PBGC Asset Evaluation 

for the 

Delphi Retirement Program for Salaried Employees 

and the 

Delphi Hourly Rate Employees’ Pension Plan 
Pension Benefit Guaranty Corporation 

Asset Evaluation Division 

Delphi Retirement Program for Salaried Employees 

Case No. 20637000 

Delphi Hourly-Rate Pension Plan 

Case No. 20637100 

Additional Supplemental Plan Asset Evaluation 

Report 

December

DOPT: July

DOTR: August
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • 201 5 

CONTENT S 

1. EXECUTIV E SUMMAR Y 1 

2. OBJECTIV E 1 

3. BACKGROUN D 2 

4. SUMMAR Y O F DELPH I SALARIE D AND HOURL Y PLANS ' NE T ASSE T VALU E 3 

5. SUMMAR Y O F PLA N ASSE T EVALUATIO N WOR K PERFORME D B Y 7 

6. SUMMAR Y O F PLA N ASSE T EVALUATIO N WOR K PERFORME D B Y PBG C 9 

7. DISCUSSION O F PLA N ASSE T EVALUATIO N WOR K PERFORME D B Y 

CONTRACTO R 11 

8. PLA N INITIATIO N SPIN-OFF LETTE R PROVIDE D B Y GMAM , APRI L 2, 2015 15 

9. CONCLUSIO N 16 

APPENDI X A- INDE X O F TERM S 18 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

1. EXECUTIVE SUMMARY 

T h e Contracto r applie d procedure s i n accordanc e wit h th e Benefit s Administratio n an d Payment s 

Departmen t ("BAPD" ) Manua l fo r Pla n Asse t Evaluation s ("PAE" ) date d Apri l 201 3 ("BAP D PA E 

Manual" ) t o assess th e estimate d Fai r Marke t Valu e ("FMV" ) o f assets an d liabilitie s o f th e Delph i 

Retiremen t Progra m fo r Salarie d Employee s ("Salarie d Plan" ) an d th e Delph i Hourly-Rat e

Pensio n Pla n ("Hourl y Plan") , collectivel y th e "Plans" , "Delph i Salarie d an d Hourl y Plans " o r th e "Delph i 

Plans" . Thi s Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t th e ("Additiona l Supplementa l 

Report" ) wa s prepare d a t th e reques t o f PBG C t o summariz e informatio n i n previousl y issue d report s an d 

othe r wor k performe d b y PBG C an d shoul d b e rea d i n conjunctio n wit h th e Contractor' s Plan Asset 

Evaluation Report for the Delphi Retirement Program for Salaried Employees and the Delphi Hourly-Rate 

 Pension Plan date d Januar y (th e "Trac k 1 report") , an d th e Supplemental Plan Asset 

Evaluation Report for the Delphi Retirement Program for Salaried Employees and the Delphi Hourly-Rate 

 Pension Plan date d Ma y (th e "Trac k 2 report") . Thi s repor t als o reference s th e 

PBGC' s interna l documentatio n regardin g th e Fiduciar y Breac h an d Frau d Review , th e Salarie d Plan' s 

exces s assets i n Guarantee d Annuit y Contract s ("GAC") , th e Trus t t o Trus t Transfe r betwee n Genera l 

Motor s Retiremen t Progra m fo r Salarie d Employee s an d th e Genera l Motor s Hourly-Rat e Employees ' 

Pensio n Pla n ("G M Salarie d an d Hourl y Retiremen t Plans" ) an d th e Delph i Plans , Du e an d Unpai d 

Employe r Contributions , PBG C Insuranc e Premiu m Refun d Receivables , an d Pre-Terminatio n Pla n 

Liabilities . Thi s repor t summarize s th e previou s Trac k 1 an d Trac k 2 report s issue d b y th e Contractor , an d 

t h e conclusion s reache d b y th e Pensio n Benefi t Guarant y Corporatio n ("PBGC" ) fo r certai n assets an d 

liabilitie s o f th e Plan s a s note d above . Additionally , thi s repor t clarifie s ho w AICP A valuatio n standard s 

wer e considere d an d provide s additiona l backgroun d regardin g certai n tes t procedure s performe d b y th e 

Contracto r i n accordanc e wit h th e BAP D PA E Manual . 

N o additiona l tes t wor k wa s performe d b y th e Contracto r othe r tha n th e revie w o f th e additiona l informatio n 

sen t t o PBG C b y Genera l Motor s Asse t Managemen t ("GMAM" ) o n Apri l 2 , relatin g t o th e initia l 

allocatio n o f assets an d liabilitie s t o th e Delph i Plans . Thi s wa s reviewe d onl y t o determin e i f suc h 

informatio n woul d appea r t o b e sufficien t t o resolv e th e observation s containe d i n th e Trac k 1 report . I n 

addition , th e reporte d Ne t Asse t Valu e o f th e Plan s ha s no t change d fro m th e Trac k 1 an d Trac k 2 reports , 

excep t fo r adjustment s provide d b y PBG C whic h wer e complete d subsequen t t o th e issuanc e o f thos e 

reports . 

T h e Delph i Salarie d Plan' s Ne t Asse t Valu e ("NAV" ) wa s approximatel y $2. 5 billio n an d th e Delph i 

Hourl y Plan' s NA V wa s approximatel y $3. 6 billio n a s o f DOPT . Afte r testin g 93.92 % o f th e Salarie d Plan' s 

F M V an d o f th e Hourl y Plan' s FM V th e Contracto r identifie d decrease s i n FM V o f approximatel y 

-0.16 % an d -0.15 % fo r eac h Plan , respectively . Detail s o n th e valu e o f investe d assets, othe r assets an d 

liabilities , ca n b e foun d a t Sectio n 4 o f thi s report . 

2. OBJECTIVE 

• Th e PBG C instructe d th e Contracto r t o compil e an d summarize : 

o Previou s wor k performe d b y th e Contracto r regardin g th e Plans ; 

o Th e conclusion s an d th e result s o f tes t procedure s performe d b y th e PBG C relate d t o certai n Pla n 

assets an d othe r liabilities ; an d 

o A tabl e summarizin g th e estimate d Ne t Asse t Valu e ("NAV" ) o f th e Plan s a s o f DOPT . 

1 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

• Provid e clarificatio n an d additiona l backgroun d regardin g certai n tes t procedure s an d findings 

documente d an d describe d b y th e Contracto r i n th e Trac k 1 Repor t a s follows : 

o Referenc e t o th e America n Institut e o f Certifie d Publi c Accountant s ("AICPA" ) Valuatio n 

Standard s a s i t relate s t o th e Contracto r performin g th e BAP D PA E Manua l procedures ; 

o Samplin g approac h use d t o th e tes t th e FM V o f th e Plans ' investe d assets an d th e findings; 

o Tes t procedure s ove r th e completenes s an d allocatio n o f th e Plan' s assets withi n th e Delph i Trus t 

Structure . 

• Documen t tha t th e Contracto r reviewe d th e additiona l informatio n sen t t o PBG C b y Genera l Motor s 

Asse t Managemen t ("GMAM" ) o n Apri l relatin g t o th e initia l allocatio n o f assets an d liabilitie s 

t o th e Delph i Plans . Thi s wa s reviewe d onl y t o determin e i f suc h informatio n woul d appea r t o b e 

sufficien t t o resolv e th e observation s containe d i n th e Trac k 1 report . Th e informatio n provide d wa s no t 

sufficien t t o resolv e thes e matters . 

3. BACKGROUND 

Delph i Corporatio n ("Delphi" ) wa s a globa l supplie r o f mobil e electronic s an d transportation s system s tha t 

bega n a s par t o f th e Genera l Motor s Corporatio n ("GM") . Effectiv e Januar y 1 , Delph i wa s diveste d 

fro m G M a s a n independen t compan y an d assume d th e assets an d liabilitie s o f GM' s automotiv e 

component s businesses . I n connectio n wit h th e divestmen t from GM , Delph i establishe d th e Delph i 

Retiremen t Progra m fo r Salarie d Employee s o n Januar y 1 , an d th e Delph i Hourly-Rat e Employees ' 

Pensio n Pla n o n Ma y 28 ,

T h e Plan s wer e terminate d o n Jul y 200 9 an d wer e receive d fo r statutor y trusteeshi p b y th e PBG C o n 

Augus t O n DOPT , th e Salarie d Pla n hel d investe d assets o f approximatel y $2. 3 billio n (excludin g 

t h e GAC ) an d th e Delph i Hourl y Pla n hel d investe d assets o f approximatel y $3. 6 billion , a s reporte d b y th e 

Trustee . 

Genera l Motor s Investmen t Managemen t Corporatio n ("GMIMCO") , a wholl y owne d subsidiar y o f GM , 

w a s designate d a s th e name d fiduciary an d asse t manage r fo r purpose s o f makin g investment-relate d 

decision s fo r th e Plans . Genera l Motor s Asse t Managemen t ("GMAM") , a subsidiar y o f GMIMCO , 

manage s th e dail y operation s o f th e Plans ' transactions . Th e Trustee' s fo r th e Plan s wa s Stat e Stree t Ban k 

a n d Trus t Compan y ("Stat e Street" ) an d J P Morga n ("JPM") . 

A t DOPT , th e Delph i Plan s investment s wer e hel d i n variou s investmen t pool s ("GMA M Investmen t 

Pools" ) whic h wer e establishe d base d o n certai n investmen t objectives . Certai n investment s wer e 

 a t J P Morga n (generally , th e alternativ e o r privatel y hel d assets ) an d certai n investment s 

wer e a t Stat e Stree t (generall y th e exchang e trade d assets) . Thes e GMA M Investmen t 

Pool s consolidate d int o variou s investmen t trust s manage d b y GMAM , hereafte r referre d t o a s th e 

"Combine d Trusts" . Th e Delph i Plans ' investmen t value s ar e presente d a s a pro-rat a shar e o f th e GMA M 

Investmen t Pool s hel d a s investment s throug h th e Combine d Trusts . Th e Ne t Asse t Valu e o f th e GMA M 

Investmen t Pool s wa s generate d b y th e relate d trustee/custodian , an d sen t t o Stat e Stree t t o recor d th e Plans ' 

allocation . Stat e Street , i n it s rol e a s Maste r Recor d keepe r fo r th e Plan s an d th e custodia n fo r th e GMA M 

Investmen t Pools , allocate d th e Ne t Asse t Valu e o f th e GMA M Investmen t Pool s t o th e Plan s base d o n 

internall y calculate d ownershi p percentage s the y maintained . Generall y speaking , th e GMA M Investmen t 

Pool s wer e no t exclusiv e t o th e Delph i Plans , an d als o hel d assets o f othe r employe e benefi t plan s o f GM , 

Delph i an d othe r thir d part y investors . Th e Contracto r performe d testin g ove r th e FM V o f investe d assets 

2 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

a t th e Combine d Trust s level , an d allocate d t o th e individua l plan s base d o n th e allocatio n percentage s 

maintaine d b y Stat e Street . 

Thi s repor t reference s fai r marke t valu e ("FMV" ) tha t represent s th e valu e o f investe d assets an d othe r 

assets an d liabilitie s o f th e Plans . Th e repor t als o reference s Ne t Asse t Valu e ("NAV" ) tha t represent s th e 

combine d valu e o f th e FM V o f al l investe d assets an d othe r assets an d liabilitie s o f th e Plans . 

4. SUMMARY OF DELPHI SALARIED AND HOURLY PLANS' NET 

ASSET VALUE 

T h e Contracto r attempte d t o tes t 94.95 % o f th e tota l investe d assets o f th e Salarie d Pla n an d

o f th e tota l investe d assets o f th e Hourl y Pla n an d wa s abl e t o perfor m tes t wor k i n accordanc e wit h th e 

BAP D PA E Manua l o r approve d alternativ e procedure s fo r 93.92 % o f th e tota l investe d assets o f th e 

Salarie d Pla n an d 92.19 % o f th e tota l investe d assets o f th e Hourl y Plan . Fo r 1.03 % o f th e Salarie d Pla n 

a n d o f th e Hourl y Plan s investe d assets (referre d t o a s "Conclusio n Cod e 3 " i n th e Trac k 1 an d Trac k 

2 reports) , th e Contracto r wa s no t abl e t o tes t th e fai r marke t valu e ("FMV") , mostl y du e t o missin g 

informatio n from th e Truste e o r thir d part y vendor s du e t o th e passag e o f time . Thes e investment s wer e 

reporte d usin g fai r value s a s provide d b y th e Trustee . Fo r 5.05 % o f th e Salarie d Plan' s investe d assets an d 

f o r 6.67 % o f th e Hourl y Plan' s investe d assets whic h wer e no t selecte d fo r testing , th e PBG C determine d 

tha t furthe r testin g woul d no t hav e a significan t impac t o n th e overal l NA V o f th e Plan s an d i t wa s 

reasonabl e t o us e th e Trustee-reporte d fai r values . 

3 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

T h e followin g tw o table s summariz e th e result s o f th e testwor k ove r th e FM V o f investe d assets reflecte d 

i n th e Trac k 1 an d Trac k 2 report s a s wel l a s PBG C adjustments . 

Table 1: Estimated Fai r Market Value as of DOPT - Delphi Salaried Plan 

Trustee 

Estimated 

F M V (USD) 

(A.01) 

P A E Report 

1/30/2015 -

Track 1 

Report (USD) 

(A.01) 

P A E Supp. Report 

5/15/2015- Track 2 

Report (USD) 

Summarized 

Estimated FM V 

including PBG C 

Adjustments* 

(USD) 

Estimate d Fai r 

Marke t Valu e o f 

 V

2,287,459,52 5 2,290,515,69 3 2,290,515,69 3 

Accrue d Expense s 

{From Track 1 

report) 

- (3,378,626 ) (3,378,626 ) (3,378,626 ) 

Exces s Asset s i n 

GACs* * 

31,110,80 1 

D u e an d Unpai d 

Employe r 

 

- 195,875,65 7 195,875,65 7 195,875,65 7 

PBG C Insuranc e 

Premiu m Refun d 1,206,70 0 

Pre-Terminatio n 

Pla n Liabilities* * 

(2,198,829 ) (2,198,829 ) (2,220,507 ) 

Roundin g 

Adjustmen t t o 

Reconcil e t o 

PBG C Cas e 

Managemen t 

Syste m 

( 1 ) 

Tota l 

2,472,403,47 4 2,477,757,72 7 2,480,813,89 5 2,513,109,71 7 

*This amount reflects the estimated FMV including the Track 1 & Track 2 reports, and additional 

adjustments to other assets and liabilities as provided by PBGC after the Contractor completed the Track 

1 & Track 2 reports. The adjustments from each report to summarize the estimated Plan Net Asset Value 

("NAV") is documented in Table 8. 

 balances were provided to the Contractor by PBGC. The Contractor performed no procedures 

or test work over these reported amounts. The Salaried Plan had a gross DUEC claim of $144,238,916, 

and an additional secured plan claim of due to the tax lien that PBGC filed. Thus, the 

Salaried Plan had a total secured plan claim of $195,875,657. Based on communication from PBGC, the 

Plan received the total balance of the secured claim, refer to Section 6 for additional information. 

4 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

Table 2: Estimated Fai r Market Value as of DOPT - Delphi Hourly Plan 

Trustee 

Estimated 

F M V (USD) 

(A.01) 

P A E Report 

1/30/2015 -

Track 1 

Report (USD) 

(A.01) 

P A E Supp. Report 

5/15/2015- Track 2 

Report (USD) 

Summarized 

Estimated FM V 

after PBG C 

Adjustments* 

(USD) 

Fai r Marke t Valu e 

o f Investe d Asset s 

3,621,744,11 7 3,633,003,84 0 3,633,003,84 0 

Accrue d Expense s 

{From Track 1 

report) 

- (4,629,068 ) (4,629,068 ) (4,629,068 ) 

D u e an d Unpai d 

Employe r 

Contributions* * 

21,317,49 3 

PBG C Insuranc e 

Premiu m Refun d 

Receivables* * 

2,286,50 6 

Pre-Terminatio n 

Pla n Liabilities* * 

(2,857,772 ) (2,857,772 ) (2,857,772 ) 

Roundin g 

Adjustmen t t o 

Reconcil e t o PBG C 

Cas e Managemen t 

Syste m 

1 

Tota l 3,638,466,24 3 3,635,574,77 0 3,646,834,49 3 3,649,121,00 0 

Certain totals due not foot due to rounding. 

*This amount reflects the estimated FMV including the Track 1 & Track 2 reports, and additional 

adjustments to other assets and liabilities as provided by PBGC after the Contractor completed the Track 

1 & Track 2 reports. The adjustments from each report to summarize the estimated Plan Net Asset Value 

("NAV") is documented in Table 8. 

 balances were provided to the Contractor by PBGC. The Contractor performed no procedures 

or test work over these reported amounts. Based on communication from PBGC, the Hourly Plan had a 

gross claim of $194,188,867, to which PBGC allocated $21,317,493 in the recovery valuation-

 process. Thus, the Hourly Plan had a net DUEC amount of $21,317,493. 

5 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

T h e tabl e belo w document s th e Truste e FM V o f investe d assets attempte d t o b e teste d b y th e Contractor , 

a s wel l a s th e Truste e FM V o f investe d assets th e Contracto r wa s abl e t o tes t i n accordanc e wit h th e BAP D 

P A E Manua l o r approve d alternativ e procedures . 

Table 3: Trustee FM V of Invested Assets Tested: 

Salaried Plan 

(USD) 

Hourly Plan 

(USD) 

Tota l Truste e FM V 2,472,403,47 4 3,638,466,24 3 

Less : Truste e FM V o f GAC* * (178,274,298 ) -

Subtotal : Truste e Estimate d FM V Excludin g 

G A C 

3,638,466,24 3 

Truste e FM V attempte d t o b e teste d 

(excludin g GAC) * 

2,178,322,18 8 3,395,954,61 6 

% o f Truste e FM V attempte d t o b e teste d 94.95 % 93.33 % 

Truste e FM V Teste d Successfully * 2,154,657,40 0 3,354,123,80 7 

% o f Truste e FM V Teste d 93.92 % 92.19 % 

*This represents the FMV reported by the Trustee of invested assets tested by the Contractor in accordance 

with the BAPD PAE Manual or approved alternative procedures and not the FMV estimated as a result of 

that testing. 

 Trustee had recorded the value of the GACs as a part of the Net Asset Value of the Salaried Plan. 

As discussed in Section 6 below, PBGC excluded the assets and corresponding liabilities guaranteed by the 

insurers under the GACs from the testing and the Net Asset Value of the Salaried Plan. 

6 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

Afte r testin g 93.92 % o f th e Salarie d Plan' s FM V o f investe d assets an d 92.19 % o f th e Hourl y Plan' s FM V 

o f investe d assets a s reporte d i n th e Trac k 1 an d Trac k 2 reports , th e Contracto r identifie d th e followin g 

change s i n investe d asse t values . 

Table 4: Fai r Market Value of Invested Assets Changes 

Salaried Plan* 

(USD) 

Hourly Plan 

(USD) 

Tota l Truste e FM V 2,472,403,47 4 3,638,466,24 3 

Less : Truste e FM V o f GA C (178,274,298 ) -

Subtotal : Truste e Estimate d FM V Excludin g 

G A C 

2,294,129,17 6 3,638,466,24 3 

Fai r Marke t Valu e o f Investe d Asset s teste d 

b y th e Contracto r o r Truste e FM V i f no t 

teste d 

2,290,515,69 3 3,633,003,84 0 

Decreas e i n FM V o f Investe d Asset s (3,613,483 ) (5,462,403 ) 

Percentag e Decreas e i n FM V o f Investe d 

Asset s 

(0.16% ) (0.15% ) 

 The Trustee had recorded the value of the GACs as a part of the Net Asset Value of the Salaried Plan. As 

discussed in Section 6 below, PBGC excluded the assets and corresponding liabilities guaranteed by the 

insurers under the GACs from the testing and the Net Asset Value of the Salaried Plan. 

5. SUMMARY OF PLAN ASSET EVALUATION WORK PERFORMED BY 

CONTRACTOR 

Report for the Pla n Asset Evaluatio n for the Delph i Retirement Progra m for Salarie d Employees and 

the Delph i Pension Pla n Report dated Januar y 30 , 201 5 1" ) 

T h e Trac k 1 repor t summarize s th e wor k performe d b y th e Contracto r i n accordanc e wit h th e BAP D PA E 

Manua l ove r pla n assets an d othe r liabilitie s o f th e Plans . Thi s repor t include d a n assessmen t o f th e 

estimate d FM V o f th e Plans , a s wel l a s certai n procedure s ove r othe r pla n assets an d liabilitie s includin g 

D u e an d Unpai d Employe e Contribution s ("DUEC") , pre-terminatio n pla n liabilities , accrue d investmen t 

receivable s an d payable s (includin g unsettle d transactions ) an d accrue d operatin g expenses . 

T h e Contracto r performe d th e tes t procedure s ove r th e securitie s hel d a t th e Combine d Trust s leve l an d als o 

attempte d t o perfor m tes t procedure s ove r th e allocatio n o f th e assets t o th e Salarie d an d Hourl y Plan s a s 

o f DOPT . 

7 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

I n accordanc e wit h th e BAP D PA E Manual , an d wit h approva l from PBGC , no t al l investe d assets wer e 

teste d a s furthe r describe d i n Sectio n 6 : "Samplin g Methodolog y an d Results. " Investe d assets subjec t t o 

tes t procedure s wer e assigne d a conclusio n cod e detailin g th e finding s o f th e procedure s performed . 

T h e Contracto r wa s no t abl e t o complet e certai n tes t procedure s a s require d b y th e BAP D PA E Manual . 

T h e followin g wer e th e ke y finding s tha t prevente d certai n testin g objective s from bein g met . 

• Ther e wer e scop e limitation s relate d t o completin g th e tes t procedure s aroun d th e completenes s an d 

allocatio n o f pla n assets. Th e Contracto r wa s unabl e t o obtai n certai n sourc e document s t o complet e th e 

tes t work . Pleas e refe r t o Section s 5 an d 6 o f th e Trac k 1 repor t an d als o Sectio n 7 o f thi s report . 

• Th e PBG C Samplin g Methodolog y objectiv e wa s no t me t du e t o certai n difference s identifie d betwee n 

t h e Truste e estimate d FM V an d th e Contractor' s estimate d FM V a s o f DOPT . Thes e variance s wer e 

abov e th e PBG C tolerabl e misstatemen t error . Th e variance s wer e mostl y attributabl e t o alternativ e 

investment s hel d b y th e Plan s a s o f DOPT . Pleas e refe r t o Sectio n o f th e Trac k 1 repor t an d als o 

Sectio n 7 o f thi s report . A s a result , additiona l testin g wa s performe d a s par t o f th e Trac k 2 repor t 

(describe d below ) i n orde r t o gai n additiona l evidenc e ove r th e FM V o f Investe d Asset s o f th e Delph i 

Plans . 

• Th e Contracto r di d no t obtai n sufficien t evidenc e t o tes t al l investe d assets selecte d fo r testwor k mostl y 

d u e t o missin g informatio n fro m th e Truste e o r thir d part y vendor s du e t o th e passag e o f time . 

T h e Contracto r wa s instructe d b y PBG C t o no t tes t certai n assets o f th e Plans . Thi s wor k wa s no t performe d 

a s certai n informatio n wa s stil l bein g assesse d b y th e PBG C a t th e tim e o f issuanc e o f th e Trac k 1 report , 

a n d furthe r wor k ove r thes e matter s wa s late r performe d b y PBGC . Se e Sectio n 6 belo w fo r a detaile d 

discussio n o f th e wor k performe d b y PBGC . 

Supplemental Pla n Asset Evaluatio n Report for the Delph i Retirement Progra m for Salarie d Employees 

and the Delph i Hourly-Rat e Pension Pla n Report dated Ma y 15, 201 5 ("Trac k 2" ) 

T h e purpos e o f th e Trac k 2 Repor t wa s t o perfor m additiona l tes t procedure s ove r th e remainin g unteste d 

populatio n o f th e investe d assets hel d b y th e Plan s a s o f DOP T t o increas e th e amoun t o f investment s teste d 

fro m Trac k 1 sinc e th e samplin g methodolog y ha d no t me t it s objective . A s describe d i n th e samplin g 

approac h sectio n below , th e PBG C samplin g methodolog y di d no t mee t it s objectiv e du e t o certai n 

difference s identifie d durin g th e tes t procedure s relate d t o alternativ e investment s hel d b y th e Plans . Al l 

unteste d investment s i n selecte d asse t classe s greate r tha n $ 1 millio n an d millio n i n th e Salarie d an d 

Hourl y Plan , respectively , wer e selecte d fo r testin g i n Trac k 2 . Th e selectio n o f additiona l investment s fo r 

testin g wa s base d o n directio n fro m th e PBGC . Th e finding s o f th e tes t procedure s applie d t o th e 

incrementa l investe d assets subjec t t o testin g i n Trac k 2 increase d th e amoun t o f investment s fro m Trac k 1 

o f th e Salarie d an d Hourl y Plan s fro m 89.98 % t o 94.95% , an d 84.60 % t o 93.33 % respectively . 

8 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

6. SUMMARY OF PLAN ASSET EVALUATION WORK PERFORMED BY 

PBGC 

T h e followin g wor k wa s performe d b y PBGC . Th e Contracto r performe d n o tes t wor k ove r thes e element s 

o f th e PAE . 

Fiduciar y Breach Limite d Scope Review & Frau d Review 

PBG C conducte d a limite d scop e revie w o f th e Delph i Plan s t o assess whethe r an y potentia l fiduciary 

violation s occurre d durin g th e three-yea r perio d prio r t o th e Plans 5 terminatio n o n Jul y 2009 . Ther e 

wer e n o reportabl e matter s o r adjustment s t o th e Plans ' NA V a s a resul t o f thi s revie w b y PBGC . 

Salarie d Investment i n Guaranteed Annuity Contracts 

Table 5: Calculation of Excess Assets in GA C at DOPT (PBGC calculation) 

G A C 

Contract 

Issuer 

G A C Estimated 

F M V as reported 

by the Trustee 

(USD)* 

Adjustment per 

Insurance 

Companies (USD) 

Adjusted FM V 

per Insurance 

Companies 

(USD) 

Contract 

Benefit 

Liabilities 

(USD) 

Excess Assets 

 DOPT 

(USD) 

Prudential 52,784,87 3 5 52,784,87 8 (41,595,726 ) 11,189,15 2 

Aetna 63,256,08 3 (356,026 ) 62,900,05 7 (55,545,950 ) 7,354,10 7 

MetLife 62,233,34 2 62,233,34 2 (49,665,800 ) 12,567,54 2 

Total 178,274,298* (356,021) 177,918,277 (146,807,476) 31,110,801 

*As discussed below, because PBGC determined that the benefit liabilities guaranteed under the GACs and 

the assets attributable to those liabilities were irrevocable commitments of the insurers, for purposes of the 

evaluation, PBGC instructed the Contractor to assign a value of zero as reported in the Track 1 report. 

A t DOPT , th e Salarie d Pla n hel d thre e separat e grou p annuit y contract s wit h Prudential , Aetna , an d 

MetLife . Thes e contract s require d eac h insure r t o separatel y guarante e paymen t o f one-thir d o f certai n 

participants ' Par t B Primar y benefit . PBG C determine d tha t th e benefi t liabilitie s guarantee d b y th e Insurer s 

a n d th e assets attributabl e t o thos e liabilitie s constitute d irrevocabl e commitment s o f th e insurers , an d 

therefor e shoul d no t b e include d i n th e Salarie d Plan' s assets an d liabilities . PBG C als o determined , 

however , tha t an y contrac t assets i n exces s o f th e insurers ' guarantee d benefi t liabilitie s shoul d b e adde d t o 

t h e Salarie d Plan' s assets. Th e tabl e abov e summarize s th e value s o f th e GA C assets, associate d liabilities , 

a n d th e calculatio n o f exces s assets a t DOPT , a s determine d b y th e PBGC . A s note d i n th e table , PBG C 

determine d tha t th e tota l exces s asse t amoun t wa s $31,110,801 . 

Trus t to Trus t Transfe r between the G M Salarie d and Hourl y Retirement Plans and the Plans 

Durin g th e Trac k 1 tes t procedure s th e Contracto r identifie d a non-compan y receivabl e balanc e o f 

 fo r th e Delph i Hourl y Plan . Th e Contracto r notifie d PBG C abou t thi s accoun t an d wa s informe d 

tha t thi s asse t wa s par t o f a large r negotiatio n betwee n PBG C an d G M relatin g t o severa l potentia l trust-to -

trus t transfer s betwee n th e Delph i Plan s an d th e G M pensio n plans . 

9 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

T h e PBG C ha s conclude d tha t n o amoun t shoul d b e recorde d relate d t o th e trus t t o trus t transfer s o r othe r 

transfer s withi n thi s Pla n Asse t Evaluation . 

D u e and Unpai d Employer Contributions (DUEC ) 

Table 6: Due and Unpaid Employer Contributions 

Salaried Plan (USD) Hourly Plan (USD) 

DUE C Claim 144,238,91 6 $194,188,86 7 

Additional Secured Claims 51,636,74 1 

Recovered DUE C and Secured Claims 195,875,65 7 

T h e tabl e abov e document s th e DUE C an d secure d claim s o f th e Salarie d an d Hourl y Plan s a s o f DOPT . 

D u e an d Unpai d Employe r Contribution s ("DUEC" ) ar e amount s require d t o b e contribute d t o a terminate d 

pla n whic h hav e no t bee n contribute d b y th e Dat e o f Pla n Termination . Th e PBG C make s claim s fo r DUE C 

agains t a contributin g sponso r and , i f applicable , it s controlle d grou p member s wit h respec t t o terminate d 

plans . A DUE C clai m i s considere d a pla n asse t an d an y recover y o n thi s clai m ca n affec t th e valu e o f pla n 

assets. Th e Recovere d DUE C amoun t abov e (tha t fo r th e Salarie d Pla n include s a n additiona l secure d claim ) 

w a s originall y reporte d a s par t o f th e Trac k 1 report . 

PBG C ha s note d tha t fo r th e Delph i Plans , a s i n virtuall y al l cases, PBG C settle d al l o f it s claim s i n a globa l 

agreemen t tha t di d no t brea k ou t th e treatmen t o f eac h specifi c claim . PBG C allocate s it s recoverie s amon g 

t h e variou s claim s base d o n th e methodolog y i n PBG C Operatin g Polic y 8.2-1 , whic h provide s fo r a 

unifor m treatment . Th e polic y take s int o accoun t tha t i n bankruptc y cases, certai n kind s o f claim s ar e pai d 

ahea d o f othe r claims . Thus , PBG C allocate s it s recoverie s first t o an y secure d claims , the n t o an y claim s 

wit h priorit y i n bankruptcy , an d the n pr o rat a amon g PBGC' s an d th e plans ' genera l unsecure d claims . Th e 

Salarie d Pla n ha d a secure d clai m o f fo r du e an d unpai d employe r contribution s ("DUEC" ) 

a n d a n additiona l secure d clai m o f al l du e t o ta x lien s tha t PBG C ha d filed o n th e Plan' s 

behalf . Thus , th e Salarie d Pla n ha d tota l secure d claim s o f $195,875,657 . Becaus e PBGC' s recoverie s 

exceede d tha t amount , thes e secure d claim s receive d a ful l allocation . Th e Hourl y Pla n ha d n o secure d 

claims . Usin g th e pr o rat a metho d describe d above , PBG C allocate d t o th e DUEC . 

PBG C Insuranc e Premiu m Refun d Receivable 

PBG C recognize d a valu e o f $1,206,70 0 fo r th e Delph i Salarie d Pla n an d $2,286,50 6 fo r th e Delph i Hourl y 

Pla n a t DOP T fo r insuranc e premiu m refund s PBG C mad e t o th e Plan s o n Septembe r 2009 , stemmin g 

fro m amende d filings fo r Pla n Yea r Commencin g ("PYC" ) 200 7 whic h reduce d th e Plans ' variabl e rat e 

premiu m an d from th e shor t yea r proratio n o f bot h fla t rat e an d variabl e rat e premium s fo r PY C 200 8 du e 

t o Plans ' termination . Thes e amount s ar e reflecte d a s additiona l Pla n assets a t DOPT . 

1 0 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

Pre-Terminatio n Pla n Liabilitie s 

Table 7: Pre-Termination Plan Liabilities 

Track 1 PTP L Value 

(USD) 

Additions to PTP L 

(USD) 

Total PTP L (USD) 

Delphi Salaried Plan 2,198,82 9 21,67 8 2,220,50 7 

Delphi Hourly Plan 2,857,77 2 2,857,77 2 

T h e BAP D PA E Manua l state s tha t pre-terminatio n pla n liabilitie s ("PTPL" ) fo r retire e benefit s occu r whe n 

a benefi t amoun t payabl e prio r t o DOP T wa s no t pai d o r wa s underpai d a s o f DOPT . Th e PBG C provide d 

t h e Contracto r th e initia l PTP L o f eac h Pla n fo r inclusio n i n th e Trac k 1 PA E report . However , th e PBG C 

identifie d a n additiona l PTP L i n th e Salarie d Pla n afte r th e submissio n o f th e Trac k 1 an d Trac k 2 reports . 

T h e abov e tabl e document s th e PTP L fo r eac h Pla n a s o f DOPT . 

7. DISCUSSION PLAN ASSET EVALUATION WORK PERFORMED 

BY CONTRACTOR 

T h e PBG C ha d directe d th e Contracto r t o clarif y certai n matter s reference d i n th e Trac k 1 Repor t whic h 

a r e summarize d below . 

 Valuatio n Standards Reference 

Withi n th e Trac k 1 an d Trac k 2 repor t th e Contracto r ha d reference d tha t th e PA E "wa s performe d i n 

accordanc e wit h th e Consultin g an d Valuatio n Standard s establishe d b y th e AICPA , th e BAP D PA E 

Manual , an d applicabl e governmen t guidelines. " 

T h e BAP D PA E Manua l wa s create d t o documen t procedure s tha t ar e t o b e performe d i n par t t o tes t and/o r 

determin e th e FM V tha t th e PBG C use s fo r th e specifi c objective s o f th e PBG C an d accordingly , w e wer e 

engage d t o perfor m procedure s a s note d i n th e BAP D PA E Manua l i n accordanc e wit h AICP A Consultin g 

Standard s an d applicabl e governmen t guidelines . I n instance s whe n th e BAP D PA E Manua l di d no t 

sufficientl y addres s fact s o r circumstance s tha t wer e encountere d durin g th e engagement , th e Contracto r 

considere d th e valuatio n standard s establishe d b y th e AICPA ; t o th e exten t thos e standard s di d no t 

contradic t th e PA E Manual . 

T h e "Statement s o n Standard s fo r Valuatio n Services " wer e create d fo r AICP A member s wh o ar e engage d 

t o , or , a s par t o f anothe r engagement , estimat e th e valu e o f a business , busines s ownershi p interest , security , 

o r intangibl e assets. Thes e standard s appl y t o engagement s i n whic h a n estimat e o f valu e culminate s i n th e 

expressio n o f eithe r a conclusio n o f valu e o r a calculate d value . Specificall y thes e standard s detai l valuatio n 

approaches , valuatio n methods , an d th e essentia l componen t o f applyin g professiona l judgmen t i n 

estimatin g value . Th e Delph i Plans ' PA E doe s no t represen t a valuatio n repor t i n accordanc e wit h th e 

AICP A Statement s o n Standard s fo r Valuatio n Service s a s th e BAP D PA E Manua l prescribe d th e approac h 

tha t woul d b e use d an d i t wa s conducte d wit h th e oversigh t o f th e PBGC . 

1 1 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

Sampling Methodology and Results 

T h e BAP D PA E Manua l document s certai n tes t approache s fo r performin g a PAE . Thes e test s include , bu t 

a r e no t limite d to , control s testing , substantiv e testing , sampling , an d analytica l procedures . Th e purpos e o f 

a PA E is t o assess th e reporte d truste e estimate d FM V o f securitie s hel d a s o f DOP T a s wel l a s othe r assets 

o r liabilitie s makin g u p a plan' s NAV . Th e Delph i Plan s ha d ove r 2,00 0 investment s hel d i n variou s GMA M 

Investmen t Pool s an d th e Plan s hel d a n ownershi p percentag e i n th e GMA M Investmen t Pools . Th e Plan s 

(throug h th e GMA M Investmen t Pools ) wer e investe d i n variou s asse t type s suc h a s exchang e trade d 

equitie s an d fixe d incom e products , insuranc e contracts , derivatives , an d alternativ e assets suc h a s direc t 

holding s i n rea l property , privatel y hel d companie s an d limite d partnerships . Du e t o th e structur e o f th e 

Plans ' interes t i n th e GMA M Investmen t Pools , th e Contracto r applie d th e BAP D PA E Manua l procedure s 

a t th e Combine d Trust s leve l an d the n recalculate d th e pro-rat a shar e o f th e Plans ' ownershi p t o assess th e 

Plans ' estimate d FM V a s o f DOP T (se e additiona l backgroun d i n sectio n 3 o f thi s report) . 

T h e PBG C provide d th e Contracto r a statistica l samplin g too l tha t wa s use d t o selec t a sampl e o f securitie s 

f o r testing . Accordin g t o th e BAP D PA E Manual , "sampling is the application of detailed evaluation 

procedures to less than 100% of the items within an account to provide a basis for concluding on the 

correctness of the entire account balance. The sample selection needs to be statistically significant 

items) as well as representative of the underlying population, which means that the characteristics of the 

sample should not differ from those of the population for any reason other than sampling risk. " (pe r sectio n 

15.10 A o f th e BAP D Technica l Manua l date d Apri l 17 , 2013) . Th e objectiv e o f usin g th e PBG C 

samplin g too l wa s t o selec t a statisticall y vali d subse t o f securitie s fo r tes t wor k tha t woul d provid e evidenc e 

ove r th e valu e o f th e entir e populatio n o f investments . Th e samplin g too l wa s primaril y use d t o tes t th e 

alternativ e investment s du e t o th e quantit y an d natur e o f th e investe d assets hel d b y th e Plans . Th e 

Contracto r an d th e PBG C discusse d an d determine d th e tolerabl e erro r whic h is on e o f th e assumption s 

use d t o assess th e maximu m erro r tha t woul d b e acceptabl e whe n usin g th e samplin g tool . 

T h e investment s subjec t t o sampling , base d o n th e classificatio n provide d b y GMAM , wer e alternativ e 

investment s (non-exchang e trade d investments) . Thes e securitie s consiste d mainl y o f illiquid , close d en d 

securitie s suc h a s hedg e funds , privat e equit y an d rea l estat e funds , an d direc t investmen t i n privat e 

companie s an d rea l estat e holdings . Thes e holding s wer e ofte n hel d and/o r value d b y thir d part y investmen t 

managers . Th e Truste e recorde d th e Ne t Asse t Valu e ("NAV" , a prox y fo r FMV ) o f th e individua l 

alternativ e investmen t whe n th e fun d manage r provide d a partner' s capita l statemen t ("PCAP") . W e wer e 

informe d tha t th e PCA P wa s generall y provide d a t leas t quarterl y bu t dependin g o n th e investmen t ma y 

hav e bee n provide d mor e o r less frequently . Th e PCA P fo r eac h alternativ e investmen t wa s als o generall y 

provide d thre e month s subsequen t t o th e measuremen t dat e (bu t ma y hav e bee n provide d close r t o o r furthe r 

fro m th e measuremen t date) . Fo r example , th e quarterl y PCA P calculate d a s o f Decembe r woul d b e 

provide d b y Marc h o f th e subsequen t year . I n man y case s th e mos t recen t PCA P wa s receive d an d th e 

valu e adjuste d fo r cas h activit y throug h th e measuremen t dat e a s i t wa s no t practica l o r efficien t t o kee p th e 

truste e statement s fro m bein g finalized/closed . Whe n th e Truste e DOP T report s wer e finalized , th e mos t 

recen t PCA P wa s used , howeve r tha t PCA P ma y hav e bee n a s o f Marc h 2009 . Th e Contractor , i n 

accordanc e wit h th e BAP D PA E Manual , performe d tes t procedure s base d o n th e NA V from th e PCA P 

closes t t o DOP T (Jun e 2009 ) an d adjuste d fo r cas h activit y throug h DOPT . A s a resul t o f th e Contracto r 

performin g th e tes t usin g a PCA P close r t o th e DOP T difference s i n teste d FM V wer e identifie d betwee n 

t h e Contractor' s teste d FM V compare d wit h th e Trustee' s reporte d valu e a s o f DOPT . Th e tota l o f thes e 

difference s wa s highe r tha n th e tolerabl e error , resultin g i n th e samplin g too l bein g unabl e t o projec t a likel y 

1 2 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

erro r withi n th e unteste d portio n o f th e investmen t population . A s a result , th e samplin g approac h wa s no t 

successfu l an d coul d no t provid e a basi s t o conclud e o n th e unteste d investmen t population . 

I n respons e t o th e samplin g approac h bein g unsuccessful , th e PBG C directe d th e Contracto r t o selec t 

additiona l alternativ e investment s fo r tes t wor k a s reflecte d i n th e Trac k 2 report . Th e purpos e o f th e 

additiona l tes t procedure s wa s t o increas e th e numbe r an d amoun t o f securitie s teste d fo r th e Delph i Plans . 

A s describe d i n th e Trac k 2 report , th e Contracto r performe d tes t procedure s ove r a n additiona l 

 an d o f Truste e FM V o f th e investe d assets fo r th e Salarie d an d Hourl y Plans , 

respectively . Se e Tabl e 3 tha t summarize s th e tes t wor k performe d a s par t o f Trac k 1 an d Trac k 2 . 

Completeness and Allocatio n Test Procedures 

A s require d b y th e BAP D PA E Manual , th e Contracto r performe d tes t wor k t o evaluat e th e completenes s 

o f th e Plans ' assets a s o f DOP T an d th e allocatio n o f th e estimate d FM V o f th e GMA M investmen t pool s 

t o th e Salarie d an d Hourl y Plans , base d o n th e Plans ' ownershi p percentag e a s o f DOPT . Tes t procedure s 

wer e performe d ove r asse t value s a t th e Combine d Trust s level . Value s wer e the n allocate d base d o n th e 

pro-rat a ownershi p o f th e investmen t pool s b y th e Delph i Salarie d an d Hourl y Plans . Thi s pro-rat a 

ownershi p is base d o n ownershi p percentage s tracke d internall y b y GMA M an d th e Trustee . Du e t o th e 

Plans ' FM V bein g allocate d fro m th e Combine d Trust s level , th e completenes s o f th e asse t value s a t th e 

Pla n leve l ar e dependen t o n th e accurac y o f th e Combine d Trust s leve l allocatio n durin g th e perio d o f tim e 

fro m th e spin-of f o f th e Plan s from th e G M Salarie d an d Hourl y Retiremen t Plan s throug h DOPT . 

Completeness 

T h e BAP D PA E Manua l require s a revie w an d compariso n o f th e lates t availabl e For m truste e 

statement s an d audite d financial statement s fo r th e prio r thre e year s a s clos e t o DOP T a s possible . Th e 

Contracto r performe d thi s procedur e observin g n o unreconcile d difference s ove r approximatel y $50 0 

betwee n thes e thre e document s a s o f Septembe r 30 , 2006 , Septembe r 30 , 2007 , an d Septembe r 30 , 2008 . 

T h e Contracto r als o performe d additiona l alternativ e procedure s relate d t o th e completenes s tes t wor k t o 

obtai n additiona l evidenc e ove r th e completenes s o f th e Plan' s assets. Th e Contracto r performe d a 10 -

mont h tren d analysi s ove r eac h Plans ' monthl y NA V provide d b y th e Trustee . W e examine d month-to -

mont h variance s greate r tha n a n identifie d threshol d o f 5% . Thes e month-to-mont h variance s wer e 

examine d ove r th e perio d fro m th e mos t recen t audite d financial statement s (Septembe r 30 , 2008 ) throug h 

DOPT . Thi s procedur e wa s designe d t o identif y an y unusua l transfer s o r fluctuations i n th e Plans ' NA V 

durin g th e unaudite d perio d fo r th e Plans . Thi s perio d betwee n th e las t audi t an d DOP T (Septembe r 30 , 

200 8 t o Jul y 2009 ) represent s th e perio d th e Plan s wer e no t subjec t t o a thir d part y independen t audit . 

Identifie d variance s greate r tha n th e define d threshol d appeare d t o b e primaril y du e t o investmen t 

performanc e o r th e liquidatio n o f Pla n assets t o pa y participan t benefits . However , th e limitation s 

surroundin g th e allocatio n tes t wor k furthe r describe d belo w prevente d th e Contracto r from completin g th e 

completenes s tes t wor k describe d i n th e BAP D PA E Manual . 

1 3 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

Allocation 

T h e accurat e allocatio n o f Combine d Trust s leve l value s t o eac h Pla n ar e a significan t componen t o f th e 

completenes s o f pla n assets, a s i t affect s th e final determinatio n o f NA V o f eac h Plan . Th e monthl y 

allocatio n o f investmen t incom e an d unrealize d gai n (loss ) is a componen t o f th e accumulatio n o f th e NA V 

calculate d fo r th e Plan s b y th e Trustee . Whil e th e BAP D Manua l doe s no t provid e specifi c procedure s t o 

perfor m allocatio n tes t work , Sectio n 15.10B, -Maste r Trusts, Commingled Trusts, and Other Similar Trust 

Arrangements, o f th e BAP D PA E Technica l Manua l reference s tha t th e Contracto r shoul d "Apply 

appropriate procedures to the master trust and then examine how ownership is attributed to individual 

 Furthe r i n Sectio n O B o f th e BAP D PA E Technica l Manua l als o provide s tha t th e Contracto r 

shoul d perfor m test s o f th e allocatio n methodolog y consisten t wit h th e "instrumen t documents" . Instrumen t 

document s ar e no t define d i n th e BAP D PA E Manua l bu t generall y refe r t o agreement s tha t describ e ho w 

t h e investe d assets an d incom e an d expense s woul d b e allocate d t o th e Plans . I n thi s instance , ther e wer e 

n o "instrumen t documents " availabl e describin g th e Delph i Salarie d an d Hourl y Plans ' ownershi p 

allocatio n withi n th e GMA M Investmen t Pool s o r th e Combine d Trust s a s th e Plan s wer e originall y par t o f 

t h e G M Salarie d an d Hourl y Retiremen t Plans . Th e Contractor , throug h discussion s wit h GMAM , observe d 

tha t th e Plan s wer e no t par t o f a traditiona l maste r trus t bu t wer e treate d i n a simila r manne r a t th e Combine d 

Trust s level . Gains , losse s an d othe r investmen t incom e wa s allocate d o n a pro-rat a basi s base d o n th e 

ownershi p o f eac h Pla n hel d withi n a n individua l investmen t pool . Sinc e specifi c procedure s wer e no t 

define d i n th e PA E Manual , th e Contracto r applie d th e procedure s tha t mos t closel y me t th e structur e 

o f th e GMA M Investmen t Pools . 

Becaus e GMA M informe d u s tha t certai n sourc e document s wer e no t available , th e Contracto r di d no t hav e 

sufficien t supportin g documentatio n t o tes t th e allocatio n o f investmen t gains , losse s an d othe r investmen t 

activit y throug h DOPT . Thes e limitation s wer e discusse d wit h th e PBGC , an d wit h thei r oversight , th e 

Contracto r performe d alternativ e procedure s t o furthe r tes t th e investmen t relate d allocations . 

T h e natur e an d result s o f th e alternativ e procedure s wer e a s follows : 

T h e Contracto r recalculate d eac h Plans ' implici t ownershi p percentag e fo r eac h investmen t poo l a t DOP T 

a n d compare d thes e figures t o th e DOP T allocatio n percentage s th e Contracto r confirme d wit h th e Trustee . 

T h e Contracto r di d no t observ e an y unreconcile d difference s a s a resul t o f thi s tes t procedure . 

T h e Contracto r chos e a sampl e o f investmen t pool s an d confirme d wit h th e Trustee , th e Salarie d an d Hourl y 

Plan' s respectiv e allocatio n percentage s i n thos e pools , b y quarter , ove r th e 3 year s prio r t o DOPT ; th e 

Contracto r performe d a tren d analysi s t o assess i f th e allocation s appeare d consisten t ove r th e 3 year s prio r 

t o DOPT , an d evaluate d month-to-mont h fluctuation s whic h fel l outsid e th e Contractor' s expecte d range . 

Ther e wer e severa l quarter-to-quarte r instance s i n whic h a n investmen t poo l allocatio n percentag e t o th e 

Salarie d an d Hourl y Plan s fel l outsid e o f th e expecte d range . Afte r inquir y wit h th e Truste e an d GMAM , i t 

w a s determine d tha t purchas e an d sal e activit y withi n eac h GMA M Investmen t Poo l (eithe r b y th e Plan s o r 

othe r plan s investin g i n th e pools ) woul d caus e fluctuation s i n allocatio n percentages . T o corroborat e thi s 

informatio n w e obtaine d monthl y purchas e an d sal e report s fo r selecte d investmen t pool s an d attempte d t o 

reconcil e th e allocatio n fluctuations b y adjustin g fo r th e purchas e an d sal e activity . I n som e instance s th e 

Contracto r observe d tha t th e purchase s an d sale s activit y provide d appeare d t o substantiat e th e fluctuations 

b u t i n othe r instance s w e wer e no t provide d sufficien t documentatio n regardin g purchase s an d sale s b y non -

Delph i plan s t o complet e th e tes t work . A s previousl y note d i n th e backgroun d sectio n o f thi s report , non -

1 4 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

Delph i relate d plan s participate d i n man y o f th e GMA M Investmen t Pools . Th e informatio n tha t wa s no t 

provide d t o u s b y GMA M wa s relate d t o th e thir d part y investo r activit y withi n th e Combine d Trusts . 

Activit y fro m thes e non-Delph i plan s ca n affec t th e ownershi p percentag e th e Delph i Plan s hav e i n eac h 

investmen t poo l o f th e Combine d Trusts . Althoug h n o know n error s wer e identifie d a s par t o f thi s tes t work , 

t h e lac k o f visibilit y int o purchas e an d sal e activit y fro m non-Delph i plan s di d no t allo w th e Contracto r t o 

complet e thi s alternativ e procedure . 

8. PLAN INITIATION SPIN-OFF LETTE R PROVIDED BY

APRIL 2, 2015 

T h e PBG C provide d t o th e Contracto r a lette r date d Apri l 2 , fro m Genera l Motor s Asse t Managemen t 

("GMAM" ) an d certai n attache d documentatio n relatin g t o th e Pla n Asse t Evaluatio n ("PAE" ) Repor t date d 

Januar y 30 , 2015 , provide d i n respons e t o th e Trac k 1 Report . Thi s informatio n include d certai n 

documentatio n relate d t o th e initia l spi n of f o f th e Pla n assets fo r th e Delph i Salarie d an d Hourl y Plan s a s 

o f Januar y 1 , 199 9 an d Ma y 28 , 1999 , respectively . I n tha t letter , GMA M state d i n th e respons e tha t 

"...informatio n reflect s al l o f th e relevan t an d availabl e document s tha t w e [GMAM ] hav e bee n abl e t o 

obtai n an d compil e i n ou r [GMAM ] recen t research. " Althoug h thi s informatio n wa s no t reviewe d i n

t h e informatio n provide d b y GMA M i n thi s lette r doe s no t includ e th e informatio n necessar y t o complet e 

a l l o f th e wor k regardin g th e Completenes s an d Allocatio n testing . Therefore , th e Contracto r neithe r 

performed , no r wa s directe d t o perform , an y additiona l tes t wor k fo r th e Delph i Plans ' PAE , eithe r ove r 

thi s lette r o r th e attache d documentation . 

1 5 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

9. CONCLUSION 

T h e tabl e belo w compare s th e Truste e reporte d value s t o change s identifie d b y th e Contracto r i n th e Trac k 

1 an d Trac k 2 report s an d PBG C adjustments . Afte r testin g 93.92 % o f th e Salarie d Plan' s FM V o f investe d 

assets an d o f th e Hourl y Plan' s FM V o f investe d assets th e Contracto r identifie d decrease s i n FM V 

o f -0.16 % an d fo r eac h Plan , respectivel y (als o se e Tabl e 4) . 

Table 8: Delphi Salaried and Hourly Plans Reconciling Items 

Salaried Plan (USD) Hourly Plan (USD) 

Trustee Estimated NA V 2,472,403,474 3,638,466,243 

Les s Truste e FM V o f GA C exclude d fro m 

N A V 

(178,274,298 ) 

G A C 

3,638,466,243 

Trac k 1 Repor t Decreas e i n FM V o f Investe d 

Asset s 

 77 ?

Trac k 1 Repor t Change s Du e t o Othe r Asset s & 

Liabilities * 

190,298,20 2 13,830,65 3 

Track 1 Report Estimated NA V 2,477,757,727 3,635,574,770 

Trac k 2 Repor t Increas e i n FM V o f Investe d 

Asset s 

3,056,16 8 

Track 2 Report Estimated NA V 2,480,813,895 3,646,834,493 

PBGC Adjustments: * 

Excess Assets in GAC 31,110,801 

PBGC Insurance Premium Refund 

Receivables 

1,206,700 2,286,506 

Additional Pre-Termination Liabilities (21,678) 

Total of PBG C Adjustments 32,295,823 2,286,506 

Roundin g Adjustmen t t o Reconcil e t o PBG C 

Cas e Managemen t Syste m 

( 1 ) 1 

Estimated Additional Supplemental Report 

N A V 

2,513,109,717 3,649,121,000 

*This includes the summarized net change in Other Assets and Liabilities (Other than changes in FMV 

and GAC), including Accrued Expenses, Due and Unpaid Employer Contributions, and Pre-Termination 

Plan Liabilities, as described in the Track 1 report. 

 PBGC Adjustments were provided by PBGC after the issuance of the Track 1 & Track 2 reports. 

Additional information describing the findings identified is included in this report. The Contractor 

performed no procedures over these reported amounts. 

1 6 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

T h e wor k produc t an d deliverable s provide d a s par t o f thi s engagemen t wer e develope d fo r Pensio n Benefi t 

Guarant y Corporatio n ("PBGC" ) management , an d ar e no t intende d fo r us e b y an y othe r part y o r fo r an y 

othe r purpose , an d ma y onl y b e relie d upo n b y PBG C management . Th e Supplementa l Pla n Asse t 

Evaluatio n wa s performe d i n accordanc e wit h th e Consultin g Standard s establishe d b y th e AICPA , th e 

BAP D PA E Manual , an d applicabl e governmen t guidelines . Th e Contracto r disclaim s an y intentio n o r 

obligatio n t o updat e o r revis e th e observation s whethe r a s a resul t o f ne w information , futur e events , o r 

otherwise . Shoul d additiona l documentatio n o r othe r informatio n becom e availabl e tha t impact s th e 

observation s reache d i n th e Contractor' s deliverables , th e Contracto r reserve s th e righ t t o amen d it s 

observation s an d summar y documents , includin g deliverables , accordingly . 

 TA X ADVIC E THI S COMMUNICATIO N NO T INTENDE D B E USED , AN D CANNO T 

B E USED , B Y A CLIEN T O R AN Y OTHE R PERSO N O R ENTIT Y FO R TH E PURPOS E O F (i ) 

AVOIDIN G PENALTIE S THA T MA Y B E IMPOSE D O N AN Y TAXPAYE R O R (ii ) PROMOTING , 

MARKETING , O R RECOMMENDIN G T O ANOTHE R PART Y AN Y MATTER S ADDRESSE D 

HEREIN . 

Thi s repor t wa s prepare d fo r th e Pensio n Benefi t Guarant y Corporatio n base d o n procedure s developed , 

approve d an d oversee n b y PBGC , an d ma y onl y b e relie d upo n b y PBGC . 

1 7 
Additiona l Supplementa l Pla n Asse t Evaluatio n Repor t • Decembe r

APPENDIX A- INDEX OF TERMS 

Term Definition 

PBGC' s Asse t Evaluatio n Divisio n 

America n Institut e o f Certifie d Publi c Accountant s 

 A PBGC' s Benefit s Administratio n an d Paymen t Departmen t 

BAPD PA E Manual Benefit s Administratio n an d Payment s Departmen t ("BAPD" ) Manua l fo r 

Pla n Asse t Evaluation s Apri l 1 /,

Dat e o f Pla n Terminatio n 

Fai r Marke t Valu e 

G A C Guarantee d Annuit y Contrac t 

GMA M Genera l Motor s Asse t Managemen t 

G1V 1 Genera l Motor s Compan y 

G F 

Genera l Partner s 

Issu e an d Resolutio n (Memo) . Th e metho d use d t o formaliz e certai n 

discussion s betwee n th e Contracto r tea m an d PBG C 

Investmen t Manager s 

L P Limite d Partnershi p o r Limite d Partner s 

AT A 7 N e t Asse t Valu e 

PBG C Pensio n Benefi t Guarant y Corporatio n 

PCA P Partner' s Capita l Statemen t 

Reasonable or Nothin g cam e t o th e attentio n o f th e Contracto r whic h wa s unusua l o r 

Reasonableness extraordinar y 

Security Pricing Matrix A too l define d i n th e BAP D PA E Manual - Apri l whic h help s 

(SPM) assis t th e BAP D Staf f i n classifyin g investment s a s Liquid-Observabl e o r 

Illiquid-Observable/Har d t o Valu e 

Trusteeship T h e Positio n o f a Truste e b y th e PBG C 

1 8 
 Track 1 Report 
 Benefit Guaranty Corporation 

Asset Evaluation Division 

Delphi Program for Salaried Employees 

Case 20637000 

Delphi Hourly Rate Employees Plan 

Case 20637100 

Plan Asset Evaluation Report 

January

DOPT: July

DOTR: August
Pla n Asse t Evaluatio n Repor t • Januar y

Table of Contents 

1. EXECUTIV E SUMMAR Y 1 

2. OBJECTIV E 2 

3. BACKGROUN D 2 

4. SCOP E WOR K 3 

5. COMPLETENES S TES T 3 

6. ALLOCATIO N TESTIN G 3 

7. FAI R MARKE T VALU E ESTIMAT E 4 

8. MATERIALIT Y 4 

9. DAT A AND INFORMATIO N SOURCE S 4 

10. PLANNIN G AND RIS K ASSESSMEN T 5 

11. APROAC H 5 

12. VALUATIO N METHODOLOG Y 10 

13. PRICIN G SOURCE S 10 

14. SUMMAR Y O F FINDINGS 11 

A. CASH AND CASH EQUIVALENTS 14 

B. MUTUAL FUNDS 15 

C. EQUITIES 16 

D. DERIVATIVES 17 

E. US FIXED INCOME 18 

F. INTERNATIONAL FIXED INCOME 19 

G. MORTGAGE/ASSET BACKED SECURITIES 20 

H. ALTERNATIVE INVESTMENTS 21 

 GUARANTEED INVESTMENT 22 

15. INVESTMEN T RECEIVABLE S AND PAYABLE S 23 

16. DU E AND UNPAID EMPLOYE R CONTRIBUTION S 24 

17. PRE-TERMINATIO N LIABILITIE S 25 

18. UNSETTLE D TRANSACTION S 25 

19. PLA N EXPENSE S 26 

20. PLA N TRANSFER S 26 

21. CONCLUSIO N 27 

APPENDI X - INDE X O F TERM S 33 

APPENDI X FAI R MARKE T VALU E ESTIMAT E DESCRIPTIO N 36 

APPENDI X C - VALUATIO N METHODOLOG Y 38 

APPENDI X D - DELPH I SALARIE D PLA N ASSE T GROUPING S FOR M 40 

APPENDI X E - DELPH I HOURL Y PLA N ASSE T GROUPIN G FOR M 43 
Pla n Asse t Evaluatio n Repor t • Januar y

 EXECUTIVE SUMMARY 

W e hav e applie d procedure s i n accordanc e wit h th e Benefit s Administratio n an d Paymen t Departmen t 

("BAPD" ) Manua l fo r Pla n Asse t Evaluation s - Apri l 201 3 ("BAP D PA E Manual" ) t o assess th e 

estimate d fai r marke t valu e ("FMV" ) o f th e Delph i Retiremen t Progra m fo r Salarie d Employee s ("Delph i 

Salarie d Plan" , o r "Salaried" ) an d th e Delph i Hourl y Rat e Employee s Pensio n Pla n ("Delph i Hourl y Plan" , 

o r "Hourly") , cumulativel y "Delph i Plans " o r "th e Plans " a s o f Jul y 2009 , th e Plans ' dat e o f Plans ' 

terminatio n ("DOPT") . 

Additionally , th e Contracto r performe d certai n procedure s ove r othe r Pla n assets an d liabilitie s includin g 

D u e an d Unpai d Employe e Contribution s ("DUEC") , pre-terminatio n liabilities , accrue d investmen t 

receivable s an d payable s (includin g unsettle d transactions ) an d accrue d operatin g expenses . 

T h e Plans ' Truste e an d Custodia n a t DOP T wa s Stat e Stree t Ban k an d Trus t Compan y ("Stat e Street" , o r 

t h e "Custodian " o r th e "Trustee") , an d th e primar y investmen t manage r wa s Genera l Motor s Investmen t 

Managemen t Corporatio n ("GMIMCO") , a wholl y owne d subsidiar y o f Genera l Motor s Company . Th e 

Truste e wa s abl e t o provid e th e Plans ' asse t statement s a s o f DOPT ; an d base d o n communication s wit h 

t h e Trustee , thi s represent s th e estimate d investe d ne t assets hel d b y th e Plan s a s o f DOPT 1. 

T h e followin g tabl e summarize s th e Contractor' s summar y o f th e estimate d FM V o f th e Plans ' ne t assets 

a s o f DOP T usin g methodologie s an d procedure s outline d i n th e BAP D PA E Manua l an d a s describe d i n 

certai n section s o f thi s report . Additiona l detaile d informatio n i s include d throughou t thi s repor t an d i n th e 

conclusio n section . 

Table 1: Contractor Estimated Net Asset FM V as of DOPT 

Plan Name 

Contractor 

Estimated 

 at 

DOPT (USD) 

Estimated Value of 

Other Assets 

(USD) 

Estimated Value of 

Liabilities (USD) 

Total Estimated 

Net Asset Value 

(USD) 

Salarie d 2,287,459,52 5 195,875,65 7 5,577,45 5 2,477,757,72 6 

Hourl y 3,621,744,11 7 21,317,49 3 7,486,84 0 3,635,574,77 0 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. See section 20 for a description plan transfers 

 the totals. 

T h e gros s DUE C valu e amountin g t o $195,875,65 7 an d $21,317,49 3 fo r th e Salarie d an d Hourl y Plans , 

respectively , i s include d i n thi s repor t i n th e Pensio n Pla n Othe r Asset s an d Liabilitie s table . Thes e balance s 

wer e reconcile d t o document s provide d b y th e Pensio n Benefi t Guarant y Corporatio n ("PBGC") , however , 

w e di d no t perfor m procedure s o n thi s balanc e pe r instructio n from th e PBG C an d include d i t i n thi s repor t 

f o r informationa l purpose s only . O f th e $195,875,65 7 allocate d t o th e DUE C categor y fo r th e Delph i 

Salarie d Plan , $144,238,91 6 relate s t o gros s DUE C an d relate s t o th e additiona l secure d pla n 

clai m du e t o a ta x lie n (whic h th e PBG C include d i n DUE C fo r allocatio n purpose s pe r sectio n E. 4 o f Polic y 

8.2- 1 o f PBGC' s operatin g polic y fo r Valuatio n an d Allocatio n o f Recoveries) . Th e pre-terminatio n liabilit y 

amountin g t o an d $2,857,77 2 fo r th e Salarie d an d Hourl y Plans , respectively , i s include d i n thi s 

repor t i n th e Pensio n Pla n Othe r Asset s an d Liabilitie s table . Thes e balance s wer e reconcile d t o document s 

provide d b y th e PBGC , however , w e di d no t perfor m procedure s o n thes e balance s pe r instructio n fro m th e 

PBG C an d include d i t i n thi s repor t fo r informationa l purpose s only . 

 Refe r t o sectio n 5 fo r completeness testin g conclusions . 

1 
Pla n Asse t Evaluatio n Repor t • Januar y

T h e Contracto r wa s instructe d b y th e Pensio n Benefi t Guarant y Corporatio n t o selec t certai n investment s 

f o r tes t procedure s base d o n a numbe r o f factor s an d t o als o us e th e PBGC' s samplin g methodology . Th e 

PBG C samplin g methodolog y objectiv e wa s no t achieve d du e t o variance s identifie d durin g th e wor k 

performe d ove r th e portio n o f th e investment s selected . A s a result , th e Contracto r wa s unabl e t o assess th e 

unteste d populatio n tha t wa s no t selecte d b y th e PBG C samplin g methodology . Tabl e 3 2 provide s a 

summar y b y conclusio n cod e o f thos e investe d assets tha t wer e teste d b y Plan . 

2. OBJECTIVE 

T h e objectiv e o f thi s pla n asse t evaluatio n ("PAE" ) i s t o conduc t a n evaluatio n o f th e assets an d liabilitie s 

hel d b y th e Plan s a s o f DOP T tha t wer e trustee d b y th e PBGC . 

3. BACKGROUN D 

Delph i Corporatio n ("Delphi " o r "th e Company" ) wa s a globa l supplie r o f mobil e electronic s an d 

transportation s system s tha t bega n a s par t o f th e Genera l Motor s Corporatio n ("GM") . Effectiv e Januar y 1 , 

 Delph i wa s diveste d fro m G M a s a n independen t compan y an d assume d th e assets an d liabilitie s o f 

GM' s automotiv e component s businesses . I n connectio n wit h th e divestmen t fro m GM , Delph i establishe d 

t h e Delph i Retiremen t Progra m fo r Salarie d Employee s o n Januar y 1 , 199 9 an d th e Delph i Hourl y Rat e 

Employee s Pensio n Pla n o n Ma y 28 ,

Genera l Motor s Investmen t Managemen t Corporatio n ("GMIMCO") , a wholl y owne d subsidiar y o f GM , 

w a s designate d a s th e name d fiduciary an d asse t manage r fo r purpose s o f makin g investment-relate d 

decision s fo r th e Plans . Genera l Motor s Asse t Managemen t ("GMAM") , a subsidiar y o f GMIMCO , 

manage s th e dail y operation s o f th e Plans ' transactions . GMIMC O wa s forme d i n 199 0 an d change d it s 

bran d identit y t o Promar k Investmen t Advisors , Inc . ("Promark" ) i n Marc h 2009 . However , thi s bran d 

identit y chang e wa s subsequentl y reverse d i n Septembe r Consequently , whe n PBG C wa s appointe d 

statutor y truste e o n Augus t 2009 , th e asse t manage r wa s calle d Promar k (i t i s no w calle d GMIMCO) . 

Certai n documentatio n wa s provide d b y th e trustee s an d 3 r d partie s name d eithe r GMIMC O o r GMA M a s 

t h e investor . 

O n Jul y th e Plan s wer e terminated . Th e Plan s wer e receive d fo r statutor y trusteeshi p b y th e PBG C 

o n Augus t 10 , 2009 . A t DOPT , th e Delph i Plan s hel d investmen t securitie s o f approximatel y $6. 1 billio n 

combined , a s reporte d b y th e Trustee . 

A t DOPT , th e Delph i Plan s investment s wer e hel d i n variou s investmen t pool s whic h wer e establishe d 

base d o n certai n investmen t objectives . Certai n investment s wer e trusteed/eustodie d a t J P Morga n ("JPM" ) 

(generally , th e alternativ e o r privatel y hel d assets ) an d certai n investment s wer e trusteed/eustodie d a t Stat e 

Stree t (generall y th e exchang e trade d assets) . Thes e investmen t pool s consolidate d int o variou s investmen t 

trust s manage d b y GMAM . Th e ne t asse t valu e ("NAV" ) o f th e pool s wa s generate d b y th e relate d 

trustee/custodian , an d sen t t o Stat e Stree t t o recor d th e Plans ' allocation . Stat e Street , i n it s rol e a s Maste r 

Recor d keepe r fo r th e Plan s an d th e custodia n fo r th e investmen t pools , receive d NA V informatio n fro m 

t h e trustee s an d allocate d th e ne t asse t valu e o f th e GMA M investmen t pool s t o th e Plan s base d o n internall y 

calculate d ownershi p percentage s the y maintained . Generall y speaking , th e GMA M investmen t pool s wer e 

n o t exclusiv e t o th e Delph i Plans , an d ha d multipl e plan s from GM , Delph i an d othe r 3 r d part y plan s a s co -

investors . Th e Delph i Plans ' investmen t value s ar e presente d a s a pro-rat a shar e o f th e GMA M investmen t 

pool s hel d a s investment s throug h variou s investmen t trusts . 

2 
Pla n Asse t Evaluatio n Repor t • Januar y

4. SCOP E WOR K 

T h e scop e o f thi s Pla n Asse t Evaluatio n i s to : 

• Provid e evidenc e o f th e existenc e o f th e Plans ' assets an d liabilities ; 

• Estimat e th e fai r marke t valu e ("FMV" ) o f th e investment s i n th e Plan s a s o f DOPT ; an d 

• Estimat e th e valu e o f th e Plan' s othe r assets an d liabilitie s a s o f DOP T 

W e wer e instructe d b y th e PBG C no t t o perfor m procedure s aroun d potentia l fiduciary breaches , conflict s 

o f interest , and/o r frau d sinc e thi s wil l b e performe d b y th e PBGC . 

T h e procedure s performe d t o achiev e th e objectiv e ar e reference d fro m th e PBG C BAP D PA E Manual . I n 

certai n instances , wit h approva l fro m th e PBGC , w e performe d alternativ e procedure s fo r certai n tes t 

procedure s a s outline d i n th e BAP D PA E Manual . 

5. COMPLETENESS TEST 

I n accordanc e wit h th e BAP D PA E Manua l Sectio n th e Contracto r performe d procedure s t o reconcil e 

t h e Plans ' financial reportin g informatio n t o asse t statement s receive d fro m th e Trustee . Th e Contracto r 

obtaine d th e For m 550 0 Schedule s filed wit h th e U.S . Departmen t o f Labo r an d compare d the m wit h 

third-part y documentatio n suc h a s th e Truste e statement s an d audite d financial statement s fo r th e Plans . 

Whe n performin g procedure s ove r completenes s o f th e Plans ' assets, w e obtaine d th e For m 5500 s an d th e 

Plans ' audite d financial statement s fo r th e thre e year s prio r t o DOP T (Fisca l Year s 2006-2008) . W e 

performe d a reconciliatio n a t th e Pla n leve l o f th e For m 550 0 Schedules , th e Truste e statement s an d th e 

Plans ' audite d financial statement s fo r fiscal year s bu t di d no t tes t th e underlyin g securities . W e di d no t 

observ e unreconcile d difference s tha t wer e abov e $50 0 betwee n th e aforementione d documents . 

W e wer e no t abl e t o perfor m th e require d testwor k ove r completenes s o r th e allocatio n o f th e assets fo r th e 

t h e Delph i Hourl y an d Salar y Plans . A t th e tim e o f Delphi' s spin-of f fro m GM , th e assets an d liabilitie s 

wer e allocate d t o th e newl y create d Delph i Salarie d an d Hourl y Plans . Th e Contracto r wa s no t abl e t o obtai n 

documentatio n tha t coul d b e use d t o suppor t th e allocatio n o f investmen t poo l assets t o th e respectiv e Plan s 

a t th e Trustee . A s a result , w e wer e unabl e t o obtai n evidenc e ove r th e initia l allocatio n o f th e assets share d 

b y th e Plans . Althoug h w e performe d certai n alternativ e procedure s a s describe d i n Sectio n 6 , th e 

Contracto r wa s unabl e t o complet e th e testwor k a s require d b y th e BAP D PA E Manua l t o conclud e tha t th e 

n e t assets recorde d i n th e Delph i Plan s ar e complet e an d accurate . 

6. ALLOCATIO N TESTING 

A s explaine d i n Sectio n 3 o f thi s report , th e ne t assets o f th e Plan s wer e hel d i n trus t vehicles , whic h wer e 

investe d i n variou s investmen t pools . Th e investmen t pool s wer e generall y no t exclusiv e t o th e Delph i 

Plans ; othe r G M affiliate d plan s o r 3 r d part y pensio n plan s ma y participat e o r ow n a pro-rat a shar e o f th e 

investmen t pools . 

Allocatio n testin g i s require d pe r th e BAP D PA E Manual . Du e t o matter s describe d i n sectio n 5 o f thi s 

report , thos e procedure s couldn' t b e performed . Alternativ e procedure s a s discusse d wit h th e PBG C wer e 

applied . 

3 
Pla n Asse t Evaluatio n Repor t • Januar y

Sinc e th e Contracto r wa s unabl e t o conclud e o n th e accurac y o f th e allocatio n o f assets betwee n th e Plan s 

(se e Completenes s sectio n above) ; th e Contracto r performe d a n alternativ e procedur e o f a tren d 

analysi s prio r t o DOP T o f certai n investmen t pool s fo r reasonableness . Sufficien t informatio n wa s no t 

availabl e t o complet e thes e tes t procedures . 

7. FAIR MARKE T VALUE ESTIMATE 

A s furthe r describe d i n Appendi x B o f thi s report , th e Contracto r applie d a valuatio n approac h base d o n a n 

acceptabl e rang e FMV s fo r th e Asse t Sub-Classe s (a s define d i n th e BAP D PA E Manual) . Th e acceptabl e 

rang e o f FM V i s base d o n th e allowabl e varianc e a s define d i n th e s Securit y Pricin g Matri x ("SPM" ) 

i n th e BAP D PA E Manual . 

8. MATERIALIT Y 

I n accordanc e wit h th e PA E Manua l sectio n th e Contracto r calculate d a threshol d o f materialit y 

t o determin e th e scop e o f th e Contractor' s work . Th e calculatio n wa s discusse d an d approve d b y PBG C 

management . Materialit y wa s use d t o assess th e significanc e o f certai n tes t procedures . 

9. DAT A AN D INFORMATIO N SOURCE S 

I n performin g th e tes t procedures , th e Contracto r obtaine d assistanc e from severa l relate d partie s t o th e 

Plans . 

PBG C 

• Severa l Issu e an d Resolutio n Memo s wer e prepare d b y th e Contracto r durin g th e wor k 

assignmen t performanc e tha t PBG C managemen t reviewe d an d approved . Additionally , w e obtaine d 

informatio n fro m th e PBG C relate d t o th e calculatio n o f DUE C an d pre-terminatio n liabilitie s whic h 

t h e Contracto r ha s reporte d withou t performin g additiona l procedures . Th e PBG C wa s informe d o f th e 

statu s o f th e Contractor' s tes t procedure s o n a t leas t a weekl y basi s throughou t th e perio d o f 

performance . 

Stat e Stree t Ban k an d Trus t Compan y (Trustee ) 

• W e obtaine d asse t statements , tria l balance s fo r th e investmen t pool s fo r th e Delph i Salarie d an d Delph i 

Hourl y Plan s a t th e Pla n level . I n addition , w e receive d additiona l supportin g documentatio n relate d t o 

investmen t an d operatin g accruals , expenditures , an d th e Delph i Trus t Structure . 

• Th e Contracto r maintaine d contac t wit h th e Truste e b y phon e an d emai l t o addres s th e statu s o f an y 

ope n item s regardin g th e tes t procedure s performed . 

Genera l Motor s Investmen t Managemen t Corporatio n ("GMIMCO" ) (Primar y Investmen t Advisor ) an d 

Genera l Motor s Asse t Managemen t ("GMAM") . performin g th e dail y operation s o f th e Plans ' transaction s 

• W e obtaine d copie s o f th e Plans ' asse t holdin g statements , audite d financial statement s an d tria l 

balances . 

• GMA M acte d a s th e primar y contac t t o th e Contracto r relate d t o performanc e o f th e BAP D PA E Manua l 

procedures . Generally , al l request s relate d t o th e Truste e an d sub-advisors 2 o f th e plans ' assets wer e 

mad e wit h assistanc e from GMAM . Mos t informatio n use d fo r th e tes t procedure s wa s provide d t o th e 

Contracto r b y GMAM . 

 Sub - investmen t advisors include d Performanc e Equit y Management , LL C a minorit y join t ventur e 

compan y o f GMAM , fo r alternativ e investments , Aetn a Insuranc e etc . fo r certai n insuranc e products. 

4 
Pla n Asse t Evaluatio n Repor t • Januar y

 Th e Contracto r maintaine d o n goin g contac t wit h GMA M b y phone , on-sit e an d vi a emai l t o addres s 

t h e statu s o f outstandin g informatio n regardin g th e testwor k performed . 

J P Morga n Chas e (truste e an d custodia n o f certai n alternativ e investments ) 

• Obtaine d certai n alternativ e investmen t informatio n relate d t o th e Plans . 

1 0 . PLANNING RIS K ASSESSMEN T 

T h e Contracto r performe d procedure s a s define d b y th e BAP D PA E Manual , date d Apri l relate d 

t o plannin g an d ris k assessment . W e documente d ou r understandin g o f th e Plans . Thes e area s were : th e 

natur e o f th e Plans , regulator y an d othe r externa l factors , objectives , strategie s an d relate d risks , an d 

measuremen t an d revie w o f financia l performance . 

T h e primar y metho d o f obtainin g ou r understandin g wa s inquir y o f variou s externa l partie s i n interes t t o 

t h e Plans , discussio n wit h PBG C personnel , an d th e revie w o f th e ne t asse t value s fo r Jun e an d 

Jul y 2009 . Th e Contracto r assesse d th e inheren t ris k associate d wit h eac h asse t class i n accordanc e wit h th e 

BAP D PA E Manual . Th e Contracto r performe d procedure s ove r th e Plans ' assets an d liabilitie s t o assess 

unusua l fluctuations i n th e ne t asse t balances . Certai n PBG C departments , a s wel l a s certai n externa l parties , 

d i d no t complet e certai n questionnaire s relate d t o th e Plans . However , th e lac k o f response s di d no t limi t 

o u r abilit y t o gai n a n understandin g o f th e Plan s o r limi t ou r tes t procedures . Afte r a n understandin g o f th e 

Plans ' investment s wa s gained , th e Contracto r assesse d materialit y i n accordanc e wit h th e BAP D PA E 

Manual . 

1 1 . TESTING APROAC H 

D u e t o th e natur e o f th e trus t structur e fo r th e Plans , th e Contractor , wit h th e PBGC' s approval , performe d 

t h e tes t procedure s ove r th e securitie s a t th e GMA M Investmen t leve l an d the n performe d tes t 

procedure s ove r th e allocatio n o f th e assets (sectio n 6 o f thi s report ) t o th e Delph i Salarie d an d Delph i 

Hourl y Plan s a s o f DOPT . A s a result , th e table s an d tes t procedure s referenc e t o th e securitie s a t th e 

GMA M Investmen t Poo l leve l an d a t th e Plans ' reportin g leve l a s o f DOPT . 

Tes t procedure s relate d t o DUEC , unsettle d transactions , pre-terminatio n liabilitie s an d trus t t o trus t 

transfer s wer e performe d a t th e individua l Pla n leve l (se e section s t o 2 0 o f thi s report) . 

Overal l Procedure s 

P e r Sectio n "Valuatio n o f Pla n Asset s - Method s o f Testin g Asse t Values " o f th e Technica l 

Manual , "test s o f detail s ar e substantiv e evaluatio n procedure s designe d t o evaluat e th e correctnes s o f th e 

relate d accoun t balances. " I n accordanc e wit h th e BAP D PA E Manual , th e Contracto r performe d test s o f 

total s base d o n th e assessmen t o f significan t risk s a s define d b y th e BAP D PA E Manual . 

D u e t o th e natur e o f th e Plans' , th e Contracto r teste d th e Plans ' investment s b y (1 ) performin g procedures , 

i n accordanc e wit h th e BAP D PA E Manual , ove r th e valuatio n o f investment s i n th e GMA M Investmen t 

Pool s t o assess th e accurac y o f valu e o f th e underlyin g investment s and , (2 ) performin g certai n procedure s 

t o assess accurac y ove r th e Delph i Hourl y an d Delph i Salarie d Plans ' ownershi p percentage s o f th e GMA M 

Investmen t Pool s an d (3 ) recalculatio n o f th e Delph i Plans ' ownershi p o f investment s b y multiplyin g result s 

o f step s (1 ) an d (2) . 

5 
Pla n Asse t Evaluatio n Repor t • Januar y

Samplin g 

T h e Contracto r selecte d investment s fo r tes t procedure s through : 100 % examination , samplin g base d o n 

t h e PBGC' s methodology , o r ke y ite m selectio n (individuall y significan t base d o n quantitativ e an d 

qualitativ e factor s a s outline d i n th e BAP D PA E Manual) . Fo r item s no t selecte d throug h th e 

abovementione d procedures , w e performe d n o testin g an d include d the m i n thi s repor t fo r calculation 3 

purpose s only . Fo r thos e investment s subjec t t o sampling , selection s an d result s wer e reviewe d b y a 3 r d 

part y wh o designe d th e samplin g too l t o hel p ensur e i t wa s operatin g accurately . A s a resul t o f th e 

procedure s performe d (describe d i n sectio n 14) , th e samplin g too l calculate d a potentia l extrapolate d 

differenc e i n th e unteste d investment s tha t wa s greate r tha n th e PBG C toleranc e threshold . A s a result , th e 

u s e o f th e samplin g too l di d no t indicat e tha t th e us e o f th e samplin g methodolog y ha d me t th e objectiv e t o 

provid e evidenc e ove r th e unteste d portio n o f th e investment s (classifie d a s conclusio n cod e # 4) . Th e 

samplin g wa s no t me t du e t o th e calculate d variance s fo r certai n alternativ e investment s estimate d 

F M V teste d b y th e Contracto r compare d wit h th e Trustee' s values . A s discusse d furthe r i n th e report , th e 

varianc e i n certai n instance s wa s th e resul t o f certai n alternativ e investment s bein g recorde d b y th e Truste e 

o n a 3-mont h o r 1-mont h la g (i.e . th e Trustee' s DOP T value s reflec t Marc h 200 9 estimate d FM V plu s 

cas h activit y fro m Apri l 1 , 200 9 throug h Jul y 2009) . Th e Contracto r wa s abl e t o obtai n Jun e 30 , 200 9 

o r Jul y 200 9 estimate d FM V supportin g evidenc e (tha t wa s no t availabl e t o GMA M a s o f DOPT ) an d 

a s applicable , adjuste d fo r cas h activit y fro m Jul y 1 , 200 9 throug h Jul y 2009 , t o bette r assess a n 

estimate d FM V a s o f DOP T an d a s agree d wit h PBGC . Th e Truste e recordin g certai n alternativ e 

investment s o n a la g wa s commo n practice . Th e PBG C i s currentl y assessin g what , i f any , alternativ e 

procedure s shoul d o r wil l b e taken . 

T h e "genera l procedures " sectio n belo w provide s a n overvie w o f th e tes t procedure s performe d fo r th e asse t 

classe s subjec t t o testing . A s note d previously , tes t procedure s wer e performe d a t th e GMA M Investmen t 

Pool s leve l an d th e Plans ' pro-rat a allocatio n wa s applie d t o estimat e th e Pla n leve l FM V o f investe d ne t 

assets. 

Genera l Procedure s 

W e performe d th e followin g genera l procedure s t o tes t eac h o f th e asse t sub-classe s followin g BAP D PA E 

Manua l Sectio n

• Obtaine d Truste e statement s detailin g investment s hel d b y th e Truste e i n th e investmen t pool s a s o f 

DOPT , includin g subtotal s b y asse t sub-class . Th e Truste e statement s include d a listin g o f individua l 

securities , shares/pa r value , marke t value , notional , estimate d accrue d investmen t an d othe r 

income , an d curren t yields . 

• W e discusse d th e natur e o f th e variou s account s wit h th e Truste e an d certai n investmen t manager s t o 

understan d th e natur e an d component s o f th e securities . 

• Th e Contracto r gathere d evidenc e ove r th e estimate d FM V o f th e respectiv e investmen t selecte d fo r 

testin g an d assesse d o r reviewe d additiona l evidenc e require d fo r complianc e wit h th e estimate d FM V 

i n accordanc e wit h th e BAP D PA E Manual . 

W e performe d th e followin g specifi c tes t procedure s t o estimat e th e FM V o f th e followin g asse t su b classes: 

Cas h an d Cas h Equivalent s 

 Categories: Cash & Cash Equivalents 

• Confirme d cas h balance s directl y wit h th e Trustee . 

 Refe r t o conclusio n sectio n fo r a discussio n o n th e conclusio n code s assigne d (Conclusio n Cod e #4) . 

6 
Pla n Asse t Evaluatio n Repor t • Januar y

• Fo r cas h equivalents , th e Contracto r obtaine d audite d financia l statemen t o f th e fun d o r th e short-ter m 

investmen t fund , i f available . I f audite d financia l statement s wer e no t available , th e Contracto r 

reviewe d subsequen t investmen t activit y fo r reasonableness . 

Exchang e Trade d Securitie s Mutua l Fund s & Fixe d Income ) 

 Categories: Equities and US Fixed Income 

• Th e Contracto r selecte d Bloomber g an d S& P Capita l wit h approva l fro m th e PBG C a s th e primar y 

pricin g sources , usin g th e number , a s provide d b y th e Truste e statement s o r GMAM , 

throug h th e Microsof t Excel® plug-in . Th e Contracto r als o performe d manua l searche s whe n th e 

CUSIP/SEDO F numbe r di d no t yiel d a result . Pe r discussio n wit h GMAM , th e Truste e utilize d ID C a s 

i t s primar y pricin g sourc e fo r exchang e trade d securities . 

• Fo r securitie s tha t th e Contracto r coul d no t identif y a pric e indicato r usin g th e Bloomber g AP I M S 

Excel® plug-in , th e Contracto r use d a Bloomber g Terminal , o r th e S& P Capita l I Q M S Excel® plug-i n 

t o assess th e estimate d FM V o f th e securit y usin g th e CUSIP/SEDO F numbe r provide d i n th e Truste e 

statement s o r b y GMAM . 

Commo n an d Collectiv e Trus t

SPM Categories: Alternative Investments-Commingled Funds and Other Investment Funds-Unlisted 

T h e majorit y o f th e CCT s include d i n th e Plans ' assets ar e Promar k CCT s whic h wer e closel y hel d CCT s 

manage d b y GMA M durin g 2009 . Th e Truste e recorde d thes e assets usin g th e Ne t Asse t Valu e (NAV ) 

reporte d a t DOP T a s a prox y fo r FM V a s describe d i n th e BAP D PA E Manual . Th e Contracto r performe d 

t h e followin g procedure s fo r selecte d CCTs : 

• Obtaine d th e audite d financia l statement s o f th e fun d closes t t o DOPT , an d observe d th e audite d NA V 

a n d tha t th e audi t wa s performe d b y a CP A Firm . 

• Performe d a n analysi s ove r th e chang e i n th e CCT s NA V a s o f DOP T an d th e dat e o f financia l 

statement s (Septembe r 200 9 fo r certai n Promar k CCT s selected) . 

• Reviewe d th e underlyin g asse t allocatio n o f th e Promar k CCT s usin g th e Septembe r 200 9 audite d 

financia l statements . 

• Reviewe d th e chang e i n th e investmen t market s base d o n selecte d benchmarks/indice s a t DOP T t o 

assess th e recorde d DOP T FM V b y th e Trustee . 

Direc t Investmen t i n Privat e Equit y an d Rea l Estat e 

SPM Categories: Alternative Investments-Real Estate-Direct Ownership and US Domestic 

Equities-Unlisted/ Private 

• Gathere d an d reviewe d dat a provide d b y GMA M an d PEM 4 regardin g th e Direc t Investment s i n Rea l 

Estat e an d Privat e Equity . 

• Reviewe d th e reasonablenes s o f ke y assumption s an d input s suc h as: 

For real estate: 

• Interna l o r externa l appraisals , discounte d cas h flows , an d comparabl e propert y informatio n 

• Marke t capitalizatio n rates , discoun t rates , etc . 

 PE M wa s responsibl e fo r valuin g certai n alternativ e investments . 

7 
Pla n Asse t Evaluatio n Repor t • Januar y

• Underlyin g financia l dat a suc h a s ren t roll s an d leas e agreement s 

For privately held companies: 

• Discounte d cas h flow s an d comparabl e compan y informatio n 

• Discoun t Rate s 

• Underlyin g financia l dat a suc h a s audite d an d unaudite d financia l operation s and/o r projection s o f th e 

privatel y hel d companie s 

• Reviewe d an d re-calculate d th e equit y waterfal l calculations , whe n sufficien t dat a wa s availabl e an d 

fai r marke t valu e estimate s presente d b y PEM . 

Limite d Partnershi p (LP's ) 

SPM Categories: Alternative Investments-Private Equity limited Partnerships, Real Estate Funds and 

Hedge Funds investments. 

P e r discussio n wit h GMAM , an d base d o n th e GMA M investmen t valuatio n policy , limite d partnership s 

a n d othe r simila r funds , wer e recorde d i n th e investmen t pool s o n a la g basi s (i n mos t case s 3 mont h la g o r 

 Thi s i s standar d industr y practic e fo r thes e type s o f securities . GMA M applie d th e concept s 

describe d in , Accountin g Standard s Updat e (ASU ) 2009-12 , Investments in Certain Entities That Calculate 

Net Asset Value per Share (or Its whic h indicate s tha t a reportin g entit y i s permitted , a s a 

practica l expedient , t o estimat e th e fai r valu e o f a n investmen t usin g th e Ne t Asse t Valu e (NAV ) pe r shar e 

( o r it s equivalent , suc h a s membe r unit s o r a n ownershi p interes t i n partners ' capita l t o whic h a proportionat e 

shar e o f ne t assets i s attributed ) o f th e investment . Fo r example , wit h a limite d partnershi p interest , i f ther e 

is n o additiona l informatio n tha t woul d requir e a n adjustmen t t o th e NAV , the n usin g th e NA V determine d 

a s th e estimate d FM V a t quarter-en d woul d b e a reasonabl e prox y fo r fai r value . Typically , partnershi p 

statement s wer e provide d t o GMA M o n a one-quarte r la g (i.e. , GMA M confirme d i t receive d partnershi p 

statement s fo r Marc h 200 9 o n o r abou t Jun e 30 , 200 9 an d which , i n man y cases, wa s th e basi s fo r th e 

F M V reporte d a s o f DOPT ) an d coul d b e base d o n FMV , cost , o r ta x basi s dependin g o n partnershi p 

accountin g policies . 

• Th e Contracto r obtained , a s available , th e Jun e 30 , 200 9 an d Septembe r 30 , 200 9 partne r capita l 

statement s (PCAPS) , 200 8 an d 200 9 audite d financia l statements , Jul y 31 , 200 9 GMA M investmen t 

pool s truste e statements , an d informatio n o n capita l calls/distribution s betwee n Jul y 1 , 200 9 throug h 

Jul y 200 9 fo r eac h selecte d investmen t directl y fro m GMAM . 

• Rol l forwar d th e cas h flow s fro m th e Jun e 0 , 200 9 PCAP S t o DOPT . 

• Asses s th e rol l forwar d o f th e Jun e 30 , 200 9 PCA P statemen t t o th e Septembe r 30 , 200 9 PCA P 

statemen t fo r reasonablenes s an d subsequen t event s data . 

• Perfor m procedure s t o reconcil e th e Septembe r 30 , 200 9 PCA P statemen t t o th e Decembe r 200 9 

audite d financial statement s fo r reasonableness , whe n available . 

• Asses s tha t th e basi s o f accountin g wa s a reasonabl e approximatio n o f FMV . 

• Reviewe d audite d financial statement s t o assess th e audi t o f th e L P wa s performe d b y a CP A Fir m an d 

tha t th e audi t opinio n wa s unqualified . 

8 
Pla n Asse t Evaluatio n Repor t • Januar y

Fixe d Incom e an d Internationa l Fixe d Incom e an d Mortgage d - Asse t Backe d Securities ) 

SPM Categories: International Fixed Income, Mortgage/Asset Backed Securities 

• Fo r fixe d incom e securitie s tha t wer e exchange d traded , th e Contracto r identifie d fixe d incom e 

securitie s tha t th e Contracto r coul d obtai n a pric e fro m Bloomberg , Capita l IQ , o r ID C vi a th e Exce l 

plug-i n (note d above) . A s fixed incom e securitie s ar e predominantl y trade d over-the-counter , th e 

Contracto r di d no t tes t thes e exchange d trade d o r non-exchange d trade d securitie s fo r tradin g volum e 

sinc e tha t informatio n wa s no t readil y availabl e a s discusse d wit h th e PBGC . 

• Fo r fixed incom e securitie s tha t wer e no t exchange d traded , th e Contracto r obtained , a s available , 

prospectuses , ter m sheets , trad e confirmations , regulator y filing s o r othe r publicl y availabl e dat a from 

GMA M o r fro m othe r dat a source s usin g identifyin g informatio n provide d b y GMAM . 

o Researche d publicl y availabl e marke t dat a a s o f th e DOP T t o estimat e input s suc h a s yiel d t o 

maturity . 

o Utilize d a discounte d cas h flow mode l t o estimat e th e FM V a s o f th e DOPT . 

o Fo r instance s wher e th e Contracto r wa s unabl e t o obtai n independen t marke t dat a regardin g th e 

F M V o f th e assets, th e Contracto r use d alternativ e procedures . Th e Contracto r manuall y researche d 

t h e securit y base d o n th e securit y type , stoc k exchang e dail y officia l list s (SEDOFs) , internationa l 

securit y identificatio n number s an d othe r correspondin g availabl e informatio n t o obtai n 

evidenc e ove r th e pric e indicate d b y th e Trustee . Th e Contractor , i n som e cases, manuall y 

researche d th e securitie s usin g othe r pricin g vendors . 

Derivative s 

SPM Categories: Derivatives 

Interes t Rat e Derivative s - (OTC ) 

• Identifie d interes t rat e derivative s (swaps ) tha t th e Contracto r coul d pric e usin g Bloomberg , Capita l 

I Q , o r ID C vi a th e Exce l plug-i n (note d above) . 

• Obtaine d th e swa p agreemen t fo r th e selecte d swaps . 

• Extracte d th e salien t term s fro m th e swa p agreements . 

• Utilize d Bloomberg' s swa p manage r ( a proprietar y softwar e program ) t o estimat e FM V o f th e 

swap s a s o f th e DOPT . 

SPM Categories: 

• Use d alternativ e procedure s a s approve d b y th e PBG C t o obtai n securit y informatio n including , bu t 

n o t limite d to , regulator y filing s an d new s filings . 

• Fo r th e remainin g securities , th e Contracto r contacte d investmen t manager s regardin g th e ter m 

sheets . Th e Contracto r develope d a lis t o f th e remainin g unprice d securitie s includin g relevan t 

informatio n an d estimate d th e FM V fo r th e securit y usin g th e Blac k Mode l formula . 

Credi t Defaul t Swap s 

SPM Categories: Interest Rate Derivatives 

• Identifie d an d price d credi t defaul t derivative s (swaps ) tha t coul d b e price d usin g Bloomberg , 

Capita l IQ , o r ID C vi a th e Exce l plug-i n (note d above) . 

• Obtaine d th e swa p agreemen t fo r th e selecte d swaps . 

• Extracte d th e salien t term s fro m th e swa p agreements . 

9 
Pla n Asse t Evaluatio n Repor t • Januar y

• Utilize d Bloomberg' s swa p manage r ( a proprietar y softwar e program ) t o estimat e th e FM V o f th e 

swap s a s o f th e DOPT . 

Future s 

SPM Categories: Index Futures/Futures Contracts 

• Identifie d an d price d future s contract s tha t coul d b e price d usin g Bloomberg , Capita l IQ , o r ID C 

v i a th e Exce l plug-i n (note d above) . 

• Performe d manua l searc h fo r unprice d securitie s i n Bloomber g utilizin g securit y identifier s 

provide d b y GMA M t o estimat e th e FM V o f th e future s contract s a s o f th e DOPT . 

Foreig n Exchang e Contract s 

SPM Categories: Foreign Currency 

• Obtaine d th e analysi s t o estimat e th e unrealize d gain s an d losse s o n currenc y 

forwar d contract s a s o f DOPT . 

• Hel d discussion s wit h GMA M t o understan d th e Trustee' s calculatio n o f unrealize d gain s an d 

losses . 

• Re-calculate d th e unrealize d gain s an d losse s usin g forwar d exchang e rate s provide d b y Bloomber g 

a s o f DOPT . 

Insuranc e Product s - Guarantee d Annuit y Contrac t ("GAC" ) 

SPM Categories-Guaranteed Investment 

• Obtaine d an d reviewe d th e insuranc e contrac t betwee n th e contrac t holde r an d insuranc e compan y an d 

reviewe d whethe r i t i s a guarantee d investmen t o r guarantee d annuit y contract . 

• Th e Contracto r reviewe d whethe r th e insuranc e contrac t shoul d b e include d o r no t include d i n Pla n 

assets. 

• Performe d tes t procedure s fo r th e estimate d FM V o n th e underlyin g assets include d i n th e separat e 

accoun t associate d wit h th e GAC . 

1 2 . VALUATION METHODOLOG Y 

T h e Contracto r reviewe d th e mos t recen t PBG C guideline s tha t defin e FM V ove r trustee d Pla n assets, a s 

define d i n th e BAP D PA E Manua l Sectio n Se e Appendi x C fo r a descriptio n o f valuatio n 

methodolog y applied . 

1 3 . PRICIN G SOURCE S 

T h e Truste e communicate d t o u s tha t thei r primar y pricin g sourc e wa s Interactiv e Dat a Corporatio n 

("IDC") ; therefor e th e Contracto r primaril y use d Bloomber g F.P . an d S& P Capita l I Q dat a fo r ou r tes t 

procedures . Refe r t o Appendi x A fo r a descriptio n o f thes e pricin g sources . 

1 0 
Pla n Asse t Evaluatio n Repor t • Januar y

1 4 . SUMMARY O F FINDINGS 

ESTIMATED FAIR MARKET VALUE PLAN ASSETS AS OF DOPT 

Table 2: Estimated FM V of Security Values as of DOPT 

Asset Class (per the Security 

Pricing Matrix) 

Contractor 

Estimated FMV 

at DOPT (USD) 

-Delphi 

Salaried 

Percentage of 

Salaried Total 

Investments 

Contractor 

Estimated FMV 

at DOPT (USD) 

- Delphi Hourly 

Percentage of 

Hourly Total 

Investments 

Cas h 20,028,53 9 0.88 % 34,124,19 9 0.94 % 

 /o 

 j /0 

Shor t Ter m Discoun t Note s 1 

 /o 

 /o 

Cash & Cash Equivalents 16 1 1 10/ 

1.1 / /o 

44 44,014,0 / 4 1 93% 

 r — /o 

 — — 

Liste d 

1 / 

 / O 

9

Z ,

 / o 

Non-U S - Foreig n Equitie s -

unliste d 

0.05 % 2,538,30 7 0.07 % 

Preferred/Convertibl e Preferre d 

Stoc k - Liste d 

1 

1 6 , 3 / / 

 110/ 

 /z % 

1 6 A

Preferred/Convertibl e Preferre d 

Stoc k - Unliste d 

7,500,10 6 0.33 % 14,092,95 5 0.39 % 

U S Domesti c Equitie s - Liste d 0.09 % 3,579,01 4 A 1 AO / 

0.10 % 

Equities 28,175,758 

1.23% 

35,016,298 0.97% 

Credi t Derivative s 13,97 3 0.00 % 12,66 6 0.00 % 

Future s Contract s 0.00 % 0.00 % 

Inde x Future s 0.00 % 0.00 % 

Interest Rat e Derivative s (OTC ) 50,57 3 0.00 % 45,84 2 0.00 % 

Rights/Warrant s 0.00 % 0.00 % 

Derivatives 64,546 0.00% 58,509 0.00% 

Mediu m Ter m Note s 356,04 7 0.02 % 322,74 5 0.01 % 

Privat e Placemen t Deb t 1 0.00 % 1 2 0.00 % 

U S Hig h Yiel d Corporat e Bond s 221,30 2 0.01 % 294,20 8 0.01 % 

11 
Pla n Asse t Evaluatio n Repor t • Januar y

Asset Class (per the Security 

Pricing Matrix) 

Contractor 

Estimated

at DOPT (USD) 

- Delphi 

Salaried 

Percentage of 

Salaried Total 

Investments 

Contractor 

Estimated FMV 

at DOPT (USD) 

- Delphi Hourly 

Percentage of 

Hourly Total 

Investments 

U S Investmen t Grad e Corporat e 

Bond s 

1,674,33 7 0.07 % 1,561,05 0 0.04 % 

U S Treasur y Bonds , Notes , Bill s & 

Strip s 

0.09 % 3,972,71 3 

US Fixed Income 4,327,330 0.19% 6,150,729 0.17% 

Internationa l Convertibl e Securitie s 327,41 3 0.01 % 252,94 3 0.01 % 

Internationa l Sovereig n & 

Corporat e Deb t 

31,068,38 4 1.36 % 27,933,01 1 0.77 % 

International Fixed Income 31,395,798 1.37% 28,185,955 0.78% 

 - Corporate/Commercia l 1 0.00 % 2 0.00 % 

CMB S 4 6 2 0.00 % 6,72 8 0.00 % 

Collateralize d Deb t Obligation s 

(CDOs ) 

5 4 0.00 % 1 1 7 0.00 % 

 Labe l 

Sub-Prime/HE L 

150,88 7 0.01 % 1,148,91 0 0.03 % 

Mortgage/Asset Backed 

Securities 

151,403 0.01% 1,155,756 0.03% 

Commingle d Fund s 5 0.00 % 7 6 0.00 % 

Hedg e Fun d Investment s 7,204,62 5 0.31 % 13,737,97 3 0.38 % 

Othe r Inves t Fund s - Unliste d 1,795,789,14 7 78.51 % 2,599,173,03 5 71.77 % 

Privat e Equit y Limite d Partnership s 250,927,84 2 10.97 % 610,994,38 4 16.87 % 

Rea l Estat e - Direc t Ownershi p 2.01 % 105,112,41 6 2.90 % 

Rea l Estat e Fund s 63,985,53 2 2.80 % 3.18 % 

U S Domesti c Equitie s -

Unlisted/Privat e 

10,648,68 6 0.47 % 0.86 % 

Alternative Investments 2,174,632,568 95.07% 3,475,059,598 95.95% 

Guaranteed Investment 0.00% 0.00% 

Accrued dividends 20,983 0.00% 23,536 0.00% 

1 2 
Pla n Asse t Evaluatio n Repor t • Januar y

Asset Class (per the Security 

Pricing Matrix) 

Contractor 

Estimated FMV 

at DOPT (USD) 

- Delphi 

Salaried 

Percentage of 

Salaried Total 

Contractor 

Estimated FMV 

at DOPT (USD) 

- Delphi Hourly 

Percentage of 

Hourly Total 

Investments 

Accrued interest 819,654 0.04% 832,115 0.02% 

Investment Receivables -

Derivatives 

395,568,667 17.29% 536,030,696 14.80% 

Unsettled Transactions - Sales 21,519,092 0.94% 25,104,776 0.69% 

Investment Payables -

Derivatives 

(406,014,191) -17.75% (549,822,455) -15.18% 

Unsettled Transactions -

Purchases 

(805,845) -0.04% (696,593) -0.02% 

Total 2,287,459,525 100.00% 3,621,744,117 100.00% 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Other Investment Funds Unlisted include significant holdings of CCTs as further discussed later in the report. 

Guaranteed Investment Contracts-GIC: Included in this security are Guaranteed Annuity Contracts-GAC. 

Table 3: Pension Plan Other Assets and Liabilities Contractor Estimated Value 

Asset Class (per the Security 

Pricing Matrix) 

Contractor Estimated FMV Assets 

(Liabilities) at DOPT (USD) -

Delphi Salaried 

Contractor Estimated FMV Assets 

(Liabilities) at DOPT (USD) -

Delphi Hourly 

D u e an d unpai d employe e 

contribution s (DUEC) , ne t o f 

allowanc e 

195,875,65 7 

Pla n Transfe r Receivable * 

Subtotal Other Assets 195,875,657 21,317,493 

Accrue d Expense s 3,378,62 6 4,629,06 8 

Pre-Terminatio n Liabilitie s 2,198,82 9 2,857,77 2 

Subtotal Liabilities 5,577,455 7,486,840 

Net Other Assets/Liabilities 190,298,202 13,830,653 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

 recorded within the Delphi Hourly Plan trial balance as of DOPT 

1 3 
Pla n Asse t Evaluatio n Repor t • Januar y

T h e followin g tabl e legen d applie s t o th e conclusio n cod e table s below : 

Tabl e Legend : 

Conclusio n Cod e # 1 - Truste e valu e teste d withi n th e allowabl e PBG C Varianc e Thresholds . Trustee' s 

valu e wa s assigne d a s o f Jul y 2009 . 

Conclusio n Cod e # 2 - Truste e valu e teste d bu t outsid e o f th e allowabl e PBG C Varianc e Threshold s o r a 

know n differenc e exist s i n th e Truste e value . Contracto r teste d valu e wa s assigne d a s o f Jul y 2009 . 

Conclusio n Cod e # 3 - Truste e valu e wa s selecte d fo r testwor k bu t coul d no t b e teste d du e t o inconclusiv e 

o r n o supportin g documentation . Th e Truste e valu e a s o f Jul y 200 9 wa s assigne d fo r calculatio n 

purpose s only . 

Conclusio n Cod e # 4 - Investmen t wa s no t selecte d fo r testwor k a s a resul t o f applyin g PBG C i s Samplin g 

Methodology . Th e Truste e valu e a s o f Jul y 31 , 200 9 wa s assigne d fo r calculatio n purpose s only . 

Conclusio n Cod e # 5 - Truste e valu e wa s teste d base d o n availabl e supportin g documentatio n and/o r i n 

accordanc e wit h PBG C instruction . Althoug h selecte d fo r testing , certai n underlyin g documentatio n ma y 

n o t hav e bee n availabl e du e t o th e passag e o f time . Th e supportin g documentatio n obtaine d doe s no t rende r 

t h e Truste e valu e inconsisten t wit h th e definitio n o f valu e i n th e BAP D PA E Manua l withi n th e PBG C 

Varianc e Thresholds ; therefore , base d exclusivel y o n th e documentatio n obtained , eithe r th e Truste e o r 

supportin g documentatio n valu e wa s assigne d a s o f Jul y 200 9 fo r calculatio n purpose s only . 

Conclusio n Cod e #6 - Truste e valu e wa s assigne d a s o f Jul y 200 9 fo r calculatio n purpose s only . 

Althoug h th e investmen t pool s an d GFI-13 3 wer e selecte d fo r testing , th e individua l underlyin g 

securitie s wer e no t subjec t t o pricin g procedures . Alternativ e procedures , approve d b y th e PBGC , wer e 

performe d whic h include d testin g th e redemptio n valu e o f th e Plan' s estimate d FM V subsequen t t o th e 

DOPT . Th e alternativ e procedure s performe d di d no t rende r th e Truste e valu e inconsisten t wit h th e 

definitio n o f valu e i n th e BAP D PA E Manua l withi n th e PBG C Varianc e Thresholds . 

A. CAS H AN D CAS H EQUIVALENT S 

Table 4: Estimated FM V of Cash and Cash Equivalents 

Asset Class (per the Security 

Pricing Matrix) 

Contractor Estimated 

GMAM Investment 

Pools at DOPT 

(USD) 

Contractor Estimated 

 at DOPT (USD) 

- Delphi Salaried 

Contractor Estimated 

 at DOPT (USD) 

- Delphi Hourly 

Cas h 219,070,81 6 20,028,53 9 34,124,19 9 

Foreig n Currenc y 21,188,66 5 6,508,29 3 10,379,57 5 

Shor t Ter m Discoun t Note s 7,600,00 0 122,34 4 110,90 0 

Cash & Cash Equivalents -

Totals 

247,859,481 26,659,176 44,614,674 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

1 4 
Pla n Asse t Evaluatio n Repor t • Januar y

Finding(s ) 

Table 5: Contractor Estimated GMA M Investment Pools FM V at DOPT Conclusion Codes 

(as defined above) for Cash and Cash Equivalents 

Conclusion Codes 

Asset Class 

(per the Security 

Pricing Matrix) 1 2 3 4 5 6 

Asset 

Class Total 

(USD) 

Cas h 19,070,72 9 219,070,81 6 

Foreig n Currenc y 4,472,14 0 16,716,52 4 21,188,66 5 

Shor t Ter m Discoun t 

Note s 

7,600,00 0 7,600,00 0 

Asset Class Total 212,072,228 16,716,524 19,070,729 247,859,481 

Certain totals may not sum due to rounding. The impact is to the presentation. 

B. MUTUAL FUNDS 

Table 6: Estimated FM V of Mutual Funds 

Asset Class (per the 

Security Pricing Matrix) 

Contractor Estimated 

GMAM Investment 

Pools at DOPT (USD) 

Contractor Estimated 

FMV at DOPT (USD) -

Delphi Salaried 

Contractor Estimated 

FMV at DOPT (USD)

Delphi Hourly 

Mutua l Fund s - Publi c -

Tota l 

663,925,41 0 10,944,58 5 20,030,52 2 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Finding s 

Table 7: Contractor Estimated GMA M Investment Pools FM V at DOPT Conclusion Codes 

(as defined above) for Mutual Funds 

Conclusion Codes 

Asset Class (per the 

Security Pricing 

Matrix) 1 2 3 4 5 6 

Asset 

Class Total 

(USD) 

Mutua l Funds - Publi c 643,997,11 3 19,928,29 7 663,925,41 0 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

1 5 
Pla n Asse t Evaluatio n Repor t • Januar y

C . EQUITIE S 

Table 8: Estimated FM V Equities 

Asset Class (per the Security 

Pricing Matrix) 

Contractor Estimated 

GMAM Investment 

Pools at DOPT 

(USD) 

Contractor Estimated 

FMV at DOPT (USD) 

- Delphi Salaried 

Contractor Estimated 

 at DOPT (USD) -

Delphi Hourly 

Non-U S - Foreig n 

Equities - Liste d 

3,158,22 8 1,052,74 3 2,105,48 6 

Non-U S - Foreig n 

Equities - unliste d 

20,199,61 5 1,140,47 9 2,538,30 7 

Preferred/Convertibl e Preferre d 

Stock - Liste d 

698,067,24 6 16,370,07 7 12,700,53 6 

Preferred/Convertibl e Preferre d 

Stock - Unliste d 

270,914,86 1 7,500,10 6 14,092,95 5 

U S Domesti c Equities - Liste d 35,306,57 0 2,112,35 4 3,579,01 4 

Equities - Totals 1,027,646,521 28,175,758 35,016,298 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Table 9: Contractor Estimated GMA M Investment Pools FM V at DOPT Conclusion Codes 

(as defined above) for Equities 

Asset Class (per the 

Security Pricing 

Matrix) 1 2 

( 

3 

 Codes 

4 5 6 

Asset 

Class Total 

(USD) 

Non-U S - Foreig n 

Equities - Liste d 

3,158,22 8 3,158,22 8 

Non-U S - Foreig n 

Equities - unliste d 

20,199,61 5 20,199,61 5 

Preferred/Convertibl e 

Preferre d 

Stock - Liste d 

645,215,82 0 52,851,42 6 698,067,24 6 

Preferred/Convertibl e 

Preferre d 

Stock - Unliste d 

1,373,22 5 269,541,63 6 270,914,86 1 

U S Domesti c 

Equities - Liste d 

35,306,57 0 35,306,57 0 

Asset Class Total 685,053,844 52,851,426 289,741,251 1,027,646,521 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

1 6 
Pla n Asse t Evaluatio n Repor t • Januar y

D. DERIVATIVE S 

Table 10: Estimated FM V of Derivatives 

Asset Class (per the Security 

Pricing Matrix) 

Contractor Estimated 

GMAM Investment 

Pools FMV at DOPT 

(USD) 

Contractor Estimated 

FMV at DOPT (USD) 

- Delphi Salaried 

Contractor Estimated 

FMV at DOPT (USD) 

- Delphi Hourly 

Credi t Derivative s 868,02 4 13,97 3 12,66 6 

Future s Contract s 

Inde x Future s 

Interest Rat e Derivative s (OTC ) 3,141,59 0 50,57 3 45,84 2 

Rights/Warrant s 1 0 0 

Derivatives - Totals 4,009,616 64,546 58,509 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Table 11: Contractor Estimated GMA M Investment Pools FM V at DOPT Conclusion Codes 

(as defined above) for Derivatives 

Conclusion Codes 

Asset Class (per the 

Security Pricing Matrix) 1 2 3 4 5 6 

Asset 

Class Total 

(USD) 

Credi t Derivative s 1,038,09 6 (170,072 ) 868,02 4 

Future s Contract s 

Inde x Future s 

Interest Rat e Derivative s 

(OTC ) 

3,141,59 0 3,141,59 0 

Rights / 

Warrant s 

1 1 

Asset Class Total 4,179,686 (170,072) 1 4,009,616 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

17 
Pla n Asse t Evaluatio n Repor t • Januar y

E. US FIXED INCOME 

Table 12: Estimated FM V US Fixed Income Securities 

Asset Class (per the Security 

Pricing Matrix) 

Contractor Estimated 

GMAM Investment 

Pools at DOPT 

(USD) 

Contractor Estimated 

FMV at DOPT (USD) 

- Delphi Salaried 

Contractor Estimated 

FMV at DOPT (USD) 

- Delphi Hourly 

Mediu m Ter m Note s 22,745,13 3 356,04 7 322,74 5 

Privat e Placemen t Deb t 83,882,24 8 1 1 2 

U S Hig h Yiel d Corporat e Bond s 617,980,59 0 221,30 2 294,20 8 

U S Investmen t Grad e Corporat e 

Bond s 

105,946,13 1 1,674,33 7 1,561,05 0 

U S Treasur y Bonds , Notes , Bill s 

& Strip s 

72,725,17 3 2,075,64 3 3,972,71 3 

US Fixed Income - Totals 903,279,276 4,327,330 6,150,729 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Table 13: Contractor Estimated GMA M Investment Pools FM V at DOPT Conclusion Codes 

(as defined above) for US Fixed Income Securities 

Conclusion Codes 

Asset Class (per the 

Security Pricing 

Matrix) 1 2 3 4 5 6 

Asset 

Class Total 

(USD) 

Mediu m Ter m Note s 22,745,13 3 22,745,13 3 

Privat e Placemen t Deb t 83,882,24 8 83,882,24 8 

U S Hig h Yiel d Corporat e 

Bond s 

3,015,46 0 602,854,40 5 617,980,59 0 

U S Investmen t Grad e 

Corporat e 

Bond s 

95,988,25 2 9,951,12 0 6,75 9 105,946,13 1 

U S Treasur y Bonds , 

Notes , Bill s & 

Strip s 

72,725,17 3 72,725,17 3 

Asset Class Total 203,569,284 12,966,580 6,759 686,736,653 903,279,276 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

1 8 
Pla n Asse t Evaluatio n Repor t • Januar y

F . INTERNATIONA L FIXE D INCOM E 

Table 14: Estimated FM V of International Fixed Income 

Asset Class 

(per the Security Pricing 

Matrix) 

Contractor Estimated 

GMAM Investment 

Pools at DOPT 

(USD) 

Contractor Estimated 

FMV at DOPT (USD) -

Delphi Salaried 

Contractor Estimated 

 at DOPT (USD) -

Delphi Hourly 

Internationa l Convertibl e 

Securitie s 

327,41 3 252,94 3 

Internationa l Sovereig n & 

Corporat e Deb t 

1,896,656,32 3 31,068,38 4 27,933,01 1 

International Fixed Income -

Totals 

1,910,605,784 31,395,798 28,185,955 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Table 15: Contractor Estimated GMA M Investment Pools FM V at DOPT Conclusion Codes 

(as defined above) for International Fixed Income 

Conclusion Codes 

Asset Class (per 

the Security 

Pricing Matrix) 1 2 3 4 5 6 

Asset 

Class Total 

(USD) 

Internationa l 

Convertibl e 

Securitie s 

13,949,46 0 13,949,46 0 

Internationa l 

Sovereig n & 

Corporat e 

Deb t 

1,823,074,45 5 73,581,86 8 1,896,656,32 3 

Asset Class Total 1,837,023,916 73,581,868 1,910,605,784 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

1 9 
Pla n Asse t Evaluatio n Repor t • Januar y

G . MORTGAGE/ASSE T BACKE D SECURITIE S 

Table 16: Estimated FM V of Backed Securities 

Asset Class (per the Security 

Pricing Matrix) 

Contractor Estimated 

GMAM Investment 

Pools at DOPT 

(USD) 

Contractor Estimated 

 at DOPT (USD)-

Delphi Salaried 

Contractor Estimated 

 at DOPT (USD)-

Delphi Hourly 

ABS - Corporate/Commercia l 2 0 1 2 

CMB S 4 6 2 6,72 8 

Collateralize d Deb t Obligation s 

(CDOs ) 

1,52 8 5 4 1 1 7 

RMBS - Privat e Labe l 38,942,29 4 150,88 7 1,148,91 0 

Mortgage/Asset Backed 

Securities - Totals 

39,156,002 151,403 1,155,756 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Table 17: Contractor Estimated GMA M Investment Pools FM V at DOPT Conclusion Codes 

(as defined above) for Mortgage/Asset Backed Securities 

Conclusion Codes 

Asset Class (per 

the Security 

Pricing Matrix) 1 2 3 4 5 6 

Asset 

Class Total 

(USD) 

ABS - Corporate / 

Commercia l 

2 0 2 0 

CMB S 212,15 9 212,15 9 

Collateralize d Deb t 

Obligation s 

(CDOs ) 

1,52 8 1,52 8 

RMBS - Privat e 

Labe l Su b -

37,524,80 0 1,417,49 5 38,942,29 4 

Asset Class Total 37,524,800 1,629,654 1,548 39,156,002 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

2 0 
Pla n Asse t Evaluatio n Repor t • Januar y

H. ALTERNATIVE INVESTMENTS 

Table 18: Estimated FM V of Alternative Investments 

Asset Class (per the Security 

Pricing Matrix) 

Contractor Estimated 

GMAM Investment 

Pools FMV at DOPT 

(USD) 

Contractor Estimated 

FMV at DOPT (USD) 

- Delphi Salaried 

Contractor Estimated 

 at DOPT (USD) 

- Delphi Hourly 

Commingle d Fund s 544,503,57 6 5 7 6 

Hedg e Fun d Investment s 287,351,84 8 7,204,62 5 

Othe r Inves t Funds - Unliste d 6,711,647,85 9 1,795,789,14 7 2,599,173,03 5 

Privat e Equit y Limite d 

Partnership s 

5,025,943,28 6 250,927,84 2 610,994,38 4 

Rea l Estat e - Direc t Ownershi p 1,876,759,18 5 46,076,73 1 105,112,41 6 

Rea l Estat e Fund s 1,759,336,40 6 63,985,53 2 

U S Domesti c 

Equities -

134,057,25 0 10,648,68 6 31,037,07 2 

Alternative Investments - Totals 16,339,599,410 2,174,632,568 3,475,059,598 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. Other Investment Funds - Unlisted includes 

Commingled Funds of$l, and the Delphi Salaried Plan and Delphi Hourly Plan, respectively 

2 1 
Pla n Asse t Evaluatio n Repor t • Januar y

Table 19: Contractor Estimated GMA M Investment Pools FM V at DOPT Conclusion Codes 

(as defined above) for Alternative Investments 

Asset Class 

(per the 

Security 

Pricing 

Matrix) 1 2 3 

Conclusion Codes 

4 5 6 

Asset 

Class Total 

(USD) 

Commingle d 

Fund s 

544,503,57 6 544,503,57 6 

Hedg e Fun d 

Investment s 

_ 238,348,42 9 _ _ 49,003,41 9 287,351,84 8 

Othe r Inves t 

Funds - Unliste d 

5,542,623,76 9 178,046,63 7 116,853,31 0 58,888,54 9 815,235,59 4 6,711,647,85 9 

Privat e Equit y 

Limite d 

Partnership s 

16,067,91 6 1,551,726,69 4 8,449,77 0 3,080,430,03 9 35,564,27 0 333,704,59 7 5,025,943,28 6 

Rea l Estat e -

Direc t 

Ownershi p 

682,538,95 3 249,870,78 9 263,351,30 5 680,028,37 1 969,76 6 1,876,759,18 5 

Rea l Estat e 

Fund s 

80,836,18 9 1,010,926,15 1 528,969,19 9 123,197,37 6 1,759,336,40 6 

U S Domesti c 

Equities -

Unlisted/Privat e 

20,771,68 2 18,216,17 6 93,121,68 5 1,947,70 7 134,057,25 0 

Asset Class 

Total 

140,710,572 4,024,760,777 840,737,724 1,743,416,953 16,339,599,410 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

I . GUARANTEE D INVESTMEN T CONTRACTS-GI C 

Table 20: Estimated FM V of Guaranteed Investment Contracts-GIC 

Asset Class (per the 

Security Pricing Matrix) 

Contractor Estimated 

GMAM Investment Pools 

FMVat DOPT(USD) FMV at DOPT 

ContractorEstimated 

FMVat DOPT (USD)-

Delphi Hourly 

Guarantee d Investmen t 

Contracts-GI C 

178,274,30 6 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. Guaranteed Investment Contracts-represents the 

Guaranteed Annuity Contracts-GAC that is part of the GMAM Investment Pools. 

Scop e

• Durin g ou r inquir y o f th e natur e o f th e Aetn a Guarantee d Annuit y Contract s (GACs ) an d ou r revie w o f 

supportin g documentation , th e Contracto r wa s unabl e t o obtai n sufficien t evidenc e whethe r th e Aetn a 

G A C o f $63,256,08 4 shoul d b e include d a s a pla n asse t sinc e it s term s an d natur e wer e subjec t t o lega l 

interpretation . Therefore , th e Contracto r reache d n o conclusio n whethe r th e Aetn a GA C shoul d b e 

2 2 
Pla n Asse t Evaluatio n Repor t • Januar y

include d i n o r exclude d fro m th e Salarie d Plan' s assets. Th e Salarie d Pla n als o ha s GAC s hel d b y 

Prudentia l an d MetLif e a t DOP T tha t wer e no t teste d b y th e Contractor . 

• Th e Contracto r di d perfor m certai n tes t procedure s ove r th e separat e accoun t associate d wit h th e Aetn a 

G A C onl y t o reconcil e t o th e reporte d value s b y th e Truste e a s o f DOPT . Afte r th e tes t procedure s wer e 

performed , th e PBG C determine d tha t th e GACs , includin g thos e no t teste d b y th e Contractor , shoul d 

b e exclude d fro m th e Salarie d Plan' s assets. 

• Base d o n instructio n fro m PBGC , thi s repor t reflect s a valu e o f zer o fo r th e relate d t o th e 

Salarie d Plan' s assets a t DOPT . PBG C ha s communicate d t o th e Contracto r tha t a n exces s o r deficienc y 

m a y exis t fo r th e GAC s hel d b y Aetna , Prudentia l an d MetLif e a t DOP T an d ma y represen t a n asse t o r 

liabilit y o f th e Salarie d Plan . Thi s exces s o r deficienc y (i f any) , i s bein g evaluate d b y PBGC , ha s no t 

bee n teste d b y th e Contracto r an d an y correspondin g asse t o r liabilit y ha s bee n exclude d fro m thi s 

report . 

Finding s 

Table 21: Contractor Estimated GMA M Investment Pools FM V at DOPT Conclusion Codes 

(as defined above) for Guaranteed Investment Contracts 

Asset Class (per the 

Security Pricing 

Matrix) 1 2 

Conclusion Codes 

3 4 5 6 

Asset Class 

Total (USD) 

Guarantee d Investmen t 

Contracts-GI C 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

15. INVESTMENT RECEIVABLE S AN D PAYABLE S 

Investmen t receivable s an d payable s ar e include d i n th e investmen t portio n o f th e repor t t o b e comparabl e 

t o th e Truste e presentation . 

Table 22: Derivatives Estimated Investment Accruals 

Asset Class (per the Security 

Pricing Matrix) 

Contractor Estimatetd 

GMAM Investment 

Pools FMV at DOPT 

(USD) 

Contractor Estimated 

 at DOPT (USD) 

- Salaried 

Contractor Estimated 

FMV at DOPT (USD) 

- Hourly 

Investmen t Receivable s -

Derivative s 

1,941,268,47 7 395,568,66 7 536,030,69 6 

Investmen t Payable s - Derivative s (1,965,720,594 ) (406,014,191 ) (549,822,455 ) 

Asset Class Total (24,452,117) (10,445,524) (13,791,759) 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

T h e balance s reflecte d i n th e tabl e primaril y represen t th e collatera l accounts , account s recordin g th e 

unrealize d gain/los s fo r certai n derivativ e contract s an d offse t account s neede d t o conduc t tradin g i n certai n 

derivativ e investmen t products . Th e offse t account s primaril y represen t th e Truste e recordin g certai n 

2 3 
Pla n Asse t Evaluatio n Repor t • Januar y

derivative s withi n it s syste m an d recordin g a n "offset " t o th e fai r marke t valu e o f th e derivative . Thi s i s 

considere d a n "accountin g entry " i n orde r fo r th e Truste e t o monito r an d trac k th e derivative . 

T h e Contracto r performe d testin g o n th e derivativ e securitie s (note d abov e i n sectio n an d relie d o n th e 

Trustee' s confirmatio n o f Plans ' assets a s o f DOP T whic h include d th e balance s reflecte d i n tabl e 22 . Th e 

Trustee' s valu e wa s assigne d a s o f DOP T fo r th e balanc e reflecte d i n tabl e 22 . 

Table 23: Estimated Dividends and Interest 

Asset Class (per the Security 

Pricing Matrix) 

Contractor Estimated 

GMAM Investment 

Pools FMV at DOPT 

(USD) 

Contractor Estimated 

 at DOPT (USD) -

Delphi Salaried 

Contractor 

Estimated FMV at 

DOPT (USD) -

Delphi Hourly 

Receivabl e - Dividend s 955,02 0 20,98 3 23,53 6 

Receivabl e - Interest 47,045,50 6 819,65 4 832,11 5 

Asset Class Total 48,000,527 840,637 855,651 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

T h e balance s reflecte d i n th e tabl e abov e represen t dividen d an d interes t investmen t incom e receivable s o r 

accrual s a s o f DOPT . Thes e balance s represen t investmen t incom e earne d bu t no t receive d a s calculate d b y 

t h e Truste e base d o n securitie s hel d a s o f DOPT . Th e Contracto r reviewe d th e Servic e Organizatio n repor t 

o f th e Trustee . Th e Truste e provide s th e Plans ' transactio n processin g an d custodia l service s a s wel l a s 

trad e processing , interest , dividends , accrual s an d asse t statements . I n reviewin g th e relate d controls , th e 

Contracto r di d no t observ e exception s tha t woul d indicat e tha t control s wer e no t operatin g effectivel y a t 

Stat e Stree t ove r receivable s an d payable s a s o f DOPT . Fo r a sampl e o f receivabl e balances , th e Contracto r 

obtaine d evidenc e o f th e settlemen t o f th e receivabl e subsequen t t o DOP T an d n o issue s cam e t o ou r 

attention . A s approve d b y th e PBGC , th e Contracto r observe d th e Plan s ha d a month-en d DOP T ne t asse t 

statements , an d becaus e ther e wa s a SO C 1 repor t availabl e fo r th e perio d coverin g DOPT , th e Contracto r 

assigne d th e investmen t receivabl e value s provide d b y th e Trustee . 

1 6 . AN D UNPAID EMPIOYE R CONTRIBUTIONS 

Table 24: DUE C Estimated Value 

Transaction Type 

Contractor Estimated FMV at 

DOPT (USD) - Delphi Salaried 

Contractor Estimated FMV at DOPT 

(USD) - Delphi Hourly 

DUE C Estimate d Value * 195,875,65 7 21,317,49 3 

 in the DUEC category for the Delphi Salaried Plan, $144,238,916 relates to gross DUEC and $51,636,741 relates to 

additional secured plan claims due to the tax PBGC included in DUEC for allocation purposes per section E.4 of Policy The net 

DUEC value is included in this report for informational purposes only. Although the Contractor agreed these amounts to documents provided by 

PBGC, the Contractor performed no testing of existence, accuracy or value. 

D u e an d unpai d employe r contribution s ("DUEC" ) giv e ris e t o a receivabl e a s o f DOPT . Generally , interna l 

PBG C department s wil l calculat e thi s gros s amoun t whe n a pla n i s terminated . Additionally , a collectabilit y 

adjustmen t i s applied , a s define d b y th e PBGC , t o th e gros s DUE C t o calculat e th e ne t DUE C a s o f DOPT . 

T o calculat e thi s adjustment , a pla n is classifie d accordin g t o th e BAP D PA E Manua l sectio n a s 

eithe r a SPDR R Pla n o r a Non-SPDR R Plan . Fo r SPDR R Plans , a recover y rati o calculate d b y interna l 

2 4 
Pla n Asse t Evaluatio n Repor t • Januar y

PBG C department s i s applie d t o th e gros s DUE C value . Fo r Non-SPDR R plans , interna l PBG C partie s wil l 

independentl y calculat e a ne t DUE C base d o n th e performanc e o f a recover y valuatio n process . 

T h e Plan s ar e classifie d a s Non-SPDR R Plans , a s define d b y th e PBGC , an d th e Contracto r obtaine d fro m 

interna l PBG C department s a calculatio n o f gros s DUE C a s o f DOPT . Thi s informatio n wa s provide d 

directl y fro m th e PBG C an d a s such , th e Contracto r di d no t perfor m tes t procedure s an d use d th e 

informatio n provide d b y th e PBGC . 

17. LIABILITIES 

Table 25: Pre-termination Liabilities 

Transaction Type 

Contractor Estimated FMV at 

DOPT (USD) - Delphi Salaried 

Contractor Estimated at DOPT 

(USD)-Delphi Hourly 

Pre-Terminatio n Liabilitie s 2,198,82 9 2,857,77 2 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Pre-terminatio n pla n liabilitie s (PTPL ) fo r retire e benefit s occu r whe n a benefi t amoun t du e prio r t o DOP T 

w a s no t pai d o r wa s underpai d a s o f DOPT . Example s includ e (1 ) a participan t achieve s th e Interna l 

Revenu e Servic e (IRS ) retiremen t ag e o n o r prio r t o DOP T an d i s no t i n pa y status ; (2 ) participan t i s 

place d int o pa y afte r DOP T wit h a n effectiv e dat e prio r t o DOPT ; o r (3 ) Post-DOP T notificatio n o f 

pre-DOP T disability . 

T h e Contracto r performe d inquirie s o f BAP D analyst s an d actuarie s withi n th e PBG C t o assess i f a 

calculatio n fo r pre-terminatio n liabilitie s calculatio n wa s availabl e fo r th e Plans . Thi s informatio n wa s 

provide d directl y fro m th e PBG C an d a s such , th e Contracto r di d no t perfor m tes t procedure s an d use d th e 

informatio n provide d b y th e PBG C t o presen t th e valu e o f th e pre-terminatio n liabilitie s a s o f DOPT . 

1 8 . UNSETTLED TRANSACTIONS 

Unsettle d transaction s ar e include d i n th e investmen t portio n o f th e repor t t o b e comparabl e t o th e Truste e 

presentatio n an d ar e no t include d i n othe r assets an d liabilities . 

Table 26: Unsettled Transactions 

Transaction Type 

Contractor

GMAM Investment 

Pools FM V at DOPT 

(USD) 

Contractor Estimated FMV 

at DOPT (USD) - Delphi 

Salaried 

Contractor Estimated FMV 

at DOPT (USD) - Delphi 

Hourly 

Unsettle d Transaction s 

- Sale s 

116,854,64 6 25,104,77 6 

Unsettle d Transaction s 

- Purchase s 

(79,766,228 ) (805,845 ) (696,593 ) 

Transaction Total 37,088,418 20,713,247 24,408,183 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

2 5 
Pla n Asse t Evaluatio n Repor t • Januar y

Unsettle d transaction s refe r t o trade s tha t th e Truste e initiate d prio r t o th e DOPT , bu t settle d subsequen t t o 

DOPT . Thes e balance s includ e initiatio n o f investmen t purchase s an d sale s a s o f DOPT . Th e Truste e 

labele d thes e balance s i n th e asse t statement s a s "Receivable - Investmen t Sold " an d "Payable - Investmen t 

Purchased " withi n certai n investmen t pools . Thes e balance s wer e provide d b y th e Truste e a s par t o f th e 

 ne t asse t valu e a s o f DOPT . Th e ter m "unsettle d transactions " i s derive d fro m th e BAP D PA E 

Manua l an d i s use d fo r certai n interna l PBG C reporting . 

T h e Contracto r reviewe d th e SO C 1 repor t fo r th e Truste e coverin g th e perio d o f DOP T an d note d tha t ther e 

w a s a n unqualifie d opinio n a s reporte d b y a CP A Firm . Thes e balance s ar e calculate d b y th e Trustee' s 

system s base d o n th e timin g o f certai n investmen t transactions . 

T h e Truste e wa s unabl e t o provid e th e Contracto r statement s reflectin g th e "trade " dat e o f securitie s 

include d i n th e balance s note d i n th e balance s abov e onl y settlemen t date s wer e provided . A s such , w e 

performe d a searc h fo r ope n trade s b y reviewin g th e ope n trade s provide d b y GMA M throug h th e Truste e 

system . Ther e wer e n o issue s tha t cam e t o ou r attention . 

1 9 . PLA N EXPENSES 

Table 27: Estimated Accrued Expenses 

Transaction Type 

Contractor Estimated at DOPT 

(USD) - Delphi Salaried 

Contractor Estimated at DOPT 

(USD) - Delphi Hourly 

Accrue d Expense s 4,629,06 8 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Sectio n o f th e BAP D PA E Manua l state s tha t th e Contracto r shoul d revie w expense s fo r th e 1 2 

month s prio r t o DOPT , an d t o tes t disbursement s fo r th e 3 month s afte r DOP T t o hel p ensur e expenditure s 

a r e properl y accrued , an d tha t expenditure s ar e allowe d base d o n th e provision s o f th e pla n documents . Th e 

Delph i Hourl y an d Salarie d Plan s hav e tw o type s o f expenditures : direc t an d allocated . Direc t expenditure s 

relat e t o expenditure s bille d directl y t o eac h plan . Allocate d expenditure s relat e t o expenditure s allocate d 

t o eac h pla n base d o n th e tota l o f eac h Plans ' asse t percentag e o f th e GMA M Investmen t Pools . 

T h e Contracto r reviewe d expense s pai d month s befor e an d 3 month s afte r DOP T i n accordanc e wit h th e 

BAP D Manual . Th e PBG C approve d th e Contracto r placin g relianc e o n a PBG C limite d scop e revie w 

repor t t o assess th e completeness , accurac y an d appropriatenes s o f expense s pai d i n th e 1 2 month s prio r t o 

DOPT . Ther e wer e n o exception s note d i n th e PBG C limite d scop e revie w report . I n addition , th e 

Contracto r performe d a n assessmen t o f disbursement s 3 month s subsequen t t o DOPT , an d observe d tha t 

direc t expens e disbursement s wer e inconsequentia l t o th e Plans ' ne t assets. A s such , n o wor k wa s performe d 

ove r thes e accrue d expenses , a s an y un-accrue d disbursement s woul d no t b e materia l t o th e Plans ' ne t 

assets. Additionally , n o additiona l tes t procedure s ove r allocate d expense s wa s performed , outsid e o f ou r 

assessmen t o f th e SO C

2 0 . PLA N TRANSFERS 

Durin g ou r tes t procedure s o f th e Plans ' expenses , th e Contracto r identifie d a "non-company " receivabl e 

balanc e o f fo r th e Delph i Hourl y Pla n whic h wa s b y th e Truste e a s o f DOPT . Th e 

Contracto r obtaine d an d reviewe d documentatio n fro m GMA M tha t supporte d th e balanc e include d i n th e 

Hourl y Plan' s ne t assets a s o f DOPT . Th e Contracto r notifie d th e PBG C abou t thi s accoun t an d wa s 

instructe d no t t o perfor m an y tes t procedure s ove r th e Pla n transfer s receivabl e an d t o exclud e i t from th e 

assets o f th e Plan . A s such , th e Contracto r di d no t perfor m tes t procedure s ove r thi s receivabl e an d recorde d 

a pla n transfe r receivabl e o f $ 0 o n tabl e 3 o f thi s report . Th e Contracto r ha s bee n notifie d tha t certai n 

2 6 
Pla n Asse t Evaluatio n Repor t • Januar y

negotiation s betwee n th e PBG C an d 3 r d partie s regardin g th e pla n asse t account s ar e on-goin g an d th e resul t 

o f thes e negotiation s may , o r ma y not , hav e a n impac t o n th e estimate d FM V o f th e Plans ' assets. Onc e th e 

matte r i s settled , th e Plans ' ne t asse t valu e may , o r ma y not , nee d t o b e adjuste d b y th e PBGC . 

2 1 . CONCLUSIO N 

A s o f DOPT , Stat e Stree t Ban k an d Trus t Compan y ("th e Trustee" ) ha d recorde d a n estimate d fai r marke t 

valu e o f securitie s hel d o f $2,472,403,47 4 an d $3,638,466,24 3 fo r th e Delph i Salarie d an d Delph i Hourl y 

Plans , respectively . Th e Contractor , a s o f DOPT , assesse d a n estimate d FM V o f $2,287,459,52 5 an d 

$3,621,744,11 7 fo r th e Delph i Salarie d an d Delph i Hourl y Plans , respectively , usin g th e BAP D PA E 

Manua l an d instruction s from th e PBGC . Th e result s o f th e testin g procedure s resulte d i n a varianc e o f 

 an d o r (7.48% ) an d (.46%) , respectively , compare d wit h th e estimate d value s 

reporte d b y th e Trustee . Th e primar y driver s t o th e varianc e i s a resul t o f th e PBG C instructin g th e 

Contracto r t o exclud e Guarantee d Annuit y Contract s ("GACs" ) o f fro m th e Salarie d Plan' s 

investment s an d fluctuation s i n th e market s relate d t o certai n alternativ e investments . Specificall y th e 

declin e i n th e rea l estat e market s durin g 200 9 an d th e on e t o thre e mont h la g i n reportin g value s o f thos e 

investment s tha t wer e reflecte d i n th e Truste e statement s a s o f DOPT . Th e dela y i n reportin g valu e change s 

i n th e alternat e investment s wa s du e t o timin g o f whe n informatio n wa s receive d fro m th e sponsor s o f thos e 

investments , whic h wa s consisten t wit h industr y practice . 

Table 28: Contractor Estimated Net Asset FM V as of DOPT 

Plan Name 

Contractor Estimated 

 at DOPT (USD) 

Estimated Value of 

Other Assets (USD) 

Estimated Value of 

Liabilities (USD) 

Total Estimated Net 

Asset Value (USD) 

Salarie d 2,287,459,52 5 195,875,65 7 5,577,45 5 2,477,757,72 6 

Hourl y 3,621,744,11 7 7,486,84 0 3,635,574,77 0 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. See section 20 for a description of plan transfers 

 totals. 

Table 29: Pension Plan Invested Assets Contractor Estimated FM V 

Asset Class (per the 

Security Pricing Matrix) 

Contractor 

Estimated FMV 

at DOPT (USD) -

Delphi Salaried 

Percentage of 

Salaried Total 

Investments 

Contractor 

Estimated FMV 

at DOPT (USD) -

Delphi Hourly 

Percentage of 

Hourly Total 

Investments 

Cas h 20,028,53 9 0.88 % 34,124,19 9 0.94 % 

Foreig n Currenc y 6,508,29 3 0.28 % 10,379,57 5 0.29 % 

Shor t Ter m Discoun t Note s 122,34 4 0.01 % 0.00 % 

Cash & Cash Equivalents 26,659,176 1.17% 44,614,674 1.23% 

Mutual Funds- Public 10,944,585 0.48% 20,030,522 0.55% 

Non-U S - Foreig n 

Equities - Liste d 

1,052,74 3 0.05 % 2,105,48 6 0.06 % 

Non-U S - Foreig n 

Equities - unliste d 

1,140,47 9 0.05 % 2,538,30 7 0.07 % 

2 7 
Pla n Asse t Evaluatio n Repor t • Januar y

Asset Class (per the 

Security Pricing Matrix) 

Contractor 

Estimated FMV 

at DOPT (USD) -

Delphi Salaried 

Percentage of 

Salaried Total 

Investments 

Contractor 

Estimated FMV 

at DOPT (USD) -

Delphi Hourly 

Percentage of 

Hourly Total 

Investments 

Preferred/Convertibl e 

Preferre d Stock - Liste d 

16,370,07 7 0.72 % 12,700,53 6 0.35 % 

Preferred/Convertibl e 

Preferre d Stock - Unliste d 

7,500,10 6 0.33 % 14,092,95 5 0.39 % 

U S Domesti c 

Equities - Liste d 

2,112,35 4 0.09 % 3,579,01 4 0.10 % 

Equities 28,175,758 1.23% 35,016,298 0.97% 

Credi t Derivative s 13,97 3 0.00 % 12,66 6 0.00 % 

Future s Contracts 0.00 % 0.00 % 

Inde x Future s 0.00 % 0.00 % 

Interest Rat e Derivative s 

(OTC ) 

50,57 3 0.00 % 45,84 2 0.00 % 

Rights/Warrant s - 0.00 % - 0.00 % 

Derivatives 64,546 0.00% 58,509 0.00% 

Mediu m Ter m Note s 356,04 7 0.02 % 322,74 5 0.01 % 

Privat e Placemen t Deb t 1 0.00 % 1 2 0.00 % 

U S Hig h Yiel d Corporat e 

Bond s 

221,30 2 0.01 % 294,20 8 0.01 % 

U S Investmen t Grad e 

Corporat e Bond s 

1,674,33 7 0.07 % 1,561,05 0 0.04 % 

U S Treasur y Bonds , Notes , 

Bill s & Strip s 

2,075,64 3 0.09 % 3,972,71 3 0.11 % 

US Fixed Income 4,327,330 0.19% 6,150,729 0.17% 

Internationa l Convertibl e 

Securitie s 

327,41 3 0.01 % 252,94 3 0.01 % 

Internationa l Sovereig n & 

Corporat e Deb t 

31,068,38 4 1.36 % 27,933,01 1 0.77 % 

International Fixed Income 31,395,798 1.37% 28,185,955 0.78% 

ABS - Corporate/Commercia l 1 0.00 % 2 0.00 % 

CMB S 4 6 2 0.00 % 6,72 8 0.00 % 

2 8 
Pla n Asse t Evaluatio n Repor t • Januar y

Asset Class (per the 

Security Pricing Matrix) 

Contractor 

Estimated FMV 

at DOPT (USD) -

Delphi Salaried 

Percentage of 

Salaried Total 

Investments 

Contractor 

Estimated FMV 

at DOPT (USD) -

Delphi Hourly 

Percentage of 

Hourly Total 

Investments 

Collateralize d Deb t 

Obligation s (CDOs ) 

5 4 0.00 % 1 1 7 0.00 % 

RMBS - Privat e Labe l 0.01 % 1,148,91 0 0.03 % 

 Backed 

Securities 

151,403 0.01% 1,155,756 0.03% 

Commingle d Fund s 5 0.00 % 7 6 0.00 % 

Hedg e Fun d Investment s 7,204,62 5 0.31 % 13,737,97 3 0.38 % 

Othe r Inves t Funds - Unliste d 1,795,789,14 7 78.51 % 2,599,173,03 5 71.77 % 

Privat e Equit y Limite d 

Partnership s 

250,927,84 2 10.97 % 610,994,38 4 16.87 % 

Rea l Estat e - Direc t 

Ownershi p 

46,076,73 1 2.01 % 105,112,41 6 2.90 % 

Rea l Estat e Fund s 63,985,53 2 2.80 % 3.18 % 

U S Domesti c 

Equities - Unlisted/Privat e 

10,648,68 6 0.47 % 31,037,07 2 0.86 % 

Alternative Investments 2,174,632,568 95.07% 3,475,059,598 95.95% 

Guaranteed Investment 

Contracts-GIC 

0.00% 0.00% 

Accrued dividends 20,983 0.00% 23,536 0.00% 

Accrued interest 819,654 0.04% 832,115 0.02% 

Investment Receivables -

Derivatives 

395,568,667 17.29% 536,030,696 14.80% 

Unsettled Transactions -

Sales 

21,519,092 0.94% 25,104,776 0.69% 

Investment Payables -

Derivatives 

(406,014,191) -17.75% (549,822,455) -15.18% 

Unsettled Transactions -

Purchases 

(805,845) -0.04% (696,593) -0.02% 

Total 2,287,459,525 100.00% 3,621,744,117 100.00% 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Other Investment Funds - Unlisted include CCTs of$l, and the Delphi Salaried Plan and Delphi Hourly Plan, 

respectively. 

2 9 
Pla n Asse t Evaluatio n Repor t • Januar y

Table 30: GMA M and Contractor Estimated Invested Pools Values at DOPT 

Contractor Contractor 

GMAM FMV Estimated GMAM FMV Estimated 

at at DOPT Variance at FMV at DOPT Variance 

DOPT- Delphi (USD)-Delphi Delphi DOPT- Delphi- (USD)-Delphi Delphi 

Asset Class Salaried Salaried(USD) Hourly (USD) Hourly Hourly (USD) 

Cas h & Cas h 26,659,17 6 26,659,17 6 - 44,614,67 5 44,614,67 4 -

Equivalent s 

Mutua l Fund s 10,942,56 6 10,944,58 5 2,01 9 20,026,75 4 20,030,52 2 3,76 9 

Equitie s 28,228,54 2 28,175,75 8 (52,783 ) 35,057,24 8 35,016,29 8 (40,951 ) 

Derivative s 64,20 1 65,54 6 3 4 6 58,19 6 58,50 9 3 1 3 

U S Fixe d 4,302,01 4 4,327,33 0 25,31 6 6,130,30 3 6,150,72 9 20,42 6 

Incom e 

Internationa l 31,355,08 4 31,395,79 8 40,71 3 28,149,05 0 28,185,95 5 36,90 5 

Fixe d Incom e 

Mortgage / 151,03 9 3 6 3 1,153,33 6 1,155,75 6 2,42 0 

Asse t Base d 

Securitie s 

Alternativ e 2,181,318,19 3 2,174,632,56 8 (6,685,625 ) 3,491,804,60 7 3,475,059,59 8 (16,745,009 ) 

Investment s 

Guarantee d 178,274,29 9 _ (178,274,299 ) _ _ 

Investmen t 

Contracts -

G I C 

Accrue d 20,98 3 20,98 3 - 23,53 6 23,53 6 -

dividend s 

Accrue d 819,65 4 819,65 4 _ 832,11 5 832,11 5 

interest 

Investmen t 395,568,66 7 395,568,66 7 - 536,030,69 6 536,030,69 6 -

Receivable s -

Derivative s 

Unsettle d 21,519,09 2 21,519,09 2 25,104,77 6 25,104,77 6 

Transaction s 

- Sale s 

Investmen t (406,014,191 ) (406,014,191 ) (549,822,455 ) (549,822,455 ) 

Payable s -

Derivative s 

Unsettle d (805,845 ) (805,845 ) (696,593 ) (696,593 ) 

Transaction s 

- Purchase s 

Total 2,472,403,474 2,287,459,525 (184,943,949) 3,638,466,243 3,621,744,117 (16,722,126) 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

3 0 
Pla n Asse t Evaluatio n Repor t • Januar y

Table 31: Alternative Investments (GMAM and Contractor Investment Pools Estimated 

F M V at DOPT) 

Asset Class GMAM Contractor GMAM Contractor 

(per the Investment Estimated FMV Estimated 

Security Pools at at DOPT (USD) Variance Pools FMV at DOPT Variance 

Pricing -Delphi Delphi DOPT- Delphi (USD) - Delphi Delphi Hourly 

Matrix) Salaried(USD) Salaried Salaried(USD) Hourly (USD) Hourly (USD) 

Commingle d 5 5 - 7 6 7 6 -

Fund s 

Hedg e Fun d 7,204,62 5 (95,635 ) 13,902,13 3 13,737,97 3 (164,160 ) 

Investment s 

Othe r Inves t 1,795,429,19 2 1,795,789,14 7 359,95 5 2,597,112,94 6 2,599,173,03 5 2,060,08 9 

Funds -

Unliste d 

Privat e Equit y 249,184,46 6 250,927,84 2 1,743,37 6 608,275,65 2 610,994,38 4 2,718,73 2 

Limite d 

Partnership s 

Rea l Estat e - 48,460,09 4 46,076,73 1 (2,383,363 ) 118,859,08 5 105,112,41 6 (13,746,670 ) 

Direc t 

Ownershi p 

Rea l Estat e 70,089,18 6 63,985,53 2 (6,103,654 ) 122,233,24 4 (7,228,601 ) 

Fund s 

U S Domesti c 10,854,99 0 10,648,68 6 (206,304 ) 31,037,07 2 (384,398 ) 

Equities -

Unlisted / 

Privat e 

Total 2,181,318,193 2,174,632,568 (6,685,625) 3,491,804,607 3,475,059,598 (16,745,009) 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

3 1 
Pla n Asse t Evaluatio n Repor t • Januar y

Table 32: Contractor FM V by Conclusion Code 

Conclusion 

Codes 

Contractor 

Estimated FMV at 

DOPT (USD) -

Delphi Salaried 

% of Contractor 

Estimated at 

DOPT (USD) -

Delphi Salaried 

ContractorEstimated 

 at DOPT 

(USD)-Delphi 

Hourly 

% of Contractor 

Estimated FMV at 

DOPT (USD) -

Delphi Hourly 

1 2,678,671,12 2 73.96 % 

2 124,626,79 2 5.45 % 268,145,94 3 7.40 % 

3 12,148,15 9 0.53 % 25,275,63 4 0.70 % 

4 229,806,29 7 10.05 % 560,423,37 3 15.47 % 

5 17,110,68 6 0.75 % 51,208,26 2 1.41 % 

6 38,019,78 2 1.05 % 

Grand Total 2,287,459,525 100.00% 3,621,744,117 100.00% 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

Refe r t o Sectio n fo r definition s o f th e conclusio n codes . 

T h e wor k produc t an d deliverable s provide d a s par t o f engagemen t wer e develope d fo r Pensio n Benefi t 

Guarant y Corporatio n ("PBGC" ) management , an d ar e no t intende d fo r us e b y an y othe r part y o r fo r an y 

othe r purpose , an d ma y onl y b e relie d upo n b y PBG C management . Th e Pla n Asse t Evaluatio n wa s 

performe d i n accordanc e wit h th e Consultin g an d Valuatio n Standard s establishe d b y th e AICPA , th e 

BAP D PA E Manua l an d applicabl e governmen t guidelines . W e disclai m an y intentio n o r obligatio n t o 

updat e o r revis e th e observation s whethe r a s a resul t o f ne w information , futur e events , o r otherwise . Shoul d 

additiona l documentatio n o r othe r informatio n becom e availabl e tha t impact s th e observation s reache d i n 

o u r deliverables , w e reserv e th e righ t t o amen d ou r observation s an d summar y documents , includin g 

deliverables , accordingly . 

 TA X ADVIC E THI S COMMUNICATIO N NO T INTENDE D B E USED , AN D CANNO T 

B E USED , B Y A CLIEN T O R AN Y OTHE R PERSO N O R ENTIT Y FO R TH E PURPOS E O F (i ) 

AVOIDIN G PENALTIE S THA T MA Y B E IMPOSE D O N AN Y TAXPAYE R O R (ii ) PROMOTING , 

MARKETING , O R RECOMMENDIN G T O ANOTHE R PART Y AN Y MATTER S ADDRESSE D 

HEREIN . 

Thi s repor t wa s prepare d fo r th e Pensio n Benefi t Guarant y Corporatio n base d o n procedure s developed , 

approve d an d oversee n b y PBG C an d ma y onl y b e relie d upo n b y PBGC . 

3 2 
Pla n Asse t Evaluatio n Repor t • Januar y

APPENDI X - INDE X O F TERM S 

Term Definition 

Asset-backe d securit y (ABS ) A securit y whos e valu e an d incom e payment s ar e derive d from an d collateralize d 

( o r "backed" ) b y a specifie d poo l o f underlyin g assets. 

A E D PBGC' s Asse t Evaluatio n Divisio n 

BAP D PBGC' s Benefit s Administratio n an d Paymen t Departmen t 

 Formul a 

(als o know n as a close d - for m 

mode ) 

A mode l fo r mathematicall y pricin g shar e option s an d simila r investments . 

Bloomber g L.P . A pricin g vendo r o r condui t tha t compile s dat a fro m a variet y o f primar y 

a n d secondar y dat a sources . Bloomber g L.P . provide s busines s an d 

financia l information , news , an d analytic s fo r financia l professionals , 

businesses , an d government s i n th e Unite d State s an d internationally . Th e 

Contracto r typicall y use s Bloomber g L.P . fo r securitie s pricing , marke t 

researc h an d data , an d inpu t assumptions , amongs t othe r uses . 

C D O Collateralize d Deb t Obligation s (CDO ) ar e a structure d financia l produc t 

tha t pool s togethe r cas h flow-generatin g assets an d repackage s thi s asse t 

poo l int o discret e tranche s tha t ca n b e sol d t o investors . 

CMB S Commercia l Mortgag e Backe d Securitie s (CMBS ) ar e securitie s tha t ar e 

secure d b y th e loa n o n a commercia l property . 

Chicag o Mercantil e Exchang e 

C M O Collateralize d Mortgag e Obligation s 

COME X COMEX , (Commodit y Exchange , Inc. ) a divisio n o f th e Ne w Yor k Mercantil e 

Exchang e (NYMEX ) 

 numbe r Thes e ar e numerica l identifiers relate d t o th e clearin g o r settlemen t o f investmen t 

trade s 

D C F Discounte d Cas h Flo w 

Dividen d Receivabl e A dividen d incom e accrue d bu t no t ye t received . Include s dividend s o n equit y 

securitie s wit h ex-dat e prio r t o Jul y 200 9 an d th e pa y dat e post Jul y 2009 . 

DOP T Dat e o f Pla n Terminatio n 

E B P Employe e Benefi t Plan s o r Employe e Benefi t Practic e 

E V S T h e Contractor' s Economi c an d Valuatio n Service s Practic e 

F M V Fai r Marke t Valu e 

G P Genera l Partners 

Issu e an d Resolutio n (Form) . Th e metho d use d t o formaliz e certai n discussion s 

betwee n th e Contracto r tea m an d PBGC . 

I D C Interactiv e Dat a Corporatio n provide s financia l marke t dat a (financia l dat a vendor) , 

analytics, an d relate d solution s t o financia l institutions , activ e traders, an d 

individua l investors . 

Investmen t Manager s 

3 3 
Pla n Asse t Evaluatio n Repor t • Januar y

Term Definition 

Implie d Implie d Yiel d 

 not vpt

 1

T T

L P Limite d Partnershi p o r Limite d Partners 

M B S Mortgage-Backe d Securitie s - A securit y whos e valu e an d incom e payment s ar e 

derive d from an d collateralize d b y a specifi c poo l o f underlyin g mortgag e 

obligations . 

N A V N e t Asse t Valu e 

Non-SPDR R A pla n fo r whic h th e tota l amoun t o f Unfunde d Non-Guarantee d Benefi t as o f 

DOP T excee d $2 0 million . 

NYME X N e w Yor k Mercantil e Exchang e 

 OP 

 A IV

O T C Ove r th e Counte r 

PBG C Pensio n Benefi t Guarant y Corporatio n 

Plug-I n (i.e . Exce l Plug-In ) I n computing , a plug-i n is a se t o f softwar e component s tha t add s specifi c abilitie s 

t o a large r softwar e application . I f supported , plug-in s enabl e customizin g th e 

functionalit y o f a n application . 

Receivable s o n Sol d 

 

All

Pertain s t o sal e transaction s o f investment s wit h th e trad e dat e prio r t o

 All

Receivable s o n Sol d 

Investment s - Shor t Ter m 

Is simila r t o receivable s o n sol d investment s bu t appl y t o shor t ter m securities. 

RMB S Residentia l Mortgag e Backe d Securitie s (RMBS ) ar e securitie s tha t ar e secure d b y 

 loa n o n

 d 1

S O C 1 Repor t Repor t o n servic e organization s controls. 

Securit y Pricin g Matri x (SPM ) A too l define d i n th e BAP D PA E Manual - Apri l whic h help s assist th e 

BAP D Staf f i n classifyin g investment s as Liquid-Observabl e o r 

Illiquid-Observable/Har d t o Value . 

S M E Matte r Exper t 

SPDR R A pla n fo r whic h th e tota l amoun t o f Unfunde d Non-Guarantee d Benefi t as o f 

DOP T doe s no t excee d $2 0 million . 

Standar d & Poor' s (S&P ) 

Capita l I Q 

Standar d & Poor' s (S&P ) Capita l I Q provide s multi-asse t clas s data , 

researc h solutions , an d analytic s t o institutiona l investors , investmen t 

advisors , an d wealt h manager s aroun d th e world . Th e compan y provide s 

financia l an d nrivat e market s

wit h application s fo r deskto p research , screening , real-tim e marke t data , 

backtesting , portfoli o management , financia l modeling , an d quantitativ e 

analysis . Th e Contracto r typicall y use s S& P Capita l I Q fo r securitie s 

pricing , marke t researc h an d data , an d inpu t assumptions , amongs t othe r 

uses . 

Ter m T h e tim e o f perio d throug h durin g whic h a n investmen t matures . 

3 4 
Pla n Asse t Evaluatio n Repor t • Januar y

Term Definition 

Trusteeshi p PBG C become s th e truste e o f th e Plan' s assets on , o r soo n after, DOPT . 

Variatio n Margi n Paymen t 

Account s 

A variabl e margi n paymen t tha t is mad e b y clearin g member s t o thei r respectiv e 

clearin g house s base d upo n advers e pric e movement s o f th e future s contracts tha t 

thes e member s hel d an d als o use d t o collec t gains. 

W A L T h e weighte d Averag e Life . Th e amoun t o f tim e fo r th e principa l o n a loa n o r a 

mortgag e t o b e pai d off . Th e lengt h o f th e weighte d averag e lif e depend s o n th e 

amoun t o f principa l pa y down s an d ho w ofte n the y ar e made . 

3 5 
Pla n Asse t Evaluatio n Repor t • Januar y

APPENDI X B FAI R MARKE T VALU E ESTIMAT E DESCRIPTIO N 

Wit h referenc e t o pag e 1 o f th e BAP D Pla n Asse t Evaluatio n Manua l (versio n a s o f PBGC' s 

regulatio n 2 9 C.F.R . 4001.2 , whic h i s take n from IR S Revenu e Rulin g 59-60 , define s FM V as: 

 pric e a t whic h th e propert y woul d chang e hand s betwee n a willin g buye r an d a willin g selle r whe n 

t h e forme r i s no t unde r an y compulsio n t o bu y an d th e latte r i s no t unde r an y compulsio n t o sell , bot h 

partie s havin g reasonabl e knowledg e o f relevan t facts. " 

F M V i s estimate d a s o f a particula r dat e base d o n wha t i s know n o r knowabl e a s o f tha t date . FM V i s no t 

base d o n wha t a buye r migh t pa y a t som e late r time , suc h a s whe n th e holde r o f a securit y migh t ultimatel y 

realiz e th e security' s contractua l value 5. 

A s par t o f ou r tes t procedure s Th e Contracto r applie d a n approac h base d o n a n acceptabl e rang e FMV s 

f o r th e Asse t Sub-Classe s (a s define d i n th e BAP D PA E Manual ) a s follows : 

• Whe n variance s betwee n th e Contracto r an d Truste e Pric e fal l withi n th e Securit y Pricin g Matri x 

("SPM" ) threshol d th e Contracto r wil l us e th e trustee' s valu e a s th e representatio n o f FMV , unles s 

professiona l judgmen t lead s th e Contracto r t o a differen t conclusio n (evidence d o n workpaper s a s 

Conclusio n 1 an d reference d i n th e Conclusio n sectio n o f thi s report) . 

• Whe n th e varianc e betwee n th e Truste e valu e an d th e independen t valu e i s outsid e th e applicabl e SP M 

varianc e percentage , th e Contracto r mus t exercis e professiona l judgmen t i n makin g reasonabl e effort s 

t o evaluate , conclude , an d documen t th e caus e o f th e variance . I f i t wa s establishe d tha t th e Contracto r 

h a s obtaine d relevan t an d reliabl e supportin g documentation , th e final FM V wil l b e th e Contractor' s 

teste d valu e (evidence d o n workpaper s a s Conclusio n 2 an d reference d i n th e Conclusio n sectio n o f 

thi s report) . 

• Variance s betwee n th e Contracto r an d Truste e price s ar e evaluate d b y individua l asse t an d b y tota l fo r 

asse t typ e t o identif y suspec t variances , suc h a s a systematicall y flawe d valuatio n methodology . 

• I f sufficien t supportin g documentatio n canno t b e obtained , th e Contracto r i s unabl e t o tes t FM V an d a s 

a result , th e valu e wil l defaul t t o th e Trustee' s valu e (evidence d o n workpaper s a s Conclusio n 3 an d 

reference d i n th e Conclusio n sectio n o f thi s report) . 

T h e acceptabl e rang e o f estimate d FM V i s base d o n th e allowabl e varianc e a s define d i n th e PBGC' s 

Securit y Pricin g Matri x i n th e BAP D PA E Manual . 

Thresholds/variance s ar e se t t o estimat e whethe r a FM V reporte d b y a Truste e i s reasonable . A rang e o f 

acceptabl e pric e estimate s (o r rang e o f acceptabl e values ) i s base d o n a numbe r o f factors ; including , 

liquidit y o f th e security , frequenc y o f purchas e an d sal e activity , an d estimate s o r assumption s tha t migh t 

caus e a willin g buye r o r selle r t o deriv e a differen t conclusio n o n wha t i s considere d acceptable . Othe r 

factor s t o conside r ma y als o includ e th e natur e o f th e security , othe r risk s relate d t o th e performanc e o f th e 

underlyin g assets (i f applicable) , an d curren t tradin g statistic s o f simila r investmen t securities . Generally , 

acceptabl e range s ar e mor e narro w fo r thos e investmen t securitie s presentin g lowe r estimatio n uncertaint y 

(e.g. , one s whos e value s reflec t observabl e informatio n o r ar e exchange-trade d i.e. , exchang e trade d 

commo n stock ) an d wide r fo r thos e securitie s wit h greate r estimatio n uncertaint y (e.g. , one s whos e value s 

reflec t unobservabl e input s suc h a s judgment s aroun d futur e cas h flows an d discoun t rate s o r ar e 

non-exchange-traded , i.e. , rea l property) . 

 BAP D Pla n Asse t Evaluatio n 17 , -Sectio n

3 6 
Pla n Asse t Evaluatio n Repor t • Januar y

T h e establishmen t o f a range/varianc e is typicall y don e t o estimat e i f th e evidenc e obtaine d support s th e 

investmen t value s reporte d b y th e Trustee . Becaus e investment s ca n b e value d usin g a variet y o f acceptabl e 

sourc e information , independen t valuatio n testin g ca n assis t i n determinin g whethe r th e Trustee' s sourc e 

informatio n i s relevan t an d reliable , an d whethe r th e Trustee' s value s represent s a fai r approximatio n o f 

FMV . 

3 7 
Pla n Asse t Evaluatio n Repor t • Januar y

APPENDI X C - VALUATIO N METHODOLOG Y 

T h e Contracto r use d PBG C guideline s tha t defin e FM V ove r trustee d Pla n assets t o perfor m th e Pla n 

Asse t Evaluation . Accordin g t o th e BAP D PA E Manua l Sectio n OA , FM V defined , i n part , a s "th e 

pric e a t whic h propert y woul d chang e hand s betwee n a willin g buye r an d a willin g seller , neithe r bein g 

unde r an y compulsio n t o bu y o r sel l an d bot h havin g reasonabl e knowledg e o f relevan t facts. " Th e 

Contracto r teste d investment s usin g a n exi t pric e approac h (a s o f a DOPT ) fo r orderl y transaction s betwee n 

willin g marke t participant s a t th e measuremen t dat e (o r exi t value) . Assumption s regardin g consideration s 

mad e b y a marke t participan t buye r o r selle r a s o f th e DOP T wil l reflec t environmen t consideration s a s o f 

dat e o f termination . 

K e y aspects o f th e valuatio n approache s ar e summarize d below . 

Market approach - Th e marke t approac h use s price s an d othe r relevan t informatio n generate d b y marke t transaction s 

involvin g identica l o r comparabl e assets o r liabilities . Fo r example , valuatio n technique s consisten t wit h th e marke t 

approac h ofte n us e marke t multiple s derive d from a se t o f comparable s o r exchange-trade d price s from publi c 

markets . Valuatio n technique s consisten t wit h th e marke t approac h includ e matri x pricing . Matri x pricin g is a 

mathematica l techniqu e use d principall y t o valu e deb t securitie s withou t relyin g exclusivel y o n quote d price s fo r th e 

specifi c securities, bu t rathe r b y relyin g o n th e securities' relationshi p t o othe r benchmar k o r simila r quote d securities. 

Income approach - Th e incom e approac h use s valuatio n technique s t o conver t futur e amount s (e.g. , cas h flow s o r 

earnings ) t o a singl e presen t amoun t (discounted) . Th e measuremen t is o n th e valu e indicate d b y curren t marke t 

expectation s abou t thos e futur e amounts . Thos e valuatio n technique s includ e presen t valu e techniques, an d optio n 

pricin g models , suc h as th e formul a ( a closed-for m optio n model) . 

Belo w i s a brie f explanatio n o f som e o f th e valuatio n technique s applie d t o certai n securit y classe s hel d b y 

t h e Plans : 

Valuation Approach 

T h e followin g tabl e provide s a summar y o f th e primar y valuatio n approache s use d fo r certai n o f th e asse t 

classe s tha t ma y b e hel d b y th e Plans : 

Approach Asset Classes When Approach Is Applicable: 

U s e o f regulator y filing s an d audite d financia l statements 

t o evaluat e certai n cas h equivalent s an d ne t asse t value . 

• Cas h o r certai n cas h equivalent s 

U s e o f PBG C approve d pricin g vendor s t o obtai n 

informatio n o n pric e an d volum e whe n securit y identifie r 

is availabl e SEDOL ,

• Equitie s 

U s e o f PBG C approve d pricin g vendor s t o obtai n 

informatio n o n yiel d curve s an d comparabl e transactions. 

T h e selecte d yiel d curve s wil l b e use d t o discoun t th e 

assets t o arriv e a t fai r valu e o r a creatio n o f a discounte d 

cas h flo w (DCF ) o r anothe r for m o f modelin g usin g 

contractua l terms , pre-paymen t term s an d marke t 

assumptions . 

• Fixe d Incom e 

• Internationa l Fixe d Incom e 

• Mortgage/Asse t Backe d Securitie s 

• Derivative s 

U s e o f ne t asse t valu e as a practica l expedient * 

Mode l valuation s 

Assessmen t o f appraisals 

• Alternativ e Investment s (whic h include s 

limite d partnership s (FP) , commingle d funds , 

non-liste d funds , rea l property , privatel y hel d 

companies ) 

3 8 
Pla n Asse t Evaluatio n Repor t • Januar y

 concept s describe d i n Accountin g Standard s Updat e (ASU ) Investments in Certain Entities 

That Calculate Net Asset Value per Share (or Its Equivalent), whic h indicate s tha t a reportin g entit y i s 

permitted , a s a practica l expedient , t o estimat e th e fai r valu e o f a n investmen t usin g th e NA V pe r shar e 

( o r it s equivalent , suc h a s membe r unit s o r a n ownershi p interes t i n partners ' capita l t o whic h a 

proportionat e shar e o f ne t assets i s attributed ) o f th e investment . 

3 9 
APPENDI X D- DELPH I SALARIE D PLA N ASSET GROUPIN G FOR M 1108 

Non-Insured Assets 

2 0 02 8 53 9 0 2 

 -

 1 1 

6 50 8 29 2 8 4 

 A AX /

0.0 0 

' 1 831

Investment Accounts and Securities: 

Fixed Income Securities 

 Securities-Cos t 

 Securitie s - Zer o Coupo n Bonds-Cos t $122,343.9 5 

Certificate s o f Deposi t $0.0 0 

Commercia l Pape r $0.0 0 

Asse t Backe d Securities/CMO' s an d Othe r $151,402.7 9 

$ 0 0 0 

 $ 2 25 1 68 6 9 9 

 

Corporat e Bond s - Forward s $0.0 0 

Poole d Fund s - Fixe d $0.0 0 

Foreig n Investmen t Fixe d $31,395,797.6 9 

Option s - Fixe d $0.0 0 

Swap s $64,546.3 3 

F X Forward s -$10,536,332.9 5 

X $25 525 088 12 

Equity Securities 

Corporat e Stoc k $36,631,222.2 3 

Poole d Fund s - Equit y $10,944,589.8 8 

Foreig n Investment s - Equit y $2,193,222.2 1 

Privat e $250,927,842.0 8 

Option s - Equit y $0.0 1 

Total Equity Securities $300,696,876.41 

Non-traditional Investments 

Rea l Estat e $46,076,731.0 5 

Poole d Fund s - Rea l Estat e $63,985,531.8 6 

Othe r Investment s $1,802,993,772.4 9 

Total Non-traditional Investments $1,913,056,035.39 

Total Investment Accounts and Securities $2,239,277,999.92 

4 0 
Accounts Receivables 

Securitie s Lendin g Collatera l 

D u e Fro m Disposa l o f Asset s (pendin g sales ) 

Account s Receivable-Future s 

Account s Receivable-Othe r Swap s 

Account s Receivable-Collatera l Deposit s 

$0.0 0 

$1,067,925.5 1 

-$2,981.4 8 

$0.0 0 

Total Accounts Receivables $22,583,717.82 

Accrued Income: 

Accrue d Investmen t Incom e - U S Securit y $0.0 0 

Accrue d Investmen t Incom e - Othe r Fixe d Interes t (Cash; 

STIF; Corp Bonds; Asset Backed Securities; Fixed Income 

Pooled Funds) 

Accrue d Investmen t Incom e - Dividend s 

Accrue d Investmen t Incom e -Othe r 

Accrue d Investmen t Incom e - Swap s 

Accrue d Investmen t Incom e - Forward s 

$0.0 0 

$20,983.2 6 

$819,653.6 9 

$0.0 0 

$0.0 0 

Total Accrued Income $840,636.95 

Other Receivables 

Othe r Receivable s 

Account s Receivable s - Ta x Reclai m 

Total Other Receivables 

$463,826.2 8 

$8,301.4 6 

$472,127.74 

Accounts Payable 

Account s Payabl e - Securit y Lendin g 

Acquisitio n Indebtednes s (Pendin g Purchases ) 

Account s Payabl e - Future s 

Account s Payabl e - Collatera l Deposit s 

Account s Payabl e - Othe r Swap s 

Bon d Forward s - Shor t 

Asset-Backe d - TBA s Shor t 

Option s Fixe d - Shor t 

Option s Equit y - Shor t 

$0.0 0 

-$806,214.6 0 

-$1,445,831.6 7 

$0.0 0 

$256.4 9 

$0.0 0 

$0.0 0 

$0.0 0 

$0.0 0 

Total Accounts Payable: -$2,251,789.78 

Total Non-Insured Assets $2,287,459,524.50 

4 1 
Insure d Assets 

Insuranc e Contract s - Whol e Lif e - CS V 

Insuranc e Contract s - DA , IP G 

 Contract s - CT C 

$0.0 0 

$0.0 0 

$0.0 0 

Total Insured Assets $0.00 

Participant Loans $0.00 

Accrued Expenses 

Accrue d Expense s 

Account s Payabl e - Non-Benefi t Payment s 

Account s Payabl e - Payment s (Pre-Ter m Participan t Liability ) 

-$3,378,626.0 0 

$0.0 0 

-$2,198,829.0 0 

Total Accrued Expenses -$5,577,455.00 

FIGUR E FO D 

Total Value of Plan Assets without DUE C RECONCILI A $2,281,882,069.50 

DUE C 

Due and Unpaid Employer Contributions - Gross $195,875,657.0 0 

(1) SPDR R Plans: 

SPDR R Percentag e 

Valuatio n DUE C - Du e an d Unpai d Employe r Contribution s (SPDR R Plan ) 

(2) Non SPDR R Plans 

$0.0 0 

$195,875,657.0 0 

N E T DUE C $195,875,657.00 

TOTA L VALU E O F PLA N ASSET S BAP D FIGUR E $2,477,757,726.50 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

4 2 
APPENDI X E - DELPH I HOURL Y PLA N ASSE T GROUPIN G FOR M 1108 

SUMMAR Y O F ASSET S Amount at DOPT 

Non-Insure d Assets 

Cash and Cash Equivalents: 

Cas h 

CAS H - FOREIG N CURRENC Y 10,379,575.2 2 

 X /

0.0 0 

Total Cash and Cash Equivalents $44,503,774.30 

Investment Accounts and Securities: 

Fixed Income Securities 

 Securities-Cos t $3,972,713.4 4 

 Securitie s - Zer o Coupo n Bonds-Cos t $110,900.0 3 

Certificate s o f Denosi t $0.0 0 

Commercia l Pape r $0.0 0 

Asse t Backe d Securities/CMO' s (GNMA/FHA ) an d Othe r $1,155,756.3 4 

Asse t Backe d Securitie s TB A $0.0 0 

Corporat e Bond s $2,178,015.1 1 

Corporat e Bond s - Forward s $0.0 0 

Poole d Fund s - Fixe d $0.0 0 

Foreig n Investmen t Fixe d $28,185,954.9 8 

Option s - Fixe d $0.0 0 

Swap s $58,508.7 3 

F X Forward s -$14,248,603.9 5 

Total Fixed Income Securities $21,413,244.67 

Equity Securities 

Corporat e Stoc k $61,409,577.2 9 

Poole d Fund s - Equit y $20,030,598.6 4 

Foreig n Investment s - Equit y $4,643,792.5 6 

Privat e Equit y $610,994,384.1 5 

Option s Equit y $0.0 4 

Total Equity Securities $697,078,352.67 

Non-traditional Investments 

Rea l Estat e $105,112,415.7 1 

Poole d Fund s - Rea l Estat e $115,004,642.8 2 

Othe r Investment s $2,612,911,007.2 4 

Total Non-traditional Investments $2,833,028,065.78 

4 3 
Total Investment Accounts and Securities 

Accounts Receivables 

 ' A 1 • < ft A 1 

Securitie s Lendin g Collatera l 

D u e Fro m Disposa l o f Asset s (pendin g sales ) 

Account s Receivable-Future s 

Account s Receivable-Othe r Swap s 

Account s Receivable-Collatera l Deposit s 

$0.0 0 

Total Accounts Receivables $27,073,126.34 

Accrued Income: 

Accrue d Investmen t Incom e - U S Gov f Securit y 

Accrue d Investmen t Incom e - Othe r Fixe d Interes t (Cash; 

STIF; Corp Bonds; Asset Backed Securities; Fixed Income 

Pooled Funds) 

Accrue d Investmen t Incom e - Dividend s 

Accrue d Investmen t Incom e -Othe r 

Accrue d Investmen t Incom e - Swap s 

Accrue d Investmen t Incom e - Forward s 

$0.0 0 

$0.0 0 

$23,536.3 5 

$832,115.0 1 

$0.0 0 

$0.0 0 

Total Accrued Income $855,651.36 

Other Receivables 

Othe r Receivable s 

Account s Receivable s - Ta x Reclai m 

Total Other Receivables 

$983,866.2 3 

$8,852.9 6 

$992,719.19 

Accounts Payable 

Account s Payabl e - Securit y Lendin g 

Acquisitio n Indebtednes s (Pendin g Purchases ) 

Account s Payabl e - Future s 

Account s Payabl e - Collatera l Deposit s 

Account s Payabl e - Othe r Swap s 

Bon d Forward s - Shor t 

Asset-Backe d - TBA s Shor t 

Option s Fixe d - Shor t 

Option s Equit y - Shor t 

$0.0 0 

-$696,910.1 0 

-$2,504,139.9 6 

$0.0 0 

$232.5 0 

$0.0 0 

$0.0 0 

$0.0 0 

$0.0 0 

Total Accounts Payable: -$3,200,817.57 

Total Non-Insured Assets $3,621,744,116.76 

4 4 
Insure d Assets 

Insuranc e Contract s - Whol e Lif e - CS V 

Insuranc e Contract s - DA , IP G 

 Contract s - CT C 

$0.0 0 

$0.0 0 

$0.0 0 

Total Insured Assets $0.00 

Participant Loans $0.00 

Accrued Expenses 

Accrue d Expense s 

Account s Payabl e - Non-Benefi t Payment s 

Account s Payabl e - Payment s (Pre-Ter m Participan t Liability ) 

-$4,629,068.0 0 

$0.0 0 

-$2,857,772.0 0 

Total Accrued Expenses -$7,486,840.00 

FIGUR E FO R FO D 

Total Value of Plan Assets without DUE C RECONCILI A $3,614,257,276.76 

DUE C 

Due and Unpaid Employer Contributions - Gross

(1) SPDR R Plans: 

SPDR R Percentag e 

Valuatio n DUE C - Du e an d Unpai d Employe r Contribution s (SPDR R Plan ) 

(2) Non SPDR R Plans 

$0.0 0 

$21,317,493.0 0 

N E T DUE C $21,317,493.00 

TOTA L VALU E O F PLA N ASSET S BAP D FIGUR E $3,635,574,769.76 

Certain totals may not sum due to rounding. The impact is inconsequential to the presentation. 

4 5 
 Track 2 Report 
Pension Benefit Guaranty Corporation 

Asset Evaluation Division 

Delphi Retirement Program for Salaried Employees 

Case No. 20637000 

Delphi Hourly-Rate Employees Pension Plan 

Case No. 20637100 

Supplemental Plan Asset Evaluation Report 

May 19, 2015 

DOPT: July 31, 2009 

DOTR: August 10, 2009 
Supplementa l Pla n Asse t Evaluatio n Repor t •

Table of Contents 

1. EXECUTIV E SUMMAR Y 1 

2. OBJECTIV E 1 

3. SCOP E O F WOR K 2 

4. FAI R MARKE T VALU E ESTIMAT E ("FMV") 2 

5. MATERIALIT Y 2 

6. DAT A AND INFORMATIO N SOURCE S 2 

7. TESTIN G APPROAC H 2 

8. VALUATIO N METHODOLOG Y 3 

9. SUMMAR Y O F FINDINGS 4 

10. CONCLUSION S 5 

APPENDI X A- INDE X O F TERM S 8 

APPENDI X B FAI R MARKE T VALU E ESTIMAT E DESCRIPTIO N 9 

APPENDI X C - VALUATIO N METHODOLOG Y
1. EXECUTIV E SUMMARY 

T h e Contracto r ha s applie d procedure s i n accordanc e wit h th e Benefit s Administratio n an d Payment s 

Departmen t ("BAPD" ) Manua l fo r Pla n Asse t Evaluation s date d Apri l ("BAP D PA E Manual" ) 

t o assess th e Estimate d FM V o f certai n investment s o f th e Delph i Retiremen t Progra m fo r Salarie d 

Employee s ("Salarie d Plan" ) an d th e Delph i Hourly-Rat e Employees ' Pensio n Pla n ("Hourl y Plan") , 

cumulativel y th e "Plans" , a s o f Jul y 2009 , th e Plans ' dat e o f pla n terminatio n ("DOPT") . Thi s 

Supplementa l Pla n Asse t Evaluatio n ("PAE" ) is mean t t o supplemen t th e Contractor' s initia l PA E Repor t 

date d Januar y 30 , fo r th e Delph i Plan s ("Delph i Trac k 1 PA E Report") , an d tha t repor t shoul d b e 

rea d i n conjunctio n wit h thi s report . Th e Supplementa l Pla n Asse t Evaluatio n wil l b e referre d t o a s "Trac k 

2 " an d th e Contractor' s initia l Pla n Asse t Evaluatio n wil l b e referre d t o a s "Trac k 1 " throughou t th e 

report . Furthe r detail s o f th e backgroun d o f th e Plans , th e Contractor' s testin g approac h an d findings o f 

t h e Contractor' s initia l testin g ca n b e foun d i n th e Delph i Trac k 1 PA E Report . 

2. OBJECTIVE 

A s instructe d b y PBGC , th e Contracto r performe d thi s supplementa l PA E t o increas e coverag e ove r th e 

amoun t o f investment s selecte d fo r testin g fro m Trac k 1 an d th e Contracto r selecte d certai n limite d 

partnershi p investment s (includin g limite d partnership s wit h investment s i n rea l estate ) fo r testin g i n 

Trac k 2 . Thes e investment s wer e fro m th e populatio n o f investment s whic h wer e no t teste d i n Trac k 1 

(i.e . classifie d a s Conclusio n Cod e 4) . 

T h e tabl e belo w ha s furthe r detail s o n th e percentag e o f investment s selecte d fo r testin g i n bot h Trac k 1 

a n d Trac k 2 . 

Table 1: Total Trustee FM V of Tested Investments at DOPT (USD) 

Plan Total Trustee Trustee Values Trustee Values Combined % of 

F M V Excluding Selected for Selected for Investments 

GAC s (USD) Testing in Track Testing in Track Selected for 

1 (USD) 2 (USD) Testing 

Hourly 3,638,466,24 3 3,078,042,87 0 93.33 % 

Salaried 2,064,322,87 8 94.95 % 

Table 2: Reconciliation of Delphi Track 1 PA E Report to Table 1 

Hourly 

Trustee 

F M V (USD) 

Hourly Trustee 

Values 

Selected for 

Testing in 

Track 1 (USD) 

Salaried 

Trustee 

F M V (USD) 

Salaried 

Trustee Values 

Selected for 

Testing in 

Track 1 (USD) 

Tota l Truste e FM V 3,638,466,24 3 3,638,466,24 3 2,472,403,47 4 2,472,403,47 4 

LES S GA C Truste e Valu e 0 0 (178,274,299 ) (178,274,299 ) 

LES S Item s No t Selecte d fo r 

testin g i n Trac k 1 (Conclusio n 

Cod e 4 Investments ) 

(560,423,373 ) (229,806,297 ) 

Totals tha t reconcil e t o Tabl e 1 3,638,466,24 3 3,078,042,87 0 2,294,129,17 5 2,064,322,87 8 

1 
3. SCOPE OF WORK 

T h e scop e o f thi s supplementa l Pla n Asse t Evaluatio n i s t o estimat e th e fai r marke t valu e ("FMV" ) o f 

certai n investment s i n th e Pla n a s o f DOP T whic h wer e no t teste d i n Trac k

T h e procedure s performe d t o achiev e th e objectiv e ar e reference d fro m th e PBG C BAP D PA E Manual . I n 

certai n instances , wit h approva l fro m th e PBGC , th e Contracto r performe d alternativ e procedure s fo r 

certai n tes t procedure s a s outline d i n th e BAP D PA E Manual . 

4. FAIR MARKET VALUE ESTIMATE ("FMV") 

A s furthe r describe d i n Appendi x B o f thi s report , th e Contracto r applie d a valuatio n approac h base d o n 

a n acceptabl e rang e o f FMV s fo r th e Asse t Sub-Classe s (a s define d i n th e BAP D PA E Manual) . Th e 

acceptabl e rang e o f FM V is base d o n th e allowabl e varianc e a s define d i n th e PBGC' s Securit y Pricin g 

Matri x ("SPM" ) i n th e BAP D PA E Manual . 

5. MATERIALITY 

I n accordanc e wit h th e BAP D PA E Manua l sectio n th e Contracto r calculate d a threshol d o f 

materialit y whic h guide d th e scop e o f th e Contractor' s work . Th e calculatio n wa s discusse d an d approve d 

b y PBG C management . 

6. DATA AND INFORMATION SOURCES 

I n performin g th e tes t procedures , th e Contracto r obtaine d assistanc e fro m severa l relate d partie s t o th e 

Plan s a s documente d i n th e Delph i Trac k 1 PA E Report . Genera l Motor s Asse t Managemen t ("GMAM") , 

tha t perform s th e dail y operation s o f th e Plans ' transactions , wa s th e Contractor' s primar y sourc e o f 

underlyin g informatio n abou t th e Plans ' investments . 

7. TESTING APPROACH 

D u e t o th e natur e o f th e trus t structur e fo r th e Plans , th e Contractor , wit h th e PBGC' s approval , performe d 

t h e tes t procedure s ove r th e securitie s a t th e GMA M Investmen t Pool s leve l an d the n ove r th e allocatio n 

o f th e assets t o th e Plan s a s o f DOPT . Furthe r detail s o n th e allocatio n o f assets an d overal l procedure s 

c a n b e foun d i n th e Delph i Trac k 1 PA E Report . A s a result , th e table s an d tes t procedure s referenc e t o 

t h e securitie s a t th e GMA M investmen t poo l leve l an d a t th e Plans ' reportin g leve l a s o f DOPT . 

Limited Partnership ("LP's") Testing Procedures 

SPM Categories: Alternative Investments-Private Equity Limited Partnerships, Real Estate Funds 

T h e Contracto r performe d th e followin g procedure s t o tes t limite d partnership s followin g BAP D PA E 

Manua l Sectio n OB : 

2 
• Th e Contracto r gathere d evidenc e ove r th e estimate d FM V o f th e respectiv e investmen t selecte d fo r 

testin g an d assesse d o r reviewe d additiona l evidenc e require d fo r complianc e wit h th e estimate d FM V 

i n accordanc e wit h th e BAP D PA E Manual . 

• Th e Contracto r discusse d th e natur e o f th e variou s investment s wit h th e Truste e an d certai n 

investmen t manager s t o understan d th e natur e an d component s o f th e securities . 

P e r discussio n wit h GMAM , an d base d o n th e GMA M investmen t valuatio n policy , limite d partnership s 

a n d othe r simila r funds , wer e recorde d i n th e investmen t pool s o n a la g basi s (i n mos t case s a 3 mont h 

lag) . Thi s wa s standar d industr y practic e fo r thes e type s o f securities . GMA M applie d th e concept s 

describe d in , Accountin g Standard s Updat e (ASU ) 2009-12 , Investments in Certain Entities That 

Calculate Net Asset Value per Share (or Its Equivalent), whic h indicate s tha t a reportin g entit y i s 

permitted , a s a practica l expedient , t o repor t th e fai r valu e o f a n investmen t usin g th e Ne t Asse t Valu e 

(NAV ) pe r shar e (o r it s equivalent , suc h a s membe r unit s o r a n ownershi p interes t i n partners ' capita l t o 

whic h a proportionat e shar e o f ne t assets is attributed ) o f th e investment . Fo r example , wit h a limite d 

partnershi p interest , i f ther e i s n o additiona l informatio n tha t woul d requir e a n adjustmen t t o th e NAV , 

the n usin g th e NA V determine d a s th e estimate d FM V a t quarter-en d woul d b e a reasonabl e prox y fo r fai r 

value . Typically , partnershi p statement s wer e provide d t o GMA M o n a one-quarte r la g (i.e. , GMA M 

confirme d i t receive d partnershi p statement s fo r Marc h 200 9 o n o r abou t Jun e 30 , 2009 , whic h wa s 

t h e basi s fo r th e FM V reporte d a s o f DOP T plu s cas h activit y fro m Apri l 1 , 200 9 throug h Jul y 2009 ) 

a n d coul d b e base d o n FMV , cost , o r ta x basi s dependin g o n partnershi p accountin g policies . 

• Th e Contracto r obtaine d th e Jun e 30 , 200 9 an d Septembe r 30 , 200 9 partne r capita l statement s 

(PCAPS) , 200 8 an d 200 9 audite d financia l statement s o f th e limite d partnerships , Jul y 200 9 

GMA M investmen t pool s truste e statements , an d informatio n o n capita l calls/distribution s 

betwee n Jul y 1 , 200 9 throug h Jul y 200 9 fo r eac h limite d partnershi p directl y fro m GMAM . 

• Rol l forwar d th e cas h flow s from th e Jun e 200 9 PCAP S t o DOPT . 

• Asses s th e rol l forwar d o f th e Jun e 200 9 PCAP S t o th e Septembe r 30 , 200 9 PCAP S fo r 

reasonablenes s an d subsequen t event s data . 

• Perfor m procedure s t o reconcil e th e Septembe r 30 , 200 9 PCAP S t o th e Decembe r 200 9 

audite d financia l statement s o f th e L P fo r reasonableness , whe n available . 

• Asses s tha t th e basi s o f accountin g wa s a reasonabl e approximatio n o f FMV . 

• Reviewe d audite d financia l statement s o f th e L P t o assess tha t th e audi t o f th e L P wa s performe d 

b y a CP A Fir m an d tha t th e audi t opinio n wa s unqualified . 

8. VALUATION METHODOLOGY 

T h e Contracto r reviewe d th e mos t recen t PBG C guideline s tha t defin e FM V ove r trustee d pla n assets, a s 

define d i n th e BAP D PA E Manua l Sectio n OA . Al l investment s selecte d fo r testin g wer e presente d a t 

NAV , therefore , th e Contracto r use d NA V a s a practica l expedien t t o estimat e th e FM V o f th e Plans ' 

investment s a t DOPT . Se e Appendi x C fo r a descriptio n o f valuatio n methodolog y applied . 

3 
9. SUMMARY OF FINDINGS 

ESTIMATE D FAI R MARKE T VALU E O F PLA N ASSET S SELECTE D FO R TESTWOR K AS 

O F DOPT 

Table 3: Contractor Estimated Net Asset FM V of Tested Investments as of DOPT 

Trustee FM V at Contractor Contractor 

DOPT (USD) - Estimated FM V at Contractor Estimated FM V 

Asset Class (per GMA M DOPT (USD) - Estimated FM V at DOPT (USD) 

the Security Investment Pool GMA M Investment at DOPT (USD) - Delphi 

Pricing Matrix) Level Level - Delphi Hourly Salaried 

Privat e Equit y 

Limite d 

Partnership s 1,256,410,92 2 1,314,414,52 4 249,102,39 5 88,806,75 5 

Rea l Estat e Fund s 391,246,36 3 383,197,79 6 80,069,07 4 28,248,72 3 

Grand Total 1,647,657,285 1,697,612,320 329,171,469 117,055,478 

T h e Contracto r ha d classifie d th e investment s i n Trac k 1 base d o n th e investmen t descriptio n an d 

classificatio n provide d b y th e Trustee . Th e Contracto r reclassifie d th e asse t classe s i n thi s repor t t o reflec t 

t h e actua l asse t clas s base d o n th e assessmen t o f th e underlyin g investment s held . 

A s describe d Sectio n 7 , th e tes t procedure s wer e performe d ove r th e investment s a t th e GMA M 

Investmen t Poo l leve l an d thi s amoun t wa s the n allocate d base d o n th e Plans 5 ownershi p i n th e 

investmen t poo l a s o f DOPT . 

Table 4: Contractor Estimated Net Asset FM V of Tested Investments by Conclusion Code 

as DOPT 

Conclusion Codes 

Contractor Estimated FM V at 

DOPT (USD) - Hourly Plan 

Contractor Estimated FM V at 

DOPT (USD) - Salaried Plan 

2 284,705,22 8 98,130,70 8 

3 16,555,17 4 11,516,62 9 

4 

5 7,408,14 1 

6 

Grand Total 329,171,469 117,055,478 

4 
T h e followin g tabl e legen d applie s t o th e conclusio n cod e tabl e above : 

Table Legend: 

Conclusio n Cod e # 1 - Truste e valu e wa s teste d withi n th e allowabl e PBG C Varianc e Thresholds . 

Trustee' s valu e wa s assigne d a s o f Jul y 2009 . 

Conclusio n Cod e # 2 - Truste e valu e teste d bu t outsid e o f th e allowabl e PBG C Varianc e Threshold s o r a 

know n differenc e exist s i n th e Truste e value . Contracto r teste d valu e wa s assigne d a s o f Jul y 2009 . 

Conclusio n Cod e # 3 - Truste e valu e wa s selecte d fo r testwor k bu t coul d no t b e teste d du e t o inconclusiv e 

o r n o supportin g documentation . Th e Truste e valu e a s o f Jul y 200 9 wa s assigne d fo r calculatio n 

purpose s only . 

Conclusio n Cod e # 4 - Investmen t wa s no t selecte d fo r testwor k a s a resul t o f applyin g th e PBGC' s 

Samplin g Methodology . Th e Truste e valu e a s o f Jul y 200 9 wa s assigne d fo r calculatio n purpose s 

only . 

Conclusio n Cod e # 5 - Truste e valu e wa s teste d base d o n availabl e supportin g documentatio n and/o r i n 

accordanc e wit h PBG C instruction . Althoug h selecte d fo r testing , certai n underlyin g documentatio n wa s 

n o t availabl e du e t o th e passag e o f time . Th e supportin g documentatio n obtaine d doe s no t rende r th e 

Truste e valu e inconsisten t wit h th e definitio n o f valu e i n th e BAP D PA E Manua l withi n th e PBG C 

Varianc e Thresholds ; therefore , base d exclusivel y o n th e documentatio n obtained , eithe r th e Truste e o r 

supportin g documentatio n valu e wa s assigne d a s o f Jul y 200 9 fo r calculatio n purpose s only . 

Conclusio n Cod e # 6 - Truste e valu e wa s assigne d a s o f Jul y 200 9 fo r calculatio n purpose s only . 

Althoug h th e investmen t pool s an d wer e selecte d fo r testing , th e individua l underlyin g 

securitie s wer e no t subjec t t o testing . Alternativ e procedures , approve d b y th e PBGC , wer e performe d 

whic h include d testin g th e redemptio n valu e o f th e Plans ' estimate d FM V subsequen t t o th e DOPT . Th e 

alternativ e procedure s performe d di d no t rende r th e Truste e valu e inconsisten t wit h th e definitio n o f fai r 

marke t valu e i n th e BAP D Manua l withi n th e PBG C Varianc e Thresholds . 

Ther e wer e fou r investment s tha t wer e classifie d a s Conclusio n Cod e # 3 whos e underlyin g investment s 

represente d commercia l building s an d relate d investments , commercia l aircraf t relate d investments , 

publi c an d non-publi c investment s o r managemen t buyou t / recapitalizatio n an d growt h equit y 

transactions . On e o f thes e investment s is classifie d a s a Rea l Estat e Fund , an d th e remainin g thre e ar e 

classifie d a s Privat e Equit y Limite d Partnerships . 

10. CONCLUSIONS 

Table 5: Contractor Estimated Net Asset FM V of Tested Investments as of DOPT 

Plan Trustee FM V at Contractor Estimated Variance in FM V at Variance as a % of 

DOPT (USD) F M V at DOPT (USD) DOPT (USD) Trustee FM V 

Hourly 317,911,74 6 329,171,46 9 3.54 % 

Salaried 3,056,16 8 2.68 % 

5 
Table 6: Contractor Estimated Net Asset FM V of Tested Investments of the Hourly Plan as 

of DOPT by SPM Asset Class 

Asset Class (per the 

Security Pricing 

Matrix) 

Trustee Hourly Plan 

Value (USD) 

Contractor Hourly 

Plan Value (USD) 

Variance from Trustee 

Value (USD) 

Privat e Equit y Limite d 

Partnership s 

249,102,395 

Rea l Estat e Fund s 85,916,782 80,069,074 (5,847,708) 

Totals 329,171,469 

Table 7: Contractor Estimated Net Asset FM V of Tested Investments of the Salaried Plan 

as of DOPT by SPM Asset Class 

Asset Class (per the 

Security Pricing 

Matrix) 

Trustee Salaried Plan 

Value (USD) 

Contractor Salaried 

Plan Value (USD) 

Variance from Trustee 

Value (USD) 

Privat e Equit y Limite d 

Partnership s 

83,189,854 88,806,755 5,616,901 

Rea l Estat e Fund s 30,809,456 28,248,723 (2,560,733) 

Totals 117,055,478 3,056,168 

Base d o n th e Asse t Classe s pe r th e Securit y Pricin g Matrix , i n Trac k 2, th e Privat e Equit y Limite d 

Partnershi p investment s teste d ha d a postiv e varianc e o f approximatel y millio n fo r th e Hourl y Pla n 

a n d $5.6 millio n fo r th e Salarie d Plan , an d th e Rea l Estat e investment s teste d ha d a negativ e varianc e o f 

approximatel y $5.8 millio n fo r th e Hourl y Pla n an d $2.6 millio n fo r th e Salarie d Plan . 

A s note d i n Sectio n 6 entitle d "Allocatio n Testing " o f th e Trac k 1 report , w e wer e unabl e t o conclud e o n 

t h e allocatio n o f investment s pool s t o th e separat e pensio n plan s tha t investe d i n thos e pool s an d a s a 

result , th e allocation s o f thos e pool s wa s take n fro m informatio n provide d b y GMAM . 

T h e fluctuation s i n th e marke t cause d th e variance s tha t ar e describe d abov e du e t o th e thre e mont h la g i n 

t h e reportin g value s o f thos e investment s tha t wer e reflecte d i n th e Truste e statement s a s o f DOPT . Th e 

dela y i n reportin g valu e change s i n th e alternativ e investment s wa s du e t o timin g o f whe n informatio n 

w a s receive d fro m th e sponsor s o f thos e investments , whic h wa s consisten t wit h industr y practice . 

T h e wor k produc t an d deliverable s provide d a s par t o f thi s engagemen t wer e develope d fo r Pensio n 

Benefi t Guarant y Corporatio n ("PBGC" ) management , an d ar e no t intende d fo r us e b y an y othe r part y o r 

f o r an y othe r purpose , an d ma y onl y b e relie d upo n b y PBG C management . Th e Supplementa l Pla n Asse t 

Evaluatio n wa s performe d i n accordanc e wit h th e Consultin g an d Valuatio n Standard s establishe d b y th e 

AICPA , th e BAP D PA E Manual , an d applicabl e governmen t guidelines . Th e Contracto r disclaim s an y 

intentio n o r obligatio n t o updat e o r revis e th e observation s whethe r a s a resul t o f ne w information , futur e 

events , o r otherwise . Shoul d additiona l documentatio n o r othe r informatio n becom e availabl e tha t impact s 

t h e observation s reache d i n th e Contractor' s deliverables , th e Contracto r reserve s th e righ t t o amen d it s 

observation s an d summar y documents , includin g deliverables , accordingly . 

A N Y TA X ADVIC E I N THI S COMMUNICATIO N I S NO T INTENDE D T O B E USED , AN D 

CANNO T B E USED , B Y A CLIEN T O R AN Y OTHE R PERSO N O R ENTIT Y FO R TH E PURPOS E 

6 
O F (i ) AVOIDIN G PENALTIE S THA T MA Y B E IMPOSE D O N AN Y TAXPAYE R O R (ii ) 

PROMOTING , MARKETING , O R RECOMMENDIN G T O ANOTHE R PART Y AN Y MATTER S 

ADDRESSE D HEREIN . 

Thi s repor t wa s prepare d fo r th e Pensio n Benefi t Guarant y Corporatio n base d o n procedure s developed , 

approve d an d oversee n b y PBGC , an d ma y onl y b e relie d upo n b y PBGC . 

7 
APPENDIX A- INDEX OF TERMS 

Term Definition 

A E D PBGC' s Asse t Evaluatio n Divisio n 

BAPD PBGC' s Benefit s Administratio n an d Paymen t Departmen t 

BAPD PA E Manual Benefit s Administratio n an d Payment s Departmen t ("BAPD" ) Manua l fo r 

Pla n Asse t Evaluation s date d Apri l

C O R Contractin g Officer' s Representativ e 

DOPT Dat e o f Pla n Terminatio n 

F M V Fai r Marke t Valu e 

GP Genera l Partner s 

Issu e an d Resolutio n (Memo) . Th e metho d use d t o formaliz e certai n 

discussion s betwee n th e Contracto r tea m an d PBG C 

Investmen t Manager s 

L P Limite d Partnershi p o r Limite d Partner s 

N AV N e t Asse t Valu e 

PBG C Pensio n Benefi t Guarant y Corporatio n 

Security Pricing Matrix 

(SPM) 

A too l define d i n th e BAP D PA E Manual - Apri l whic h help s 

assis t th e BAP D Staf f i n classifyin g investment s a s Liquid-Observabl e o r 

Illiquid-Observable/Har d t o Valu e 

Trusteeship PBG C become s th e truste e o f th e Plans ' assets on , o r soo n after , DOP T 

8 
APPENDIX B FAIR MARKET VALUE ESTIMATE DESCRIPTION 

Wit h referenc e t o pag e 1 o f th e BAP D Pla n Asse t Evaluatio n Manua l (versio n a s o f PBGC' s 

regulatio n 2 9 C.F.R . 4001.2 , whic h i s take n fro m IR S Revenu e Rulin g 59-60 , define s FM V as: 

"Th e pric e a t whic h th e propert y woul d chang e hand s betwee n a willin g buye r an d a willin g selle r 

whe n th e forme r i s no t unde r an y compulsio n t o bu y an d th e latte r is no t unde r an y compulsio n t o 

sell , bot h partie s havin g reasonabl e knowledg e o f relevan t facts. " 

F M V i s estimate d a s o f a particula r dat e base d o n wha t i s know n o r knowabl e a s o f tha t date . FM V i s no t 

base d o n wha t a buye r migh t pa y a t som e late r time , suc h a s whe n th e holde r o f a securit y migh t 

ultimatel y realiz e th e security' s contractua l value 1. 

A s par t o f th e Contractor' s tes t procedures , th e Contracto r applie d a n approac h base d o n a n acceptabl e 

rang e o f FMV s fo r th e Asse t Sub-Classe s (a s define d i n th e BAP D PA E Manual ) a s follows : 

• Whe n variance s betwee n th e Contracto r an d Truste e Pric e fal l withi n th e Securit y Pricin g 

Matri x ("SPM" ) threshol d th e Contracto r wil l us e th e trustee' s valu e a s th e representatio n o f 

FMV , unles s professiona l judgmen t lead s th e Contracto r t o a differen t conclusio n (evidence d 

o n workpaper s a s Conclusio n 1 an d reference d i n th e Conclusio n sectio n o f thi s report) . 

• Whe n th e varianc e betwee n th e Truste e valu e an d th e independen t valu e is outsid e th e 

applicabl e SP M varianc e percentage , th e Contracto r mus t exercis e professiona l judgmen t i n 

makin g reasonabl e effort s t o evaluate , conclude , an d documen t th e caus e o f th e variance . I f i t 

w a s establishe d tha t th e Contracto r ha s obtaine d relevan t an d reliabl e supportin g 

documentation , th e final FM V wil l b e th e Contractor' s teste d valu e (evidence d o n workpaper s 

a s Conclusio n 2 an d reference d i n th e Conclusio n sectio n o f thi s report) . 

• Variance s betwee n th e Contracto r an d Truste e price s ar e evaluate d b y individua l asse t an d b y 

tota l fo r asse t typ e t o identif y suspec t variances , suc h a s a systematicall y flawe d valuatio n 

methodology . 

• I f sufficien t supportin g documentatio n canno t b e obtained , th e Contracto r is unabl e t o tes t 

F M V an d a s a result , th e valu e wil l defaul t t o th e Trustee' s valu e (evidence d o n workpaper s 

a s Conclusio n 3 an d reference d i n th e Conclusio n sectio n o f thi s report) . 

T h e acceptabl e rang e o f estimate d FM V is base d o n th e allowabl e varianc e a s define d i n th e PBGC' s 

Securit y Pricin g Matri x i n th e BAP D PA E Manual . 

Thresholds/variance s ar e se t t o estimat e whethe r a FM V reporte d b y a Truste e is reasonable . A rang e o f 

acceptabl e pric e estimate s (o r rang e o f acceptabl e values ) i s base d o n a numbe r o f factors ; includin g 

liquidit y o f th e security , frequenc y o f purchas e an d sal e activity , an d estimate s o r assumption s tha t migh t 

caus e a willin g buye r o r selle r t o deriv e a differen t conclusio n o n wha t i s considere d acceptable . Othe r 

factor s t o conside r ma y als o includ e th e natur e o f th e security , othe r risk s relate d t o th e performanc e o f 

t h e underlyin g assets (i f applicable) , an d curren t tradin g statistic s o f simila r investmen t securities . 

Generally , acceptabl e range s ar e mor e narro w fo r thos e investmen t securitie s presentin g lowe r estimatio n 

 BAP D Pla n Asse t Evaluatio n Manual-Apri l -Sectio n 15.10A. 1 

9 
uncertaint y (e.g. , one s whos e value s reflec t observabl e informatio n o r ar e exchang e trade d i.e. , exchang e 

trade d commo n stock ) an d wide r fo r thos e securitie s wit h greate r estimatio n uncertaint y (e.g. , one s whos e 

value s reflec t unobservabl e input s suc h a s judgment s aroun d futur e cas h flow s an d discoun t rate s o r ar e 

non-exchang e traded , i.e. , rea l property) . 

T h e establishmen t o f a range/varianc e is typicall y don e t o estimat e i f th e evidenc e obtaine d support s th e 

investmen t value s reporte d b y th e Trustee . Becaus e investment s ca n b e value d usin g a variet y o f 

acceptabl e sourc e information , independen t valuatio n testin g ca n assis t i n determinin g whethe r th e 

Trustee' s sourc e informatio n is relevan t an d reliable , an d whethe r th e Trustee' s value s represent s a fai r 

approximatio n o f FMV . 

10 
APPENDIX C - VALUATION METHODOLOGY 

T h e Contracto r use d PBG C guideline s tha t defin e FM V ove r trustee d Pla n assets t o perfor m th e Pla n 

Asse t Evaluation . Accordin g t o th e BAP D PA E Manua l Sectio n OA , FM V is defined , i n part , a s "th e 

pric e a t whic h propert y woul d chang e hand s betwee n a willin g buye r an d a willin g seller , neithe r bein g 

unde r an y compulsio n t o bu y o r sel l an d bot h havin g reasonabl e knowledg e o f relevan t facts. " Th e 

Contracto r teste d investment s usin g a n exi t pric e approac h (a s o f a DOPT ) fo r orderl y transaction s 

betwee n willin g marke t participant s a t th e measuremen t dat e (o r exi t value) . Assumption s regardin g 

consideration s mad e b y a marke t participan t buye r o r selle r a s o f th e DOP T wil l reflec t environmen t 

consideration s a s o f dat e o f termination . 

Belo w i s a brie f explanatio n o f th e valuatio n techniqu e applie d t o securit y classe s hel d b y th e Plans : 

Valuation Approach 

T h e followin g tabl e provide s a summar y o f th e primar y valuatio n approache s use d fo r certai n o f th e asse t 

classe s tha t ma y b e hel d b y th e Plans : 

Approach 

U s e o f Ne t Asse t Valu e a s a practica l

U s e o f audite d financial statement s an d marke t 

indices . 

Asset Class When Approach Is Applicable 

Alternativ e Investment s (whic h include s limite d 

partnership s (TPs) ) 

 Th e concept s describe d i n Accountin g Standard s Updat e (ASU ) 2009-12 , Investments in Certain 

Entities That Calculate Net Asset Value per Share (or Its Equivalent), whic h indicate s tha t a reportin g 

entit y i s permitted , a s a practica l expedient , t o estimat e th e fai r valu e o f a n investmen t usin g th e NA V pe r 

shar e (o r it s equivalent , suc h a s membe r unit s o r a n ownershi p interes t i n partners ' capita l t o whic h a 

proportionat e shar e o f ne t assets i s attributed ) o f th e investment . 

11