General Motors 2012 Annual Report Download - page 144

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GENERAL MOTORS COMPANY AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — (Continued)
The valuations are performed, reviewed and approved by personnel with appropriate expertise in valuation methodologies. For
certain derivatives we compare our own valuations to valuations prepared by independent outside parties.
The following table summarizes the significant quantitative unobservable inputs and assumptions used in the fair value
measurement of the derivatives at December 31, 2012:
Valuation Technique Significant Unobservable Input Metric
Commodity ...... Discounted cash flow Coal forward price per ton in Euro (a) €93.09
Heavy fuel oil forward price per ton in Euro (a) €562.51
Supplier nonperformance risk (average) 2.44%
Embedded ....... Discounted cash flow Average Euro/TRY forward exchange rate (b) €2.72
Volume commitment and vehicle mix in Euro (c) €909 million
(a) Forward prices are estimated to be equivalents of the spot price as published by a governmental agency.
(b) Calculated by adjusting market forward rates for the spread between current market and Turkish central bank spot prices.
(c) Volume commitment is spread evenly on a monthly basis and vehicle mix is pursuant to management forecasts.
Fair Value Measurements on a Recurring Basis Using Level 3 Inputs
The following table summarizes the activity for our derivative investments measured using Level 3 inputs (dollars in millions):
Level 3 Net Assets and (Liabilities)
Year Ended December 31, 2012 Year Ended December 31, 2011
Embedded Commodity Total Embedded Commodity Total
Balance at beginning of period ............................... $148 $(10) $ 138 $ — $ — $ —
Total realized/unrealized gains (losses) (a)
Included in earnings ...................................... (104) 4 (100) 160 (10) 150
Included in OCI ......................................... (2) (1) (3) (10) — (10)
Settlements ............................................... (16) (6) (22) (2) — (2)
Issuances ................................................ — 24 24 — — —
Balance at end of period .................................... $ 26 $11 $ 37 $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 ......................... $ (95) $ 3 $ (92) $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.
General Motors Company 2012 ANNUAL REPORT 141