XML 51 R36.htm IDEA: XBRL DOCUMENT v3.24.0.1
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
Valuation of Financial Instruments that are Marked-to-Market on Recurring Basis

11. Fair Value Measurements (Continued)

The following table summarizes the valuation of our financial instruments that are marked-to-market on a recurring basis. During 2023 and 2022, there were no significant transfers of financial instruments between levels.

 

 

Fair Value Measurements on a Recurring Basis

 

 

 

December 31, 2023

 

 

December 31, 2022

 

(Dollars in millions)

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative instruments:(1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

 

—

 

 

 

55

 

 

 

—

 

 

 

55

 

 

 

—

 

 

 

55

 

 

 

1

 

 

 

56

 

Cross-currency interest rate swaps

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Total derivative assets(2)

 

 

—

 

 

 

55

 

 

 

—

 

 

 

55

 

 

 

—

 

 

 

55

 

 

 

1

 

 

 

56

 

Total

 

$

—

 

 

$

55

 

 

$

—

 

 

$

55

 

 

$

—

 

 

$

55

 

 

$

1

 

 

$

56

 

Liabilities(3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative instruments(1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

—

 

 

$

—

 

 

$

(1

)

 

$

(1

)

 

$

—

 

 

$

(2

)

 

$

(3

)

 

$

(5

)

Floor Income Contracts

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Cross-currency interest rate swaps

 

 

—

 

 

 

—

 

 

 

(189

)

 

 

(189

)

 

 

—

 

 

 

—

 

 

 

(253

)

 

 

(253

)

Total derivative liabilities(2)

 

 

—

 

 

 

—

 

 

 

(190

)

 

 

(190

)

 

 

—

 

 

 

(2

)

 

 

(256

)

 

 

(258

)

Total

 

$

—

 

 

$

—

 

 

$

(190

)

 

$

(190

)

 

$

—

 

 

$

(2

)

 

$

(256

)

 

$

(258

)

(1)
Fair value of derivative instruments excludes accrued interest and the value of collateral.
(2)
See “Note 7 — Derivative Financial Instruments" for a reconciliation of gross positions without the impact of master netting agreements to the balance sheet classification.
Borrowings which are the hedged item in a fair value hedge relationship and which are adjusted for changes in value due to benchmark interest rates only are not carried at full fair value and not reflected in this table.
Change in Balance Sheet Carrying Value Associated with Level 3 Financial Instruments Carried at Fair Value on Recurring Basis

11. Fair Value Measurements (Continued)

The following tables summarize the change in balance sheet carrying value associated with level 3 financial instruments carried at fair value on a recurring basis.

 

 

Year Ended December 31, 2023

 

 

 

Derivative Instruments

 

(Dollars in millions)

 

Interest
Rate Swaps

 

 

Cross
Currency
Interest
Rate Swaps

 

 

Other

 

 

Total
Derivative
Instruments

 

Balance, beginning of period

 

$

(2

)

 

$

(253

)

 

$

—

 

 

$

(255

)

Total gains/(losses):

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings(1)

 

 

1

 

 

 

17

 

 

 

—

 

 

 

18

 

Included in other comprehensive income

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Settlements

 

 

—

 

 

 

47

 

 

 

—

 

 

 

47

 

Transfers in and/or out of level 3

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Balance, end of period

 

$

(1

)

 

$

(189

)

 

$

—

 

 

$

(190

)

Change in mark-to-market gains/(losses) relating to instruments
   still held at the reporting date(2)

 

$

1

 

 

$

64

 

 

$

—

 

 

$

65

 

 

 

Year Ended December 31, 2022

 

 

 

Derivative Instruments

 

(Dollars in millions)

 

Interest
Rate Swaps

 

 

Cross
Currency
Interest
Rate Swaps

 

 

Other

 

 

Total
Derivative
Instruments

 

Balance, beginning of period

 

$

(4

)

 

$

(190

)

 

$

—

 

 

$

(194

)

Total gains/(losses):

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings(1)

 

 

1

 

 

 

(105

)

 

 

—

 

 

 

(104

)

Included in other comprehensive income

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Settlements

 

 

1

 

 

 

42

 

 

 

—

 

 

 

43

 

Transfers in and/or out of level 3

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Balance, end of period

 

$

(2

)

 

$

(253

)

 

$

—

 

 

$

(255

)

Change in mark-to-market gains/(losses) relating to
   instruments still held at the reporting date(2)

 

$

1

 

 

$

(63

)

 

$

—

 

 

$

(62

)

 

 

Year Ended December 31, 2021

 

 

 

Derivative Instruments

 

(Dollars in millions)

 

Interest
Rate Swaps

 

 

Cross
Currency
Interest
Rate Swaps

 

 

Other

 

 

Total
Derivative
Instruments

 

Balance, beginning of period

 

$

(8

)

 

$

(294

)

 

$

—

 

 

$

(302

)

Total gains/(losses):

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings(1)

 

 

3

 

 

 

81

 

 

 

—

 

 

 

84

 

Included in other comprehensive income

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Settlements

 

 

1

 

 

 

23

 

 

 

—

 

 

 

24

 

Transfers in and/or out of level 3

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Balance, end of period

 

$

(4

)

 

$

(190

)

 

$

—

 

 

$

(194

)

Change in mark-to-market gains/(losses) relating to
   instruments still held at the reporting date(2)

 

$

3

 

 

$

(157

)

 

$

—

 

 

$

(154

)

“Included in earnings” is comprised of the following amounts recorded in the specified line item in the consolidated statements of income:
Included in Earnings

 

 

Years Ended December 31,

 

(Dollars in millions)

 

2023

 

 

2022

 

 

2021

 

Gains (losses) on derivative and hedging activities, net

 

$

1

 

 

$

1

 

 

$

3

 

Interest expense

 

 

17

 

 

 

(105

)

 

 

81

 

Total

 

$

18

 

 

$

(104

)

 

$

84

 

 

Recorded in “gains (losses) on derivative and hedging activities, net” in the consolidated statements of income.
Unobservable Data Used in Recurring Valuations of Level 3

11. Fair Value Measurements (Continued)

The following table presents the significant inputs that are unobservable or from inactive markets used in the recurring valuations of the level 3 financial instruments detailed above.

(Dollars in millions)

 

Fair Value at
December 31, 2023

 

 

Valuation
Technique

 

Input

 

Range and
Weighted Average

Derivatives

 

 

 

 

 

 

 

 

 

Prime basis swaps

 

$

(1

)

 

Discounted cash flow

 

Constant Prepayment Rate

 

10%

 

 

 

 

 

 

 

Bid/ask adjustment to
discount rate

 

0.08%

Cross-currency interest rate swaps

 

 

(189

)

 

Discounted cash flow

 

Constant Prepayment Rate

 

5%

Other

 

 

—

 

 

 

 

 

 

 

Total

 

$

(190

)

 

 

 

 

 

 
Fair Values of Financial Assets and Liabilities, Including Derivative Financial Instruments

The following table summarizes the fair values of our financial assets and liabilities, including derivative financial instruments.

 

 

December 31, 2023

 

 

December 31, 2022

 

(Dollars in millions)

 

Fair Value

 

 

Carrying
Value

 

 

Difference

 

 

Fair Value

 

 

Carrying
Value

 

 

Difference

 

Earning assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FFELP Loans

 

$

36,590

 

 

$

37,925

 

 

$

(1,335

)

 

$

41,426

 

 

$

43,525

 

 

$

(2,099

)

Private Education Loans

 

 

16,287

 

 

 

16,902

 

 

 

(615

)

 

 

17,880

 

 

 

18,725

 

 

 

(845

)

Cash and investments

 

 

2,939

 

 

 

2,939

 

 

 

—

 

 

 

4,974

 

 

 

4,974

 

 

 

—

 

Total earning assets

 

 

55,816

 

 

 

57,766

 

 

 

(1,950

)

 

 

64,280

 

 

 

67,224

 

 

 

(2,944

)

Interest-bearing liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-term borrowings

 

 

4,237

 

 

 

4,226

 

 

 

(11

)

 

 

5,879

 

 

 

5,870

 

 

 

(9

)

Long-term borrowings

 

 

51,566

 

 

 

53,402

 

 

 

1,836

 

 

 

57,652

 

 

 

61,026

 

 

 

3,374

 

Total interest-bearing liabilities

 

 

55,803

 

 

 

57,628

 

 

 

1,825

 

 

 

63,531

 

 

 

66,896

 

 

 

3,365

 

Derivative financial instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floor Income Contracts

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Interest rate swaps

 

 

54

 

 

 

54

 

 

 

—

 

 

 

51

 

 

 

51

 

 

 

—

 

Cross-currency interest rate swaps

 

 

(189

)

 

 

(189

)

 

 

—

 

 

 

(253

)

 

 

(253

)

 

 

—

 

Other

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Excess of net asset fair value over
   carrying value

 

 

 

 

 

 

 

$

(125

)

 

 

 

 

 

 

 

$

421