Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2012

Fair Value Option and Fair Value Measurements [Abstract]

Carrying and estimated fair value

	June 30, 2012										December 31, 2011
	Carrying Value		Fair Value		Level 1		Level 2		Level 3		Carrying Value		Fair Value
	(in millions)
Financial assets:
Cash	$	967	$	967	$	967	$	-	$	-	$	215	$	215
Interest bearing deposits with banks		2,830		2,830		-		2,830		-		1,140		1,140
Securities purchased under agreement to resell		1,697		1,697		-		1,697		-		920		920
Securities		151		151		39		112		-		188		188
Consumer receivables:
Real estate secured:
First lien		27,846		19,950		-		-		19,950		34,960		24,438
Second lien		3,427		1,094		-		-		1,094		3,828		1,110
Total real estate secured		31,273		21,044		-		-		21,044		38,788		25,548
Personal non-credit card		-		-		-		-		-		4,308		3,180
Total consumer receivables		31,273		21,044		-		-		21,044		43,096		28,728
Receivables held for sale		6,756		6,756		-		-		6,756		-		-
Due from affiliates		101		101		-		101		-		124		124
Derivative financial assets		183		183		-		183		-		-		-
Financial liabilities:
Commercial paper	$	302	$	302	$	-	$	302	$	-	$	4,026	$	4,026
Due to affiliates carried at fair value		466		466		-		466		-		447		447
Due to affiliates		7,564		7,444		-		7,444		-		7,815		7,514
Long-term debt carried at fair value		11,288		11,288		-		11,288		-		13,664		13,664
Long-term debt not carried at fair value		22,302		22,088		-		19,404		2,684		26,126		25,090
Derivative financial liabilities		-		-		-		-		-		26		26

Fair value of assets and liabilities on recurring basis

	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, 2012:
Derivative financial assets:
Interest rate swaps	$	-	$	617		$	-	$	-		$	617
Currency swaps		-		1,185			-		-			1,185
Derivative netting		-		-			-		(1,619	)		(1,619	)
Total derivative financial assets		-		1,802			-		(1,619	)		183
Available-for-sale securities:
U.S. government sponsored enterprises		-		1			-		-			1
U.S. corporate debt securities		-		62			-		-			62
Foreign debt securities:
Government		-		3			-		-			3
Corporate		-		45			-		-			45
Equity securities		10		-			-		-			10
Money market funds		29		-			-		-			29
Accrued interest		-		1			-		-			1
Total available-for-sale securities		39		112			-		-			151
Total assets	$	39	$	1,914		$	-	$	(1,619	)	$	334
Due to affiliates carried at fair value	$	-	$	(466	)	$	-	$	-		$	(466	)
Long-term debt carried at fair value		-		(11,288	)		-		-			(11,288	)
Derivative related liabilities:
Interest rate swaps		-		(1,748	)		-		-			(1,748	)
Currency swaps		-		(221	)		-		-			(221	)
Derivative netting		-		-			-		1,969			1,969
Total derivative related liabilities		-		(1,969	)		-		1,969			-
Total liabilities	$	-	$	(13,723	)	$	-	$	1,969		$	(11,754	)

	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, 2011:
Derivative financial assets:
Interest rate swaps	$	-	$	973		$	-	$	-		$	973
Currency swaps		-		1,503			-		-			1,503
Derivative netting		-		-			-		(2,476	)		(2,476	)
Total derivative financial assets		-		2,476			-		(2,476	)		-
Available-for-sale securities:
U.S. Treasury		80		-			-		-			80
U.S. government sponsored enterprises		-		1			-		-			1
U.S. corporate debt securities		-		57			-		-			57
Foreign debt securities:
Corporate		-		26			-		-			26
Equity securities		10		-			-		-			10
Money market funds		13		-			-		-			13
Accrued interest		-		1			-					1
Total available-for-sale securities		103		85			-		-			188
Total assets	$	103	$	2,561		$	-	$	(2,476	)	$	188
Due to affiliates carried at fair value	$	-	$	(447	)	$	-	$	-		$	(447	)
Long-term debt carried at fair value		-		(13,664	)		-		-			(13,664	)
Derivative related liabilities:
Interest rate swaps		-		(1,762	)		-		-			(1,762	)
Currency swaps		-		(163	)		-		-			(163	)
Foreign Exchange Forward		-		(3	)		-		-			(3	)
Derivative netting		-		-					1,902			1,902
Total derivative related liabilities		-		(1,928	)		-		1,902			(26	)
Total liabilities	$	-	$	(16,039	)	$	-	$	1,902		$	(14,137	)

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

Rating of U.S. corporate debt securities

	Level 2		Level 3		Total
			(in millions)
June 30, 2012:
AAA to AA (1)	$	17	$	-	$	17
A+ to A- (1)		41		-		41
BBB+ to Unrated (1)		4		-		4
December 31, 2011:
AAA to AA (1)	$	26	$	-	$	26
A+ to A- (1)		25		-		25
BBB+ to Unrated (1)		6		-		6

⁽¹⁾  We obtain ratings on our U.S. corporate debt securities from Moody’s Investor Services, Standard and Poor’s Corporation and Fitch Ratings. In the event the ratings we obtain from these agencies differ, we utilize the lower of the three ratings.

Beginning and ending balances for assets recorded at fair value using significant unobservable inputs

			Total Gains and (Losses) Included in
	Apr. 1, 2011		Income		Other Comp. Income			Purchases		Issuances		Settlement		Transfers Into Level 3		Transfers Out of Level 3		June 30, 2011		Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Securities available-for-sale:
Asset-backed securities	$	17	$	-	$	(2	)	$	-	$	-	$	-	$	-	$	-	$	15	$	(2	)
Total assets	$	17	$	-	$	(2	)	$	-	$	-	$	-	$	-	$	-	$	15	$	(2	)

			Total Gains and (Losses) Included in
	Jan. 1, 2011		Income		Other Comp. Income			Purchases		Issuances		Settlement		Transfers Into Level 3		Transfers Out of Level 3		June 30, 2011		Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Securities available-for-sale:
Asset-backed securities	$	18	$	-	$	(3	)	$	-	$	-	$	-	$	-	$	-	$	15	$	(1	)
Total assets	$	18	$	-	$	(3	)	$	-	$	-	$	-	$	-	$	-	$	15	$	(1	)

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

	Non-Recurring Fair  Value Measurements as of June 30, 2012								Total Gains (Losses) for the Three Months Ended June  30, 2012			Total Gains (Losses) for the Six Months Ended June  30, 2012
	Level 1		Level 2		Level 3		Total
	(in millions)
Receivables held for sale:
Real estate secured	$	-	$	-	$	3,287	$	3,287	$	(1,349	)	$	(1,349	)
Personal non-credit card		-		-		3,469		3,469		(310	)		(310	)
Total receivables held for sale		-		-		6,756		6,756		(1,659	)		(1,659	)
Real estate owned (1)		-		253		-		253		(27	)		(53	)
Total assets at fair value on a non-recurring basis	$	-	$	253	$	6,756	$	7,009	$	(1,686	)	$	(1,712	)

	Non-Recurring Fair  Value Measurements as of June 30, 2011								Total Gains (Losses) for the Three Months Ended June  30, 2011			Total Gains (Losses) for the Six Months Ended June  30, 2011
	Level 1		Level 2		Level 3		Total
	(in millions)
Real estate secured receivables held for sale at fair value	$	-	$	-	$	5	$	5	$	-		$	1
Real estate owned (1)		-		625		-		625		(39	)		(114	)
Total assets at fair value on a non-recurring basis	$	-	$	625	$	5	$	630	$	(39	)	$	(113	)

⁽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.

Quantitative information for non-recurring fair value measurements

Financial Instrument Type	Fair Value (in millions)	Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Real estate secured receivables held for sale at fair value	$3,287	Third party appraisal valuation based on estimated loss severities, including collateral values, cash flows and market discount rate	Loss severity rates Market discount rate	25%-75% 10%-15%
Personal non-credit card receivables held for sale at fair value	$3,469	Third party appraisal valuation based on estimated loss rates, cash flows and market discount rate	Loss rate	13%-21%
			Market discount rate	10%-15%