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Notes to the Financial Statements
Ford Motor Company | 2011 Annual Report 139
NOTE 17. RETIREMENT BENEFITS (Continued)
Non-U.S. Plans
Asset Category
Equity
U.S. companies
International companies
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
2010
Level 1
$2,837
3,759
—
6,596
36
—
—
—
—
—
—
—
2
—
—
38
—
—
—
—
—
(297)
$6,337
Level 2
$214
217
—
431
—
118
4,282
802
180
15
203
573
4
1
—
6,178
—
—
—
—
335
11
$6,955
Level 3
$—
10
—
10
—
—
103
15
20
—
34
8
—
—
—
180
711
31
11
753
—
4,380
$5,323
Total
$ 3,051
3,986
—
7,037
36
118
4,385
817
200
15
237
581
6
1
—
6,396
711
31
11
753
335
4,094
$ 18,615
_______
(a) Net derivative position. Gross equity derivative position includes liabilities of $0.1 million. Gross fixed income derivative position includes assets of
$7.2 million offset by liabilities of $0.4 million.
(b) Debt securities primarily issued by 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 diversified portfolio of underlying hedge funds (commingled fund of funds). At December 31, 2010, the composition of underlying
hedge fund investments (within the U.K. and Canada pension plans) was: equity long/short (33%), event-driven (25%), relative value (20%), global
macro (11%), multi-strategy (10%) and cash (1%).
(e) Investments in private investment funds (funds of funds) pursuing strategies broadly classified as venture capital and buyouts.
(f) Investment in private property funds broadly classified as core, value-added and opportunistic. Also includes investment in real assets.
(g) Primarily short-term investment funds to provide liquidity to plan investment managers.
(h) Primarily Ford-Werke plan assets (insurance contract valued at $3,371 million) and cash related to net pending trade purchases/sales and net
pending foreign exchange purchases/sales.