Annual Report 2011 - Ford Motor Company
Annual Report 2011 - Ford Motor Company
Annual Report 2011 - Ford Motor Company
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Notes to the Financial Statements<br />
NOTE 17. RETIREMENT BENEFITS (Continued)<br />
The fair value of our pension benefits plan assets (including dividends and interest receivables of $291 million and<br />
$78 million for U.S. and non-U.S. plans, respectively) at December 31, <strong>2011</strong> by asset category was as follows (in<br />
millions):<br />
U.S. Plans<br />
<strong>2011</strong><br />
Level 1 Level 2 Level 3 Total<br />
Asset Category<br />
Equity<br />
U.S. companies<br />
$ 7,331 $ 44 $ 12 $ 7,387<br />
International companies<br />
5,565<br />
32<br />
3 5,600<br />
Commingled funds<br />
—<br />
244<br />
3<br />
247<br />
Derivative financial instruments (a)<br />
—<br />
—<br />
—<br />
—<br />
Total equity<br />
Fixed Income<br />
12,896<br />
320<br />
18 13,234<br />
U.S. government<br />
4,084<br />
—<br />
— 4,084<br />
U.S. government-sponsored enterprises (b)<br />
— 4,581<br />
7 4,588<br />
Non-U.S. government<br />
Corporate bonds (c)<br />
— 1,375<br />
169 1,544<br />
Investment grade<br />
— 9,061<br />
33 9,094<br />
High yield<br />
— 1,280<br />
11 1,291<br />
Other credit<br />
—<br />
17<br />
18<br />
35<br />
Mortgage/other asset-backed<br />
— 1,348<br />
54 1,402<br />
Commingled funds<br />
Derivative financial instruments (a)<br />
—<br />
258<br />
—<br />
258<br />
Interest rate contracts<br />
13<br />
28<br />
(3)<br />
38<br />
Credit contracts<br />
—<br />
(8)<br />
—<br />
(8)<br />
Other contracts<br />
— (265)<br />
9 (256)<br />
Total fixed income<br />
Alternatives<br />
4,097 17,675<br />
298 22,070<br />
Hedge funds (d)<br />
—<br />
— 2,968 2,968<br />
Private equity (e)<br />
—<br />
— 2,085 2,085<br />
Real estate (f)<br />
—<br />
—<br />
362<br />
362<br />
Total alternatives<br />
—<br />
— 5,415 5,415<br />
Cash and cash equivalents (g)<br />
— 1,477<br />
1 1,478<br />
Other (h)<br />
(2,798)<br />
18<br />
(3) (2,783)<br />
Total assets at fair value<br />
_______<br />
(a) Net derivative position.<br />
(b) Debt securities primarily issued by U.S. government-sponsored enterprises ("GSEs").<br />
$ 14,195 $ 19,490 $ 5,729 $ 39,414<br />
(c) "Investment grade" bonds are those rated Baa3/BBB or higher by at least two rating agencies; "High yield" bonds are those rated below investment<br />
grade; "Other credit" refers to non-rated bonds.<br />
(d) Funds investing in diverse hedge fund strategies (primarily commingled fund of funds) with the following composition of underlying hedge fund<br />
investments within the U.S. pension plans at December 31, <strong>2011</strong>: global macro (42%), equity long/short (21%), event-driven (18%), relative value<br />
(11%), and multi-strategy (8%).<br />
(e) Diversified investments in private equity funds with the following strategies: buyout (61%), venture capital (25%), mezzanine/distressed (8%), and<br />
other (6%). Allocations are estimated based on latest available data for managers reflecting June 30, <strong>2011</strong> holdings.<br />
(f) Investment in private property funds broadly classified as core (64%), value-added and opportunistic (36%).<br />
(g) Primarily short-term investment funds to provide liquidity to plan investment managers and cash held to pay benefits.<br />
(h) Primarily cash related to net pending trade purchases/sales and net pending foreign exchange purchases/sales.<br />
136 <strong>Ford</strong> <strong>Motor</strong> <strong>Company</strong> | <strong>2011</strong> <strong>Annual</strong> <strong>Report</strong>
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