Fair Value Measurements

Accounting standards require certain assets and liabilities be reported at fair value in the financial statements and provide a framework for establishing that fair value. The framework for determining fair value is based on a hierarchy that prioritizes the inputs and valuation techniques used to measure fair value. The GUC Trust’s Cash Equivalents, Marketable Securities, Holdings of New GM Securities at March 31, 2015 and Liquidating Distributions Payable are presented as provided by this hierarchy.

Level 1—In general, fair values determined by Level 1 inputs use quoted prices in active markets for identical assets and liabilities that the GUC Trust has the ability to access.

Level 2—Fair values determined by Level 2 inputs use other inputs that are observable, either directly or indirectly. These Level 2 inputs include quoted prices for similar assets or liabilities in active markets, and other inputs such as interest rates and yield curves that are observable at commonly quoted intervals.

Level 3—Level 3 inputs are unobservable inputs, including inputs that are available in situations where there is little, if any, market activity for the related asset or liability. These Level 3 fair value measurements are based primarily on management’s own estimates using pricing models, discounted cash flow methodologies, or similar techniques taking into account the characteristics of the asset or liability. The GUC Trust had no assets or liabilities that are measured with Level 3 inputs at September 30, 2015 and March 31, 2015.

In instances where inputs used to measure fair value fall into different levels in the above fair value hierarchy, fair value measurements in their entirety are categorized based on the lowest level input that is significant to the valuation. The GUC Trust’s assessment of the significance of particular inputs to these fair value measurements requires judgment and considers factors specific to each asset or liability.

The GUC Trust also holds other financial instruments not measured at fair value on a recurring basis, including Accounts Payable and Other Liabilities. The fair value of these liabilities approximates the carrying amounts in the accompanying financial statements due to the short maturity of such instruments.

The following table presents information about the GUC Trust’s assets and liabilities measured at fair value on a recurring basis at September 30, 2015 and March 31, 2015, and the valuation techniques used by the GUC Trust to determine those fair values.


	September 30, 2015
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash Equivalents:
Money market funds	$	37,580	$	—	$	—	$	37,580
Marketable Securities:
U.S. Treasury bills		—		739,722		—		739,722
Corporate commercial paper		—		15,225		—		15,225
U.S. government agency bonds		—		7,060		—		7,060

Total Assets	$	37,580	$	762,007	$	—	$	799,587

Liabilities:
Liquidating distributions payable	$	131,885	$	—	$	—	$	131,885


	March 31, 2015
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents:
Money market funds	$	19,150	$	—	$	—	$	19,150
Marketable Securities:
Municipal commercial paper and demand notes		—		12,064		—		12,064
Corporate commercial paper		—		18,880		—		18,880
Holdings of New GM Securities:
New GM Common Stock		427,151		—		—		427,151
New GM Warrants		490,826		—		—		490,826

Total Assets	$	937,127	$	30,944	$	—	$	968,071

Liabilities:
Liquidating distributions payable	$	7,714	$	—	$	—	$	7,714

The following are descriptions of the valuation methodologies used for assets and liabilities measured at fair value:

•

Due to its short-term, liquid nature, the fair value of cash equivalents approximates its carrying value.

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Marketable securities at September 30, 2015 consist of U.S. Treasury bills, corporate commercial paper, and U.S. government agency bonds. Marketable securities at March 31, 2015 include municipal commercial paper and variable demand notes and corporate commercial paper. Due to their short term maturities, the fair value of U.S. Treasury bills and corporate and municipal commercial paper approximates their carrying value. The fair value of U.S. government agency bonds is based on pricing models, quoted prices of securities with similar characteristics, or broker quotes. Municipal variable demand notes trade daily at par value and, therefore, their fair value is equal to par value.

•

Holdings of New GM Securities at March 31, 2015 are valued at closing prices reported on the active market on which the securities are traded.

•

Liquidating distributions payable at September 30, 2015 are valued at the amount of cash that the GUC Trust is obligated to distribute. Liquidating distributions payable at March 31, 2015 are valued at closing prices of New GM Securities reported on the active market on which the securities are traded.

The GUC Trust’s policy is to recognize transfers between levels of the fair value hierarchy as of the actual date of the event of change in circumstances that caused the transfer. There were no such transfers during the three or six months ended September 30, 2015 and the year ended March 31, 2015.