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FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2024

Gross Impact of Changes in Fair Value of Derivatives Designated as Cash Flow Hedges on AOCI and Net Income

The following table summarizes the gross impact of changes in the fair value of derivatives designated as cash flow hedges recognized in accumulated other comprehensive income (loss) and net income (loss) during the three months ended March 31, 2024 and 2023 (in millions of dollars):


			Recognized in Net Income
For the Three Months Ended March 31,	Gain (Loss) Recognized in Accumulated Other Comprehensive Income		Classification of Gain (Loss)	Gain (Loss) Reclassified from Accumulated Other Comprehensive Income into Income
2024
Foreign exchange contracts	$	(4)
			Net sales	(1)
			Cost of goods sold	(4)
			Other, net	6
Interest rate contracts	10		Interest expense	(5)
Total	$	6		$	(4)
2023
Foreign exchange contracts	$	15
			Net sales	(1)
			Cost of goods sold	(27)
			Other, net	7
Interest rate contracts	(22)		Interest expense	5
Total	$	(7)		$	(16)

Significant amounts reclassified out of each component of accumulated other comprehensive income (loss) in the three months ended March 31, 2024 and 2023 consisted of the following (in millions of dollars):


	Amounts Reclassified from Other Comprehensive Income (Loss)				Consolidated Statement of Operations Line
	Three Months Ended March 31,
	2024		2023
Cash flow hedges	$	1	$	1	Net sales
	4		27		Cost of goods sold
	(6)		(7)		Other, net
	5		(5)		Interest expense
	(1)		(2)		Income taxes
	3		14
Change in retirement plans’ funded status:
Amortization of actuarial losses	5		4		*
Amortization of prior service cost	(6)		(9)		*
	1		1		Income taxes
	—		(4)
Total reclassifications, net of tax	$	3	$	10

(*) These amounts are included in net periodic pension and other postretirement benefit cost. See “Note 6: Employee Benefit Plans and Postretirement Benefits” for additional information.

Summary of Impact of Changes in Fair Value of Fair Value Hedges and Derivatives Not Designated as Hedging Instruments on Earnings

The following table summarizes the activity in accumulated other comprehensive income related to the derivatives held by the Company during the three months ended March 31, 2024 and 2023 (in millions of dollars):


	Before-Tax Amount		Income Tax		After-Tax Amount
Accumulated derivative net losses as of December 31, 2023	$	(19)	$	9	$	(10)
Net changes in fair value of derivatives	6		(2)		4
Net losses reclassified from accumulated other comprehensive income into income	4		(1)		3
Accumulated derivative net losses as of March 31, 2024	$	(9)	$	6	$	(3)


	Before-Tax Amount		Income Tax		After-Tax Amount
Accumulated derivative net losses as of December 31, 2022	$	71	$	(27)	$	44
Net changes in fair value of derivatives	(7)		4		(3)
Net losses reclassified from accumulated other comprehensive income into income	16		(2)		14
Accumulated derivative net losses as of March 31, 2023	$	80	$	(25)	$	55

The following tables summarize the impact related to changes in the fair value of fair value hedges and derivatives not designated as hedges during the three months ended March 31, 2024 and 2023 (in millions of dollars):


		For the Three Months Ended March 31,
	Classification of Gain (Loss)	2024		2023
Fair Value Hedges
Interest rate derivatives	Interest expense	$	(4)	$	16

Not Designated as Hedges
Foreign exchange contracts	Other, Net	$	(10)	$	(24)

Summary of Fair Value of Derivatives

The fair values of CNH’s derivatives as of March 31, 2024 and December 31, 2023 in the consolidated balance sheets are recorded as follows (in millions of dollars):


	March 31, 2024			December 31, 2023
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Derivatives designated as hedging instruments
Interest rate contracts	Derivative assets	$	39	Derivative assets	$	60
Foreign currency contracts	Derivative assets	19		Derivative assets	31
Total derivative assets		$	58		$	91
Interest rate contracts	Derivative liabilities	$	106	Derivative liabilities	$	117
Foreign currency contracts	Derivative liabilities	31		Derivative liabilities	49
Total derivative liabilities		$	137		$	166

Derivatives not designated as hedging instruments
Interest rate contracts	Derivative assets	$	33	Derivative assets	$	31
Foreign currency contracts	Derivative assets	12		Derivative assets	14
Total derivative assets		$	45		$	45
Interest rate contracts	Derivative liabilities	$	33	Derivative liabilities	$	30
Foreign currency contracts	Derivative liabilities	5		Derivative liabilities	20
Total derivative liabilities		$	38		$	50

Summary of Investments Measured on Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2024 and December 31, 2023 (in millions of dollars):


	Level 1				Level 2				Total
	March 31, 2024		December 31, 2023		March 31, 2024		December 31, 2023		March 31, 2024		December 31, 2023
Assets
Foreign exchange derivatives	$	—	$	—	$	31	$	46	$	31	$	46
Interest rate derivatives	—		—		72		90		72		90
Total Assets	$	—	$	—	$	103	$	136	$	103	$	136
Liabilities
Foreign exchange derivatives	$	—	$	—	$	36	$	69	$	36	$	69
Interest rate derivatives	—		—		139		147		139		147
Total Liabilities	$	—	$	—	$	175	$	216	$	175	$	216

Summary of Estimated Fair Market Values

The estimated fair market values of financial instruments not carried at fair value in the consolidated balance sheets as of March 31, 2024, and December 31, 2023, were as follows (in millions of dollars):


	March 31, 2024				December 31, 2023
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financing receivables	$	24,120	$	24,061	$	24,249	$	24,129
Debt	$	27,780	$	28,118	$	27,326	$	27,624