JP Morgan Chase 2010 Annual Report Download - page 207

JPMorgan Chase & Co./2010 Annual Report 207
Derivative receivables and derivative payables
In the normal course of business, foreign exchange, credit, interest
rate and equity derivative contracts are used to minimize fluctua-
tions in the value of plan assets caused by exposure to credit or
market risks. These instruments may also be used in lieu of invest-
ing in cash instruments. Exchange traded derivatives valued using
quoted prices are classified within level 1 of the valuation hierarchy.
However, a majority of the derivative instruments are valued using
internally developed models that use as their basis readily observ-
able market parameters and are therefore classified within level 2
of the valuation hierarchy.
Other
Other consists of exchange traded funds (“ETFs”), mutual fund
investments, and participating and non-participating annuity con-
tracts (“Annuity Contracts”). ETFs are valued at the closing price
reported on the major market on which the individual securities are
traded and are generally classified within level 1 of the valuation
hierarchy. Mutual fund investments are valued using NAV. Those
fund investments with a daily NAV that are validated by a sufficient
level of observable activity (purchases and sales at NAV) are classified
in level 1 of the valuation hierarchy. Where adjustments to the NAV
are required, for example, for fund investments subject to restrictions
on redemption (such as lock-up periods or withdrawal limitations),
and/or observable activity for the fund investment is limited, the
mutual fund investments are classified in level 2 or 3 of the valuation
hierarchy. Annuity Contracts are valued at the amount by which the
fair value of the assets held in the separate account exceeds the
actuarially determined guaranteed benefit obligation covered under
the Annuity Contracts. Annuity Contracts lack market mechanisms for
transferring each individual policy and generally include restrictions
on the timing of surrender; therefore, these investments are classified
within level 3 of the valuation hierarchy.
Pension and OPEB plan assets and liabilities measured at fair value
U.S. defined benefit pension plans
Non
-
U.S. define
d ben
e
fit pension plans
December 31, 2010 (in millions) Level 1 Level 2 Level 3
Total
fair value Level 1 Level 2 Level 3
Total
fair value
Cash and cash equivalents
$
—
$
—
$
—
$
—
$
81
$
—
$
—
$
81
Equity securities:
Capital equipment
748
9
—
757
6
8
13
—
81
Consumer goods
712
—
—
712
75
21
—
96
Banks and finance companies
414
1
—
415
113
9
—
122
Business services
444
—
—
444
53
10
—
63
Energy
195
—
—
195
59
6
—
65
Materials
205
—
—
205
50
13
—
63
Real Estate
21
—
—
21
1
—
—
1
Other
857
6
—
863
194
16
—
210
Total equity securities
3,596
16
—
3,612
613
88
—
701
Common/collective trust funds
(a)
1,195 756 — 1,951 46 180 — 226
Limited partnerships:
Hedge funds
—
959
1,102
2,061
—
—
—
—
Private equity funds
—
—
1,232
1,232
—
—
—
—
Real estate
—
—
304
304
—
—
—
—
Total limited partne
r
ships
—
959
2,638
3,597
—
—
—
—
Corporate debt securities
(b)
— 424 1 425 — 718 — 718
U.S. federal, state, local and non
-
U.S.
government debt securities — 453 — 453 — 864 — 864
Mortgage-backed securities
(c)
188 55 — 243 1 — — 1
Derivative receivables
(d)
2 194 — 196 — 3 — 3
Other
218
58
387
663
18
51
—
69
Total assets measured at fair value(e)(f) $ 5,199 $ 2,915 $ 3,026 $ 11,140 $ 759 $ 1,904 $ — $ 2,663
Derivative payables
—
(177)
—
(177)
—
(25)
—
(25
)
Total liabilities measured at fair value $ — $ (177) $ — $ (177)
(g)
$ — $ (25) $ — $ (25
)