Derivative Financial Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments

The table below presents the gross amounts of fair value of our derivative instruments and the associated notional amounts.

	March 31, 2018						December 31, 2017
	Notional		Fair Value of Assets(a)		Fair Value of Liabilities(a)		Notional		Fair Value of Assets(a)		Fair Value of Liabilities(a)
Derivatives designated as hedges
Fair value hedges
Interest rate contracts	$	9,780	$	4	$	396	$	11,110	$	2	$	290
Cash flow hedges
Interest rate contracts	1,794		17		—		2,177		15		—
Foreign currency swaps	2,228		154		14		1,574		103		—
Derivatives not designated as hedges
Interest rate contracts	91,206		464		514		81,938		329		207
Foreign currency swaps	1,968		130		5		1,201		104		—
Total(b)	$	106,976	$	769	$	929	$	98,000	$	553	$	497

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(a) The gross amounts of the fair value of our assets and liabilities are included in other assets and other liabilities, respectively. Amounts accrued for interest payments in a net receivable position are included in other assets. All our derivatives are categorized within Level 2 of the fair value hierarchy. The fair value for Level 2 instruments was derived using the market approach based on observable market inputs including quoted prices of similar instruments and foreign exchange and interest rate forward curves.

(b) We primarily enter into derivatives contracts through AFSI; however our SPEs may also be parties to derivative transactions. Agreements between AFSI and its derivative counterparties include rights of setoff for positions with offsetting values or for collateral held or posted. At March 31, 2018 and December 31, 2017, the fair value of assets and liabilities available for offset was $453 million and $284 million. At March 31, 2018 and December 31, 2017, we held $40 million and $25 million and posted $541 million and $299 million of collateral available for netting.

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

As of March 31, 2018, the following amounts were recorded in the condensed consolidated balance sheet related to items designated and qualifying as hedged items in fair value hedging relationships:

	March 31, 2018
	Carrying Amount of Hedged Items		Cumulative Amount of Fair Value Hedging Adjustments(a)
Unsecured debt	$	13,672	$	602

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(a) Includes $163 million of hedging adjustment remaining on hedged items for which hedge accounting has been discontinued.

Effect of Derivative Instruments on the Condensed Consolidated Statements of Income

The table below presents the effect of our derivative financial instruments in the condensed consolidated statement of income for the three months ended March 31, 2018.

	Income (Losses) Recognized In Income
	Three Months Ended March 31,
	2018
	Interest Expense(a)			Other Operating Expenses(b)
Fair value hedges
Hedged items	$	208		$	—
Interest rate contracts	(210		)	—
Cash flow hedges
Interest rate contracts	4			—
Foreign currency contracts	(9		)	24
Derivatives not designated as hedges
Interest rate contracts	6			—
Foreign currency contracts	(7		)	22
Total	$	(8	)	$	46

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(a) Total interest expense was $732 million for the three months ended March 31, 2018.

(b) Activity is offset by translation activity also recorded in other operating expenses related to foreign currency-denominated loans. Total operating expense was $144 million for the three months ended March 31, 2018.

The table below presents the effect of our derivative financial instruments in the condensed consolidated statement of income for the three months ended March 31, 2017.

	Income (Losses) Recognized In Income
	Three Months Ended March 31,
	2017
Fair value hedges
Interest rate contracts(a)(b)	$	11
Cash flow hedges
Interest rate contracts(a)	(1		)
Foreign currency contracts(c)	6
Derivatives not designated as hedges
Interest rate contracts(a)	(5		)
Foreign currency contracts(c)(d)	(7		)
Total	$	4

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(a) Recognized in earnings as interest expense.

(b) Includes hedge ineffectiveness which reflects the net change in the fair value of interest rate contracts offset by the change in fair value of hedged debt attributable to the hedged risk.

(c) Recognized in earnings as other operating expenses and interest expense.

(d) Activity is partially offset by translation activity (included in other operating expenses) related to foreign currency-denominated loans.

	Gains (Losses) Recognized In Accumulated Other Comprehensive Loss					Gains (Losses) Reclassified From Accumulated Other Comprehensive Loss Into Income						Location of Amounts Reclassified from Accumulated OCI
	Three Months Ended March 31,					Three Months Ended March 31,
	2018		2017			2018			2017
Cash flow hedges
Interest rate contracts	$	4	$	2		$	(3	)	$	1		Interest expense
Foreign currency contracts	18		(3		)	(18		)	(4		)	Interest expense
Total	$	22	$	(1	)	$	(21	)	$	(3	)