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 />
Non-U.S. Plans<br />
2010<br />
Level 1 Level 2 Level 3 Total<br />
Asset Category<br />
Equity<br />
U.S. companies<br />
$ 2,837 $ 214 $ — $ 3,051<br />
International companies<br />
3,759<br />
217<br />
10 3,986<br />
Derivative financial instruments (a)<br />
—<br />
—<br />
—<br />
—<br />
Total equity<br />
Fixed Income<br />
6,596<br />
431<br />
10 7,037<br />
U.S. government<br />
36<br />
—<br />
—<br />
36<br />
U.S. government-sponsored enterprises (b)<br />
—<br />
118<br />
—<br />
118<br />
Non-U.S. government<br />
Corporate bonds (c)<br />
— 4,282<br />
103 4,385<br />
Investment grade<br />
—<br />
802<br />
15<br />
817<br />
High yield<br />
—<br />
180<br />
20<br />
200<br />
Other credit<br />
—<br />
15<br />
—<br />
15<br />
Mortgage/other asset-backed<br />
—<br />
203<br />
34<br />
237<br />
Commingled funds<br />
Derivative financial instruments (a)<br />
—<br />
573<br />
8<br />
581<br />
Interest rate contracts<br />
2<br />
4<br />
—<br />
6<br />
Credit contracts<br />
—<br />
1<br />
—<br />
1<br />
Other contracts<br />
—<br />
—<br />
—<br />
—<br />
Total fixed income<br />
Alternatives<br />
38 6,178<br />
180 6,396<br />
Hedge funds (d)<br />
—<br />
—<br />
711<br />
711<br />
Private equity (e)<br />
—<br />
—<br />
31<br />
31<br />
Real estate (f)<br />
—<br />
—<br />
11<br />
11<br />
Total alternatives<br />
—<br />
—<br />
753<br />
753<br />
Cash and cash equivalents (g)<br />
—<br />
335<br />
—<br />
335<br />
Other (h)<br />
(297)<br />
11 4,380 4,094<br />
Total assets at fair value<br />
_______<br />
$ 6,337 $ 6,955 $ 5,323 $ 18,615<br />
(a) Net derivative position. Gross equity derivative position includes liabilities of $0.1 million. Gross fixed income derivative position includes assets of<br />
$7.2 million offset by liabilities of $0.4 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 diversified portfolio of underlying hedge funds (commingled fund of funds). At December 31, 2010, the composition of underlying<br />
hedge fund investments (within the U.K. and Canada pension plans) was: equity long/short (33%), event-driven (25%), relative value (20%), global<br />
macro (11%), multi-strategy (10%) and cash (1%).<br />
(e) Investments in private investment funds (funds of funds) pursuing strategies broadly classified as venture capital and buyouts.<br />
(f) Investment in private property funds broadly classified as core, value-added and opportunistic. Also includes investment in real assets.<br />
(g) Primarily short-term investment funds to provide liquidity to plan investment managers.<br />
(h) Primarily <strong>Ford</strong>-Werke plan assets (insurance contract valued at $3,371 million) and cash related to net pending trade purchases/sales and net<br />
pending foreign exchange purchases/sales.<br />
<strong>Ford</strong> <strong>Motor</strong> <strong>Company</strong> | <strong>2011</strong> <strong>Annual</strong> <strong>Report</strong> 139
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