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84
The private equity portfolio is a diversified mix of partnership interests including buyouts, distressed debt, growth
equity, mezzanine, real estate and venture capital investments. Partnership interests are valued using the most
recent general partner statement of fair value, updated for any subsequent partnership interests’ cash flows or
expected changes in fair value.
Absolute return consists primarily of private partnership interests in hedge funds, hedge fund of funds and bank loan
funds. Partnership interests are valued using the NAV as determined by the administrator or custodian of the fund.
Hedge fund partnership interests, which have a redemption right and are past any lock-up redemption period, are
classified as level 2.
Commodities consist of commodity-linked notes and commodity-linked derivative contracts designed to deliver
investment returns similar to the Goldman Sachs Commodities Index (GSCI) or Dow Jones UBS Commodity index
returns. Commodities are valued at closing prices determined by calculation agents for outstanding transactions.
Other items to reconcile to fair value of plan assets is the net of interest receivable, amounts due for securities sold,
amounts payable for securities purchased and interest payable.
The following table sets forth a summary of changes in the fair values of the U.S. pension plans’ level 3 assets for the
year ended December 31, 2010:
Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
(Millions)
Equities
Fixed
Income
Private
Equity
Absolute
Return
Comm-
odities
Total
Beginning balance at Jan. 1, 2010
$
4
$
185
$
1,961
$
728
$
237
$
3,115
Net transfers into / (out of) level 3
49
(37
)
27
(49
)
(140
)
(150
)
Purchases, sales, issuances and
settlements, net ..............
412
(34
)
(55
)
(201
)
—
122
Realized gain/(loss) ............
—
1
133
4
—
138
Unrealized gains/(losses) relating
to instruments still held at the
reporting date ...............
41
29
9
141
14
234
Ending balance at Dec. 31, 2010 .
$
506
$
144
$
2,075
$
623
$
111
$
3,459
The following table sets forth a summary of changes in the fair values of the U.S. pension plans’ level 3 assets for the
year ended December 31, 2009:
Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
(Millions)
Equities
Fixed
Income
Private
Equity
Absolute
Return
Comm-
odities
Total
Beginning balance at Jan. 1, 2009
$
1
$
122
$
2,054
$
1,548
$
—
$
3,725
Net transfers into / (out of) level 3
(106
)
—
—
(1,043
)
—
(1,149
)
Purchases, sales, issuances and
settlements, net ..............
1
11
(241
)
(162
)
237
(154
)
Realized gain/(loss) ............
—
1
(9
)
(4
)
—
(12
)
Unrealized gains/(losses) relating
to instruments still held at the
reporting date ...............
108
51
157
389
—
705
Ending balance at Dec. 31, 2009 .
$
4
$
185
$
1,961
$
728
$
237
$
3,115