JP Morgan Chase 2010 Annual Report Download - page 208

Notes to consolidated financial statements
208 JPMorgan Chase & Co./2010 Annual Report
U.S. defined benefit pension plans
Non
-
U.S. defined ben
e
fit pension plans
December 31, 2009 (in millions) Level 1 Level 2 Level 3
Total
fair value Level 1 Level 2 Level 3
Total
fair value
Cash and cash equivalents
$
71
$
—
$
—
$
71
$
27
$
—
$
—
$
27
Equity securities
:
Capital equipment
608
13
—
621
4
9
16
—
65
Consumer goods
554
—
—
554
64
18
—
82
Banks and finance comp
a
nies
324
—
—
324
90
12
—
102
Busine
ss services
322
—
—
322
39
13
—
52
Energy
188
—
—
188
45
13
—
58
Materials
186
—
—
186
35
3
—
38
Real estate
19
—
—
19
—
—
—
—
Other
571
1
—
572
171
—
—
171
Total equ
ity securities
2,772 14 — 2,786 493 75 — 568
Common/collective trust funds
(a)
1,868 610 — 2,478 23 185 — 208
Limited partnerships
:
Hedge funds
—
912
627
1,539
—
—
—
—
Private equity funds
—
—
874
874
—
—
—
—
Real estate
—
—
196
196
—
—
—
—
Total limited partne
r
ships
— 912 1,697 2,609 — — —
—
Corporate debt securities
(b)
— 941 — 941 — 685 — 685
U.S. federal, state, local an
d non
-
U.S.
government debt securities — 406 — 406 — 841 — 841
Mortgage-backed securities
(c)
169 54 — 223 — — —
—
Derivative receivables
(d)
— 90 — 90 — 5 — 5
Other
348
115
334
797
18
89
13
120
Total assets measured at fair value(e)(f) $ 5,228 $ 3,142 $ 2,031 $ 10,401 $ 561 $ 1,880 $ 13 $ 2,454
Derivative payables
—
(76)
—
(76)
—
(30)
—
(30
)
Total liabilities measured at fair value $ — $ (76) $ — $ (76)
(g)
$ — $ (30) $ — $ (30
)
(a) At December 31, 2010 and 2009, common/collective trust funds generally include commingled funds that primarily included 22% and 39%, respectively, of short-term
investment funds; 21% and 24%, respectively, of equity (index) investments; and 16% and 15%, respectively, of international investments.
(b) Corporate debt securities include debt securities of U.S. and non-U.S. corporations.
(c) At December 31, 2010 and 2009, mortgage-backed securities were generally invested 77% and 72%, respectively, in debt securities issued by U.S. government agen-
cies.
(d) At December 31, 2010 and 2009, derivative receivables primarily included 89% and 80%, respectively, of foreign exchange contracts; and 11% and 16%, respectively,
of equity warrants.
(e) At December 31, 2010 and 2009, the fair value of investments valued at NAV were $4.1 billion and $4.2 billion, respectively, which were classified within
the valuation hierarchy as follows: $1.3 billion and $2.0 billion in level 1, $1.7 billion and $1.6 billion in level 2 and $1.1 billion and $600 million in level 3.
(f) At December 31, 2010 and 2009, excluded U.S. defined benefit pension plan receivables for investments sold and dividends and interest receivables of $52 million and
$82 million, respectively; and excluded non-U.S. defined benefit pension plan receivables for dividends and interest receivables of $9 million and $8 million, respectively.
(g) At December 31, 2010 and 2009, excluded $149 million and $177 million, respectively, of U.S. defined benefit pension plan payables for investments purchased; and
$38 million and $12 million, respectively, of other liabilities.
At December 31, 2010 and 2009, the Firm’s OPEB plan was partially funded with COLI policies of $1.4 billion and $1.3 billion, respectively,
which were classified in level 3 of the valuation hierarchy.