DELPHI 2014 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, 2014 and December 31, 2013, Delphi was in a net derivative liability position of $104 million and
$2 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 described in Note 20. Acquisitions and Divestitures, as of December 31, 2014, additional contingent consideration
may be earned as a result of Delphi's acquisition agreement for Antaya. The measurement of the liability for this contingent
consideration is based on significant inputs that are not observable in the market, and is therefore classified as a Level 3
measurement in accordance with ASU Topic 820-10-35. Examples of utilized unobservable inputs are estimated future earnings
of Antaya and applicable discount rates. The estimate of the liability may fluctuate if there are changes in the forecast of
Antaya's future earnings or as a result of actual earnings levels achieved. The liability was classified within Other long-term
liabilities in the consolidated balance sheet at December 31, 2014. Any changes in the fair value of this liability will be
recognized within Other income (expense) in the consolidated statement of operations.
As of December 31, 2014 and December 31, 2013, 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, 2014
Commodity derivatives ....................................... $ — $ — $ — $ —
Foreign currency derivatives............................... ————
Total.............................................................. $ — $ — $ — $ —
As of December 31, 2013
Commodity derivatives ....................................... $ 3 $ — $ 3 $ —
Foreign currency derivatives............................... 17 — 17 —
Total.............................................................. $ 20 $ — $ 20 $ —
As of December 31, 2014 and December 31, 2013, 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, 2014
Commodity derivatives ....................................... $ 27 $ — $ 27 $ —
Foreign currency derivatives............................... 77 — 77 —
Contingent consideration..................................... 11 — — $ 11
Total.............................................................. $ 115 $ — $ 104 $ 11
As of December 31, 2013
Commodity derivatives ....................................... $ 11 $ — $ 11 $ —
Foreign currency derivatives............................... 11 — 11 —
Total.............................................................. $ 22 $ — $ 22 $ —