DELPHI 2011 Annual Report Download - page 138

Table of Contents
The following table summarizes the allocation of net income (loss) to the membership interest classes for the periods prior to the initial public offering.
Period from January 1,
2011 to Initial
Public Offering
Net Income
Attributable to
Membership
Interests
Year Ended
December 31,
2010
Net Income
Attributable to
Membership
Interests
Period from
August 19 to
December 31,
2009 Net Loss
Attributable to
Membership
Interests
Class (in millions)
A $ 76 $ 114 $ (3)
B 930 410 (12)
C 25 107 (3)
E-1 4 — N/A
$ 1,035 $ 631 $ (18)
17. FAIR VALUE OF FINANCIAL INSTRUMENTS, DERIVATIVES AND HEDGING ACTIVITIES
Financial Instruments
Delphi's financial instruments include debt which consists of its accounts receivable factoring arrangements, capital leases and other debt issued by
Delphi's foreign subsidiaries, the Tranche A Term Loan, the Tranche B Term Loan and the Senior Notes. The fair value of debt is based on quoted market
prices for instruments with public market data or the current book value for instruments without a quoted public market price. As of December 31, 2011 and
2010, the total of debt was recorded at $2,103 million and $289 million, respectively, and had estimated fair values of $2,125 million and $293 million,
respectively. For all other financial instruments recorded at December 31, 2011 and 2010, fair value approximates book value.
Derivatives and Hedging Activities
Delphi is exposed to market risk, such as fluctuations in foreign currency exchange rates, commodity prices and changes in interest rates, which may
result in cash flow risks. To manage the volatility relating to these exposures, Delphi aggregates the exposures on a consolidated basis to take advantage of
natural offsets. For exposures that are not offset within its operations, Delphi enters into various derivative transactions pursuant to its risk management
policies, which prohibit holding or issuing derivative financial instruments for trading purposes, and designation of derivative instruments is performed on a
transaction basis to support hedge accounting. The changes in fair value of these hedging instruments are offset in part or in whole by corresponding changes
in the fair value or cash flows of the underlying exposures being hedged. Delphi assesses the initial and ongoing effectiveness of its hedging relationships in
accordance with its documented policy. As of December 31, 2011, Delphi has entered into derivative instruments to hedge cash flows extending out to
January 2014.
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