John Deere 2011 Annual Report Download - page 34

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The fair values of the health care assets by category at
October 31, 2011 follow in millions of dollars:
Total Level 1 Level 2 Level 3
Cash and short-term investments .......$ 58 $ 7 $ 51
Equity:
U.S. equity securities ...................... 372 372
U.S. equity funds ............................ 84 84
International equity securities ......... 64 64
International equity funds ............... 210 210
Fixed Income:
Government and agency securities .. 250 246 4
Corporate debt securities ................ 39 39
Residential mortgage-backed and
asset-backed securities.............. 22 22
Fixed income funds ........................ 107 107
Real estate ........................................ 57 4 32 $ 21
Private equity/venture capital ............. 55 55
Hedge funds ...................................... 110 103 7
Other investments ............................. 22 22
Derivative contracts - assets* ............. 12 1 11
Derivative contracts - liabilities** ........ (2) (1) (1)
Receivables, payables and other
.......... (1) (1)
Securities lending collateral ................ 215 215
Securities lending liability ................... (215) (215)
Total net assets .............................. $ 1,459 $ 776 $ 600 $ 83
* Includes contracts for interest rates of $10 million, foreign currency of $1 million
and other of $1 million.
** Includes contracts for foreign currency of $1 million and other of $1 million.
The fair values of the pension plan assets by category at
October 31, 2010 follow in millions of dollars:
Total Level 1 Level 2 Level 3
Cash and short-term investments .......$ 1,782 $ 347 $ 1,435
Equity:
U.S. equity securities ...................... 1,991 1,985 6
U.S. equity funds ............................ 40 4 36
International equity securities ......... 1,208 1,205 3
International equity funds ............... 381 52 329
Fixed Income:
Government and agency securities .. 792 363 429
Corporate debt securities ................ 263 1 262
Residential mortgage-backed and
asset-backed securities.............. 197 197
Fixed income funds ........................ 350 39 311
Real estate ........................................ 459 87 14 $ 358
Private equity/venture capital ............. 864 864
Hedge funds ...................................... 499 3 351 145
Other investments ............................. 436 436
Derivative contracts - assets* ............. 900 30 870
Derivative contracts - liabilities** ........ (588) (7) (581)
Receivables, payables and other
.......... (70) (70)
Securities lending collateral ................ 665 665
Securities lending liability ................... (665) (665)
Total net assets .............................. $ 9,504 $ 4,039 $ 4,098 $ 1,367
* Includes contracts for interest rates of $820 million, foreign currency of $52 million
and other of $28 million.
** Includes contracts for interest rates of $511 million, foreign currency of $72 million
and other of $5 million.
The fair values of the health care assets by category at
October 31, 2010 follow in millions of dollars:
Total Level 1 Level 2 Level 3
Cash and short-term investments .......$ 146 $ 23 $ 123
Equity:
U.S. equity securities ...................... 515 515
International equity securities ......... 75 75
International equity funds ............... 247 1 246
Fixed Income:
Government and agency securities .. 283 255 28
Corporate debt securities ................ 43 43
Residential mortgage-backed and
asset-backed securities.............. 28 28
Fixed income funds ........................ 74 74
Real estate ........................................ 58 5 33 $ 20
Private equity/venture capital ............. 48 48
Hedge funds ...................................... 86 78 8
Other investments ............................. 24 24
Derivative contracts - assets* ............. 17 2 15
Derivative contracts - liabilities** ........ (4) (4)
Receivables, payables and other
.......... (3) (3)
Securities lending collateral ................ 263 263
Securities lending liability ................... (263) (263)
Total net assets .............................. $ 1,637 $ 873 $ 688 $ 76
* Includes contracts for interest rates of $12 million, foreign currency of $3 million
and other of $2 million.
** Includes contracts for foreign currency of $4 million.
A reconciliation of Level 3 pension and health care
asset fair value measurements in millions of dollars follows:
Private Equity/
Real Venture Hedge
Total Estate Capital Funds
October 31, 2009* ......... $ 1,233 $ 336 $ 716 $ 181
Realized gain .................... 21 16 4 1
Change in unrealized
gain (loss) .................... 90 (13) 97 6
Purchases, sales and
settlements - net .......... 99 39 95 (35)
October 31, 2010* .......... 1,443 378 912 153
Realized gain .................... 33 32 1
Change in unrealized
gain ............................. 192 48 141 3
Purchases, sales and
settlements - net .......... 97 11 93 (7)
October 31, 2011* .......... $ 1,765 $ 437 $ 1,178 $ 150
* Health care Level 3 assets represent approximately 5 percent of the reconciliation
amounts.
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