JCPenney 2015 Annual Report Download - page 90
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Table of Contents
Private equity is composed of interests in private equity funds valued on the basis of the relative interest of each participating investor in the
fair value of the underlying assets and/or common stock of privately held companies. There are no observable market values for private equity funds. The
valuations for the funds are derived using a combination of different methodologies including (1) the market approach, which consists of analyzing market
transactions for comparable assets, (2) the income approach using the discounted cash flow model, or (3) cost method. Private equity funds also provide
audited financial statements. Private equity investments are classified as level 3 of the fair value hierarchy.
– Corporate bonds and Corporate loans are valued at a price which is based on observable market information in primary markets or a
broker quote in an over-the-counter market, and are classified as level 2 or level 3 of the fair value hierarchy.
– swap contracts are based on broker quotes in an over-the-counter market and are classified as level 2 of the fair value hierarchy.
Government and municipal securities are valued at a price based on a broker quote in an
over-the-counter market and classified as level 2 of the fair value hierarchy.Mortgage backed securities are valued at a price based on observable market
information or a broker quote in an over-the-counter market and classified as level 2 of the fair value hierarchy.
non-mortgage asset backed securities, collateral held in short-term investments for derivative contract and derivatives composed of
futures contracts, option contracts and other fix income derivatives valued at a price based on observable market information or a broker quote in an over-the-
counter market and classified as level 2 of the fair value hierarchy.
Real estate is comprised of public and private real estate investments. Real estate investments through registered investment companies that
trade on an exchange are classified as level 1 of the fair value hierarchy. Investments through open end private real estate funds that are valued at the reported
NAV are classified as level 2 of the fair value hierarchy. Private real estate investments through partnership interests that are valued based on different
methodologies including discounted cash flow, direct capitalization and market comparable analysis are classified as level 3 of the fair value hierarchy.
Hedge funds exposure is through fund of funds, which are made up of over 30 different hedge fund managers diversified over different hedge
strategies. The fair value of the hedge fund is determined by the fund's administrator using valuation provided by the third party administrator for each of the
underlying funds.
The following tables set forth a summary of changes in the fair value of the Primary Pension Plan’s level 3 investment assets:
Balance, beginning of year $ 281
$ 153
$ 5
$ 7
$ 314
Transfers, net —
—
—
—
—
Realized gains/(loss) 41
(23)
—
(3)
3
Unrealized (losses)/gains (17)
38
—
2
(1)
Purchases and issuances 18
2
—
1
119
Sales, maturities and settlements (75)
(19)
(2)
(2)
(221)
Balance, end of year $ 248
$ 151
$ 3
$ 5
$ 214
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