XML 86 R62.htm IDEA: XBRL DOCUMENT v3.3.1.900
Derivative Instruments And Hedging Activities (Tables)
 12 Months Ended
Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value Amounts Of Derivative Instruments Reported On Our Consolidated Balance Sheet [Table Text Block]
The following table summarizes the fair value amounts of derivative instruments reported on our Consolidated Balance Sheet. The fair value amounts are presented on a gross basis, are segregated by derivatives that are designated and qualifying as hedging instruments or those that are not, and are further segregated by type of contract within those two categories. Notional amounts are reference amounts from which contractual obligations are derived and are not recorded on the balance sheet. In our view, derivative notional is not an accurate measure of our derivative exposure when viewed in isolation from other factors, such as market rate fluctuations and counterparty credit risk.
 
 
2015
 
2014
 
 
Derivative contracts in a
 
Notional amount
 
Derivative contracts in a
 
Notional amount
December 31, ($ in millions)
 
receivable position (a)
 
payable position (b)
 
receivable position (a)
 
payable position (b)
 
Derivatives qualifying for hedge accounting
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
Swaps (c) (d) (e)
 
$
126

 
$
9

 
$
14,151

 
$
118

 
$
7

 
$
18,554

Foreign exchange contracts
 
 
 
 
 
 
 
 
 
 
 
 
Forwards
 
—

 
1

 
189

 
—

 
—

 
210

Total derivatives qualifying for hedge accounting
 
126

 
10

 
14,340

 
118

 
7

 
18,764

Economic hedges
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 
30

 
51

 
6,101

 
40

 
65

 
11,979

Futures and forwards
 
2

 
2

 
1,905

 
4

 
2

 
18,886

Written options
 
—

 
72

 
18,220

 
—

 
94

 
14,823

Purchased options
 
73

 
—

 
18,240

 
94

 
—

 
15,159

Total interest rate risk
 
105

 
125

 
44,466

 
138

 
161

 
60,847

Foreign exchange contracts
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 
—

 
—

 
—

 
—

 
74

 
1,210

Futures and forwards
 
—

 
—

 
278

 
5

 
4

 
304

Total foreign exchange risk
 
—

 
—

 
278

 
5

 
78

 
1,514

Equity contracts
 
 
 
 
 
 
 
 
 
 
 
 
Forwards
 
—

 
9

 
32

 
—

 
3

 
74

Written options
 
—

 
1

 
—

 
—

 
3

 
1

Purchased options
 
2

 
—

 
—

 
2

 
—

 
—

Total equity risk
 
2

 
10

 
32

 
2

 
6

 
75

Total economic hedges
 
107

 
135

 
44,776

 
145

 
245

 
62,436

Total derivatives
 
$
233

 
$
145

 
$
59,116

 
$
263

 
$
252

 
$
81,200

(a)
Derivative contracts in a receivable position are classified as other assets on the Consolidated Balance Sheet, and includes accrued interest of $46 million and $50 million at December 31, 2015, and 2014, respectively.
(b)
Derivative contracts in a liability position are classified as accrued expenses and other liabilities on the Consolidated Balance Sheet, and includes accrued interest of $12 million and $17 million at December 31, 2015, and 2014, respectively.
(c)
Includes fair value hedges consisting of receive-fixed swaps on fixed-rate debt obligations with $112 million and $97 million in a receivable position, $3 million and $1 million in a payable position, and a $6.8 billion and $4.7 billion notional amount at December 31, 2015, and December 31, 2014, respectively. Of the hedge notional amount at December 31, 2015, $2.6 billion is associated with debt maturing in five or more years.
(d)
Other fair value hedges include pay-fixed swaps on portfolios of held-for-investment automotive loan assets with $13 million and $21 million in a receivable position, $3 million and $6 million in a payable position, and a $6.8 billion and $13.9 billion notional amount at December 31, 2015, and December 31, 2014, respectively.
(e)
Fair value hedges were executed during the fourth quarter consisting of receive-fixed swaps on fixed-rate secured debt obligations (FHLB Advances) with $1 million in a receivable position, $2 million in a payable position, and a $500 million notional amount at December 31, 2015.
Gains and Losses on Derivative Instruments Reported in our Consolidated Statement of Income [Table Text Block]
The following table summarizes the location and amounts of gains and losses on derivative instruments reported in our Consolidated Statement of Income.
Year ended December 31, ($ in millions)
 
2015
 
2014
 
2013
Derivatives qualifying for hedge accounting
 
 
 
 
 
 
(Loss) gain recognized in earnings on derivatives
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
Interest and fees on finance receivables and loans (a)
 
$
(9
)
 
$
15

 
$
7

Interest on long-term debt (b) (c)
 
35

 
199

 
(389
)
Gain (loss) recognized in earnings on hedged items
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
Interest and fees on finance receivables and loans (d)
 
39

 
34

 
2

Interest on long-term debt (e)
 
(30
)
 
(185
)
 
402

Total derivatives qualifying for hedge accounting
 
35

 
63

 
22

Economic derivatives
 
 
 
 
 
 
(Loss) gain recognized in earnings on derivatives
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
Servicing asset valuation and hedge activities, net
 
—

 
—

 
(112
)
Loss on mortgage and automotive loans, net
 
(2
)
 
—

 
(37
)
Other income, net of losses
 
(17
)
 
(37
)
 
14

Total interest rate contracts
 
(19
)
 
(37
)
 
(135
)
Foreign exchange contracts (f)
 
 
 
 
 
 
Interest on long-term debt
 
(139
)
 
(172
)
 
94

Other income, net of losses
 
12

 
12

 
24

Total foreign exchange contracts
 
(127
)
 
(160
)
 
118

Equity contracts
 
 
 
 
 
 
Compensation and benefits expense
 
(10
)
 
(5
)
 
—

Total equity contracts
 
(10
)
 
(5
)
 
—

(Loss) gain recognized in earnings on derivatives
 
$
(121
)
 
$
(139
)
 
$
5

(a)
Amounts exclude losses related to interest for qualifying accounting hedges of portfolios of retail automotive loans held-for-investment, which are primarily offset by the fixed coupon payments of the loans. The losses were $64 million, $61 million, and $9 million for the years ended December 31, 2015, and 2014, and 2013, respectively.
(b)
Amounts exclude gains related to interest for qualifying accounting hedges of debt, which are primarily offset by the fixed coupon payment on the long-term debt. The gains were $97 million, $112 million, and $131 million for the years ended December 31, 2015, 2014, and 2013, respectively.
(c)
Amounts exclude gains related to interest for qualifying accounting hedges of secured debt (FHLB Advances), which are primarily offset by the fixed coupon payment on the long-term debt. The gains were $1 million for the year ended December 31, 2015.
(d)
Amounts exclude losses related to amortization of deferred loan basis adjustments on the de-designated hedged item of $8 million for the year ended December 31, 2015.
(e)
Amounts exclude gains related to amortization of deferred basis adjustments on the de-designated hedged item of $73 million, $155 million, and $247 million for the years ended December 31, 2015, 2014, and 2013, respectively.
(f)
Amounts exclude gains and losses related to the revaluation of the related foreign-denominated debt or receivable. Gains of $132 million, and $165 million, and losses of $117 million, were recognized for the years ended December 31, 2015, 2014, and 2013, respectively.
Derivative Instruments Used In Cash Flow and Net Investment Hedge Accounting Relationships [Table Text Block]
The following table summarizes derivative instruments used in cash flow and net investment hedge accounting relationships.
Year ended December 31, ($ in millions)
 
2015
 
2014
 
2013
Cash flow hedges
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
Loss reclassified from accumulated other comprehensive income to interest on long-term debt
 
$
—

 
$
(2
)
 
$
(7
)
Total interest on long-term debt
 
$
—

 
$
(2
)
 
$
(7
)
Gain recognized in other comprehensive income
 
$
2

 
$
2

 
$
6

Net investment hedges
 
 
 
 
 
 
Foreign exchange contracts
 
 
 
 
 
 
Loss reclassified from accumulated other comprehensive income to income (loss) from discontinued operations, net
 
$
(4
)
 
$
—

 
$
(250
)
Total loss from discontinued operations, net
 
$
(4
)
 
$
—

 
$
(250
)
Gain recognized in other comprehensive income (a)
 
$
33

 
$
13

 
$
309

(a)
The amounts represent the effective portion of net investment hedges. There are offsetting amounts recognized in accumulated other comprehensive income related to the revaluation of the related net investment in foreign operations, including the tax impacts of the hedge and related net investment, as disclosed separately in Note 19. There were losses of $59 million, $41 million, and $582 million for the years ended December 31, 2015, 2014, and 2013, respectively.