Freddie Mac 2009 Annual Report Download - page 291

Table 16.8 sets forth our Pension Plan assets at December 31, 2009 by asset category. See “NOTE 18: FAIR VALUE
DISCLOSURES” for additional information about the fair value hierarchy.
Table 16.8 — Pension Plan Assets Measured at Fair Value by Asset Category
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
Significant Other
Observable Inputs
(Level 2)
Significant
Unobservable Inputs
(Level 3) Total
Plan Assets at December 31, 2009
(in millions)
Asset Category:
Equity:
U.S. large-cap . . . . . ................................... $— $120 $— $120
U.S. small/mid cap . . ................................... 63 — — 63
International Equity . ................................... — 64 — 64
Fixed Income:
Government/Corporate Bonds. . ............................ — 40 — 40
Synthetic Fixed Income .................................. — 180 — 180
Other Types of Investments:
Asset Allocation Funds .................................. — 110 — 110
Subtotal . . . . . . . . ................................... $63 $514 $— 577
Cash and Cash Equivalents ................................. 2
Total . . . . . . . . . . ................................... $579
For U.S. small/mid cap equity securities that are measured using individual price quotes available on nationally-
recognized exchanges, we classify these investments as Level 1 under the fair value hierarchy since they represent
unadjusted quoted prices in active markets that we have the ability to access on the measurement date. Our other Pension
Plan assets are measured using net asset values and are classified as Level 2. The net asset value is calculated by aggregating
the fair value of the assets held by the fund as of the measurement date divided by the number of ownership units in the
fund and represents our exit price.
Valuation Methods and Assumptions for Pension Plan Assets Subject to the Fair Value Hierarchy
Our Pension Plan assets are invested in various combinations of equity, fixed income, and other types of investments.
Equity investments are diversified across U.S. and non-U.S. companies with small and large capitalizations. Fixed income
securities include corporate bonds of companies from diversified industries, mortgage-backed securities, and U.S. treasury
securities. The following is a description of the major asset categories and the significant investment strategies for the
investment funds in which our Pension Plan’s assets are invested, and that are subject to the fair value hierarchy:
Equity
•U.S. Large Cap: Investments in this category consist of an S&P 500 equity index fund, measured at the net asset
value of the fund shares held by the Pension Plan.
•U.S. Small/Mid Cap: Investments in this category include separately managed portfolios that invest in stocks of
small- and mid-capitalization U.S. companies, which are measured at the closing price reported on nationally-
recognized exchanges.
•International Equity: Investments in this category include commingled as well as mutual fund products. These
strategies invest in stocks of companies located in developed and emerging market countries, whether traded on
U.S. or international exchanges. These investments are measured at the net asset value of fund shares held by the
Pension Plan.
Fixed Income
•Government/Corporate Bonds: Investments in this category consist of a passively managed bond fund constructed to
correspond to the characteristics of the Barclays Capital Government/Credit index. These investments are measured at
the net asset value of fund shares held by the Pension Plan.
•Synthetic Fixed Income: Investments in this category include a commingled fund of fixed income and derivative
instruments designed to provide protection against interest rate exposure arising from expected liability payments.
These investments are measured at the net asset value of fund shares held by the Pension Plan.
Other Types of Investments
•Asset Allocation Funds: This category comprises commingled funds that invest in multiple asset classes, including
U.S. and international equities, bonds and real estate assets. These investments are measured at the net asset value of
fund shares held by the Pension Plan.
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