DELPHI 2013 Annual Report Download - page 127

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counterparty and foreign currency exposures by counterparty. When Delphi is in a net derivative asset position, the
counterparty CDS rates are applied to the net derivative asset position. When Delphi is in a net derivative liability position,
estimates of peer companies’ CDS rates are applied to the net derivative liability position.
In certain instances where market data is not available, Delphi uses management judgment to develop assumptions that
are used to determine fair value. This could include situations of market illiquidity for a particular currency or commodity or
where observable market data may be limited. In those situations, Delphi generally surveys investment banks and/or brokers
and utilizes the surveyed prices and rates in estimating fair value.
As of December 31, 2013 and December 31, 2012, Delphi was in a net derivative liability position of $2 million and net
derivative asset position of $14 million, respectively, and no significant adjustments were recorded for nonperformance risk
based on the application of peer companies’ CDS rates and because Delphi’s exposures were to counterparties with investment
grade credit ratings.
As of December 31, 2013 and December 31, 2012, Delphi had the following assets measured at fair value on a recurring
basis:
Total
Quoted Prices in
Active Markets
Level 1
Significant Other
Observable Inputs
Level 2
Significant
Unobservable
Inputs
Level 3
(in millions)
As of December 31, 2013
Commodity derivatives .............................................. $ 3 $ — $ 3 $ —
Foreign currency derivatives...................................... 17 — 17 —
Total..................................................................... $ 20 $ — $ 20 $ —
As of December 31, 2012:
Commodity derivatives .............................................. $ 3 $ — $ 3 $ —
Foreign currency derivatives...................................... 24 — 24 —
Total..................................................................... $ 27 $ — $ 27 $ —
As of December 31, 2013 and December 31, 2012, Delphi had the following liabilities measured at fair value on a
recurring basis:
Total
Quoted Prices in
Active Markets
Level 1
Significant Other
Observable Inputs
Level 2
Significant
Unobservable
Inputs
Level 3
(in millions)
As of December 31, 2013
Commodity derivatives.............................................. $ 11 $ — $ 11 $ —
Foreign currency derivatives...................................... 11 — 11 —
Total.................................................................... $ 22 $ — $ 22 $ —
As of December 31, 2012:
Commodity derivatives.............................................. $ 8 $ — $ 8 $ —
Foreign currency derivatives...................................... 5 — 5 —
Total.................................................................... $ 13 $ — $ 13 $ —
Financial Instruments
Delphi’s non-derivative 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, the New Senior Notes and the 2013 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 (Level 2).
As of December 31, 2013 and December 31, 2012, the total of debt was recorded at $2,412 million and $2,464 million,
respectively, and had estimated fair values of $2,519 million and $2,557 million, respectively. For all other financial
instruments recorded at December 31, 2013 and December 31, 2012, fair value approximates book value.