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Fair Value (Tables)

3 Months Ended

Mar. 31, 2023

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. 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, 2023 ($ in millions)	Level 1		Level 2		Level 3		Total
Assets
Investment securities
Equity securities (a) (b)	$	676	$	—	$	1	$	677
Available-for-sale securities
Debt securities
U.S. Treasury and federal agencies	2,064		—		—		2,064
U.S. States and political subdivisions	—		709		4		713
Foreign government	47		117		—		164
Agency mortgage-backed residential	—		16,420		—		16,420
Mortgage-backed residential	—		4,282		—		4,282
Agency mortgage-backed commercial	—		3,652		—		3,652

Asset-backed	—		419		—		419
Corporate debt	—		1,736		—		1,736
Total available-for-sale securities	2,111		27,335		4		29,450
Mortgage loans held-for-sale (c)	—		24		—		24

Finance receivables and loans, net
Consumer other (c)	—		—		2		2

Other assets
Derivative contracts in a receivable position
Interest rate	—		47		2		49

Equity	1		—		—		1
Total derivative contracts in a receivable position	1		47		2		50

Total assets	$	2,788	$	27,406	$	9	$	30,203
Liabilities
Accrued expenses and other liabilities
Derivative contracts in a payable position

Foreign currency	$	—	$	2	$	—	$	2
Credit	—		—		44		44
Equity	3		—		—		3
Total derivative contracts in a payable position	3		2		44		49

Total liabilities	$	3	$	2	$	44	$	49

(a)Our direct investment in any one industry did not exceed 16%.

(b)Excludes $41 million of equity securities that are measured at fair value using the net asset value practical expedient and therefore are not classified in the fair value hierarchy.

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


	Recurring fair value measurements
December 31, 2022 ($ in millions)	Level 1		Level 2		Level 3		Total
Assets
Investment securities
Equity securities (a) (b)	$	642	$	—	$	1	$	643
Available-for-sale securities
Debt securities
U.S. Treasury and federal agencies	2,016		—		—		2,016
U.S. States and political subdivisions	—		756		4		760
Foreign government	39		107		—		146
Agency mortgage-backed residential	—		16,633		—		16,633
Mortgage-backed residential	—		4,299		—		4,299
Agency mortgage-backed commercial	—		3,535		—		3,535

Asset-backed	—		433		—		433
Corporate debt	—		1,719		—		1,719
Total available-for-sale securities	2,055		27,482		4		29,541
Mortgage loans held-for-sale (c)	—		13		—		13

Finance receivables and loans, net
Consumer other (c)	—		—		3		3

Other assets
Derivative contracts in a receivable position
Interest rate	—		22		—		22

Equity	1		—		—		1
Total derivative contracts in a receivable position	1		22		—		23

Total assets	$	2,698	$	27,517	$	8	$	30,223
Liabilities
Accrued expenses and other liabilities
Derivative contracts in a payable position

Foreign currency	$	—	$	2	$	—	$	2
Credit	—		—		39		39
Equity	1		—		—		1
Total derivative contracts in a payable position	1		2		39		42

Total liabilities	$	1	$	2	$	39	$	42

(a)Our direct investment in any one industry did not exceed 15%.

(b)Excludes $38 million of equity securities that are measured at fair value using the net asset value practical expedient and therefore are not classified in the fair value hierarchy.

(c)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. 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.


	Equity securities (a)				Available-for-sale securities				Finance receivables and loans, net (b) (c)
($ in millions)	2023		2022		2023		2022			2023		2022
Assets
Fair value at January 1,	$	1	$	9	$	4	$	9		$	3	$	7
Net realized/unrealized gains (losses)
Included in earnings	—		1		—		—			—		(1)
Included in OCI	—		—		—		—			—		—
Purchases	—		—		—		2			—		4
Sales	—		(9)		—		—			—		—
Issuances	—		—		—		—			—		—
Settlements	—		—		—		—			(1)		(3)
Transfers into Level 3	—		—		—		—			—		—
Transfers out of Level 3	—		—		—		—			—		—
Fair value at March 31,	$	1	$	1	$	4	$	11		$	2	$	7
Net unrealized losses still held at March 31,
Included in earnings	$	—	$	—	$	—	$	—		$	—	$	(1)
Included in OCI	—		—		—		—			—		—

(a)Net realized/unrealized gains are 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)Net realized/unrealized losses are reported as other income, net of losses, in the Condensed Consolidated Statement of Comprehensive Income.


	Derivative liabilities, net of derivative assets (a)
($ in millions)	2023		2022
Liabilities
Fair value at January 1,	$	39	$	53
Net realized/unrealized losses
Included in earnings	—		8
Included in OCI	—		—
Purchases	—		—
Sales	—		—
Issuances	—		—
Settlements	—		—
Transfers into Level 3	—		—
Transfers out of Level 3 (b)	3		—
Fair value at March 31,	$	42	$	61
Net unrealized losses still held at March 31,
Included in earnings	$	3	$	5
Included in OCI	—		—

(a)Net realized/unrealized losses are reported as gain on mortgage and automotive loans, net, and other income, net of losses, in the Condensed Consolidated Statement of Comprehensive Income.

(b)Represents the settlement value of interest rate derivative assets that are transferred to loans held-for-sale within Level 2 of the fair value hierarchy during the three months ended March 31, 2023. This transfer is deemed to have occurred at the end of the reporting period.

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, 2023, and December 31, 2022, respectively. The amounts are generally 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, 2023 ($ in millions)	Level 1		Level 2		Level 3		Total
Assets




Loans held-for-sale, net	$	—	$	—	$	500	$	500	$	—	n/m	(a)






Commercial finance receivables and loans, net (b)

Other	—		—		60		60		(100)		n/m	(a)
Total commercial finance receivables and loans, net	—		—		60		60		(100)		n/m	(a)
Other assets
Nonmarketable equity investments	—		2		28		30		21		n/m	(a)

Repossessed and foreclosed assets (c)	—		—		6		6		(1)		n/m	(a)

Total assets	$	—	$	2	$	594	$	596	$	(80)	n/m

n/m = not meaningful

(a)We consider the applicable valuation allowance, allowance for loan losses, or cumulative adjustments 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 reserve, loan loss allowance, or cumulative adjustment.

(b)Represents collateral-dependent loans held for investment for which a nonrecurring measurement was made. The related allowance for loan losses represents the cumulative fair value adjustments for 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, 2022 ($ in millions)	Level 1		Level 2		Level 3		Total
Assets




Loans held-for-sale, net	$	—	$	—	$	641	$	641	$	—	n/m	(a)






Commercial finance receivables and loans, net (b)
Automotive	—		—		3		3		—		n/m	(a)
Other	—		—		39		39		(89)		n/m	(a)
Total commercial finance receivables and loans, net	—		—		42		42		(89)		n/m	(a)
Other assets
Nonmarketable equity investments	—		—		12		12		3		n/m	(a)

Repossessed and foreclosed assets (c)	—		—		5		5		—		n/m	(a)

Total assets	$	—	$	—	$	700	$	700	$	(86)	n/m

n/m = not meaningful

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

Fair Value, by Balance Sheet Grouping

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, 2023, and December 31, 2022.


			Estimated fair value
($ in millions)	Carrying value		Level 1		Level 2		Level 3		Total
March 31, 2023
Financial assets
Held-to-maturity securities	$	1,047	$	—	$	891	$	—	$	891
Loans held-for-sale, net	500		—		—		500		500
Finance receivables and loans, net	132,551		—		—		134,325		134,325
FHLB/FRB stock (a)	720		—		720		—		720
Financial liabilities
Deposit liabilities	$	52,311	$	—	$	—	$	52,251	$	52,251
Short-term borrowings	1,455		—		—		1,487		1,487
Long-term debt	20,480		—		14,044		6,890		20,934
December 31, 2022
Financial assets
Held-to-maturity securities	$	1,062	$	—	$	884	$	—	$	884
Loans held-for-sale, net	641		—		—		641		641
Finance receivables and loans, net	132,034		—		—		133,856		133,856
FHLB/FRB stock (a)	719		—		719		—		719
Financial liabilities
Deposit liabilities	$	42,336	$	—	$	—	$	41,909	$	41,909
Short-term borrowings	2,399		—		—		2,417		2,417
Long-term debt	17,762		—		12,989		5,263		18,252

(a)Included in other assets on our Condensed Consolidated Balance Sheet.