JP Morgan Chase 2015 Annual Report Download - page 239

JPMorgan Chase & Co./2015 Annual Report 229
Fair value measurement of the plans’ assets and liabilities
For information on fair value measurements, including descriptions of level 1, 2, and 3 of the fair value hierarchy and the
valuation methods employed by the Firm, see Note 3.
Pension and OPEB plan assets and liabilities measured at fair value
U.S. defined benefit pension plans Non-U.S. defined benefit pension plans(g)
December 31, 2015
(in millions) Level 1 Level 2 Level 3
Total fair
value Level 1 Level 2
Total fair
value
Cash and cash equivalents $ 112 $ — $ — $ 112 $ 114 $ 1 $ 115
Equity securities 4,826 5 2 4,833 1,002 157 1,159
Common/collective trust funds(a) 339 — — 339 135 — 135
Limited partnerships(b) 53 — — 53 — — —
Corporate debt securities(c) — 1,619 2 1,621 — 758 758
U.S. federal, state, local and non-U.S. government debt
securities 580 108 — 688 212 504 716
Mortgage-backed securities — 67 1 68 2 26 28
Derivative receivables — 104 — 104 — 209 209
Other(d) 1,760 27 534 2,321 257 53 310
Total assets measured at fair value $ 7,670 $ 1,930 $ 539 $ 10,139 (e) $ 1,722 $ 1,708 $ 3,430
Derivative payables $ — $ (35) $ — $ (35) $ — $ (153) $ (153)
Total liabilities measured at fair value $ — $ (35) $ — $ (35) (f) $ — $ (153) $ (153)
U.S. defined benefit pension plans Non-U.S. defined benefit pension plans(g)
December 31, 2014
(in millions) Level 1 Level 2 Level 3
Total fair
value Level 1 Level 2
Total fair
value
Cash and cash equivalents $ 87 $ — $ — $ 87 $ 128 $ 1 $ 129
Equity securities 5,286 20 4 5,310 1,019 169 1,188
Common/collective trust funds(a) 345 — — 345 112 — 112
Limited partnerships(b) 70 — — 70 — — —
Corporate debt securities(c) — 1,454 9 1,463 — 724 724
U.S. federal, state, local and non-U.S. government debt
securities 446 161 — 607 235 540 775
Mortgage-backed securities 1 73 1 75 2 77 79
Derivative receivables — 114 — 114 — 258 258
Other(d) 2,031 27 337 2,395 283 58 341
Total assets measured at fair value $ 8,266 $ 1,849 $ 351 $ 10,466 (e) $ 1,779 $ 1,827 $ 3,606
Derivative payables $ — $ (23) $ — $ (23) $ — $ (139) $ (139)
Total liabilities measured at fair value $ — $ (23) $ — $ (23) (f) $ — $ (139) $ (139)
Note: Effective April 1, 2015, the Firm adopted new accounting guidance for certain investments where the Firm measures fair value using the net asset value per share
(or its equivalent) as a practical expedient and excluded them from the fair value hierarchy. Accordingly, such investments are not included within these tables. At
December 31, 2015 and 2014, the fair values of these investments, which include certain limited partnerships and common/collective trust funds, were $4.1 billion and
$4.3 billion, respectively, of U.S. defined benefit pension plan investments, and $234 million and $251 million, respectively, of non-U.S. defined benefit pension plan
investments. Of these investments $1.3 billion and $3.0 billion, respectively, of U.S. defined benefit pension plan investments had been previously classified in level 2
and level 3, respectively, and $251 million of non-U.S. defined benefit pension plan investments had been previously classified in level 2 at December 31, 2014. The
guidance was required to be applied retrospectively, and accordingly, prior period amounts have been revised to conform with the current period presentation.
(a) At December 31, 2015 and 2014, common/collective trust funds primarily included a mix of short-term investment funds, domestic and international equity
investments (including index) and real estate funds.
(b) Unfunded commitments to purchase limited partnership investments for the plans were $895 million and $1.2 billion for 2015 and 2014, respectively.
(c) Corporate debt securities include debt securities of U.S. and non-U.S. corporations.
(d) Other consists of money markets funds, exchange-traded funds and participating and non-participating annuity contracts. Money markets funds and exchange-
traded funds are primarily classified within level 1 of the fair value hierarchy given they are valued using market observable prices. Participating and non-
participating annuity contracts are classified within level 3 of the fair value hierarchy due to lack of market mechanisms for transferring each policy and surrender
restrictions.
(e) At December 31, 2015 and 2014, excluded U.S. defined benefit pension plan receivables for investments sold and dividends and interest receivables of $74 million
and $106 million, respectively.
(f) At December 31, 2015 and 2014, excluded $106 million and $241 million, respectively, of U.S. defined benefit pension plan payables for investments purchased;
and $17 million and $16 million, respectively, of other liabilities.
(g) There were zero assets or liabilities classified as level 3 for the non-U.S. defined benefit pension plans as of December 31, 2015 and 2014.
The Firm’s U.S. OPEB plan was partially funded with COLI policies of $1.9 billion at both December 31, 2015 and 2014, which
were classified in level 3 of the valuation hierarchy.