Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2012

Input Hierarchy of Items Measured at Fair Value on a Recurring Basis [Table Text Block]

The following tables categorize the fair values of items measured at fair value on a recurring basis on our balance sheet (in millions):



	March 31, 2012
	Level 1 (a)		Level 2 (a)		Level 3		Total
Automotive Sector
Assets
Cash equivalents – financial instruments
U.S. government	$	—	$	—	$	—	$	—
U.S. government-sponsored enterprises	—		466		—		466
Non-U.S. government	—		84		—		84
Non-U.S. government agencies (b)	—		175		—		175
Corporate debt	—		49		—		49
Total cash equivalents – financial instruments (c)	—		774		—		774
Marketable securities
U.S. government	3,988		—		—		3,988
U.S. government-sponsored enterprises	—		3,716		—		3,716
Non-U.S. government agencies (b)	—		4,630		—		4,630
Corporate debt	—		2,074		—		2,074
Mortgage-backed and other asset-backed	—		27		—		27
Equities	127		—		—		127
Non-U.S. government	—		1,222		—		1,222
Other liquid investments (d)	—		17		—		17
Total marketable securities	4,115		11,686		—		15,801
Derivative financial instruments
Foreign currency exchange contracts	—		115		—		115
Commodity contracts	—		11		3		14
Total derivative financial instruments (e)	—		126		3		129
Total assets at fair value	$	4,115	$	12,586	$	3	$	16,704
Liabilities
Derivative financial instruments
Foreign currency exchange contracts	$	—	$	437	$	—	$	437
Commodity contracts	—		179		47		226
Total derivative financial instruments (e)	—		616		47		663
Total liabilities at fair value	$	—	$	616	$	47	$	663

__________


(a)	There were no transfers between Level 1 and 2 during the period.


(b)	Includes notes issued by non-U.S. government agencies, as well as notes issued by supranational institutions.


(c)	Excludes time deposits, certificates of deposit, money market accounts, and other cash equivalents reported at par value totaling $4.8 billion as of March 31, 2012 for the Automotive sector. In addition to these cash equivalents, our Automotive sector also had cash on hand totaling $1.7 billion as of March 31, 2012.


(d)	Includes certificates of deposit and time deposits subject to changes in value.


(e)	See Note 12 for additional information regarding derivative financial instruments.

NOTE 3. FAIR VALUE MEASUREMENTS (Continued)



	March 31, 2012
	Level 1 (a)		Level 2 (a)		Level 3		Total
Financial Services Sector
Assets
Cash equivalents – financial instruments
U.S. government	$	5	$	—	$	—	$	5
U.S. government-sponsored enterprises	—		125		—		125
Non-U.S. government	—		255		—		255
Non-U.S. government agencies (b)	—		—		—		—
Corporate debt	—		—		—		—
Mortgage-backed and other asset-backed	—		—		—		—
Total cash equivalents – financial instruments (c)	5		380		—		385
Marketable securities
U.S. government	1,455		—		—		1,455
U.S. government-sponsored enterprises	—		1,285		—		1,285
Non-U.S. government agencies (b)	—		797		—		797
Corporate debt	—		1,110		—		1,110
Mortgage-backed and other asset-backed	—		85		—		85
Non-U.S. government	—		243		—		243
Other liquid investments (d)	—		7		—		7
Total marketable securities	1,455		3,527		—		4,982
Derivative financial instruments
Interest rate contracts	—		1,169		—		1,169
Foreign currency exchange contracts	—		2		—		2
Cross-currency interest rate swap contracts	—		—		—		—
Other (e)	—		—		99		99
Total derivative financial instruments (f)	—		1,171		99		1,270
Total assets at fair value	$	1,460	$	5,078	$	99	$	6,637
Liabilities
Derivative financial instruments
Interest rate contracts	$	—	$	301	$	—	$	301
Foreign currency exchange contracts	—		43		—		43
Cross-currency interest rate swap contracts	—		46		—		46
Total derivative financial instruments (f)	—		390		—		390
Total liabilities at fair value	$	—	$	390	$	—	$	390

__________


(a)	There were no transfers between Level 1 and 2 during the period.


(b)	Includes notes issued by non-U.S. government agencies, as well as notes issued by supranational institutions.


(c)	Excludes time deposits, certificates of deposit, and money market accounts reported at par value on our balance sheet totaling $5.4 billion as of March 31, 2012 for the Financial Services sector. In addition to these cash equivalents, our Financial Services sector also had cash on hand totaling $2.2 billion as of March 31, 2012.


(d)	Includes certificates of deposit and time deposits subject to changes in value.


(e)	Represents derivative features included in the FUEL Notes.


(f)	See Note 12 for additional information regarding derivative financial instruments.

NOTE 3. FAIR VALUE MEASUREMENTS (Continued)



	December 31, 2011
	Level 1 (a)		Level 2 (a)		Level 3		Total
Automotive Sector
Assets
Cash equivalents – financial instruments
U.S. government	$	—	$	—	$	—	$	—
U.S. government-sponsored enterprises	—		319		—		319
Non-U.S. government	—		168		—		168
Non-U.S. government agencies (b)	—		820		—		820
Corporate debt	—		2		—		2
Total cash equivalents – financial instruments (c)	—		1,309		—		1,309
Marketable securities (d)
U.S. government	2,960		—		—		2,960
U.S. government-sponsored enterprises	—		4,852		—		4,852
Non-U.S. government agencies (b)	—		4,558		—		4,558
Corporate debt	—		1,631		—		1,631
Mortgage-backed and other asset-backed	—		38		—		38
Equities	129		—		—		129
Non-U.S. government	—		598		—		598
Other liquid investments (e)	—		17		—		17
Total marketable securities	3,089		11,694		—		14,783
Derivative financial instruments
Foreign currency exchange contracts	—		198		14		212
Commodity contracts	—		1		1		2
Other – warrants	—		—		4		4
Total derivative financial instruments (f)	—		199		19		218
Total assets at fair value	$	3,089	$	13,202	$	19	$	16,310
Liabilities
Derivative financial instruments
Foreign currency exchange contracts	$	—	$	442	$	6	$	448
Commodity contracts	—		289		83		372
Total derivative financial instruments (f)	—		731		89		820
Total liabilities at fair value	$	—	$	731	$	89	$	820

__________


(a)	There were no transfers between Level 1 and 2 during the year.


(b)	Includes notes issued by non-U.S. government agencies, as well as notes issued by supranational institutions.


(c)	Excludes time deposits, certificates of deposit, money market accounts, and other cash equivalents reported at par value totaling $4.6 billion as of December 31, 2011 for the Automotive sector. In addition to these cash equivalents, our Automotive sector also had cash on hand totaling $2.1 billion as of December 31, 2011.


(d)	Excludes an investment in Ford Credit debt securities held by the Automotive sector with a carrying value of $201 million and an estimated fair value of $201 million as of December 31, 2011.


(e)	Includes certificates of deposit and time deposits subject to changes in value.


(f)	See Note 12 for additional information regarding derivative financial instruments.

NOTE 3. FAIR VALUE MEASUREMENTS (Continued)



	December 31, 2011
	Level 1 (a)		Level 2 (a)		Level 3		Total
Financial Services Sector
Assets
Cash equivalents – financial instruments
U.S. government	$	1	$	—	$	—	$	1
U.S. government-sponsored enterprises	—		75		—		75
Non-U.S. government	—		15		—		15
Non-U.S. government agencies (b)	—		150		—		150
Corporate debt	—		—		—		—
Total cash equivalents – financial instruments (c)	1		240		—		241
Marketable securities
U.S. government	619		—		—		619
U.S. government-sponsored enterprises	—		713		—		713
Non-U.S. government agencies (b)	—		778		—		778
Corporate debt	—		1,186		—		1,186
Mortgage-backed and other asset-backed	—		88		—		88
Non-U.S. government	—		444		—		444
Other liquid investments (d)	—		7		—		7
Total marketable securities	619		3,216		—		3,835
Derivative financial instruments
Interest rate contracts	—		1,196		—		1,196
Foreign currency exchange contracts	—		30		—		30
Cross-currency interest rate swap contracts	—		12		—		12
Other (e)	—		—		137		137
Total derivative financial instruments (f)	—		1,238		137		1,375
Total assets at fair value	$	620	$	4,694	$	137	$	5,451
Liabilities
Derivative financial instruments
Interest rate contracts	$	—	$	237	$	—	$	237
Foreign currency exchange contracts	—		50		—		50
Cross-currency interest rate swap contracts	—		12		—		12
Total derivative financial instruments (f)	—		299		—		299
Total liabilities at fair value	$	—	$	299	$	—	$	299

__________


(a)	There were no transfers between Level 1 and 2 during the year.


(b)	Includes notes issued by non-U.S. government agencies, as well as notes issued by supranational institutions.


(c)	Excludes time deposits, certificates of deposit, and money market accounts reported at par value on our balance sheet totaling $6 billion as of December 31, 2011 for the Financial Services sector. In addition to these cash equivalents, our Financial Services sector also had cash on hand totaling $3 billion as of December 31, 2011.


(d)	Includes certificates of deposit and time deposits subject to changes in value.


(e)	Represents derivative features included in the FUEL Notes.


(f)	See Note 12 for additional information regarding derivative financial instruments.

Reconciliation of Changes in Level 3 Balances measured at fair value on a recurring basis [Table Text Block]

The following tables summarize the changes recorded through income in Level 3 items measured at fair value on a recurring basis and reported on our balance sheet for the periods ended March 31 (in millions):




	First Quarter 2012
	Marketable Securities		Derivative Financial Instruments, Net			Total Level 3 Fair Value
Automotive Sector
Beginning balance	$	—	$	(70	)	$	(70	)
Realized/unrealized gains/(losses)
Cost of sales	—		23			23
Interest income and other non-operating income/(expense), net	—		(4		)	(4		)
Other comprehensive income/(loss)	—		—			—
Total realized/unrealized gains/(losses)	—		19			19
Purchases, issues, sales, and settlements
Purchases	—		—			—
Issues	—		—			—
Sales	—		—			—
Settlements	—		17			17
Total purchases, issues, sales, and settlements	—		17			17
Transfers into Level 3	—		—			—
Transfers out of Level 3 (a)	—		(10		)	(10		)
Ending balance	$	—	$	(44	)	$	(44	)
Unrealized gains/ (losses) on instruments still held	$	—	$	13		$	13

Financial Services Sector
Beginning balance	$	—	$	137		$	137
Realized/unrealized gains/(losses)
Other income/(loss), net	—		(38		)	(38		)
Other comprehensive income/(loss)	—		—			—
Interest income/(expense)	—		—			—
Total realized/unrealized gains/(losses)	—		(38		)	(38		)
Purchases, issues, sales, and settlements
Purchases	—		—			—
Issues	—		—			—
Sales	—		—			—
Settlements	—		—			—
Total purchases, issues, sales, and settlements	—		—			—
Transfers into Level 3	—		—			—
Transfers out of Level 3	—		—			—
Ending balance	$	—	$	99		$	99
Unrealized gains/ (losses) on instruments still held	$	—	$	(38	)	$	(38	)

__________


(a)	Represents transfers out due to the increase in availability of observable data for $10 million of derivatives as a result of greater market activity on longer-duration foreign currency forwards.

NOTE 3. FAIR VALUE MEASUREMENTS (Continued)




	First Quarter 2011
	Marketable Securities			Derivative Financial Instruments, Net			Total Level 3 Fair Value
Automotive Sector
Beginning balance	$	2		$	38		$	40
Realized/unrealized gains/(losses)
Cost of sales	—			(10		)	(10		)
Interest income and other non-operating income/(expense), net	(1		)	—			(1		)
Other comprehensive income/(loss) (a)	—			—			—
Total realized/unrealized gains/(losses)	(1		)	(10		)	(11		)
Purchases, issues, sales, and settlements
Purchases	2			—			2
Issues	—			—			—
Sales	(1		)	—			(1		)
Settlements	—			(26		)	(26		)
Total purchases, issues, sales, and settlements	1			(26		)	(25		)
Transfers into Level 3	—			—			—
Transfers out of Level 3 (b)	(1		)	—			(1		)
Ending balance	$	1		$	2		$	3
Unrealized gains/ (losses) on instruments still held	$	—		$	(11	)	$	(11	)

Financial Services Sector
Beginning balance	$	1		$	(89	)	$	(88	)
Realized/unrealized gains/(losses)
Other income/(loss), net	—			(23		)	(23		)
Other comprehensive income/(loss) (a)	—			(1		)	(1		)
Interest income/(expense)	—			5			5
Total realized/unrealized gains/(losses)	—			(19		)	(19		)
Purchases, issues, sales, and settlements
Purchases	—			—			—
Issues	—			—			—
Sales	—			—			—
Settlements	—			48			48
Total purchases, issues, sales, and settlements	—			48			48
Transfers into Level 3	—			—			—
Transfers out of Level 3 (b)	(1		)	(1		)	(2		)
Ending balance	$	—		$	(61	)	$	(61	)
Unrealized gains/(losses) on instruments still held	$	—		$	22		$	22

__________


(a)	Represents foreign currency translation on derivative asset and liability balances held by non-U.S. dollar foreign affiliates.


(b)	Represents transfers out due to the increase in availability of observable data for $2 million of marketable securities as a result of greater market activity for these securities and $1 million due to shorter duration of derivative financial instruments

Fair values by input hierarchy of items measured at fair value on a non recurring basis [Table Text Block]

The following table summarizes the items measured at fair value subsequent to initial recognition on a nonrecurring basis by input hierarchy for the periods ended March 31, 2012 and December 31, 2011 that were still held on our balance sheet at those dates (in millions):



	March 31, 2012								December 31, 2011
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Financial Services Sector
North America
Retail receivables	$	—	$	—	$	66	$	66	$	—	$	—	$	70	$	70
Dealer loans, net	—		—		2		2		—		—		6		6
Total North America	—		—		68		68		—		—		76		76
International
Retail receivables	—		—		35		35		—		—		39		39
Total International	—		—		35		35		—		—		39		39
Total Financial Services sector	$	—	$	—	$	103	$	103	$	—	$	—	$	115	$	115

Schedule of nonrecurring fair value changes [Table Text Block]

The following table summarizes the total change in value of items for which a nonrecurring fair value adjustment has been included in our statement of operations for the periods ended March 31, related to items still held on our balance sheet at those dates (in millions):



	Total Gains / (Losses)
	First Quarter
	2012			2011
Financial Services Sector
North America
Retail receivables	$	(11	)	$	(14	)
Dealer loans, net	—			—
Total North America	(11		)	(14		)
International
Retail receivables	(5		)	(3		)
Total International	(5		)	(3		)
Total Financial Services sector	$	(16	)	$	(17	)

Fair Value Inputs Quantitative Information [Table Text Block]

The following table summarizes significant unobservable inputs and the variability of those inputs to alternate methodologies for the period ended March 31, 2012 (in millions):



	Fair Value	Valuation Technique	Unobservable Input	Fair Value Range
Automotive Sector
Recurring basis
Net commodity contracts	$(44)	Income Approach	Forward commodity prices for certain commodity types. A lower forward price will result in a lower fair value.	$(45) - $(43)

Financial Services Sector
Recurring basis
Derivative features included in the FUEL Notes	$99	Market Approach	Credit spreads. A higher credit spread will result in a lower fair value.	$85 - $112
Nonrecurring basis
Retail receivables
North America	$66	Income Approach	POD percentage	$54 - $66
International	$35	Income Approach	ARV percentage	$28 - $42
Dealer loans, net	$2	Income Approach	Estimated market value	$2 - $4

- Definition

Tabular disclosure of assets and liabilities by class, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). The disclosures that may be required or desired include: (a) the fair value measurements recorded during the period and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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