Cadillac 2006 CTS Owner's Manual page 264

You can run the engine to keep warm, but be careful.
4-30
CAUTION:
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Snow can trap exhaust gases under your
vehicle. This can cause deadly CO (carbon
monoxide) gas to get inside. CO could
overcome you and kill you. You cannot see
it or smell it, so you might not know it is in
your vehicle. Clear away snow from around
the base of your vehicle, especially any that is
blocking your exhaust pipe. And check around
again from time to time to be sure snow does
not collect there.
Open a window just a little on the side of
the vehicle that is away from the wind.
This will help keep CO out.