General Motors 2011 Annual Report Download - page 73

GENERAL MOTORS COMPANY AND SUBSIDIARIES
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%
GM Financial estimates the realization of financing receivables in future periods using discount rate, prepayment and credit loss
assumptions similar to its historical experience. Notional amounts on interest rate swaps and caps are based on contractual terms.
Credit facilities and securitization notes payable amounts have been classified based on expected payoff. Senior notes and convertible
senior notes principal amounts have been classified based on maturity.
The notional amounts of interest rate swaps and caps, which are used to calculate the contractual payments to be exchanged under
the contracts, represent average amounts that will be outstanding for each of the years included in the table. Notional amounts do not
represent amounts exchanged by parties and, thus, are not a measure of GM Financial’s exposure to loss through its use of these
derivatives.
GM Financial monitors hedging activities to ensure that the value of derivative financial instruments, their correlation to the contracts
being hedged and the amounts being hedged continue to provide effective protection against interest rate risk. However, there can be no
assurance that these strategies will be effective in minimizing interest rate risk or that increases in interest rates will not have an adverse
effect on GM Financial’s profitability. GM Financial does not enter into derivative transactions for speculative purposes.
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General Motors Company 2011 Annual Report 71