Derivative Financial Instruments

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Automotive The following table presents the notional amounts of derivative financial instruments in our automotive operations:



	Fair Value Level	September 30, 2019		December 31, 2018
Derivatives not designated as hedges(a)
Foreign currency	2	$	5,251	$	2,710
Commodity	2	758		658
PSA warrants(b)	2	43		45
Total derivative financial instruments		$	6,052	$	3,413

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(a)	The fair value of these derivative instruments at September 30, 2019 and December 31, 2018 and the gains/losses included in our condensed consolidated income statements for the three and nine months ended September 30, 2019 and 2018 were insignificant, unless otherwise noted.

(b)

The fair value of the warrants issued by Peugeot, S.A. (PSA Group), included in Other assets was $1.0 billion and $827 million at September 30, 2019 and December 31, 2018. We recorded gains in Interest income and other non-operating income, net of $51 million and $171 million in the three months ended September 30, 2019 and 2018 and $222 million and $324 million in the nine months ended September 30, 2019 and 2018.

We estimate the fair value of the PSA warrants using a Black-Scholes formula. The significant inputs to the model include the PSA stock price and the estimated dividend yield. We are entitled to receive any dividends declared by PSA through the conversion date upon exercise of the warrants.

GM Financial The following table presents the notional amounts of GM Financial's derivative financial instruments:



	Fair Value Level	September 30, 2019		December 31, 2018
Derivatives designated as hedges(a)
Fair value hedges – interest rate swaps(b)	2	$	10,702	$	9,533
Fair value hedges – foreign currency swaps(b)	2	1,744		1,829
Cash flow hedges
Interest rate swaps	2	553		768
Foreign currency swaps(c)	2	4,269		2,075
Derivatives not designated as hedges(a)
Interest rate contracts(d)	2	86,848		99,666
Total derivative financial instruments(e)		$	104,116	$	113,871

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(a)

The fair value of these derivative instruments at September 30, 2019 and December 31, 2018 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, 2019 and 2018 were insignificant, unless otherwise noted. Amounts accrued for interest payments in a net receivable position are included in Other assets. Amounts accrued for interest payments in a net payable position are included in Other liabilities.


(b)	The fair value of these derivative instruments located in Other assets was $384 million and insignificant at September 30, 2019 and December 31, 2018. The fair value of these derivative instruments located in Other liabilities was insignificant and $291 million at September 30, 2019 and December 31, 2018.


(c)	The fair value of these derivative instruments located in Other liabilities was $241 million and insignificant at September 30, 2019 and December 31, 2018.


(d)	The fair value of these derivative instruments located in Other assets was $302 million and $372 million at September 30, 2019 and December 31, 2018. The fair value of these derivative instruments located in Other liabilities was $384 million and $520 million at September 30, 2019 and December 31, 2018.


(e)	GM Financial held $258 million and insignificant amounts of collateral from counterparties available for netting against GM Financial's asset positions, and posted insignificant amounts and $451 million of collateral to counterparties available for netting against GM Financial's liability positions at September 30, 2019 and December 31, 2018.

The fair value for Level 2 instruments was derived using the market approach based on observable market inputs including quoted prices of similar instruments and foreign exchange and interest rate forward curves.

The following amounts were recorded in the condensed consolidated balance sheets related to items designated and qualifying as hedged items in fair value hedging relationships:



	September 30, 2019					December 31, 2018
	Carrying Amount of Hedged Items		Cumulative Amount of Fair Value Hedging Adjustments(a)			Carrying Amount of Hedged Items		Cumulative Amount of Fair Value Hedging Adjustments(a)
GM Financial long-term debt	$	20,453	$	(135	)	$	17,923	$	459

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(a)

Includes $131 million and $247 million of amortization remaining on hedged items for which hedge accounting has been discontinued at September 30, 2019 and December 31, 2018.