JP Morgan Chase 2009 Annual Report Download - page 193

JPMorgan Chase & Co./2009 Annual Report
191
Pension and OPEB plan assets and liabilities measured at fair value
U.S. defined benefit pension plans Non-U.S. defined benefit pension plans
December 31, 2009
(in millions)
Quoted
prices in active
markets for
identical assets
(Level 1)
Significant
observable
inputs
(Level 2)
Significant
unobserv
able
inputs
(Level 3) Total
Quoted
prices in active
markets for
identical assets
(Level 1)
Significant
observable
inputs
(Level 2)
Significant
unobserv
able
inputs
(Level 3) Total
Cash and cash equivalents $ 71 $ — $ — $ 71 $ 27 $ — $ — $ 27
Equity securities(a) 2,772 14 — 2,786 493 75 — 568
Common/collective trust funds(b) — 2,478 — 2,478 23 185 — 208
Limited partnerships(c) — 912 1,697 2,609 — — — —
Corporate debt securities(d) — 941 — 941 — 685 — 685
U.S. federal, state, local and non-U.S.
government debt securities — 406 — 406 — 841 — 841
Mortgage-backed securities(e) 169 54 — 223 — — — —
Derivative receivables(f) — 90 — 90 — 5 — 5
Other 348 115 334 797 18 89 13 120
Total assets at fair value $ 3,360 $ 5,010 $ 2,031 $ 10,401(g) $ 561 $ 1,880 $ 13 $ 2,454
(g)
Derivative payables — (76) — (76) — (30) — (30 )
Total liabilities at fair value $ — $ (76) $ — $ (76)(h) $ — $ (30) $ — $ (30 )
(a) This class is generally invested in 84% large cap funds and 16% small/mid cap funds.
(b) This class generally includes commingled funds that are issued for investment by qualified pension plans. They primarily include 39% short-term investment funds, 24%
equity (index) and 15% international investments.
(c) This class includes U.S. and non-U.S. assets, which are invested as follows: 59% in hedge funds, 34% in private equity funds, and 7% in real estate funds.
(d) This class includes debt securities of U.S. and non-U.S. corporations.
(e) This class is generally invested in 72% debt securities issued by U.S. government agencies.
(f) This class primarily includes 80% foreign exchange contracts and 16% equity warrants.
(g) Excludes receivables for investments sold and dividends and interest receivables of $82 million and $8 million for U.S. and non-U.S., respectively.
(h) Excludes payables for investments purchased of $177 million and other liabilities of $12 million.
The Firm’s OPEB plan is funded with COLI policies of $1.3 billion, which are classified in level 3 of the valuation hierarchy.
Changes in level 3 fair value measurements using significant unobservable inputs
Fair value,
January 1, 2009
Total realized/
(unrealized)
gains/(losses)(a)
Purchases, sales
and settlements
Transfers into and/or
out of
level 3
Fair value,
December 31,
2009
U.S. defined benefit pension plans
Limited partnerships $ 1,537 $ 4 $ 171 $ (15) $ 1,697
Other 315 19 — — 334
Total U.S. plans 1,852 23 171 (15) 2,031
Non-U.S. defined benefit pension plans
Other 14 (1) — — 13
Total non-U.S. plans $ 14 $ (1) $ — $ — $ 13
OPEB plans
COLI 1,126 172 (29) — 1,269
Total OPEB plans $ 1,126 $ 172 $ (29) $ — $ 1,269
(a) Total realized (unrealized) gains/(losses) is the change in unrealized gains or losses relating to assets held at December 31, 2009.
Estimated future benefit payments
The following table presents benefit payments expected to be paid, which include the effect of expected future service, for the years indicated.
The OPEB medical and life insurance payments are net of expected retiree contributions.
U.S. Non-U.S.
Year ended December 31, defined benefit defined benefit OPEB before Medicare
(in millions) pension plans pension plans Medicare Part D subsidy Part D subsidy
2010 $ 974 $ 90 $ 103 $ 10
2011 979 83 103 11
2012 576 93 101 12
2013 579 100 99 13
2014 584 103 97 14
Years 2015–2019 2,939 627 443 66