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Derivative Instruments and Hedging Activities (Tables)
 12 Months Ended
Dec. 31, 2021
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 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 margin 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 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.
20212020
Derivative contracts in a
Notional amount
Derivative contracts in a
Notional amount
December 31, ($ in millions)
receivable position
payable position
receivable position
payable position
Derivatives designated as accounting hedges
Interest rate contracts
Swaps
$— $— $17,039 $— $— $12,385 
Foreign exchange contracts
Forwards
— 2 171 1 — 164 
Total derivatives designated as accounting hedges
— 2 17,210 1 — 12,549 
Derivatives not designated as accounting hedges
Interest rate contracts
Futures and forwards
1 — 223 1 — 391 
Written options
5 2 580 15 — 587 
Total interest rate risk
6 2 803 16 — 978 
Foreign exchange contracts
Futures and forwards— 1 154 — 1 159 
Total foreign exchange risk— 1 154 — 1 159 
Credit contracts (a)
Other credit derivatives— 56 n/a— 28 n/a
Total credit risk— 56 n/a— 28 n/a
Equity contracts
Written options
— 1 2 — 4 2 
Purchased options
1 — — — — — 
Total equity risk
1 1 2 — 4 2 
Total derivatives not designated as accounting hedges
7 60 959 16 33 1,139 
Total derivatives
$7 $62 $18,169 $17 $33 $13,688 
n/a = not applicable
(a)The maximum potential amount of undiscounted future payments that could be required under these credit derivatives was $119 million and $56 million as of December 31, 2021, and December 31, 2020, respectively.
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location
The following table presents amounts recorded on our Consolidated Balance Sheet related to cumulative basis adjustments for fair value hedges.
December 31, ($ in millions)
Carrying amount of the hedged itemsCumulative amount of fair value hedging adjustment included in the carrying amount of the hedged items
TotalDiscontinued (a)
202120202021202020212020
Assets
Available-for-sale securities (b) (c)$5,119 $1,259 $(14)$39 $(30)$28 
Finance receivables and loans, net (d)
44,098 28,393 (37)225 46 72 
Liabilities
Long-term debt$7,213 $8,656 $110 $169 $110 $203 
(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 $3.9 billion and $592 million at December 31, 2021, and December 31, 2020, 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 8 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 $1.2 billion as of December 31, 2021. The basis adjustment associated with the open last of layer relationship was a $14 million asset as of December 31, 2021, which would be allocated across the entire remaining pool upon termination or maturity of the hedge relationship. The amount that has been identified as the last of layer in the discontinued hedge relationship was $8.6 billion and $1.2 billion as of December 31, 2021, and December 31, 2020, respectively. This amount is cumulative and is not adjusted as amortization of the associated basis runs off. The basis adjustment associated with the discontinued last of layer relationship was a $20 million liability as of December 31, 2021, and a $20 million asset as of December 31, 2020, which was allocated across the entire remaining pool upon termination of the hedge relationship. There were no last of layer relationships as of December 31, 2020.
(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 $15.6 billion and $9.4 billion at December 31, 2021, and December 31, 2020, respectively. The basis adjustment associated with the open last-of-layer relationship was a $82 million liability as of December 31, 2021, and a $153 million asset as of December 31, 2020, 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 $20.9 billion at December 31, 2021, and $18.5 billion at December 31, 2020. This amount is cumulative and is not adjusted as amortization of the associated basis runs off. The basis adjustment associated with the discontinued last-of-layer hedge relationship was a $46 million asset and a $72 million asset as of December 31, 2021, and December 31, 2020, respectively, which was allocated across the entire remaining pool upon termination of the hedge relationship.
Schedule of Derivative Instruments Not Designated as Accounting Hedge
The following table summarizes the location and amounts of gains and losses on derivative instruments not designated as accounting hedges reported in our Consolidated Statement of Income.
Year ended December 31, ($ in millions)
202120202019
(Loss) gain recognized in earnings
Interest rate contracts
(Loss) gain on mortgage and automotive loans, net$(12)$(10)$1 
Other income, net of losses
8 (19)(11)
Total interest rate contracts
(4)(29)(10)
Foreign exchange contracts
Other operating expenses(1)(7)(4)
Total foreign exchange contracts
(1)(7)(4)
Credit contracts
Interest and fees on finance receivables and loans— (4)— 
Other income, net of losses(24)(1)— 
Total credit contracts(24)(5)— 
Total loss recognized in earnings$(29)$(41)$(14)
Schedule of Location and Amounts of Gains and Losses on Derivative Instruments
The following table summarizes the location and amounts of gains and losses on derivative instruments designated as qualifying fair value and cash flow hedges reported in our Consolidated Statement of Income.
Interest and fees on finance receivables and loansInterest and dividends on investment securities and other earning assetsInterest on depositsInterest on long-term debt
Year ended December 31, ($ in millions)
202120202019202120202019202120202019202120202019
Gain (loss) on fair value hedging relationships
Interest rate contracts
Hedged fixed-rate unsecured debt$— $— $— $— $— $— $— $— $— $68 $(135)$41 
Derivatives designated as hedging instruments on fixed-rate unsecured debt— — — — — — — — — (68)135 (41)
Hedged available-for-sale securities— — — (40)38 28 — — — — — — 
Derivatives designated as hedging instruments on available-for-sale securities— — — 40 (38)(28)— — — — — — 
Hedged fixed-rate consumer automotive loans(215)139 138 — — — — — — — — — 
Derivatives designated as hedging instruments on fixed-rate consumer automotive loans215 (139)(138)— — — — — — — — — 
Total gain on fair value hedging relationships
— — — — — — — — — — — — 
Gain (loss) on cash flow hedging relationships
Interest rate contracts
Hedged variable rate borrowings
Reclassified from accumulated other comprehensive income into income
— — — — — — — — — — — 15 
Hedged deposit liabilities
Reclassified from accumulated other comprehensive income into income— — — — — — (1)(8)(4)— — — 
Hedged variable-rate commercial loans
Reclassified from accumulated other comprehensive income into income58 73 — — — — — — — — — — 
Reclassified from accumulated other comprehensive income into income as a result of a forecasted transaction being probable not to occur4 — — — — — — — — — — — 
Total gain (loss) on cash flow hedging relationships
$62 $73 $— $— $— $— $(1)$(8)$(4)$— $— $15 
Total amounts presented in the Consolidated Statement of Income$6,468 $6,581 $7,337 $600 $736 $955 $1,045 $1,952 $2,538 $860 $1,249 $1,570 
Schedule of Derivative Instruments
The following table summarizes the location and amounts of gains and losses related to interest and amortization on derivative instruments designated as qualifying fair value and cash flow hedges reported in our Consolidated Statement of Income.
Interest and fees on finance receivables and loansInterest and dividends on investment securities and other earning assetsInterest on depositsInterest on long-term debt
Year ended December 31, ($ in millions)
202120202019202120202019202120202019202120202019
Gain (loss) on fair value hedging relationships
Interest rate contracts
Amortization of deferred unsecured debt basis adjustments$— $— $— $— $— $— $— $— $— $4 $12 $25 
Interest for qualifying accounting hedges of unsecured debt— — — — — — — — — 5 — — 
Amortization of deferred secured debt basis adjustments (FHLB advances)— — — — — — — — — (13)(22)(23)
Amortization of deferred basis adjustments of available-for-sale securities— — — (4)(7)(3)— — — — — — 
Interest for qualifying accounting hedges of available-for-sale securities— — — (6)(6)2 — — — — — — 
Amortization of deferred loan basis adjustments(46)(49)(28)— — — — — — — — — 
Interest for qualifying accounting hedges of consumer automotive loans held for investment(122)(121)22 — — — — — — — — — 
Total (loss) gain on fair value hedging relationships(168)(170)(6)(10)(13)(1)— — — (4)(10)2 
(Loss) gain on cash flow hedging relationships
Interest rate contracts
Interest for qualifying accounting hedges of deposit liabilities— — — — — — — — (1)— — — 
Interest for qualifying accounting hedges of variable-rate commercial loans— 1 1 — — — — — — — — — 
Total gain (loss) on cash flow hedging relationships$— $1 $1 $— $— $— $— $— $(1)$— $— $— 
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)
The following table summarizes the effect of cash flow hedges on accumulated other comprehensive (loss) income.
Year ended December 31, ($ in millions)
202120202019
Interest rate contracts
(Loss) gain recognized in other comprehensive (loss) income$(61)$105 $(23)
Schedule of Net Investment Hedges in Accumulated Other Comprehensive Income (Loss)
The following table summarizes the effect of net investment hedges on accumulated other comprehensive (loss) income and the Consolidated Statement of Income.
Year ended December 31, ($ in millions)
202120202019
Foreign exchange contracts (a) (b)
Loss recognized in other comprehensive (loss) income$— $(4)$(6)
(a)There were no amounts excluded from effectiveness testing for the years ended December 31, 2021, 2020, or 2019.
(b)Gains and losses reclassified from accumulated other comprehensive income are reported as other income, net of losses, in the Consolidated Statement of Income. There were no amounts reclassified for the years ended December 31, 2021, 2020, or 2019.