Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2017

The following table summarizes the carrying value and estimated fair value of our financial instruments at June 30, 2017 and December 31, 2016.



	June 30, 2017
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Cash	$	50	$	50	$	50	$	—	$	—
Securities purchased under agreements to resell	5,269		5,269		—		5,269		—
Real estate secured receivables held for sale	1,346		1,478		—		—		1,478
Due from affiliates	98		98		—		98		—
Financial liabilities:
Due to affiliates carried at fair value	487		487		—		487		—
Due to affiliates not carried at fair value	312		337		—		337		—
Long-term debt carried at fair value	250		250		—		250		—
Long-term debt not carried at fair value	2,821		3,166		—		3,166		—



	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		—

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 June 30, 2017 and December 31, 2016, 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)
June 30, 2017:
Derivative financial assets:
Currency swaps	$	—	$	18		$	—	$	—		$	18
Derivative netting	—		—			—		(18		)	(18		)
Total derivative financial assets	—		18			—		(18		)	—
Total assets	$	—	$	18		$	—	$	(18	)	$	—
Due to affiliates carried at fair value	$	—	$	(487	)	$	—	$	—		$	(487	)
Long-term debt carried at fair value	—		(250		)	—		—			(250		)
Derivative related liabilities:
Currency swaps	—		(63		)	—		—			(63		)
Derivative netting	—		—			—		63			63
Total derivative related liabilities	—		(63		)	—		63			—
Total liabilities	$	—	$	(800	)	$	—	$	63		$	(737	)
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	)


⁽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 June 30, 2017 and 2016, 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 June 30, 2017 or 2016 but during the periods then ended. See Note 2, "Summary of Significant Accounting Policies and New Accounting Pronouncements," in our 2016 Form 10-K as well as the summary of our valuation techniques below for discussion of our policy in measuring fair value.



	Non-Recurring Fair Value Measurements June 30, 2017								Total Gains (Losses) for the Three Months Ended June 30, 2017			Total Gains (Losses) for the Six Months Ended June 30, 2017
	Level 1		Level 2		Level 3		Total					Total Gains (Losses) for the Six Months Ended June 30, 2017
	(in millions)
Receivables held for sale	$	—	$	—	$	1,346	$	1,346	$	58		$	171
Real estate owned⁽¹⁾	—		20		—		20		(1		)	(3		)
Total assets at fair value on a non-recurring basis	$	—	$	20	$	1,346	$	1,366	$	57		$	168



	Non-Recurring Fair Value Measurements June 30, 2016								Total Gains (Losses) for the Three Months Ended June 30, 2016			Total Gains (Losses) for the Six Months Ended June 30, 2016
	Level 1		Level 2		Level 3		Total					Total Gains (Losses) for the Six Months Ended June 30, 2016
	(in millions)
Receivables held for sale	$	—	$	707	$	3,089	$	3,796	$	(62	)	$	(130	)
Receivables held for investment carried at the lower of amortized cost or fair value of the collateral less cost to sell⁽²⁾	—		268		—		268		(5		)	(31		)
Real estate owned⁽¹⁾	—		69		—		69		(5		)	(10		)
Total assets at fair value on a non-recurring basis	$	—	$	1,044	$	3,089	$	4,133	$	(72	)	$	(171	)


⁽¹⁾	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.


⁽²⁾	Total gains (losses) for the three and six months ended June 30, 2016 include amounts recorded on receivables that were subsequently transferred to held for sale.

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 June 30, 2017 and December 31, 2016:



	Fair Value						Range of Inputs
Financial Instrument Type	June 30, 2017		Dec. 31, 2016		Valuation Technique	Significant Unobservable Inputs	June 30, 2017				December 31, 2016
	(in millions)
Receivables held for sale	$	1,346	$	5,674	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 June 30, 2017 and December 31, 2016, the weighted average collateral loss severity rate was 44 percent and 51 percent, respectively, taking into consideration both expected net cash flows as well as current collateral values.