XML 65 R54.htm IDEA: XBRL DOCUMENT v3.5.0.2
Derivative Instruments and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value Amounts of Derivative Instruments Reported On Our Condensed Consolidated Balance Sheet [Table Text Block]
The following table summarizes the fair value amounts of derivative instruments reported on our Condensed 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.
 
 
September 30, 2016
 
December 31, 2015
 
 
Derivative contracts in a
 
Notional
amount
 
Derivative contracts in a
 
Notional
amount
($ in millions)
 
receivable
position (a)
 
payable
position (b)
 
receivable
position (a)
 
payable
position (b)
 
Derivatives designated as accounting hedges
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
Swaps (c) (d) (e)
 
$
114

 
$
7

 
$
6,754

 
$
126

 
$
9

 
$
14,151

Foreign exchange contracts
 
 
 
 
 
 
 
 
 
 
 
 
Forwards
 
—

 
—

 
221

 
—

 
1

 
189

Total derivatives designated as accounting hedges
 
114

 
7

 
6,975

 
126

 
10

 
14,340

Derivatives not designated as accounting hedges
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 
5

 
15

 
864

 
30

 
51

 
6,101

Futures and forwards
 
—

 
—

 
—

 
2

 
2

 
1,905

Written options
 
—

 
20

 
15,206

 
—

 
72

 
18,220

Purchased options
 
21

 
—

 
15,206

 
73

 
—

 
18,240

Total interest rate risk
 
26

 
35

 
31,276

 
105

 
125

 
44,466

Foreign exchange contracts
 
 
 
 
 
 
 
 
 
 
 
 
Futures and forwards
 
1

 
—

 
111

 
—

 
—

 
278

Total foreign exchange risk
 
1

 
—

 
111

 
—

 
—

 
278

Equity contracts
 
 
 
 
 
 
 
 
 
 
 
 
Forwards
 
—

 
4

 
17

 
—

 
9

 
32

Written options
 
—

 
—

 
—

 
—

 
1

 
—

Purchased options
 
—

 
—

 
—

 
2

 
—

 
—

Total equity risk
 
—

 
4

 
17

 
2

 
10

 
32

Total derivatives not designated as accounting hedges
 
27

 
39

 
31,404

 
107

 
135

 
44,776

Total derivatives
 
$
141

 
$
46

 
$
38,379

 
$
233

 
$
145

 
$
59,116

(a)
Derivative contracts in a receivable position are classified as other assets on the Condensed Consolidated Balance Sheet, and includes accrued interest of $7 million and $46 million at September 30, 2016, and December 31, 2015, respectively.
(b)
Derivative contracts in a liability position are classified as accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet, and includes accrued interest of $1 million and $12 million at September 30, 2016, and December 31, 2015, respectively.
(c)
Includes fair value hedges consisting of receive-fixed swaps on fixed-rate unsecured debt obligations with $104 million and $112 million in a receivable position, $0 million and $3 million in a payable position, and a $2.3 billion and $6.8 billion notional amount at September 30, 2016, and December 31, 2015, respectively. The hedge notional amount of $2.3 billion at September 30, 2016, is associated with debt maturing in five or more years.
(d)
Includes fair value hedges consisting of receive-fixed swaps on fixed-rate secured debt obligations (FHLB Advances) with $10 million and $1 million in a receivable position, $0 million and $2 million in a payable position, and a $898 million and $500 million notional amount at September 30, 2016, and December 31, 2015, respectively.
(e)
Other fair value hedges include pay-fixed swaps on portfolios of held-for-investment automotive loan assets with $0 million and $13 million in a receivable position, $7 million and $3 million in a payable position, and a $3.5 billion and $6.8 billion notional amount at September 30, 2016, and December 31, 2015, respectively.
Gains and Losses On Derivative Instruments Reported in Statement of Comprehensive Income [Table Text Block]
The following table summarizes the location and amounts of gains and losses on derivative instruments reported in our Condensed Consolidated Statement of Comprehensive Income.
 
 
Three months ended September 30,
 
Nine months ended September 30,
($ in millions)
 
2016
 
2015
 
2016
 
2015
Derivatives qualifying for hedge accounting
 
 
 
 
 
 
 
 
Gain (loss) recognized in earnings on derivatives
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
Interest and fees on finance receivables and loans (a)
 
$
16

 
$
(34
)
 
$
(18
)
 
$
(50
)
Interest on long-term debt (b) (c)
 
(31
)
 
132

 
211

 
121

(Loss) gain recognized in earnings on hedged items
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
Interest and fees on finance receivables and loans (d)
 
(17
)
 
38

 
16

 
73

Interest on long-term debt (e)
 
32

 
(135
)
 
(214
)
 
(128
)
Total derivatives qualifying for hedge accounting
 
—

 
1

 
(5
)
 
16

Derivatives not designated as accounting hedges
 
 
 
 
 
 
 
 
Loss recognized in earnings on derivatives
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
Loss on mortgage and automotive loans, net
 
—

 
(2
)
 
—

 
(2
)
Other income, net of losses
 
(5
)
 
—

 
(2
)
 
(9
)
Total interest rate contracts
 
(5
)
 
(2
)
 
(2
)
 
(11
)
Foreign exchange contracts (f)
 
 
 
 
 
 
 
 
Interest on long-term debt
 
—

 
(1
)
 
(2
)
 
(139
)
Other income, net of losses
 
(1
)
 
1

 
(4
)
 
9

Total foreign exchange contracts
 
(1
)
 
—

 
(6
)
 
(130
)
Equity contracts
 
 
 
 
 
 
 
 
Compensation and benefits expense
 
2

 
(4
)
 
—

 
(7
)
Total equity contracts
 
2

 
(4
)
 
—

 
(7
)
Loss recognized in earnings on derivatives
 
$
(4
)
 
$
(5
)
 
$
(13
)
 
$
(132
)
(a)
Amounts exclude losses related to interest for qualifying accounting hedges of retail automotive loans held-for-investment, which are primarily offset by the fixed coupon payments of the loans. The losses were $4 million and $18 million for the three months ended September 30, 2016, and 2015, respectively, and $16 million and $50 million for the nine months ended September 30, 2016, and 2015, respectively.
(b)
Amounts exclude gains related to interest for qualifying accounting hedges of unsecured debt, which are primarily offset by the fixed coupon payment on the long-term debt. The gains were $7 million and $24 million for the three months ended September 30, 2016, and 2015, respectively, and $34 million and $71 million for the nine months ended September 30, 2016, and 2015, 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 three months ended September 30, 2016, and $4 million for the nine months ended September 30, 2016.
(d)
Amounts exclude losses related to amortization of deferred loan basis adjustments on the de-designated hedged item of $6 million and $1 million for the three months ended September 30, 2016, and 2015, respectively, and $15 million and $1 million for the nine months ended September 30, 2016, and 2015, respectively.
(e)
Amounts exclude gains related to amortization of deferred debt basis adjustments on the de-designated hedged item of $23 million and $14 million for the three months ended September 30, 2016, and 2015, respectively, and $62 million and $59 million for the nine months ended September 30, 2016, and 2015, respectively.
(f)
Amounts exclude gains and losses related to the revaluation of the related foreign-denominated debt or receivable. Gains of $1 million were recognized for the three months ended September 30, 2016, and 2015, and gains of $4 million and $134 million were recognized for the nine months ended September 30, 2016, and 2015, 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.
 
 
Three months ended September 30,
 
Nine months ended September 30,
($ in millions)
 
2016
 
2015
 
2016
 
2015
Foreign exchange contracts
 
 
 
 
 
 
 
 
Loss reclassified from accumulated other comprehensive loss to income from discontinued operations, net
 
$
—

 
$
—

 
$
—

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

 
$
—

 
$
—

 
$
(4
)
Gain (loss) recognized in other comprehensive income (a)
 
$
2

 
$
15

 
$
(4
)
 
$
35

(a)
The amounts represent the effective portion of net investment hedges. There are offsetting amounts recognized in accumulated other comprehensive income (loss) 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 17. There were losses of $2 million and $16 million for the three months ended September 30, 2016, and 2015, respectively. There were gains of $9 million and losses of $56 million for the nine months ended September 30, 2016, and 2015, respectively.