American Airlines 2010 Annual Report Download - page 84

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81
10. Retirement Benefits (Continued)
a) Holdings are diversified as follows: 20 percent United Kingdom, 14 percent Japan, 9 percent France, 8
percent Switzerland, 7 percent Germany, 5 percent Netherlands, 11 percent emerging markets and the
remaining 26 percent with no concentration greater than 5 percent in any one country.
b) There are no significant concentration of holdings by company or industry.
c) Includes approximately 82 percent investments in corporate debt with a Standard and Poor’s (S&P) rating
lower than A and 18 percent investments in corporate debt with an S&P rating A or higher. Holdings
include 81 percent U.S. companies, 16 percent international companies and 3 percent emerging market
companies.
d) Includes approximately 87 percent investments in domestic government securities and 13 percent in
emerging market government securities. There are no significant foreign currency risks within this
classification.
e) Includes limited partnerships that invest primarily in U.S. (92%) and European (8%) buyout opportunities
of a range of privately held companies. The Master Trust does not have the right to redeem its limited
partnership investment at its net asset value. Instead, the Master Trust receives distributions as the
underlying assets are liquidated. It is estimated that the underlying assets of these funds will be gradually
liquidated over the next 1 to 10 years. Additionally, the Master Trust has future funding commitments of
approximately $389 million over the next 10 years.
f) Investment includes 64% in an emerging market 103-12 investment trust with investments in emerging
country equity securities, 19% in Canadian segregated balanced value, income growth and diversified
pooled funds and 17% in a common/collective trust investing in securities of smaller companies located
outside the U.S., including developing markets. Requests for withdrawals must meet specific
requirements with advance notice of redemption preferred.
g) Includes four interest rate swap agreements with notional value of $760 million and fair value of $75
million representing 99% of the balance.
Fair Value Measurements at December 31, 2009 (in millions)
Quoted Prices in
Active Markets
for Identical
Assets (Level 1)
Significant
Observable
Inputs (Level 2)
Significant
Unobservable
Inputs
(Level 3)
Total
Asset Category
Cash and cash equivalents
$ 162
$ –
$ –
$ 162
Equity securities
International markets (a)(e)
1,410
–
–
1,410
Large-cap companies (b)(e)
1,431
–
–
1,431
Mid-cap companies (c)(e)
241
–
–
241
Small-cap companies(d)(e)
49
–
–
49
Fixed Income
Corporate bonds (f)
–
2,023
–
2,023
Government securities (g)
–
793
–
793
U.S. municipal securities
–
40
–
40
Alternative investments
Private equity partnerships (h)
–
–
744
744
Common/collective and 103-12
investment trusts (i)
–
115
–
115
Insurance group annuity contracts
–
–
3
3
Dividend and interest receivable
40
–
–
40
Total
$ 3,333
$ 2,971
$ 747
$ 7,051