Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2016

The following table summarizes the carrying values and estimated fair value of our financial instruments at December 31, 2016 and December 31, 2015.



	December 31, 2016
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Cash	$	128	$	128	$	128	$	—	$	—
Interest bearing deposits with banks	1,500		1,500		1,500		—		—
Securities purchased under agreements to resell	2,392		2,392		—		2,392		—
Real estate secured receivables held for sale	5,674		6,129		—		—		6,129
Due from affiliates	114		114		—		114		—
Financial liabilities:
Due to affiliates carried at fair value	485		485		—		485		—
Due to affiliates not carried at fair value	2,815		2,875		—		2,875		—
Long-term debt carried at fair value	1,317		1,317		—		1,317		—
Long-term debt not carried at fair value	3,023		3,359		—		3,359		—
Derivative financial liabilities	12		12		—		12		—



	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		—
Derivative financial liabilities	57		57		—		57		—

⁽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 the presentation of dollars of two-months-and-over contractual delinquency for receivables held for investment, nonaccrual receivables held for investment account balances 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 December 31, 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)
December 31, 2016:
Derivative financial assets:
Currency swaps	$	—	$	15		$	—	$	—		$	15
Derivative netting	—		—			—		(15		)	(15		)
Total derivative financial assets	—		15			—		(15		)	—
Total assets	$	—	$	15		$	—	$	(15	)	$	—
Due to affiliates carried at fair value	$	—	$	(485	)	$	—	$	—		$	(485	)
Long-term debt carried at fair value	—		(1,317		)	—		—			(1,317		)
Derivative related liabilities:
Currency swaps	—		(344		)	—		—			(344		)
Derivative netting	—		—			—		332			332
Total derivative related liabilities	—		(344		)	—		332			(12		)
Total liabilities	$	—	$	(2,146	)	$	—	$	332		$	(1,814	)
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 December 31, 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 December 31, 2016 or 2015 but during the periods then ended. See Note 2, "Summary of Significant Accounting Policies and New Accounting Pronouncements," as well as the summary of our valuation techniques below for discussion of our policy in measuring fair value.



	Non-Recurring Fair Value Measurements at December 31, 2016								Total Gains (Losses) for the Year Ended December 31, 2016
	Level 1		Level 2		Level 3		Total		Total Gains (Losses) for the Year Ended December 31, 2016
	(in millions)
Real estate secured receivables held for sale	$	—	$	—	$	5,674	$	5,674	$	(788	)
Receivables held for investment carried at the lower of amortized cost or fair value of the collateral less cost to sell⁽¹⁾	—		—		—		—		(50		)
Real estate owned⁽²⁾	—		33		—		33		(16		)
Total assets at fair value on a non-recurring basis	$	—	$	33	$	5,674	$	5,707	$	(854	)



	Non-Recurring Fair Value Measurements at December 31, 2015								Total Gains (Losses) for the Year Ended December 31, 2015
	Level 1		Level 2		Level 3		Total		Total Gains (Losses) for the Year Ended December 31, 2015
	(in millions)
Real estate secured receivables held for sale	$	—	$	—	$	8,265	$	8,265	$	(364	)
Receivables held for investment carried at the lower of amortized cost or fair value of the collateral less cost to sell⁽¹⁾	—		326		—		326		(176		)
Real estate owned⁽²⁾	—		103		—		103		(23		)
Total assets at fair value on a non-recurring basis	$	—	$	429	$	8,265	$	8,694	$	(563	)


⁽¹⁾	Total gains (losses) for the years ended December 31, 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 December 31, 2016 and December 31, 2015:



	Fair Value						Range of Inputs
Financial Instrument Type	Dec. 31, 2016		Dec. 31, 2015		Valuation Technique	Significant Unobservable Inputs	December 31, 2016				December 31, 2015
	(in millions)
Real estate secured receivables held for sale	$	5,674	$	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	%	-	14%	4	%	-	14%


⁽¹⁾	At December 31, 2016 and December 31, 2015, the weighted average collateral loss severity rate was 51 percent and 42 percent, respectively, taking into consideration both expected net cash flows as well as current collateral values.