Raytheon 2011 Annual Report Download - page 119

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
111
Fair Value Measurements at December 31, 2010
(In millions)
U.S. equities
All capitalization(1)
International equities
Developed markets(1)
Emerging markets(1)
International equity hedge funds(2)
Fixed-income securities
U.S. Government bonds or treasuries
U.S. Agency securities
Corporate bonds
Investment grade bonds(3)
Non-investment grade bonds(3)
Emerging market debt
Core fixed-income(4)
Global multi-sector fixed-income(5)
Fixed-income hedge funds(2)
Securitized(6)
Cash and cash equivalents(7)
Other funds
Absolute return funds(8)
Relative value(9)
Event driven(10)
Equity hedge(11)
Macro(12)
Private equity funds(13)
Private real estate funds
Insurance contracts
Payable for securities lending collateral(14)
Other(15)
Total
Total
$ 4,520
1,837
1,121
30
388
16
1,525
573
260
352
504
420
103
1,102
137
264
75
876
252
156
23
(95)
63
$14,502
Level 1
$ 4,510
1,687
889
—
388
—
24
212
20
352
269
—
—
401
—
—
—
187
—
—
—
—
2
$ 8,941
Level 2
$ 10
150
232
30
—
16
1,501
361
240
—
235
367
103
701
137
225
53
668
—
—
—
(95)
—
$ 4,934
Level 3
$ —
—
—
—
—
—
—
—
—
—
—
53
—
—
—
39
22
21
252
156
23
—
61
$ 627
(1) U.S. and International equities primarily include investments across the spectrum of large, medium and small market capitalization stocks.
(2) Hedge funds can employ numerous strategies and seek to hedge some of the risk inherent in their investments by using a variety of methods, including
short selling and derivative instruments.
(3) Investment grade bonds are fixed-income securities with a rating equivalent to a Standard & Poors rating of BBB- or better. Non-investment grade
bonds have a rating equivalent to a Standard & Poors rating of BB+ or less.
(4) Core fixed-income securities are funds that invest primarily in intermediate-term high quality domestic bonds issued by various governmental or private
sector entities.
(5) Global multi-sector fixed-income investments are funds that invest globally among several sectors including governments, investment grade corporate
bonds, high yield corporate bonds and emerging market bonds.
(6) Securitized fixed-income securities pool together various cash-flow producing financial assets that are structured in a way that can achieve desired
targeted credit, maturity or other characteristics and are typically collateralized by residential mortgages, commercial mortgages and other assets.
(7) As of December 31, 2011, cash and cash equivalents were invested in highly liquid money market funds. As of December 31, 2010, cash and cash
equivalents were invested in a highly liquid money market fund and other short term instruments, including treasuries, agencies, commercial paper
and certificates of deposit. Included in cash and cash equivalents is excess cash in investment manager accounts. This cash is available for immediate
use and is used to fund daily operations and execute the investment policy. This amount is not considered to be part of the cash target allocation set
forth in the investment policy.
(8) Absolute return funds are designed to obtain positive returns under any market condition.
(9) Relative value fund strategies seek to capture arbitrage opportunities created by price discrepancies between related equity, debt and derivative financial
instruments while minimizing or neutralizing market risk.
(10) Event driven fund strategies seek to capture return opportunities created by special situations and corporate events tied to corporate merger and