Derivative Financial Instruments

9 Months Ended

Sep. 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	September 30, 2021		December 31, 2020






Derivatives not designated as hedges(a)
Foreign currency	2	$	3,867	$	2,195

Commodity	2	1,328		341
Stellantis warrants, formerly known as PSA warrants(b)	2	46		49
Total derivative financial instruments		$	5,241	$	2,585

__________

(a)The fair value of these derivative instruments at September 30, 2021 and December 31, 2020 and the gains/losses included in our condensed consolidated income statements for the three and nine months ended September 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 $1.4 billion and $1.1 billion at September 30, 2021 and December 31, 2020. We recorded a loss in Interest income and other non-operating income, net of $31 million and a gain of $76 million in the three months ended September 30, 2021 and 2020 and a gain of $333 million and a loss of $227 million in the nine months ended September 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	September 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	$	19,308	$	347	$	90	$	10,064	$	463	$	13
Foreign currency swaps	2	695		—		46		1,958		128		9
Cash flow hedges
Interest rate swaps	2	711		8		10		921		—		27
Foreign currency swaps	2	7,515		115		178		5,626		278		47
Derivatives not designated as hedges(a)
Interest rate contracts	2	106,109		624		342		110,997		954		576

Total derivative financial instruments(b)		$	134,338	$	1,094	$	666	$	129,566	$	1,823	$	672

__________

(a)The gains/losses included in our condensed consolidated income statements and statements of comprehensive income for the three and nine months ended September 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 $460 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 September 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:


	September 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	$	1,848	$	(11)	$	4,858	$	(69)
Long-term unsecured debt	22,685		(285)		18,457		(670)
GM Financial unsecured debt	$	24,533	$	(296)	$	23,315	$	(739)

__________

(a)Includes $245 million and $200 million of unamortized gains remaining on hedged items for which hedge accounting has been discontinued at September 30, 2021 and December 31, 2020.