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Derivative Instruments and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2022
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 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 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, 2022December 31, 2021
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
$— $— $28,218 $— $— $17,039 
Purchased options
3 — 450 — — — 
Foreign exchange contracts
Forwards
5 — 142 — 2 171 
Total derivatives designated as accounting hedges
8 — 28,810 — 2 17,210 
Derivatives not designated as accounting hedges
Interest rate contracts
Futures and forwards
1 — 108 1 — 223 
Written options
— 2 127 5 2 580 
Total interest rate risk
1 2 235 6 2 803 
Foreign exchange contracts
Futures and forwards2 — 141 — 1 154 
Total foreign exchange risk2 — 141 — 1 154 
Credit contracts (a)
Other credit derivatives— 46 n/a— 56 n/a
Total credit risk— 46 n/a— 56 n/a
Equity contracts
Written options
— — — — 1 2 
Purchased options
— — — 1 — — 
Total equity risk
— — — 1 1 2 
Total derivatives not designated as accounting hedges
3 48 376 7 60 959 
Total derivatives
$11 $48 $29,186 $7 $62 $18,169 
n/a = not applicable
(a)The maximum potential amount of undiscounted future payments that could be required under these credit derivatives was $94 million and $119 million as of September 30, 2022, and December 31, 2021, respectively.
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location
The following table presents amounts recorded on our Condensed Consolidated Balance Sheet related to cumulative basis adjustments for fair value hedges.
($ in millions)Carrying amount of the hedged itemsCumulative amount of fair value hedging adjustment included in the carrying amount of the hedged items
TotalDiscontinued (a)
September 30, 2022December 31, 2021September 30, 2022December 31, 2021September 30, 2022December 31, 2021
Assets
Available-for-sale securities (b)$4,989 $5,119 $(189)$(14)$(153)$(30)
Finance receivables and loans, net (c)41,527 44,098 (658)(37)(66)46 
Liabilities
Long-term debt$7,048 $7,213 $105 $110 $107 $110 
(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)These amounts include the amortized cost basis and unallocated basis adjustments of closed portfolios of available-for-sale securities used to designate hedging relationships in which the hedged item is the stated amount of assets in the closed portfolios anticipated to be outstanding for the designated hedge period. At September 30, 2022, and December 31, 2021, the amortized cost basis and unallocated basis adjustments of the closed portfolios used in these hedging relationships was $3.7 billion and $3.9 billion, respectively, of which $1.7 billion and $1.6 billion, respectively, represents the amortized cost basis and unallocated basis adjustments of closed portfolios designated in an active hedge relationship. At September 30, 2022, and December 31, 2021, the total cumulative basis adjustments associated with these hedging relationships was a $141 million liability and a $6 million liability, respectively, of which the portion related to discontinued hedging relationships was a $116 million liability and a $20 million liability, respectively. At September 30, 2022, and December 31, 2021, the notional amounts of the designated hedged items were $1.1 billion and $1.2 billion, respectively, with cumulative basis adjustments of a $25 million liability and a $14 million asset, respectively, which would be allocated across the entire remaining closed pool upon termination or maturity of the hedge relationship. Refer to Note 7 for a reconciliation of the amortized cost and fair value of available-for-sale securities.
(c)These amounts include the carrying value of closed portfolios of loan receivables used to designate hedging relationships in which the hedged item is the stated amount of assets in the closed portfolios anticipated to be outstanding for the designated hedge period. At September 30, 2022, and December 31, 2021, the carrying value of the closed portfolios used in these hedging relationships was $41.5 billion and $44.1 billion, respectively, of which $41.2 billion and $43.5 billion, respectively, represents the carrying value of closed portfolios designated in an active hedge relationship. At September 30, 2022, and December 31, 2021, the total cumulative basis adjustments associated with these hedging relationships was a $658 million liability and a $37 million liability, respectively, of which the portion related to discontinued hedging relationships was a $66 million liability and a $46 million asset, respectively. At September 30, 2022, and December 31, 2021, the notional amounts of the designated hedged items were $21.5 billion and $15.6 billion, respectively, with cumulative basis adjustments of a $592 million liability and an $82 million liability, respectively, which would be allocated across the entire remaining closed pool upon termination or maturity of the hedge relationship.
Schedule of Derivative Instruments Not Designated as Accounting Hedge
The following table summarizes the location and amounts of gains and losses on derivative instruments not designated as accounting hedges reported in our Condensed Consolidated Statement of Comprehensive Income.
Three months ended September 30,Nine months ended September 30,
($ in millions)2022202120222021
Gain (loss) recognized in earnings
Interest rate contracts
Gain (loss) on mortgage and automotive loans, net$7 $(4)$8 $(12)
Other income, net of losses
4 4 10 6 
Total interest rate contracts
11 — 18 (6)
Foreign exchange contracts
Other operating expenses9 3 11 (1)
Total foreign exchange contracts
9 3 11 (1)
Credit contracts
Other income, net of losses— (7)(2)(22)
Total credit contracts— (7)(2)(22)
Total gain (loss) recognized in earnings$20 $(4)$27 $(29)
Schedule of Location and Amounts of Gains and Losses on Derivative Instruments
The following tables summarize the location and amounts of gains and losses on derivative instruments designated as qualifying fair value and cash flow hedges reported in our Condensed Consolidated Statement of Comprehensive Income.
Interest and fees on finance receivables and loansInterest and dividends on investment securities and other earning assetsInterest on depositsInterest on long-term debt
Three months ended September 30, ($ in millions)
20222021202220212022202120222021
Gain (loss) on fair value hedging relationships
Interest rate contracts
Hedged fixed-rate unsecured debt$— $— $— $— $— $— $1 $(4)
Derivatives designated as hedging instruments on fixed-rate unsecured debt— — — — — — (1)4 
Hedged available-for-sale securities— — (97)(34)— — — — 
Derivatives designated as hedging instruments on available-for-sale securities— — 97 34 — — — — 
Hedged fixed-rate consumer automotive loans(174)(35)— — — — — — 
Derivatives designated as hedging instruments on fixed-rate consumer automotive loans174 35 — — — — — — 
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 income5 12 — — — — — — 
Other hedged forecasted transactions
Reclassified from accumulated other comprehensive income into income— — — — — — (1)— 
Total gain (loss) on cash flow hedging relationships$5 $12 $— $— $— $— $(1)$— 
Total amounts presented in the Condensed Consolidated Statement of Comprehensive Income$2,120 $1,619 $218 $155 $567 $245 $194 $191 
Interest and fees on finance receivables and loansInterest and dividends on investment securities and other earning assetsInterest on depositsInterest on long-term debt
Nine months ended September 30, ($ in millions)
20222021202220212022202120222021
Gain (loss) on fair value hedging relationships
Interest rate contracts
Hedged fixed-rate unsecured debt$— $— $— $— $— $— $5 $69 
Derivatives designated as hedging instruments on fixed-rate unsecured debt— — — — — — (5)(69)
Hedged available-for-sale securities— — (186)(51)— — — — 
Derivatives designated as hedging instruments on available-for-sale securities— — 186 51 — — — — 
Hedged fixed-rate consumer automotive loans(627)(112)— — — — — — 
Derivatives designated as hedging instruments on fixed-rate consumer automotive loans627 112 — — — — — — 
Total gain on fair value hedging relationships
— — — — — — — — 
(Loss) gain on cash flow hedging relationships
Interest rate contracts
Hedged deposit liabilities
Reclassified from accumulated other comprehensive income into income— — — — — (1)— — 
Hedged variable-rate commercial loans
Reclassified from accumulated other comprehensive income into income16 52 — — — — — — 
Reclassified from accumulated other comprehensive income into income as a result of a forecasted transaction being probable not to occur— 4 — — — — — — 
Other hedged forecasted transactions
Reclassified from accumulated other comprehensive income into income— — — — — — (1)— 
Total gain (loss) on cash flow hedging relationships
$16 $56 $— $— $— $(1)$(1)$— 
Total amounts presented in the Condensed Consolidated Statement of Comprehensive Income$5,676 $4,789 $609 $433 $1,041 $819 $563 $671 
Schedule of Derivative Instruments
The following tables summarize the location and amounts of gains and losses related to interest and amortization on derivative instruments designated as qualifying fair value and cash flow hedges reported in our Condensed Consolidated Statement of Comprehensive Income.
Interest and fees on finance receivables and loansInterest and dividends on investment securities and other earning assetsInterest on long-term debt
Three months ended September 30, ($ in millions)
202220212022202120222021
Gain (loss) on fair value hedging relationships
Interest rate contracts
Amortization of deferred unsecured debt basis adjustments$— $— $— $— $1 $1 
Amortization of deferred secured debt basis adjustments (FHLB advances)— — — — (1)(3)
Amortization of deferred basis adjustments of available-for-sale securities— — 4 (1)— — 
Interest for qualifying accounting hedges of available-for-sale securities— — — (1)— — 
Amortization of deferred loan basis adjustments17 (11)— — — — 
Interest for qualifying accounting hedges of consumer automotive loans held for investment36 (31)— — — — 
Total gain (loss) on fair value hedging relationships$53 $(42)$4 $(2)$— $(2)
Interest and fees on finance receivables and loansInterest and dividends on investment securities and other earning assetsInterest on long-term debt
Nine months ended September 30, ($ in millions)
202220212022202120222021
Gain (loss) on fair value hedging relationships
Interest rate contracts
Amortization of deferred unsecured debt basis adjustments$— $— $— $— $3 $3 
Interest for qualifying accounting hedges of unsecured debt— — — — 1 3 
Amortization of deferred secured debt basis adjustments (FHLB advances)— — — — (3)(11)
Amortization of deferred basis adjustments of available-for-sale securities— — 9 (4)— — 
Interest for qualifying accounting hedges of available-for-sale securities— — (1)(5)— — 
Amortization of deferred loan basis adjustments6 (35)— — — — 
Interest for qualifying accounting hedges of consumer automotive loans held for investment13 (93)— — — — 
Total gain (loss) on fair value hedging relationships$19 $(128)$8 $(9)$1 $(5)
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)
The following table summarizes the effect of cash flow hedges on accumulated other comprehensive loss.
Three months ended September 30,Nine months ended September 30,
($ in millions)2022202120222021
Interest rate contracts
Loss recognized in other comprehensive loss$(4)$(12)$(15)$(55)
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 and the Condensed Consolidated Statement of Comprehensive Income.
Three months ended September 30,Nine months ended September 30,
($ in millions)2022202120222021
Foreign exchange contracts (a) (b)
Gain (loss) recognized in other comprehensive loss$10 $4 $11 $(1)
(a)There were no amounts excluded from effectiveness testing for the three months and nine months ended September 30, 2022, or 2021.
(b)Gains and losses reclassified from accumulated other comprehensive loss 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, 2022, or 2021