Fair Value Measurements (Tables)

3 Months Ended

Sep. 30, 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):



	September 30, 2012								December 31, 2011
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Automotive Sector
Assets
Cash equivalents – financial instruments
U.S. government	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
U.S. government-sponsored enterprises	—		384		—		384		—		319		—		319
Non-U.S. government	—		86		—		86		—		168		—		168
Non-U.S. government agencies (a)	—		165		—		165		—		820		—		820
Corporate debt	—		19		—		19		—		2		—		2
Total cash equivalents – financial instruments (b)	—		654		—		654		—		1,309		—		1,309
Marketable securities (c)
U.S. government	6,226		—		—		6,226		2,960		—		—		2,960
U.S. government-sponsored enterprises	—		3,813		—		3,813		—		4,852		—		4,852
Non-U.S. government agencies (a)	—		4,161		—		4,161		—		4,558		—		4,558
Corporate debt	—		2,004		—		2,004		—		1,631		—		1,631
Mortgage-backed and other asset-backed	—		25		—		25		—		38		—		38
Equities	89		—		—		89		129		—		—		129
Non-U.S. government	—		1,539		—		1,539		—		598		—		598
Other liquid investments (d)	—		28		—		28		—		17		—		17
Total marketable securities	6,315		11,570		—		17,885		3,089		11,694		—		14,783
Derivative financial instruments
Foreign currency exchange contracts	—		137		—		137		—		198		14		212
Commodity contracts	—		21		2		23		—		1		1		2
Other – warrants	—		—		—		—		—		—		4		4
Total derivative financial instruments (e)	—		158		2		160		—		199		19		218
Total assets at fair value	$	6,315	$	12,382	$	2	$	18,699	$	3,089	$	13,202	$	19	$	16,310
Liabilities
Derivative financial instruments
Foreign currency exchange contracts	$	—	$	589	$	—	$	589	$	—	$	442	$	6	$	448
Commodity contracts	—		127		33		160		—		289		83		372
Total derivative financial instruments (e)	—		716		33		749		—		731		89		820
Total liabilities at fair value	$	—	$	716	$	33	$	749	$	—	$	731	$	89	$	820

__________


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

(b)

Excludes time deposits, certificates of deposit, money market accounts, and other cash equivalents reported at par value on our balance sheet totaling $3.7 billion and $4.6 billion at September 30, 2012 and December 31, 2011, respectively, for the Automotive sector. In addition to these cash equivalents, our Automotive sector also had cash on hand totaling $1.8 billion and $2.1 billion at September 30, 2012 and December 31, 2011, respectively.


(c)	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 at December 31, 2011.


(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)



	September 30, 2012								December 31, 2011
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Financial Services Sector
Assets
Cash equivalents – financial instruments
U.S. government	$	1	$	—	$	—	$	1	$	1	$	—	$	—	$	1
U.S. government-sponsored enterprises	—		167		—		167		—		75		—		75
Non-U.S. government	—		16		—		16		—		15		—		15
Non-U.S. government agencies (a)	—		5		—		5		—		150		—		150
Corporate debt	—		18		—		18		—		—		—		—
Total cash equivalents – financial instruments (b)	1		206		—		207		1		240		—		241
Marketable securities
U.S. government	2,071		—		—		2,071		619		—		—		619
U.S. government-sponsored enterprises	—		449		—		449		—		713		—		713
Non-U.S. government agencies (a)	—		175		—		175		—		778		—		778
Corporate debt	—		1,206		—		1,206		—		1,186		—		1,186
Mortgage-backed and other asset-backed	—		73		—		73		—		88		—		88
Non-U.S. government	—		121		—		121		—		444		—		444
Other liquid investments (c)	—		16		—		16		—		7		—		7
Total marketable securities	2,071		2,040		—		4,111		619		3,216		—		3,835
Derivative financial instruments
Interest rate contracts	—		1,495		—		1,495		—		1,196		—		1,196
Foreign currency exchange contracts	—		6		—		6		—		30		—		30
Cross-currency interest rate swap contracts	—		—		—		—		—		12		—		12
Other (d)	—		—		—		—		—		—		137		137
Total derivative financial instruments (e)	—		1,501		—		1,501		—		1,238		137		1,375
Total assets at fair value	$	2,072	$	3,747	$	—	$	5,819	$	620	$	4,694	$	137	$	5,451
Liabilities
Derivative financial instruments
Interest rate contracts	$	—	$	284	$	—	$	284	$	—	$	237	$	—	$	237
Foreign currency exchange contracts	—		33		—		33		—		50		—		50
Cross-currency interest rate swap contracts	—		83		—		83		—		12		—		12
Total derivative financial instruments (e)	—		400		—		400		—		299		—		299
Total liabilities at fair value	$	—	$	400	$	—	$	400	$	—	$	299	$	—	$	299

__________


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

(b)

Excludes time deposits, certificates of deposit, and money market accounts reported at par value on our balance sheet totaling $4.9 billion and $6 billion at September 30, 2012 and December 31, 2011, respectively, for the Financial Services sector. In addition to these cash equivalents, our Financial Services sector also had cash on hand totaling $2.2 billion and $3 billion at September 30, 2012 and December 31, 2011, respectively.


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


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


(e)	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 table summarizes 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 September 30 (in millions):



	First Nine Months
	2012								2011
	Marketable Securities		Derivative Financial Instruments, Net			Total Level 3 Fair Value			Marketable Securities			Derivative Financial Instruments, Net			Total Level 3 Fair Value
Automotive Sector
Beginning balance	$	—	$	(70	)	$	(70	)	$	2		$	38		$	40
Realized/unrealized gains/(losses)
Cost of sales	—		1			1			—			(86		)	(86		)
Interest income and other income/(loss), net	—		(4		)	(4		)	(1		)	(2		)	(3		)
Other comprehensive income/(loss) (a)	—		—			—			—			—			—
Total realized/unrealized gains/(losses)	—		(3		)	(3		)	(1		)	(88		)	(89		)
Purchases, issues, sales, and settlements
Purchases	—		—			—			7			—			7
Issues	—		—			—			—			—			—
Sales	—		—			—			(1		)	—			(1		)
Settlements	—		52			52			—			(29		)	(29		)
Total purchases, issues, sales, and settlements	—		52			52			6			(29		)	(23		)
Transfers into Level 3	—		—			—			—			—			—
Transfers out of Level 3 (b)	—		(10		)	(10		)	(6		)	2			(4		)
Ending balance	$	—	$	(31	)	$	(31	)	$	1		$	(77	)	$	(76	)
Unrealized gains/(losses) on instruments still held	$	—	$	(2	)	$	(2	)	$	—		$	(79	)	$	(79	)

Financial Services Sector
Beginning balance	$	—	$	137		$	137		$	1		$	(89	)	$	(88	)
Realized/unrealized gains/(losses)
Other income/(loss), net	—		(81		)	(81		)	—			398			398
Other comprehensive income/(loss) (a)	—		—			—			—			(1		)	(1		)
Interest income/(expense) (c)	—		—			—			—			65			65
Total realized/unrealized gains/(losses)	—		(81		)	(81		)	—			462			462
Purchases, issues, sales, and settlements
Purchases	—		—			—			5			—			5
Issues (d)	—		—			—			—			73			73
Sales	—		—			—			—			—			—
Settlements (e)	—		(56		)	(56		)	—			108			108
Total purchases, issues, sales, and settlements	—		(56		)	(56		)	5			181			186
Transfers into Level 3	—		—			—			—			—			—
Transfers out of Level 3 (b)	—		—			—			(6		)	(13		)	(19		)
Ending balance	$	—	$	—		$	—		$	—		$	541		$	541
Unrealized gains/(losses) on instruments still held	$	—	$	—		$	—		$	—		$	481		$	481

_________


(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.


(c)	Recorded in Interest expense.

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

(e) Reflects $56 million due to the extinguishment of the derivative features included in the FUEL Notes as a result of the mandatory exchange of the FUEL Notes to unsecured notes in the second quarter of 2012.

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 at September 30, 2012 and December 31, 2011 that were still held on our balance sheet at those dates (in millions):



	September 30, 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	$	—	$	—	$	55	$	55	$	—	$	—	$	70	$	70
Dealer loans	—		—		2		2		—		—		6		6
Total North America	—		—		57		57		—		—		76		76
International
Retail receivables	—		—		27		27		—		—		39		39
Total International	—		—		27		27		—		—		39		39
Total Financial Services sector	$	—	$	—	$	84	$	84	$	—	$	—	$	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 September 30, related to items still held on our balance sheet at those dates (in millions):



	Total Gains/(Losses)
	Third Quarter						First Nine Months
	2012			2011			2012			2011
Financial Services Sector
North America
Retail receivables	$	(6	)	$	(8	)	$	(14	)	$	(19	)
Dealer loans	—			—			—			—
Total North America	(6		)	(8		)	(14		)	(19		)
International
Retail receivables	(6		)	(3		)	(11		)	(11		)
Total International	(6		)	(3		)	(11		)	(11		)
Total Financial Services sector	$	(12	)	$	(11	)	$	(25	)	$	(30	)

Fair Value Inputs Quantitative Information [Table Text Block]

The following table summarizes significant unobservable inputs and the variability of those inputs to alternate methodologies at September 30, 2012 (in millions):



	Fair Value	Valuation Technique	Unobservable Input	Fair Value Range
Automotive Sector
Recurring basis
Net commodity contracts	$(31)	Income Approach	Forward commodity prices for certain commodity types. A lower forward price will result in a lower fair value.	$(32) - $(30)
Financial Services Sector
Nonrecurring basis
Retail receivables
North America	$55	Income Approach	POD percentage	$44 - $55
International	$27	Income Approach	ARV percentage	$22 - $33
Dealer loans	$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 shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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