Raytheon 2012 Annual Report Download - page 124

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
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market conditions or take advantage of global capital flows.
(13) Multi-strategy funds allocate investments tactically across all asset classes globally based upon relative valuations to achieve maximum returns.
(14) Private equity funds are predominantly invested in the U.S. and Western Europe.
(15) The Plan participates in a securities lending program with the Trustee that is limited to a maximum of $15 million as of December 31, 2012. The
program allows the Trustee to loan securities, which are assets of the Plan, to approved brokers (Borrowers). The Trustee requires Borrowers, pursuant
to a security loan agreement, to deliver collateral to secure each loan. The Plan bears the risk of loss with respect to the unfavorable change in fair
value of the invested cash collateral. The market value of securities on loan is reflected in the various asset categories above. Loaned securities were
predominantly U.S. equities, International equities, corporate bonds and U.S. Government bonds or treasuries. Cash collateral obligations of $15 million
and $63 million were received for securities on loan as of December 31, 2012 and December 31, 2011, respectively. The cash collateral obligations
have decreased and will continue to decrease until the Plan exits the program. Cash collateral was invested in a separately maintained and managed
cash collateral investment account.
(16) As of December 31, 2012 and December 31, 2011, this category included $6 million and $8 million of cash on deposit with a broker for future margin
requirements and $192 million and $89 million of net receivables and payables which consisted primarily of pending trades, interest, dividends and
other payable expenses.
Fair Value Measurements Using Significant
Unobservable Inputs (Level 3)
(In millions)
Beginning
Balance at
Dec 31,
2011
Actual return
on plan
assets(1)
Purchases,
issuances,
settlements
Transfers in
and/or out of
Level 3
Ending
Balance at
Dec 31,
2012
Fixed-income securities
Fixed-income hedge funds $ 53 $ 28 $ (14
)$—$67
Other funds
Absolute return funds
Relative value 23 — (23) — —
Event driven 57 9 6 — 72
Equity hedge — — 5 — 5
Macro 22 3 78 — 103
Private equity funds 301 45 60 — 406
Private real estate funds 182 18 99 — 299
Insurance contracts 25 — — — 25
Other 89 — 103 — 192
Total $ 752 $ 103 $ 314 $ — $ 1,169
(In millions)
Beginning
Balance at
Dec 31,
2010
Actual return
on plan
assets(1)
Purchases,
issuances,
settlements
Transfers in
and/or out of
Level 3
Ending
Balance at
Dec 31,
2011
Fixed-income securities
Fixed-income hedge funds $ 53 $ 3$ (3
)$—$53
Other funds
Absolute return funds
Relative value — (2) 25 — 23
Event driven 39 1 17 — 57
Equity hedge 22 (1)(21) — —
Macro 21 1 — — 22
Private equity funds 252 15 34 — 301
Private real estate funds 156 28 (2) — 182
Insurance contracts 23 1 1 — 25
Other 61 — 28 — 89
Total $ 627 $ 46 $ 79 $ — $ 752
(1) The actual return on plan assets for assets still held at December 31, 2012 and December 31, 2011 was $(32) million and $1 million, respectively.