Derivative Financial Instruments |
Derivative Financial Instruments Automotive The following table presents the notional amounts based on asset or liability positions of derivative financial instruments in our automotive operations: | | | | | | | | | | | | Fair Value Level | | September 30, 2017 | | December 31, 2016 | Derivatives designated as hedges(a) | | | | | | Assets | | | | | | Cash flow hedges | | | | | | Foreign currency | 2 | | $ | — |
| | $ | 803 |
| Commodity | 2 | | 73 |
| | 106 |
| Total assets | | | $ | 73 |
| | $ | 909 |
| Derivatives not designated as hedges(a) | | | | | | Assets | | | | | | Foreign currency | 2/3 | | $ | 3,671 |
| | $ | 4,483 |
| Commodity | 2 | | 553 |
| | 1,061 |
| PSA warrants(b) | 2 | | 47 |
| | — |
| Total assets | | | $ | 4,271 |
| | $ | 5,544 |
| Liabilities | | | | | | Foreign currency | 2/3 | | $ | 2,025 |
| | $ | 470 |
| Commodity | 2 | | 70 |
| | 181 |
| Total liabilities | | | $ | 2,095 |
| | $ | 651 |
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__________ | | (a) | The fair value of these derivative instruments at September 30, 2017 and December 31, 2016 and the gains/losses included in our condensed consolidated income statements and statements of comprehensive income for the three and nine months ended September 30, 2017 and 2016 were insignificant. |
| | (b) | The fair value of the PSA warrants was $903 million at September 30, 2017. |
We estimate the fair value of the PSA warrants using a Black-Scholes valuation model. The significant inputs to the model include the PSA stock price and the estimated dividend yield. The estimated dividend yield is adjusted based on the terms of the Agreement. Under the terms of the Agreement we are entitled to the dividends distributed by PSA since the warrants issuance date. Gains or losses as a result of the change in the fair value of the PSA warrants are recorded in Interest income and other non-operating income, net.
GM Financial The following table presents the notional amounts based on asset or liability positions of GM Financial's derivative financial instruments: | | | | | | | | | | | | Fair Value Level | | September 30, 2017 | | December 31, 2016 | Derivatives designated as hedges(a) | | | | | | Assets | | | | | | Fair value hedges – interest rate swaps | 2 | | $ | 3,500 |
| | $ | — |
| Cash flow hedges | | | | | | Interest rate swaps | 2/3 | | 2,561 |
| | 3,070 |
| Foreign currency | 2 | | 1,356 |
| | — |
| Total cash flow hedges | | | 3,917 |
| | 3,070 |
| Total assets | | | $ | 7,417 |
| | $ | 3,070 |
| Liabilities | | | | | | Fair value hedges – interest rate swaps(b) | 2 | | $ | 7,860 |
| | $ | 7,700 |
| Cash flow hedges | | | | | | Interest rate swaps | 2/3 | | — |
| | 500 |
| Foreign currency | 2 | | — |
| | 791 |
| Total cash flow hedges | | | — |
| | 1,291 |
| Total liabilities | | | $ | 7,860 |
| | $ | 8,991 |
| Derivatives not designated as hedges(a) | | | | | | Assets | | | | | | Interest rate swaps | 2/3 | | $ | 33,218 |
| | $ | 7,959 |
| Interest rate caps and floors | 2 | | 16,810 |
| | 9,698 |
| Foreign currency | 2 | | 1,182 |
| | — |
| Total assets | | | $ | 51,210 |
| | $ | 17,657 |
| Liabilities | | | | | | Interest rate swaps | 2/3 | | $ | 12,823 |
| | $ | 6,170 |
| Interest rate caps and floors | 2 | | 18,467 |
| | 12,146 |
| Total liabilities | | | $ | 31,290 |
| | $ | 18,316 |
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__________ | | (a) | The fair value of these derivative instruments at September 30, 2017 and December 31, 2016 and the gains/losses included in our condensed consolidated income statements and statements of comprehensive income for the three and nine months ended September 30, 2017 and 2016 were insignificant. |
| | (b) | The fair value of these derivative instruments was $260 million and $276 million at September 30, 2017 and December 31, 2016. |
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