taking into account discount and capitalization rates, financial conditions, local market conditions among others. Hedge fund investments Hedge fund investments include those seeking to maximize absolute returns using a broad range of strategies to enhance returns and provide additional diversification. Hedge Funds include investments in equity, event driven, fixed income, multi strategy and macro relative value strategies. These investments do not have a readily determinable fair market value and are reported at NAVs provided by external managers or fund administrators (based on the valuations of underlying investments) on a monthly basis, and reviewed by management, taking into consideration the latest audited financial statements of the funds. Investments in hedge funds and commingled funds
can typically be redeemed at NAV within the near term while investments in private equity and most real estate are inherently long term and illiquid in nature with a quarter lag in reporting by the fund managers. Reporting of those asset classes with a reporting lag, management estimates are based on the latest available information taking into account underlying market fundamentals and significant events through the balance sheet date. Investment in derivatives Investment in derivatives such as equity or bond futures, TBA securities, swaps, options and currency forwards are used to achieve a variety of objectives that include hedging interest rates and currency risks, gaining desired market exposure of a security, an index or currency exposure and rebalancing the portfolio. Over-the-counter derivatives are reported using valuations based on discounted cash flow methods incorporating market observable inputs.
Estimated Future Benefit Payments The following table shows the benefit payments expected to be paid in each of the next five years and subsequent five years. The expected benefit payments are based on the same assumptions used to measure the benefit obligation at June 30, 2012: In millions of U.S. dollars SRP July 1, 2012 - June 30, 2013 July 1, 2013 - June 30, 2014 July 1, 2014 - June 30, 2015 July 1, 2015 - June 30, 2016 July 1, 2016 - June 30, 2017 July 1, 2017 - June 30, 2022
$ 634 667 701 733 763 4,198
RSBP a Before Federal Subsidy Federal Subsidy $ 58 $ 1 63 — 69 — 75 — 81 — 504 —
PEBP $ 38 41 43 45 47 266
a. Effective January 1, 2013, IBRD will be moving from RDS to EGWP. See page 92 for further discussion.
Expected Contributions
NOTE K—COMPREHENSIVE INCOME
IBRD’s contribution to the SRP and RSBP varies from year to year, as determined by the Pension Finance Committee, which bases its judgment on the results of annual actuarial valuations of the assets and liabilities of the SRP and RSBP. The best estimate of the amount of contributions expected to be paid to the SRP and RSBP by IBRD and IDA during the fiscal year beginning July 1, 2012 is $201 million and $72 million, respectively.
Comprehensive income consists of net income and other gains and losses affecting equity that, under U.S. GAAP, are excluded from net income. Comprehensive income (loss) comprises the cumulative effects of a change in accounting principle related to the implementation of FASB’s derivatives and hedging guidance, currency translation adjustments, pension-related items, and net income. These items are presented in the Statement of Comprehensive Income.
IBRD FINANCIAL STATEMENTS: JUNE 30, 2012
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