General Motors 2011 Annual Report Download - page 148
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GENERAL MOTORS COMPANY AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — (Continued)
Successor
December 31, 2010
Level 1 Level 2 Level 3 Total
Assets
Foreigncurrency ................................................................... $— $ 80 $— $ 80
Commodity ....................................................................... — 93 — 93
Warrants ......................................................................... — 44 — 44
Total ............................................................................ $— $217 $— $217
Liabilities
Foreigncurrency ................................................................... $— $113 $— $113
Embedded ........................................................................ — 9 — 9
Total ............................................................................ $— $122 $— $122
At December 31, 2011 and 2010, our non-performance risk was not observable through a liquid credit default swap market. In the
three months ended December 31, 2010 we determined that our non-performance risk no longer represented a significant input in the
determination of the fair value of our foreign currency exchange derivatives. The effect of our non-performance risk in the valuation
was reduced due to the reduction in the remaining duration and magnitude of these net derivative liability positions. In October 2010
we transferred foreign currency derivatives with a fair market value of $183 million out of Level 3 to Level 2.
Fair Value Measurements on a Recurring Basis using Level 3 Inputs
The following table summarizes the activity for our derivative investments classified in Level 3 (dollars in millions):
Successor
Level 3 Net Assets and (Liabilities) (a)
Year Ended December 31, 2011
Year Ended
December 31,
2010
Embedded Commodity Total
Foreign
Currency
Balance at beginning of period .............................................. $ — $— $ — $(672)
Total realized/unrealized gains (losses)
Includedinearnings .................................................... 160 (10) 150 103
Included in other comprehensive income (loss) ............................... (10) — (10) (10)
Settlements ............................................................. (2) — (2)
Purchases, issuances and settlements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 394
Transferinand/oroutofLevel3 ............................................ — — — 185
Balance at end of period ................................................... $148 $(10) $138 $ —
Amount of total gains (losses) in the period included in earnings attributable to the
change in unrealized gains (losses) relating to assets still held at the reporting date . . . $157 $(10) $147 $ —
(a) Realized and unrealized gains (losses) are recorded in Interest income and other non-operating income, net and foreign currency
translation gains (losses) are recorded in Accumulated other comprehensive income.
146 General Motors Company 2011 Annual Report