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114 Ford Motor Company | 2012 Annual Report
FORD MOTOR COMPANY AND SUBSIDIARIES
NOTES TO THE FINANCIAL STATEMENTS
NOTE 16. 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) by asset category was as follows (in millions):
U.S. Plans December 31, 2011
Level 1 Level 2 Level 3 Total
Asset Category
Equity
U.S. companies $ 7,331 $ 44 $ 12 $ 7,387
International companies 5,565 32 35,600
Commingled funds — 244 3 247
Derivative financial instruments (a) — — — —
Total equity 12,896 320 18 13,234
Fixed Income
U.S. government 4,084 — — 4,084
U.S. government-sponsored enterprises (b) — 4,581 7 4,588
Non-U.S. government — 1,375 169 1,544
Corporate bonds (c)
Investment grade — 9,061 33 9,094
High yield — 1,280 11 1,291
Other credit — 17 18 35
Mortgage/other asset-backed — 1,348 54 1,402
Commingled funds — 258 —258
Derivative financial instruments (a)
Interest rate contracts 13 28 (3) 38
Credit contracts — (8) — (8)
Other contracts — (265)9(256)
Total fixed income 4,097 17,675 298 22,070
Alternatives
Hedge funds (d) — — 2,968 2,968
Private equity (e) — — 2,085 2,085
Real estate (f) — — 362 362
Total alternatives — — 5,415 5,415
Cash and cash equivalents (g) — 1,477 1 1,478
Other (h) (2,798) 18 (3) (2,783)
Total assets at fair value $ 14,195 $19,490 $5,729 $ 39,414
_______
(a) Net derivative position.
(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 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.