value
5,429

 
5,693

 
—

 
5,693

 
—

Long-term debt carried at fair value
3,257

 
3,257

 
—

 
3,257

 
—

Long-term debt not carried at fair value
6,253

 
6,664

 
—

 
6,664

 
—

 
(1) 
The receivable held for investment carrying value included in this table reflects the principal amount outstanding on the loan net of any charge-off recorded in accordance with our existing charge-off policies and includes certain basis adjustments to the loan such as unearned income, unamortized deferred fees and costs on originated loans, purchase accounting fair value adjustments and premiums or discounts on purchased loans. The receivable held for investment carrying value included in this table also includes accrued finance charges and is net of credit loss reserves. However, the basis adjustments on the loans, accrued finance charges and credit loss reserves are excluded in other presentations of dollars of two-months-and-over contractual delinquency, nonaccrual receivable and nonperforming receivables held for investment account balances.
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 at September 30, 2016 and December 31, 2015, 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, 2016:
 
 
 
 
 
 
 
 
 
Derivative financial assets:
 
 
 
 
 
 
 
 
 
Currency swaps
$
—

 
$
40

 
$
—

 
$
—

 
$
40

Derivative netting
—

 
—

 
—

 
(40
)
 
(40
)
Total derivative financial assets
—

 
40

 
—

 
(40
)
 
—

Total assets
$
—

 
$
40

 
$
—

 
$
(40
)
 
$
—

Due to affiliates carried at fair value
$
—

 
$
(497
)
 
$
—

 
$
—

 
$
(497
)
Long-term debt carried at fair value
—

 
(1,431
)
 
—

 
—

 
(1,431
)
Derivative related liabilities:
 
 
 
 
 
 
 
 
 
Currency swaps
—

 
(247
)
 
—

 
—

 
(247
)
Derivative netting
—

 
—

 
—

 
229

 
229

Total derivative related liabilities
—

 
(247
)
 
—

 
229

 
(18
)
Total liabilities
$
—

 
$
(2,175
)
 
$
—

 
$
229

 
$
(1,946
)
December 31, 2015:
 
 
 
 
 
 
 
 
 
Derivative financial assets:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
—

 
$
24

 
$
—

 
$
—

 
$
24

Currency swaps
—

 
111

 
—

 
—

 
111

Derivative netting
—

 
—

 
—

 
(135
)
 
(135
)
Total derivative financial assets
—

 
135

 
—

 
(135
)
 
—

Total assets
$
—

 
$
135

 
$
—

 
$
(135
)
 
$
—

Due to affiliates carried at fair value
$
—

 
$
(496
)
 
$
—

 
$
—

 
$
(496
)
Long-term debt carried at fair value
—

 
(3,257
)
 
—

 
—

 
(3,257
)
Derivative related liabilities:
 
 
 
 
 
 
 
 
 
Interest rate swaps
—

 
(304
)
 
—

 
—

 
(304
)
Currency swaps
—

 
(379
)
 
—

 
—

 
(379
)
Derivative netting
—

 
—

 
—

 
626

 
626

Total derivative related liabilities
—

 
(683
)
 
—

 
626

 
(57
)
Total liabilities
$
—

 
$
(4,436
)
 
$
—

 
$
626

 
$
(3,810
)
 
(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 at September 30, 2016 and 2015, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value. Certain of the fair values in the table below were not obtained as of September 30, 2016 or 2015 but during the periods then ended. See Note 2, "Summary of Significant Accounting Policies and New Accounting Pronouncements," in our 2015 Form 10-K for discussion of our policy in measuring fair value.
 
Non-Recurring Fair Value Measurements
 at September 30, 2016
 
Total Gains
(Losses) for the
Three Months Ended
September 30, 2016
 
Total Gains
(Losses) for the
Nine Months Ended September 30, 2016
 
Level 1
 
Level 2
 
Level 3
 
Total
 
 
(in millions)
Real estate secured receivables held for sale
$
—

 
$
757

 
$
9,391

 
$
10,148

 
$
(565
)
 
$
(695
)
Receivables held for investment carried at the lower of amortized cost or fair value of the collateral less cost to sell(1)
—

 
—

 
—

 
—

 
(19
)
 
(50
)
Real estate owned(2)
—

 
55

 
—

 
55

 
(4
)
 
(14
)
Total assets at fair value on a non-recurring basis
$
—

 
$
812

 
$
9,391

 
$
10,203

 
$
(588
)
 
$
(759
)
 
Non-Recurring Fair Value Measurements
 at September 30, 2015
 
Total Gains
(Losses) for the
Three Months Ended
September 30, 2015
 
Total Gains
(Losses) for the
Nine Months Ended September 30, 2015
 
Level 1
 
Level 2
 
Level 3
 
Total
 
 
(in millions)
Real estate secured receivables held for sale
$
—

 
$
1,635

 
$
8,406

 
$
10,041

 
$
(83
)
 
$
(154
)
Receivables held for investment carried at the lower of amortized cost or fair value of the collateral less cost to sell(1)
—

 
328

 
—

 
328

 
(32
)
 
(159
)
Real estate owned(2)
—

 
126

 
—

 
126

 
(7
)
 
(16
)
Total assets at fair value on a non-recurring basis
$
—

 
$
2,089

 
$
8,406

 
$
10,495

 
$
(122
)
 
$
(329
)
 
(1) 
Total gains (losses) for the three and nine months ended September 30, 2016 and 2015 include 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.
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 at September 30, 2016 and December 31, 2015:
 
Fair Value
 
 
 
 
 
Range of Inputs
Financial Instrument Type
Sept. 30, 2016
 
Dec. 31,
 2015
 
Valuation Technique
 
Significant Unobservable Inputs
 
September 30, 2016
 
December 31, 2015
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
 
Receivables held for sale carried at the lower of amortized cost or fair value:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Real estate secured
$
9,391

 
$
8,265

 
Third party appraisal valuation based on
 
Collateral loss severity rates(1)
 
0
%
-
100%
 
0
%
-
100%
 
 
 
 
 
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
%
-
15%
 
4
%
-
14%
 
(1) 
At September 30, 2016 and December 31, 2015, the weighted average collateral loss severity rate was 47 percent and 42 percent, respectively, taking into consideration both expected net cash flows as well as current collateral values.