Ford 2011 Annual Report Download - page 138

Download and view the complete annual report

Please find page 138 of the 2011 Ford annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 188

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116
  • 117
  • 118
  • 119
  • 120
  • 121
  • 122
  • 123
  • 124
  • 125
  • 126
  • 127
  • 128
  • 129
  • 130
  • 131
  • 132
  • 133
  • 134
  • 135
  • 136
  • 137
  • 138
  • 139
  • 140
  • 141
  • 142
  • 143
  • 144
  • 145
  • 146
  • 147
  • 148
  • 149
  • 150
  • 151
  • 152
  • 153
  • 154
  • 155
  • 156
  • 157
  • 158
  • 159
  • 160
  • 161
  • 162
  • 163
  • 164
  • 165
  • 166
  • 167
  • 168
  • 169
  • 170
  • 171
  • 172
  • 173
  • 174
  • 175
  • 176
  • 177
  • 178
  • 179
  • 180
  • 181
  • 182
  • 183
  • 184
  • 185
  • 186
  • 187
  • 188

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