Ford 2014 Annual Report Download - page 144

FORD MOTOR COMPANY AND SUBSIDIARIES
NOTES TO THE FINANCIAL STATEMENTS
NOTE 12. RETIREMENT BENEFITS (Continued)
The fair value of our defined benefit pension plan assets (including dividends and interest receivables of $360 million
and $112 million for U.S. and non-U.S. plans, respectively) by asset category at December 31 was as follows (in millions):
2014
U.S. Plans Non-U.S. Plans
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Asset Category
Equity
U.S. companies $ 2,678 $ 2$ —$ 2,680 $2,119 $149 $ — $ 2,268
International companies 1,510 28 —1,538 1,910 196 — 2,106
Total equity 4,188 30 —4,218 4,029 345 — 4,374
Fixed Income
U.S. government 4,506 — — 4,506 92 — — 92
U.S. government-sponsored enterprises (b) — 4,047 —4,047 — 24 — 24
Non-U.S. government — 1,842 —1,842 —10,727 — 10,727
Corporate bonds (c)
Investment grade — 18,052 —18,052 —1,741 — 1,741
High yield — 3,258 —3,258 —472 —472
Other credit — 181 14 195 — 81 — 81
Mortgage/other asset-backed — 1,290 34 1,324 —230 —230
Commingled funds — 200 — 200 —616 —616
Derivative financial instruments (a) 13 (206) — (193) 1 (5) — (4)
Total fixed income 4,519 28,664 48 33,231 93 13,886 — 13,979
Alternatives
Hedge funds (d) 36 48 2,475 2,559 40 48 1,749 1,837
Private equity (e) 4 (2)2,782 2,784 — — 538 538
Real estate (f) — 2 821 823 —1 678 679
Total alternatives 40 48 6,078 6,166 40 49 2,965 3,054
Cash and cash equivalents (g) — 1,374 —1,374 —656 —656
Other (h) (167)22 —(145) (1,121) 8 4,725 3,612
Total assets at fair value $ 8,580 $30,138 $6,126 $44,844 $3,041 $14,944 $7,690 $ 25,675
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(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) For U.S. Plans, funds investing in diverse hedge fund strategies with the following composition of underlying hedge fund investments at
December 31, 2014: global macro (28%), event-driven (26%), equity long/short (26%), multi-strategy (14%), and relative value (7%). For
funds investing in diversified portfolio of underlying hedge funds. At December 31, 2014, the composition of underlying hedge fund
investments (within the United Kingdom and Canada pension plans) was: equity long/short (39%), event-driven (33%), global macro (13%),
(10%), and relative value (5%).
(e) For U.S. Plans, diversified investments in private equity funds with the following strategies: buyout (62%), venture capital (27%), mezzanine/
distressed (6%), and other (5%). Allocations are estimated based on latest available data for managers reflecting June 30, 2014 holdings. For
Plans, investments in private investment funds (funds of funds) pursuing strategies broadly classified as venture capital and buyouts.
(f) For U.S. Plans, investment in private property funds broadly classified as core (42%), value-added and opportunistic (58%). For non-U.S. Plans,
investment in private property funds broadly classified as core (39%), value-added and opportunistic (61%). Also includes investment in real
assets.
(g) Primarily short-term investment funds to provide liquidity to plan investment managers and cash held to pay benefits.
(h) For U.S. Plans, primarily cash related to net pending security (purchases)/sales and net pending foreign currency purchases/(sales). For
primarily Ford-Werke, plan assets (insurance contract valued at $3.8 billion) and cash related to net pending security (purchases)/
sales and net pending foreign currency purchases/(sales).
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