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Fair Value (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of Fair Value, Assets and Liabilities Measured on a Recurring Basis

The following tables display the assets and liabilities measured at fair value on a recurring basis including financial instruments elected for the fair value option. We often economically hedge the fair value change of our assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items; therefore, they do not directly display the impact of our risk-management activities.



	Recurring fair value measurements
March 31, 2020 ($ in millions)	Level 1		Level 2		Level 3		Total
Assets
Investment securities
Equity securities (a)	$	937	$	—	$	4	$	941
Available-for-sale securities
Debt securities
U.S. Treasury and federal agencies	806		—		—		806
U.S. States and political subdivisions	—		706		3		709
Foreign government	12		168		—		180
Agency mortgage-backed residential	—		21,533		—		21,533
Mortgage-backed residential	—		2,948		—		2,948
Agency mortgage-backed commercial	—		1,447		—		1,447
Mortgage-backed commercial	—		37		—		37
Asset-backed	—		329		—		329
Corporate debt	—		1,192		—		1,192
Total available-for-sale securities	818		28,360		3		29,181
Mortgage loans held-for-sale (b)	—		—		68		68
Finance receivables and loans, net
Consumer other (b)	—		—		10		10
Interests retained in financial asset sales	—		—		1		1
Derivative contracts in a receivable position
Interest rate	—		2		8		10
Total derivative contracts in a receivable position	—		2		8		10
Total assets	$	1,755	$	28,362	$	94	$	30,211
Liabilities
Accrued expenses and other liabilities
Derivative contracts in a payable position
Interest rate	$	—	$	2	$	—	$	2
Foreign currency	—		5		$	—	5
Total derivative contracts in a payable position	—		7		—		7
Total liabilities	$	—	$	7	$	—	$	7


(a)	Our direct investment in any one industry did not exceed 8%.


(b)	Carried at fair value due to fair value option elections.



	Recurring fair value measurements
December 31, 2019 ($ in millions)	Level 1		Level 2		Level 3		Total
Assets
Investment securities
Equity securities (a)	$	608	$	—	$	8	$	616
Available-for-sale securities
Debt securities
U.S. Treasury and federal agencies	2,047		1		—		2,048
U.S. States and political subdivisions	—		639		2		641
Foreign government	15		171		—		186
Agency mortgage-backed residential	—		21,404		—		21,404
Mortgage-backed residential	—		2,850		—		2,850
Agency mortgage-backed commercial	—		1,382		—		1,382
Mortgage-backed commercial	—		42		—		42
Asset-backed	—		368		—		368
Corporate debt	—		1,363		—		1,363
Total available-for-sale securities	2,062		28,220		2		30,284
Mortgage loans held-for-sale (b)	—		—		30		30
Finance receivables and loans, net
Consumer other (b)	—		—		11		11
Interests retained in financial asset sales	—		—		2		2
Derivative contracts in a receivable position
Interest rate	—		62		2		64
Total derivative contracts in a receivable position	—		62		2		64
Total assets	$	2,670	$	28,282	$	55	$	31,007
Liabilities
Accrued expenses and other liabilities
Derivative contracts in a payable position
Foreign currency	$	—	$	5	$	—	$	5
Total derivative contracts in a payable position	—		5		—		5
Total liabilities	$	—	$	5	$	—	$	5


(a)	Our investment in any one industry did not exceed 13%.

(b)

Carried at fair value due to fair value option elections.

Fair Value, Assets Measured on a Recurring Basis, Unobservable Input Reconciliation

The following tables present the reconciliation for all Level 3 assets and liabilities measured at fair value on a recurring basis. There were no transfers into or out of Level 3 in the periods presented. We often economically hedge the fair value change of our assets or liabilities with derivatives and other financial instruments. The Level 3 items presented below may be hedged by derivatives and other financial instruments that are classified as Level 1 or Level 2. Thus, the following tables do not fully reflect the impact of our risk-management activities.



	Level 3 recurring fair value measurements
			Net realized/unrealized (losses) gains																Fair value at Mar. 31, 2020		Net unrealized (losses) gains still held at March 31, 2020
($ in millions)	Fair value at Jan. 1, 2020		included in earnings				included in OCI		Purchases		Sales			Issuances		Settlements					included in earnings			included in OCI
Assets
Investment securities
Equity securities	$	8	$	(4	)	(a)	$	—	$	—	$	—		$	—	$	—		$	4	$	(4	)	$	—
Available-for-sale securities	2		—				—		1		—			—		—			3		—			—
Mortgage loans held-for-sale (b)	30		5			(c)	—		302		(269		)	—		—			68		1			—
Finance receivables and loans, net (b)	11		(1		)	(d)	—		6		—			—		(6		)	10		—			—
Other assets
Interests retained in financial asset sales	2		—				—		—		—			—		(1		)	1		—			—
Derivative assets	2		6			(c)	—		—		—			—		—			8		6			—
Total assets	$	55	$	6			$	—	$	309	$	(269	)	$	—	$	(7	)	$	94	$	3		$	—


(a)	Reported as other gain on investments, net, in the Condensed Consolidated Statement of Comprehensive Income.


(b)	Carried at fair value due to fair value option elections.


(c)	Reported as gain on mortgage and automotive loans, net, in the Condensed Consolidated Statement of Comprehensive Income.


(d)	Reported as interest and fees on finance receivables and loans and other income, net of losses in the Condensed Consolidated Statement of Comprehensive Income.



	Level 3 recurring fair value measurements
			Net realized/unrealized gains														Fair value at Mar. 31, 2019		Net unrealized gains still held at March 31, 2019
($ in millions)	Fair value at Jan. 1, 2019		included in earnings			included in OCI		Purchases		Sales			Issuances		Settlements				included in earnings		included in OCI
Assets
Equity securities	$	7	$	4	(a)	$	—	$	—	$	—		$	—	$	—	$	11	$	4	$	—
Mortgage loans held-for-sale (b)	8		1		(c)	—		90		(84		)	—		—		15		—		—
Other assets
Interests retained in financial asset sales	4		—			—		—		—			—		—		4		—		—
Derivative assets	—		2		(c)	—		—		—			—		—		2		2		—
Total assets	$	19	$	7		$	—	$	90	$	(84	)	$	—	$	—	$	32	$	6	$	—


(a)	Reported as other gain on investments, net, in the Condensed Consolidated Statement of Comprehensive Income.


(b)	Carried at fair value due to fair value option elections.

(c)

Reported as gain on mortgage and automotive loans, net, in the Condensed Consolidated Statement of Comprehensive Income.

Fair Value Measurements - Nonrecurring Basis

The following tables display assets and liabilities measured at fair value on a nonrecurring basis and still held at March 31, 2020, and December 31, 2019, respectively. The amounts are as of the end of each period presented, which approximate the fair value measurements that occurred during each period.



	Nonrecurring fair value measurements								Lower-of-cost or fair value reserve, valuation reserve, or cumulative adjustments			Total gain (loss) included in earnings
March 31, 2020 ($ in millions)	Level 1		Level 2		Level 3		Total					Total gain (loss) included in earnings
Assets
Loans held-for-sale, net	$	—	$	—	$	167	$	167	$	—		n/m	(a)
Commercial finance receivables and loans, net (b)
Automotive	—		—		75		75		(18		)	n/m	(a)
Other	—		—		55		55		(40		)	n/m	(a)
Total commercial finance receivables and loans, net	—		—		130		130		(58		)	n/m	(a)
Other assets
Nonmarketable equity investments	—		—		7		7		(3		)	n/m	(a)
Repossessed and foreclosed assets (c)	—		—		13		13		(1		)	n/m	(a)
Total assets	$	—	$	—	$	317	$	317	$	(62	)	n/m

n/m = not meaningful

(a)

We consider the applicable valuation allowance, loan loss allowance, or cumulative impairment to be the most relevant indicator of the impact on earnings caused by the fair value measurement. Accordingly, the table above excludes total gains and losses included in earnings for these items. The carrying values are inclusive of the respective valuation allowance, loan loss allowance, or cumulative impairment.


(b)	Represents the portion of the portfolio specifically impaired during 2020. The related valuation allowance represents the cumulative adjustment to fair value of those specific receivables.


(c)	The allowance provided for repossessed and foreclosed assets represents any cumulative valuation adjustment recognized to adjust the assets to fair value.



	Nonrecurring fair value measurements								Lower-of-cost or fair value reserve, valuation reserve, or cumulative adjustments			Total gain (loss) included in earnings
December 31, 2019 ($ in millions)	Level 1		Level 2		Level 3		Total					Total gain (loss) included in earnings
Assets
Loans held-for-sale, net	$	—	$	—	$	128	$	128	$	—		n/m	(a)
Commercial finance receivables and loans, net (b)
Automotive	—		—		64		64		(12		)	n/m	(a)
Other	—		—		45		45		(21		)	n/m	(a)
Total commercial finance receivables and loans, net	—		—		109		109		(33		)	n/m	(a)
Other assets
Nonmarketable equity investments	—		5		7		12		—			n/m	(a)
Equity-method investments	—		—		4		4		(6		)	n/m	(a)
Repossessed and foreclosed assets (c)	—		—		12		12		(1		)	n/m	(a)
Total assets	$	—	$	5	$	260	$	265	$	(40	)	n/m

n/m = not meaningful

(a)


(b)	Represents the portion of the portfolio specifically impaired during 2019. The related valuation allowance represents the cumulative adjustment to fair value of those specific receivables.

(c)

The allowance provided for repossessed and foreclosed assets represents any cumulative valuation adjustment recognized to adjust the assets to fair value.

Financial Instruments Disclosure

The following table presents the carrying and estimated fair value of financial instruments, except for those recorded at fair value on a recurring basis presented in the previous section of this note titled Recurring Fair Value. When possible, we use quoted market prices to determine fair value. Where quoted market prices are not available, the fair value is internally derived based on appropriate valuation methodologies with respect to the amount and timing of future cash flows and estimated discount rates. However, considerable judgment is required in interpreting current market data to develop the market assumptions and inputs necessary to estimate fair value. As such, the actual amount received to sell an asset or the amount paid to settle a liability could differ from our estimates. Fair value information presented herein was based on information available at March 31, 2020, and December 31, 2019.



			Estimated fair value
($ in millions)	Carrying value		Level 1		Level 2		Level 3		Total
March 31, 2020
Financial assets
Held-to-maturity securities	$	1,497	$	—	$	1,580	$	—	$	1,580
Loans held-for-sale, net	167		—		—		167		167
Finance receivables and loans, net	124,884		—		—		129,594		129,594
FHLB/FRB stock (a)	1,242		—		1,242		—		1,242
Financial liabilities
Deposit liabilities	$	61,333	$	—	$	—	$	62,368	$	62,368
Short-term borrowings	9,493		—		—		9,494		9,494
Long-term debt	31,066		—		18,316		13,848		32,164
December 31, 2019
Financial assets
Held-to-maturity securities	$	1,568	$	—	$	1,600	$	—	$	1,600
Loans held-for-sale, net	128		—		—		128		128
Finance receivables and loans, net	126,957		—		—		130,837		130,837
FHLB/FRB stock (a)	1,150		—		1,150		—		1,150
Financial liabilities
Deposit liabilities	$	60,146	$	—	$	—	$	60,678	$	60,678
Short-term borrowings	5,531		—		—		5,532		5,532
Long-term debt	34,027		—		22,789		14,138		36,927

(a)

Included in other assets on our Condensed Consolidated Balance Sheet.