Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.10.0.1
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2018
Fair Value Disclosures [Abstract]  
Summary of Fair Value and Carrying Value of Financial Assets and Liabilities
The tables below illustrate the estimated fair value of our financial instruments on our balance sheet. Unless otherwise discussed below, fair value for our Level 2 and Level 3 measurements is measured using a discounted cash flow model, contractual terms and inputs which consist of base interest rates and spreads over base rates which are based upon market observation and recent comparable transactions. An increase in these inputs would result in a lower fair value and a decline would result in a higher fair value. Our convertible notes are valued using a market based approach and observable prices. The receivables held-for-sale, if any, are carried at the lower of cost or fair value.
 
As of June 30, 2018
 
Fair Value
 
Carrying
Value
 
Level
 
(in millions)
 
 
Assets
 
 
 
 
 
Government receivables
$
494

 
$
512

 
Level 3
Commercial receivables
447

 
468

 
Level 3
Receivables held-for-sale
18

 
18

 
Level 3
Investments (1)
154

 
154

 
Level 3
Securitization residual assets (2)
62

 
62

 
Level 3
Derivative assets
8

 
8

 
Level 2
Liabilities
 
 
 
 
 
Credit facility
$
103

 
$
103

 
Level 3
Non-recourse debt (3)
1,202

 
1,223

 
Level 3
Convertible notes (3)
146

 
152

 
Level 2
(1)
The amortized cost of our investments as of June 30, 2018 was $159 million.
(2)
Included in other assets on the consolidated balance sheet.
(3)
Fair value and carrying value excludes unamortized debt issuance costs.
 
As of December 31, 2017
 
Fair Value
 
Carrying
Value
 
Level
 
(in millions)
 
 
Assets
 
 
 
 
 
Government receivables
$
519

 
$
519

 
Level 3
Commercial receivables
464

 
473

 
Level 3
Receivables held-for-sale
20

 
19

 
Level 3
Investments (1)
151

 
151

 
Level 3
Securitization residual assets (2)
45

 
45

 
Level 3
Liabilities
 
 
 
 
 
Credit facility
$
70

 
$
70

 
Level 3
Non-recourse debt (3)
1,239

 
1,238

 
Level 3
Convertible notes (3)
156

 
152

 
Level 2
(1)    The amortized cost of our investments as of December 31, 2017 was $153 million.
(2)    Included in other assets on the consolidated balance sheet.
(3)    Fair value and carrying value excludes unamortized debt issuance costs.
Schedule of Reconciliation of Level 3 Investments Securities
The following table reconciles the beginning and ending balances for our Level 3 investments that are carried at fair value on a recurring basis:
 
For the three months ended June 30,
 
For the six months ended June 30,
 
2018
 
2017
 
2018
 
2017
 
(in millions)
Balance, beginning of period
$
152

 
$
125

 
$
151

 
$
58

Purchases of investments
3

 
1

 
6

 
67

Payments on investments
(1
)
 
(1
)
 
(1
)
 
(1
)
Unrealized gains (losses) on investments recorded in AOCI

 
1

 
(2
)
 
2

Balance, end of period
$
154

 
$
126

 
$
154

 
$
126

Schedule of Investments in Unrealized Loss Position
The following table illustrates our investments in an unrealized loss position:
 
Estimated Fair Value
 
Unrealized Losses (1)
 
Securities with a loss shorter than 12 months
 
Securities with a loss longer than 12 months
 
Securities with a loss shorter than 12 months
 
Securities with a loss longer than 12 months
 
(in millions)
June 30, 2018
$
105

 
$
44

 
$
3

 
$
2

December 31, 2017
26

 
46

 
1

 
2

(1)    Loss position is due to interest rates movements. We have the intent and ability to hold these investments until a recovery of fair value.
Schedule of Cash Deposits Subject to Credit Risk
We had cash deposits that are subject to credit risk as shown below:
 
June 30, 2018
 
December 31, 2017
 
(in millions)
Cash deposits
$
42

 
$
57

Restricted cash deposits (included in other assets)
68

 
61

Total cash deposits
$
110

 
$
118

Amount of cash deposits in excess of amounts federally insured
$
109

 
$
116