General Motors 2010 Annual Report Download - page 115

GENERAL MOTORS COMPANY AND SUBSIDIARIES
securitization transactions are included in Total GM Financial Assets and the fair value of the interest rate cap derivatives sold are
included in Total GM Financial Liabilities. Changes in the fair value of the interest rate cap derivatives are a component of interest
expense recorded in GM Financial operating expenses and other.
GM Financial has entered into interest rate swap derivatives to hedge the variability in interest payments on eight of its active
securitization transactions. Portions of these interest rate swap derivatives are designated and qualify as cash flow hedges. The fair
value of interest rate swap derivatives designated as hedges is included in GM Financial Other liabilities. Interest rate swap
derivatives that are not designated as hedges are included in GM Financial Other assets.
The following table summarizes GM Financial’s interest rate sensitive assets and liabilities by year of expected maturity and the
fair value of those assets and liabilities at December 31, 2010 (dollars in millions):
Years Ending December 31,
December 31,
2010
2011 2012 2013 2014 2015 Thereafter
Fair
Value
Assets
Finance receivables
Principal amounts ............................... $3,755 $2,434 $1,287 $ 678 $ 372 $ 161 $8,186
Weighted-average annual percentage rate ............ 15.74% 15.66% 15.57% 15.36% 15.21% 15.37%
Interest rate swap agreements
Notional amounts ............................... $ 754 $ 460 $ 13 $ — $ — $ — $ 23
Average pay rate ................................ 5.32% 3.53% 0.97% — — —
Average receive rate ............................. 1.03% 1.16% 0.43% — — —
Interest rate cap agreements
Notional amounts ............................... $ 177 $ 164 $ 144 $ 169 $ 79 $ 213 $ 8
Average strike rate .............................. 4.81% 4.73% 4.71% 4.53% 4.18% 3.47%
Liabilities
Credit facilities
Principal amounts ............................... $ 533 $ 296 $ — $ — $ — $ — $ 832
Weighted-average interest rate ..................... 3.19% 2.28% — — — —
Securitization notes
Principal amounts ............................... $2,961 $1,703 $ 659 $ 423 $ 275 $ — $6,107
Weighted-average interest rate ..................... 3.44% 4.03% 4.44% 4.38% 4.88% —
Senior notes
Principal amounts ............................... $ — $ — $ — $ — $ 68 $ — $ 71
Weighted-average interest rate .....................————8.50% —
Convertible senior notes
Principal amounts ............................... $ 1 $ — $ 1 $ — $ — $ — $ 1
Weighted-average coupon interest rate .............. 0.75% — 2.13% — — —
Interest rate swap agreements
Notional amounts ............................... $ 754 $ 460 $ 13 $ — $ — $ — $ 47
Average pay rate ................................ 5.32% 3.53% 0.97% — — —
Average receive rate ............................. 1.03% 1.16% 0.43% — — —
Interest rate cap agreements
Notional amounts ............................... $ 104 $ 123 $ 144 $ 169 $ 79 $ 213 $ 8
Average strike rate .............................. 4.94% 4.85% 4.71% 4.53% 4.18% 3.47%
General Motors Company 2010 Annual Report 113