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98
The following table presents, by asset category, the Pension and PBOP Plan assets recorded at fair value on a recurring basis by the
level in which they are classified within the fair value hierarchy:
Pension Plan
Fair Value Measurements as of December 31,
(Millions of Dollars) 2010 2009
Asset Category: Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Equity Securities:
United States
(1)
$ 256.3 $ 46.9 $ 266.0 $ 569.2 $ 135.2 $ 150.1 $ 252.1 $ 537.4
International
(2)
6.4 250.9 - 257.3 7.1 217.3 - 224.4
Emerging Markets
(2)
- 81.1 - 81.1 - 67.1 - 67.1
Private Equity
(5)
6.9 - 229.5 236.4 21.9 - 193.8 215.7
Fixed Income
(3)
7.6 261.6 247.6 516.8 49.4 251.9 174.0 475.3
Real Estate and
Other Assets (6) - 26.0 43.7 69.7 - - 38.5 38.5
Hedge Funds - - 247.1 247.1 - - 231.2 231.2
Total $ 277.2 $ 666.5 $ 1,033.9 $ 1,977.6 $ 213.6 $ 686.4 $ 889.6 $ 1,789.6
PBOP Plan
Fair Value Measurements as of December 31,
(Millions of Dollars) 2010 2009
Asset Category: Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Cash and Cash
Equivalents $ 4.4 $ - $ - $ 4.4 $ 4.2 $ - $ - $ 4.2
Equity Securities:
United States 132.1 - 10.1 142.2 140.3 - - 140.3
International 34.8 - - 34.8 28.0 - - 28.0
Emerging Markets 7.7 - - 7.7 - - - -
Debt Securities:
Fixed Income
(4)
- 35.3 23.4 58.7 - 36.9 24.6 61.5
High Yield Fixed
Income - 4.4 - 4.4 6.3 - - 6.3
Emerging Market Debt - 4.8 - 4.8 - - - -
Hedge Funds - - 16.4 16.4 - - - -
Private Equity - - 0.3 0.3 - - - -
Real Estate and Other
Assets - 4.8 - 4.8 - - - -
Total $ 179.0 $ 49.3 $ 50.2 $ 278.5 $ 178.8 $ 36.9 $ 24.6 $ 240.3
(1) United States Equities classified as Level 2 include investments in commingled funds totaling $34.8 million and $77.1 million and
unrealized gains on holdings in equity index swaps totaling $12.1 million and $73 million for the years ended December 31, 2010
and 2009, respectively. Level 3 investments include hedge funds that are overlayed with equity index swaps and futures contracts.
Level 1 investments represent primarily equity holdings and also includes unrealized gains and losses on equity index futures
contracts.
(2) The International and Emerging Markets Equities categorized as Level 2 represent investments in commingled funds.
(3) Fixed Income securities classified as Level 2 include investments in debt securities, including high yield bond funds, U.S.
government issued securities, corporate bonds, asset backed securities and insurance contracts totaling $261.6 million and $201.2
million for the years ended December 31, 2010 and 2009, respectively. In 2009, this amount above included unrealized gains on
fixed income swaps of $50.7 million. Level 3 investments include fixed income funds totaling $147.1 million and $80.5 million that
invest in senior credit distressed credit funds, and hedge funds totaling $100.5 million and $93.5 million that are overlayed with
interest rate swaps and fixed income index swaps for the years ended December 31, 2010 and 2009, respectively. Level 1
investments include exchange traded funds and in 2009 also included unrealized gains on fixed income index futures contracts
totaling $29.8 million.
(4) Fixed Income investments classified as Level 2 include U.S. government issued securities, municipal bonds, corporate bonds and
other debt securities. The amount classified in Level 3 represents funds that invests in senior credit distressed income securities
totaling $7.6 million and $6.4 million and hedge funds totaling $15.8 million and $18.2 million for the years ended December 31,
2010 and 2009, respectively.
(5) Private Equity amounts classified as Level 1 represent unrealized gains on futures contracts.
(6) Level 2 investments relate to other assets not invested in real estate.
The Company values assets based on observable inputs when available. Equity securities and futures contracts classified as Level 1
in the fair value hierarchy are priced based on the closing price on the primary exchange as of the balance sheet date. Commingled
funds included in Level 2 equity securities are recorded at the net asset value provided by the asset manager, which is based on the
market prices of the underlying equity securities. Swaps are valued using pricing models that incorporate interest rates and equity and
fixed income index closing prices to determine a net present value of the cash flows. Fixed income securities included in Level 2 are
valued using pricing models, quoted prices of securities with similar characteristics or discounted cash flows. The pricing models utilize
observable inputs such as recent trades for the same or similar instruments, yield curves, discount margins and bond structures.
Hedge funds and investments in distressed credit funds are recorded at net asset value based on the values of the underlying assets.
The assets in the hedge funds and distressed credit income funds are valued using observable inputs and are classified as Level 3
within the fair value hierarchy due to redemption restrictions. Private Equity investments and Real Estate and Other Assets are valued