Derivative Financial Instruments

3 Months Ended

Mar. 31, 2020

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	March 31, 2020		December 31, 2019
Derivatives not designated as hedges(a)
Foreign currency	2	$	5,256	$	5,075
Commodity	2	704		806
PSA warrants(b)	2	44		45
Total derivative financial instruments		$	6,004	$	5,926

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(a)	The fair value of these derivative instruments at March 31, 2020 and December 31, 2019 and the gains/losses included in our condensed consolidated income statements for the three months ended March 31, 2020 and 2019 were insignificant, unless otherwise noted.


(b)	The fair value of the warrants issued by Peugeot, S.A. (PSA Group) included in Other assets was $546 million and $964 million at March 31, 2020 and December 31, 2019. We recorded losses of $417 million and gains of $139 million in Interest income and other non-operating income, net in the three months ended March 31, 2020 and 2019.

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

GM Financial The following table presents the gross fair value amounts of GM Financial's derivative financial instruments and the associated notional amounts:



	Fair Value Level	March 31, 2020						December 31, 2019
		Notional		Fair Value of Assets		Fair Value of Liabilities		Notional		Fair Value of Assets		Fair Value of Liabilities
Derivatives designated as hedges(a)
Fair value hedges
Interest rate swaps(b)	2	$	8,681	$	640	$	—	$	9,458	$	234	$	23
Foreign currency swaps	2	1,755		—		84		1,796		22		71
Cash flow hedges
Interest rate swaps	2	1,090		—		21		590		—		6
Foreign currency swaps	2	5,091		41		373		4,429		40		119
Derivatives not designated as hedges(a)
Interest rate contracts	2	104,282		843		772		92,400		340		300
Total derivative financial instruments(c)		$	120,899	$	1,524	$	1,250	$	108,673	$	636	$	519

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(a)

The gains/losses included in our condensed consolidated income statements and statements of comprehensive income for the three months ended March 31, 2020 and 2019 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 gains included in GM Financial interest, operating, and other expenses were $431 million and an insignificant amount for the three months ended March 31, 2020 and 2019.


(c)	GM Financial held $668 million and $210 million of collateral from counterparties available for netting against GM Financial's asset positions, and posted $270 million and an insignificant amount of collateral to counterparties available for netting against GM Financial's liability positions at March 31, 2020 and December 31, 2019.

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:



	March 31, 2020					December 31, 2019
	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 unsecured debt(b)	$	22,082	$	(539	)	$	20,397	$	(77	)

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(a)	Includes an insignificant amount of amortization remaining on hedged items for which hedge accounting has been discontinued at March 31, 2020 and December 31, 2019.

(b)

The losses for hedged items - interest rate swaps included in GM Financial interest, operating, and other expenses were $503 million and an insignificant amount for the three months ended March 31, 2020 and 2019.