Derivative Financial Instruments

6 Months Ended

Jun. 30, 2021

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	June 30, 2021		December 31, 2020






Derivatives not designated as hedges(a)
Foreign currency	2	$	3,024	$	2,195

Commodity	2	1,093		341
Stellantis warrants, formerly known as PSA warrants(b)	2	47		49
Total derivative financial instruments		$	4,164	$	2,585

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(a)The fair value of these derivative instruments at June 30, 2021 and December 31, 2020 and the gains/losses included in our condensed consolidated income statements for the three and six months ended June 30, 2021 and 2020 were insignificant, unless otherwise noted.

(b)As a result of the merger of Peugeot, S.A. (PSA Group) and Fiat Chrysler Automobiles N.V. on January 16, 2021, our 39.7 million warrants in Stellantis N.V. (Stellantis) will convert into 69.2 million common shares of Stellantis upon exercise. These warrants will continue to be governed by the same terms and conditions that were applicable prior to the merger. The fair value of these warrants, located in Other assets, was $1.5 billion and $1.1 billion at June 30, 2021 and December 31, 2020. We recorded gains in Interest income and other non-operating income, net of $154 million and $114 million in the three months ended June 30, 2021 and 2020 and gains of $364 million and losses of $303 million in the six months ended June 30, 2021 and 2020.

We estimate the fair value of the Stellantis warrants using a Black-Scholes formula. The significant inputs to the model include the Stellantis stock price and the estimated dividend yield. We are entitled to receive any dividends declared by Stellantis 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	June 30, 2021						December 31, 2020
		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	2	$	18,112	$	319	$	75	$	10,064	$	463	$	13
Foreign currency swaps	2	712		—		30		1,958		128		9
Cash flow hedges
Interest rate swaps	2	835		4		14		921		—		27
Foreign currency swaps	2	6,418		204		99		5,626		278		47
Derivatives not designated as hedges(a)
Interest rate contracts	2	108,734		778		409		110,997		954		576

Total derivative financial instruments(b)		$	134,811	$	1,305	$	627	$	129,566	$	1,823	$	672

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(a)The gains/losses included in our condensed consolidated income statements and statements of comprehensive income for the three and six months ended June 30, 2021 and 2020 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)GM Financial held $509 million and $728 million of collateral from counterparties available for netting against GM Financial's asset positions, and posted an insignificant amount of collateral to counterparties available for netting against GM Financial's liability positions at June 30, 2021 and December 31, 2020.

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:


	June 30, 2021				December 31, 2020
	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)
Short-term unsecured debt	$	1,866	$	(25)	$	4,858	$	(69)
Long-term unsecured debt	22,756		(356)		18,457		(670)
GM Financial unsecured debt	$	24,622	$	(381)	$	23,315	$	(739)

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(a)Includes $223 million and $200 million of unamortized gains remaining on hedged items for which hedge accounting has been discontinued at June 30, 2021 and December 31, 2020.