Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule 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 values for our Level 3 measurements are 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 senior unsecured notes and 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, 2022
  Fair Value Carrying
Value
Level
  (in millions)
Assets
Commercial receivables $ 1,532  $ 1,446  Level 3
Government receivables 107  111  Level 3
Receivables held-for-sale 92  74  Level 3
Investments (1)
12  12  Level 3
Securitization residual assets (2)
178  178  Level 3
Liabilities (3)
Credit facilities $ 201  $ 201  Level 3
Commercial paper notes 100  100  Level 3
Non-recourse debt 402  426  Level 3
Senior unsecured notes 1,563  1,784  Level 2
Convertible Notes:
2023 Convertible Senior Notes 140  144  Level 2
2025 Exchangeable Senior Notes 195  201  Level 2
Total Convertible Notes 335  345 
(1)The amortized cost of our investments as of June 30, 2022, was $12 million.
(2)Included in securitization assets on the consolidated balance sheet. The amortized cost of our securitization residual assets as of June 30, 2022 was $206 million.
(3)Fair value and carrying value exclude unamortized financing costs.
  As of December 31, 2021
  Fair Value Carrying
Value
Level
  (in millions)
Assets
Commercial receivables $ 1,433  $ 1,299  Level 3
Government receivables 137  125  Level 3
Receivables held-for-sale 32  22  Level 3
Investments (1)
18  18  Level 3
Securitization residual assets (2)
210  210  Level 3
Liabilities (3)
Credit facilities $ 100  $ 100  Level 3
Commercial paper notes 50  50  Level 3
Non-recourse debt 476  440  Level 3
Senior unsecured notes 1,823  1,784  Level 2
Convertible Notes:
2022 Convertible Senior Notes 16  Level 2
2023 Convertible Senior Notes 170  144  Level 2
Total Convertible Notes 186  152 
(1)    The amortized cost of our investments as of December 31, 2021, was $17 million.
(2)    Included in securitization assets on the consolidated balance sheet. The amortized cost of our securitization residual assets as of December 31, 2021 was $194 million.
(3)    Fair value and carrying value exclude unamortized financing 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,
  2022 2021 2022 2021
  (in millions)
Balance, beginning of period $ 17  $ 26  $ 18  $ 55 
Purchases of investments — 
Sale of investments (7) (10) (7) (38)
Realized gains on investments recorded in gain on sale of receivables and investments —  —  — 
Unrealized gains (losses) on investments recorded in OCI —  (1) (4)
Balance, end of period $ 12  $ 18  $ 12  $ 18 
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, 2022 $ $ $ 0.3  $ 0.4 
December 31, 2021 —  0.1  — 
(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 Reconciles Beginning and Ending Balances Level 3 Residual Assets Fair Value Recurring Basis
The following table reconciles the beginning and ending balances for our Level 3 securitization residual assets that are carried at fair value on a recurring basis, with changes in fair value recorded through AOCI:
  For the three months ended June 30, For the six months ended June 30,
  2022 2021 2022 2021
  (in millions)
Balance, beginning of period $ 192  $ 160  $ 210  $ 159 
Accretion of securitization residual assets 4
Additions to securitization residual assets 10  19  15  34 
Collections of securitization residual assets (5) (5) (8) (5)
Unrealized gains (losses) on securitization residual assets recorded in OCI (22) 12  (44) (4)
Balance, end of period $ 178  $ 188  $ 178  $ 188 
Schedule of Cash Deposits Subject to Credit Risk
We had cash deposits that are subject to credit risk as shown below:
June 30, 2022 December 31, 2021
  (in millions)
Cash deposits $ 279  $ 226 
Restricted cash deposits (included in other assets) 25  25 
Total cash deposits $ 304  $ 251 
Amount of cash deposits in excess of amounts federally insured $ 302  $ 249