Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2023
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 2 and 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 March 31, 2023
  Fair Value Carrying
Value		 Level
  (in millions)
Assets
Commercial receivables $ 1,944  $ 1,963  Level 3
Government receivables 93  98  Level 3
Receivables held-for-sale 20  17  Level 3
Investments (1)
10  10  Level 3
Securitization residual assets (2)
193  193  Level 3
Liabilities (3)
Credit facilities $ 359  $ 359  Level 3
Commercial paper notes 100  100  Level 3
Term loan facility 384  384  Level 3
Non-recourse debt 373  404  Level 3
Senior unsecured notes 1,572  1,795  Level 2
Convertible Notes:
2023 Convertible Senior Notes 139  144  Level 2
2025 Exchangeable Senior Notes 190  206  Level 2
Total Convertible Notes 329  350 
Derivative liabilities 32  32  Level 2
(1)The amortized cost of our investments as of March 31, 2023, was $12 million.
(2)Included in securitization assets on the consolidated balance sheet. The amortized cost of our securitization residual assets as of March 31, 2023 was $231 million.
(3)Fair value and carrying value exclude unamortized financing costs.
  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:
2022 Convertible Senior Notes 137  143  Level 2
2023 Convertible Senior Notes 185  206  Level 2
Total Convertible Notes 322  349 
(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.
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 March 31,
  2023 2022
  (in millions)
Balance, beginning of period $ 10  $ 18 
Unrealized gains (losses) on investments recorded in OCI —  (2)
Balance, end of period $ 10  $ 16 
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)
March 31, 2023 $ 2  $ 8  $ 0.4  $ 1.3  2  3 
December 31, 2022 4  6  0.7  1.2  4  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 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)
March 31, 2023 $ 71  $ 99  $ 11  $ 30  40  30 
December 31, 2022 118  51  27  22  66  12 
(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:
March 31, 2023 December 31, 2022
  (in millions)
Cash deposits $ 142  $ 156 
Restricted cash deposits (included in other assets) 22  20 
Total cash deposits $ 164  $ 176 
Amount of cash deposits in excess of amounts federally insured $ 153  $ 174 
Schedule of Securitization Residual Assets
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 March 31,
  2023 2022
  (in millions)
Balance, beginning of period $ 177  $ 210 
Accretion of securitization residual assets 3  2 
Additions to securitization residual assets 5  5 
Collections of securitization residual assets (1) (3)
Unrealized gains (losses) on securitization residual assets recorded in OCI 9  (22)
Balance, end of period $ 193  $ 192