XML 43 R30.htm IDEA: XBRL DOCUMENT v3.24.2
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Valuation of Financial Instruments that are Marked-to-Market on Recurring Basis

The following table summarizes the valuation of our financial instruments that are marked-to-market on a recurring basis. During the second-quarters of 2024 and 2023, there were no significant transfers of financial instruments between levels.

 

 

 

Fair Value Measurements on a Recurring Basis

 

 

 

June 30, 2024

 

 

December 31, 2023

 

(Dollars in millions)

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative instruments:(1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

—

 

 

$

32

 

 

$

—

 

 

$

32

 

 

$

—

 

 

$

55

 

 

$

—

 

 

$

55

 

Cross-currency interest rate swaps

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Total derivative assets(2)

 

 

—

 

 

 

32

 

 

 

—

 

 

 

32

 

 

 

—

 

 

 

55

 

 

 

—

 

 

 

55

 

Total

 

$

—

 

 

$

32

 

 

$

—

 

 

$

32

 

 

$

—

 

 

$

55

 

 

$

—

 

 

$

55

 

Liabilities(3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative instruments(1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

—

 

 

$

—

 

 

$

(1

)

 

$

(1

)

 

$

—

 

 

$

—

 

 

$

(1

)

 

$

(1

)

Floor Income Contracts

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Cross-currency interest rate swaps

 

 

—

 

 

 

—

 

 

 

(222

)

 

 

(222

)

 

 

—

 

 

 

—

 

 

 

(189

)

 

 

(189

)

Total derivative liabilities(2)

 

 

—

 

 

 

—

 

 

 

(223

)

 

 

(223

)

 

 

—

 

 

 

—

 

 

 

(190

)

 

 

(190

)

Total

 

$

—

 

 

$

—

 

 

$

(223

)

 

$

(223

)

 

$

—

 

 

$

—

 

 

$

(190

)

 

$

(190

)

 

(1)
Fair value of derivative instruments excludes accrued interest and the value of collateral.
(2)
See "Note 4 – Derivative Financial Instruments" for a reconciliation of gross positions without the impact of master netting agreements to the balance sheet classification.
(3)
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

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.

 

 

Three Months Ended June 30,

 

 

 

2024

 

 

2023

 

 

 

Derivative instruments

 

 

Derivative instruments

 

(Dollars in millions)

 

Interest
Rate Swaps

 

 

Cross
Currency
Interest
Rate Swaps

 

 

Other

 

 

Total
Derivative
Instruments

 

 

Interest
Rate Swaps

 

 

Cross
Currency
Interest
Rate Swaps

 

 

Other

 

 

Total
Derivative
Instruments

 

Balance, beginning of
   period

 

$

(1

)

 

$

(223

)

 

$

—

 

 

$

(224

)

 

$

(2

)

 

$

(224

)

 

$

—

 

 

$

(226

)

Total gains/(losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings(1)

 

 

—

 

 

 

(9

)

 

 

—

 

 

 

(9

)

 

 

—

 

 

 

(22

)

 

 

—

 

 

 

(22

)

Included in other comprehensive income

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Settlements

 

 

—

 

 

 

10

 

 

 

—

 

 

 

10

 

 

 

—

 

 

 

12

 

 

 

—

 

 

 

12

 

Transfers in and/or out
  of level 3

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Balance, end of period

 

$

(1

)

 

$

(222

)

 

$

—

 

 

$

(223

)

 

$

(2

)

 

$

(234

)

 

$

—

 

 

$

(236

)

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

 

$

—

 

 

$

1

 

 

$

—

 

 

$

1

 

 

$

—

 

 

$

(10

)

 

$

—

 

 

$

(10

)

 

 

 

Six Months Ended June 30,

 

 

 

2024

 

 

2023

 

 

 

Derivative instruments

 

 

Derivative instruments

 

(Dollars in millions)

 

Interest
Rate Swaps

 

 

Cross
Currency
Interest
Rate Swaps

 

 

Other

 

 

Total
Derivative
Instruments

 

 

Interest
Rate Swaps

 

 

Cross
Currency
Interest
Rate Swaps

 

 

Other

 

 

Total
Derivative
Instruments

 

Balance, beginning of
   period

 

$

(1

)

 

$

(189

)

 

$

—

 

 

$

(190

)

 

$

(2

)

 

$

(253

)

 

$

—

 

 

$

(255

)

Total gains/(losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings(1)

 

 

—

 

 

 

(53

)

 

 

—

 

 

 

(53

)

 

 

—

 

 

 

(6

)

 

 

—

 

 

 

(6

)

Included in other comprehensive income

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Settlements

 

 

—

 

 

 

20

 

 

 

—

 

 

 

20

 

 

 

—

 

 

 

25

 

 

 

—

 

 

 

25

 

Transfers in and/or out
  of level 3

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Balance, end of period

 

$

(1

)

 

$

(222

)

 

$

—

 

 

$

(223

)

 

$

(2

)

 

$

(234

)

 

$

—

 

 

$

(236

)

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

 

$

—

 

 

$

(33

)

 

$

—

 

 

$

(33

)

 

$

—

 

 

$

19

 

 

$

—

 

 

$

19

 

 

(1)
“Included in earnings” is comprised of the following amounts recorded in the specified line item in the consolidated statements of income:

 

 

 

Three Months Ended June 30,

 

 

Six Months Ended June 30,

 

(Dollars in millions)

 

2024

 

 

2023

 

 

2024

 

 

2023

 

Gains (losses) on derivative and hedging activities, net

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Interest expense

 

 

(9

)

 

 

(22

)

 

 

(53

)

 

 

(6

)

Total

 

$

(9

)

 

$

(22

)

 

$

(53

)

 

$

(6

)

(2)
Recorded in “gains (losses) on derivative and hedging activities, net” in the consolidated statements of income.
Included in Earnings
(1)
“Included in earnings” is comprised of the following amounts recorded in the specified line item in the consolidated statements of income:

 

 

 

Three Months Ended June 30,

 

 

Six Months Ended June 30,

 

(Dollars in millions)

 

2024

 

 

2023

 

 

2024

 

 

2023

 

Gains (losses) on derivative and hedging activities, net

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Interest expense

 

 

(9

)

 

 

(22

)

 

 

(53

)

 

 

(6

)

Total

 

$

(9

)

 

$

(22

)

 

$

(53

)

 

$

(6

)
Unobservable Data Used in Recurring Valuations of Level 3

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 June 30, 2024

 

 

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

 

.08%

Cross-currency interest rate swaps

 

 

(222

)

 

Discounted cash flow

 

Constant Prepayment Rate

 

5%

Other

 

 

—

 

 

 

 

 

 

 

Total

 

$

(223

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
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.

 

 

June 30, 2024

 

 

December 31, 2023

 

(Dollars in millions)

 

Fair
Value

 

 

Carrying
Value

 

 

Difference

 

 

Fair
Value

 

 

Carrying
Value

 

 

Difference

 

Earning assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FFELP Loans

 

$

32,555

 

 

$

32,940

 

 

$

(385

)

 

$

36,590

 

 

$

37,925

 

 

$

(1,335

)

Private Education Loans

 

 

15,701

 

 

 

16,238

 

 

 

(537

)

 

 

16,287

 

 

 

16,902

 

 

 

(615

)

Cash and investments

 

 

4,138

 

 

 

4,138

 

 

 

—

 

 

 

2,939

 

 

 

2,939

 

 

 

—

 

Total earning assets

 

 

52,394

 

 

 

53,316

 

 

 

(922

)

 

 

55,816

 

 

 

57,766

 

 

 

(1,950

)

Interest-bearing liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-term borrowings

 

 

5,348

 

 

 

5,326

 

 

 

(22

)

 

 

4,237

 

 

 

4,226

 

 

 

(11

)

Long-term borrowings

 

 

46,274

 

 

 

47,545

 

 

 

1,271

 

 

 

51,566

 

 

 

53,402

 

 

 

1,836

 

Total interest-bearing liabilities

 

 

51,622

 

 

 

52,871

 

 

 

1,249

 

 

 

55,803

 

 

 

57,628

 

 

 

1,825

 

Derivative financial instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floor Income Contracts

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Interest rate swaps

 

 

31

 

 

 

31

 

 

 

—

 

 

 

54

 

 

 

54

 

 

 

—

 

Cross-currency interest rate swaps

 

 

(222

)

 

 

(222

)

 

 

—

 

 

 

(189

)

 

 

(189

)

 

 

—

 

Other

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Excess of net asset fair value over carrying value

 

 

 

 

 

 

 

$

327

 

 

 

 

 

 

 

 

$

(125

)