Raytheon 2012 Annual Report Download - page 123

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
115
Fair Value Measurements at December 31, 2011
(In millions) Total Level 1 Level 2 Level 3
U.S. equities
All capitalization(1) $ 4,590 $ 2,804 $ 1,786 $ —
International equities
Developed markets(1) 1,860 1,520 340 —
Emerging markets(1) 471 410 61 —
Fixed-income securities
U.S. Government and agency securities 540 525 15 —
Corporate debt securities/instruments
Investment grade bonds(2) 1,515 69 1,446 —
Non-investment grade bonds(2) 458 — 458 —
Emerging market debt 112 — 112 —
Core fixed-income(3) 890 619 271 —
Global multi-sector fixed-income(4) 341 139 202 —
Fixed-income hedge funds(5) 502 — 449 53
Securitized(6) 307 — 307 —
Cash and cash equivalents(7) 1,093 485 608 —
Other funds
Absolute return funds(8)
Relative value(9) 306 — 283 23
Event driven(10) 275 — 218 57
Equity hedge(11) 151 — 151 —
Macro(12) 785 — 763 22
Multi-strategy funds(13) 193 193 — —
Private equity funds(14) 301 — — 301
Private real estate funds 182 — — 182
Insurance contracts 25 — — 25
Payable for securities lending collateral(15) (63) — (63) —
Other(16) 97 8 — 89
Total $14,931 $ 6,772 $ 7,407 $ 752
(1) U.S. and International equities primarily include investments across the spectrum of large, medium and small market capitalization stocks.
(2) 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.
(3) Core fixed-income securities are funds that invest primarily in intermediate-term high quality domestic bonds issued by various governmental or private
sector entities.
(4) 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.
(5) Fixed-income 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.
(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) Cash and cash equivalents are invested in highly liquid money market funds. 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
acquisition activity, restructuring, bankruptcy or financial distress.
(11) Equity hedge fund strategies invest in global public equity securities, equity related options and derivatives and employ short selling with the objective
of generating higher risk-adjusted returns than traditional investments in equity.
(12) Macro fund strategies invest in futures, broad market indices and other financial instruments and seek to either generate positive returns regardless of