Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position

The following table summarizes the amounts of derivative instruments reported on our Condensed Consolidated Balance Sheet. The amounts are presented on a gross basis, are segregated by derivatives that are designated and qualifying as hedging instruments or those that are not, and are further segregated by type of contract within those two categories.

Derivative contracts in a receivable and payable position exclude open trade equity on derivatives cleared through central clearing counterparties. Any associated collateral exchanged with our central clearing counterparties are treated as settlements of the derivative exposure, rather than collateral. Such payments are recognized as settlements of the derivatives contracts in a receivable and payable position on our Condensed Consolidated Balance Sheet.

Notional amounts are reference amounts from which contractual obligations are derived and are not recorded on the balance sheet. In our view, derivative notional is not an accurate measure of our derivative exposure when viewed in isolation from other factors, such as market rate fluctuations and counterparty credit risk.

	September 30, 2020						December 31, 2019
	Derivative contracts in a				Notional amount		Derivative contracts in a				Notional amount
($ in millions)	receivable position		payable position				receivable position		payable position
Derivatives designated as accounting hedges
Interest rate contracts
Swaps	$	—	$	—	$	12,465	$	—	$	—	$	17,101
Purchased options	—		—		—		62		—		14,100
Foreign exchange contracts
Forwards	1		—		155		—		3		157
Total derivatives designated as accounting hedges	1		—		12,620		62		3		31,358
Derivatives not designated as accounting hedges
Interest rate contracts
Futures and forwards	1		—		305		—		—		81
Written options	17		—		607		2		—		522
Purchased options	—		—		—		—		—		416
Total interest rate risk	18		—		912		2		—		1,019
Foreign exchange contracts
Futures and forwards	2		—		161		—		2		112
Total foreign exchange risk	2		—		161		—		2		112
Equity contracts
Written options	—		4		1		—		—		—
Purchased options	2		—		1		—		—		—
Total equity risk	2		4		2		—		—		—
Total derivatives not designated as accounting hedges	22		4		1,075		2		2		1,131
Total derivatives	$	23	$	4	$	13,695	$	64	$	5	$	32,489

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following table presents amounts recorded on our Condensed Consolidated Balance Sheet related to cumulative basis adjustments for fair value hedges.

($ in millions)	Carrying amount of the hedged items				Cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged items
					Total				Discontinued (a)
	September 30, 2020		December 31, 2019		September 30, 2020		December 31, 2019		September 30, 2020		December 31, 2019
Assets
Available-for-sale securities (b) (c)	$	1,266	$	1,217	$	46	$	18	$	30	$	18
Finance receivables and loans, net (d)	32,274		33,312		277		135		67		44
Liabilities
Long-term debt	$	8,877	$	11,995	$	202	$	24	$	200	$	127

(a)Represents the fair value hedging adjustment on qualifying hedges for which the hedging relationship was discontinued. This represents a subset of the amounts reported in the total hedging adjustment.

(b)The carrying amount of hedged available-for-sale securities is presented above using amortized cost and includes $594 million and $230 million at September 30, 2020, and December 31, 2019, respectively, related to closed portfolios used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. Refer to Note 7 for a reconciliation of the amortized cost and fair value of available-for-sale securities.

(c)The amount that is identified as the last of layer in the open hedge relationship was $490 million as of September 30, 2020. The basis adjustment associated with the open last of layer relationship was a $1 million asset as of September 30, 2020, which would be allocated across the entire remaining pool upon termination, or maturity, of the hedge relationship. The amount that is identified as the last of layer in the discontinued hedge relationship was $690 million and $200 million as of September 30, 2020, and December 31, 2019, respectively. The basis adjustment associated with the discontinued last of layer relationship was a $21 million asset as of September 30, 2020, and a $2 million asset as of December 31, 2019, which was allocated across the entire remaining pool upon termination of the hedge relationship. There were no open last-of-layer relationships at December 31, 2019.

(d)The hedged item represents the carrying value of the hedged portfolio of assets. The amount identified as the last of layer in the open hedge relationship was $10.2 billion at both September 30, 2020, and December 31, 2019. The basis adjustment associated with the open last-of-layer relationship was a $210 million asset as of September 30, 2020, and a $91 million asset as of December 31, 2019, which would be allocated across the entire remaining closed pool upon termination or maturity of the hedge relationship. The amount that is identified as the last of layer in the discontinued hedge relationship was $17.5 billion at September 30, 2020, and $12.8 billion at December 31, 2019. The basis adjustment associated with the discontinued last-of-layer relationship was a $67 million asset and $43 million asset as of September 30, 2020, and December 31, 2019, respectively, which was allocated across the entire remaining pool upon termination of the hedge relationship.

Schedule of Derivative Instruments Not Designated as Accounting Hedge

The following table summarizes the location and amounts of gains and losses on derivative instruments not designated as accounting hedges reported in our Condensed Consolidated Statement of Comprehensive Income.

	Three months ended September 30,				Nine months ended September 30,
($ in millions)	2020		2019		2020		2019
Gain (loss) recognized in earnings
Interest rate contracts
Gain on mortgage and automotive loans, net	$	7	$	—	$	(8)	$	1
Other income, net of losses	(4)		—		(27)		(7)
Total interest rate contracts	3		—		(35)		(6)
Foreign exchange contracts
Other income, net of losses	(4)		1		(1)		(2)
Total foreign exchange contracts	(4)		1		(1)		(2)
Total (loss) gain recognized in earnings	$	(1)	$	1	$	(36)	$	(8)

Schedule of Location and Amounts of Gains and Losses on Derivative Instruments

The following tables summarize the location and amounts of gains and losses on derivative instruments designated as fair value and cash flow hedges reported in our Condensed Consolidated Statement of Comprehensive Income.

	Interest and fees on finance receivables and loans				Interest and dividends on investment securities and other earning assets				Interest on deposits				Interest on long-term debt
Three months ended September 30, ($ in millions)	2020		2019		2020		2019		2020		2019		2020		2019
(Loss) gain on fair value hedging relationships
Interest rate contracts
Hedged fixed-rate unsecured debt	$	—	$	—	$	—	$	—	$	—	$	—	$	(2)	$	(36)
Derivatives designated as hedging instruments on fixed-rate unsecured debt	—		—		—		—		—		—		2		36
Hedged available-for-sale securities	—		—		(2)		17		—		—		—		—
Derivatives designated as hedging instruments on available-for-sale securities	—		—		2		(17)		—		—		—		—
Hedged fixed-rate consumer automotive loans	(45)		32		—		—		—		—		—		—
Derivatives designated as hedging instruments on fixed-rate consumer automotive loans	45		(32)		—		—		—		—		—		—
Total gain on fair value hedging relationships	—		—		—		—		—		—		—		—
Gain (loss) on cash flow hedging relationships
Interest rate contracts
Hedged variable-rate commercial loans
Reclassified from accumulated other comprehensive income into income	23		—		—		—		—		—		—		—
Hedged deposit liabilities
Reclassified from accumulated other comprehensive income into income	—		—		—		—		(2)		(2)		—		—
Hedged variable-rate borrowings
Reclassified from accumulated other comprehensive income into income	—		—		—		—		—		—		—		4
Total gain (loss) on cash flow hedging relationships	$	23	$	—	$	—	$	—	$	(2)	$	(2)	$	—	$	4
Total amounts presented in the Condensed Consolidated Statement of Comprehensive Income	$	1,602	$	1,859	$	173	$	237	$	452	$	658	$	309	$	378

	Interest and fees on finance receivables and loans				Interest and dividends on investment securities and other earning assets				Interest on deposits				Interest on long-term debt
Nine months ended September 30, ($ in millions)	2020		2019		2020		2019		2020		2019		2020		2019
(Loss) gain on fair value hedging relationships
Interest rate contracts
Hedged fixed-rate unsecured debt	$	—	$	—	$	—	$	—	$	—	$	—	$	(172)	$	(55)
Derivatives designated as hedging instruments on fixed-rate unsecured debt	—		—		—		—		—		—		172		55
Hedged available-for-sale securities	—		—		43		29		—		—		—		—
Derivatives designated as hedging instruments on available-for-sale securities	—		—		(43)		(29)		—		—		—		—
Hedged fixed-rate consumer automotive loans	180		173		—		—		—		—		—		—
Derivatives designated as hedging instruments on fixed-rate consumer automotive loans	(180)		(173)		—		—		—		—		—		—
Total gain on fair value hedging relationships	—		—		—		—		—		—		—		—
Gain (loss) on cash flow hedging relationships
Interest rate contracts
Hedged variable rate commercial loans
Reclassified from accumulated other comprehensive income into income	48		—		—		—		—		—		—		—
Hedged deposit liabilities
Reclassified from accumulated other comprehensive income into income			—		—		—		(7)		(1)		—		—
Hedged variable-rate borrowings
Reclassified from accumulated other comprehensive income into income	—		—		—		—		—		—		—		12
Total gain (loss) on cash flow hedging relationships	$	48	$	—	$	—	$	—	$	(7)	$	(1)	$	—	$	12
Total amounts presented in the Condensed Consolidated Statement of Comprehensive Income	$	4,974	$	5,526	$	596	$	721	$	1,585	$	1,901	$	975	$	1,204

Schedule of Derivative Instruments

The following tables summarize the location and amounts of gains and losses related to interest and amortization on derivative instruments designated as fair value and cash flow hedges reported in our Condensed Consolidated Statement of Comprehensive Income.

	Interest and fees on finance receivables and loans				Interest and dividends on investment securities and other earning assets				Interest on long-term debt
Three months ended September 30, ($ in millions)	2020		2019		2020		2019		2020		2019
Gain (loss) on fair value hedging relationships
Interest rate contracts
Amortization of deferred unsecured debt basis adjustments	$	—	$	—	$	—	$	—	$	3	$	6
Amortization of deferred secured debt basis adjustments (FHLB advances)	—		—		—		—		(5)		(6)
Amortization of deferred basis adjustments of available-for-sale securities	—		—		(2)		(1)		—		—
Interest for qualifying accounting hedges of available-for-sale securities	—		—		(2)		2		—		—
Amortization of deferred loan basis adjustments	(12)		(8)		—		—		—		—
Interest for qualifying accounting hedges of consumer automotive loans held-for-investment	(37)		10		—		—		—		—
Total (loss) gain on fair value hedging relationships	$	(49)	$	2	$	(4)	$	1	$	(2)	$	—

	Interest and fees on finance receivables and loans				Interest and dividends on investment securities and other earning assets				Interest on long-term debt
Nine months ended September 30, ($ in millions)	2020		2019		2020		2019		2020		2019
Gain (loss) on fair value hedging relationships
Interest rate contracts
Amortization of deferred unsecured debt basis adjustments	$	—	$	—	$	—	$	—	$	11	$	18
Amortization of deferred secured debt basis adjustments (FHLB advances)	—		—		—		—		(17)		(17)
Amortization of deferred basis adjustments of available-for-sale securities	—		—		(5)		(2)		—		—
Interest for qualifying accounting hedges of available-for-sale securities	—		—		(4)		2		—		—
Amortization of deferred loan basis adjustments	(38)		(21)		—		—		—		—
Interest for qualifying accounting hedges of consumer automotive loans held-for-investment	(84)		27		—		—		—		—
Total (loss) gain on fair value hedging relationships	(122)		6		(9)		—		(6)		1
Gain on cash flow hedging relationships
Interest rate contracts
Interest for qualifying accounting hedges of variable-rate borrowings	1		—		—		—		—		—
Total gain on cash flow hedging relationships	$	1	$	—	$	—	$	—	$	—	$	—

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)

The following table summarizes the effect of cash flow hedges on accumulated other comprehensive income.

	Three months ended September 30,				Nine months ended September 30,
($ in millions)	2020		2019		2020		2019
Interest rate contracts
(Loss) gain recognized in other comprehensive income	$	(21)	$	2	$	129	$	14

Schedule of Net Investment Hedges in Accumulated Other Comprehensive Income (Loss)

The following table summarizes the effect of net investment hedges on accumulated other comprehensive income and the Condensed Consolidated Statement of Comprehensive Income.

	Three months ended September 30,				Nine months ended September 30,
($ in millions)	2020		2019		2020		2019
Foreign exchange contracts (a) (b)
(Loss) gain recognized in other comprehensive income	$	(4)	$	2	$	3	$	(3)

(a)There were no amounts excluded from effectiveness testing for the three months and nine months ended September 30, 2020, or 2019.

(b)Gains and losses reclassified from accumulated other comprehensive income are reported as other income, net of losses, in the Condensed Consolidated Statement of Comprehensive Income. There were no amounts reclassified for the three months and nine months ended September 30, 2020, or 2019.