Annual Report 2011 - Ford Motor Company
Annual Report 2011 - Ford Motor Company
Annual Report 2011 - Ford Motor Company
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
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 $266 million and<br />
$72 million for U.S. and non-U.S. plans, respectively) at December 31, 2010 by asset category was as follows (in<br />
millions):<br />
U.S. Plans<br />
2010<br />
Level 1 Level 2 Level 3 Total<br />
Asset Category<br />
Equity<br />
U.S. companies<br />
$ 8,832 $ 35 $ 13 $ 8,880<br />
International companies<br />
7,879<br />
50<br />
6 7,935<br />
Commingled funds<br />
—<br />
351<br />
3<br />
354<br />
Derivative financial instruments (a)<br />
—<br />
—<br />
—<br />
—<br />
Total equity<br />
Fixed Income<br />
16,711<br />
436<br />
22 17,169<br />
U.S. government<br />
2,366<br />
—<br />
— 2,366<br />
U.S. government-sponsored enterprises (b)<br />
— 2,706<br />
13 2,719<br />
Non-U.S. government<br />
Corporate bonds (c)<br />
— 1,005<br />
280 1,285<br />
Investment grade<br />
— 8,530<br />
28 8,558<br />
High yield<br />
— 1,170<br />
2 1,172<br />
Other credit<br />
—<br />
22<br />
51<br />
73<br />
Mortgage/other asset-backed<br />
— 1,637<br />
125 1,762<br />
Commingled funds<br />
Derivative financial instruments (a)<br />
—<br />
248<br />
—<br />
248<br />
Interest rate contracts<br />
39<br />
(32)<br />
(2)<br />
5<br />
Credit contracts<br />
—<br />
1<br />
—<br />
1<br />
Other contracts<br />
—<br />
(1)<br />
—<br />
(1)<br />
Total fixed income<br />
Alternatives<br />
2,405 15,286<br />
497 18,188<br />
Hedge funds (d)<br />
—<br />
— 2,854 2,854<br />
Private equity (e)<br />
—<br />
— 1,491 1,491<br />
Real estate (f)<br />
—<br />
—<br />
120<br />
120<br />
Total alternatives<br />
—<br />
— 4,465 4,465<br />
Cash and cash equivalents (g)<br />
— 1,064<br />
— 1,064<br />
Other (h)<br />
(939)<br />
16<br />
(3) (926)<br />
Total assets at fair value<br />
_______<br />
$ 18,177 $ 16,802 $ 4,981 $ 39,960<br />
(a) Net derivative position. Gross equity derivative position includes assets of $0.4 million offset by liabilities of $0.2 million. Gross fixed income<br />
derivative position includes assets of $44 million offset by liabilities of $39 million.<br />
(b) Debt securities primarily issued by GSEs.<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, 2010: global macro (34%), equity long/short (25%), event-driven (20%), relative value<br />
(15%), and multi-strategy (6%).<br />
(e) Diversified investments in private equity funds with the following strategies: buyout (61%), venture capital (27%), mezzanine/distressed (9%), and<br />
other (3%). Allocations are estimated based on latest available data for managers reflecting June 30, 2010 holdings.<br />
(f) Investment in private property funds broadly classified as core, value-added and opportunistic.<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 />
138 <strong>Ford</strong> <strong>Motor</strong> <strong>Company</strong> | <strong>2011</strong> <strong>Annual</strong> <strong>Report</strong>
Change language