Macy's 2011 Annual Report Download - page 67

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — (Continued)
F-27
The fair values of the Pension Plan assets as of January 29, 2011, excluding interest and dividend receivables and pending
investment purchases and sales, by asset category are as follows:
Fair Value Measurements
Total
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
Significant
Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
(millions)
Cash and cash equivalents................................................... $ 381 $ — $ 381 $ —
Equity securities:
U.S. ............................................................................... 814 238 576 —
International ................................................................. 517 — 517 —
Fixed income securities:
U. S. Treasury bonds.................................................... 54 — 54 —
Other Government bonds ............................................. 28 — 28 —
Agency backed bonds................................................... 11 — 11 —
Corporate bonds ........................................................... 267 — 267 —
Mortgage-backed securities and forwards.................... 107 — 107 —
Asset-backed securities ................................................ 19 — 19 —
Pooled funds................................................................. 180 — 180 —
Other types of investments:
Real estate .................................................................... 201 — — 201
Hedge funds.................................................................. 143 — — 143
Private equity................................................................ 144 — — 144
Total..................................................................................... $ 2,866 $ 238 $ 2,140 $ 488
Corporate bonds consist primarily of investment grade bonds of U.S. issuers from diverse industries.
The fair value of the real estate, hedge funds and private equity investments represents the reported net asset value of
shares or underlying assets of the investment. Private equity and real estate investments are valued using fair values per the
most recent financial reports provided by the investment sponsor, adjusted as appropriate for any lag between the date of the
financial reports and the Company’s reporting date. The real estate investments are diversified across property types and
geographical areas primarily in the United States of America. Private equity investments generally consist of limited
partnerships in the United States of America, Europe and Asia. The hedge fund investments are through a fund of funds
approach.
Due to the nature of the underlying assets of the real estate, hedge funds and private equity investments, changes in
market conditions and the economic environment may significantly impact the net asset value of these investments and,
consequently, the fair value of the Pension Plan’s investments. These investments are redeemable at net asset value to the extent
provided in the documentation governing the investments. However, these redemption rights may be restricted in accordance
with the governing documents. Redemption of these investments is subject to restrictions including lock-up periods where no
redemptions are allowed, restrictions on redemption frequency and advance notice periods for redemptions. As of January 28,
2012 and January 29, 2011, certain of these investments are generally subject to lock-up periods, ranging from three to fifteen
years, certain of these investments are subject to restrictions on redemption frequency, ranging from daily to twice per year, and
certain of these investments are subject to advance notice requirements, ranging from sixty-day notification to ninety-day
notification. As of January 28, 2012 and January 29, 2011, the Pension Plan had unfunded commitments related to certain of
these investments totaling approximately $109 million and $133 million, respectively.