Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.22.4
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 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 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 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 December 31, 2022
  Fair
Value		 Carrying
Value		 Level
  (in millions)  
Assets
Commercial receivables $ 1,859  $ 1,887  Level 3
Government receivables 96  103  Level 3
Receivables held-for-sale 92  85  Level 3
Investments (1)
10  10  Level 3
Securitization residual assets (2)
177  177  Level 3
Liabilities (3)
Credit facilities $ 51  $ 51  Level 3
Commercial paper notes —  —  Level 3
Term loan facility 384 384  Level 3
Non-recourse debt 402  442  Level 3
Senior unsecured notes 1,546  1,784  Level 2
Convertible notes
2023 Convertible Senior Notes 137  143  Level 2
2025 Exchangeable Senior Notes 185  206  Level 2
Total Convertible Notes 322  349  Level 2
(1)The amortized cost of our investments as of December 31, 2022, was $12 million.
(2)Included in securitization assets on the consolidated balance sheet. The amortized cost of our securitization residual assets as of December 31, 2022, was $224 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:
2023 Convertible Senior Notes 16  8  Level 2
2025 Convertible Senior Notes 170  144  Level 2
Total Convertible Notes 186  152  Level 2
(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 year ended
December 31,
  2022 2021
  (in millions)
Balance, beginning of period $ 18  $ 55 
Purchases of investments 2  5 
Sale of investments (7) (38)
Unrealized gains (losses) on investments recorded in OCI (3) (4)
Balance, end of period $ 10  $ 18 
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 year ended
December 31,
  2022 2021
  (in millions)
Balance, beginning of period $ 210  $ 159 
Accretion of securitization residual assets 17  9 
Additions to securitization residual assets 29  61 
Collections of securitization residual assets (16) (17)
Unrealized gains (losses) on securitization residual assets recorded in OCI (63) (2)
Balance, end of period $ 177  $ 210 
Schedule of Investments in Unrealized Loss Position
The following table illustrates our investments in an unrealized loss position:

Estimated Fair Value
Unrealized Losses (1)
Count of Securities
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 Securities with a loss shorter than 12 months Securities with a loss longer than 12 months
(in millions)
December 31, 2022 $ 4  $ 6  $ 0.7  $ 1.2  4  1 
December 31, 2021 7  —  0.1  —  1  — 
(1)    Loss position is due to interest rates movements and is not indicative of credit deterioration. We have the intent and ability to hold these investments until a recovery of fair value.
The following table illustrates our securitization residual assets in an unrealized loss position:
Estimated Fair Value
Unrealized Losses (1)
Count of Assets
Assets with a loss shorter than 12 months Assets with a loss longer than 12 months Assets with a loss shorter than 12 months Assets with a loss longer than 12 months Assets with a loss shorter than 12 months Assets with a loss longer than 12 months
(in millions)
December 31, 2022 $ 118  $ 51  $ 27  $ 22  66  12 
December 31, 2021 51  17  1  1  12  3 
(1)    Loss position is due to interest rates movements and is not indicative of credit deterioration. 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:
  December 31,
  2022 2021
  (in millions)
Cash deposits $ 156  $ 226 
Restricted cash deposits (included in other assets) 20  25 
Total cash deposits $ 176  $ 251 
Amount of cash deposits in excess of amounts federally insured $ 174  $ 249