Where Is The Factory Installed XM Antenna..??

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Not all of the warts GM uses for antennas have all the leads. If you have the wart with the little dingy antenna on top, most likely there is an XM lead (and the dealer should have known). Possibly there was no lead.

The little wart on the tri-mode antenna contains the XM and the Onstar GPS, and the little antenna sticking up from the wart is the cell antenna for Onstar.