Pension and Other Postretirement Employee Benefit Plans

12 Months Ended

Dec. 31, 2012

General Discussion of Pension and Other Postretirement Benefits [Abstract]

Pension and Other Postretirement Employee Benefit Plans

Pension and other postretirement employee benefit plans

The Firm’s defined benefit pension plans and its other postretirement employee benefit (“OPEB”) plans (collectively the “Plans”) are accounted for in accordance with U.S. GAAP for retirement benefits.

Defined benefit pension plans

The Firm has a qualified noncontributory U.S. defined benefit pension plan that provides benefits to substantially all U.S. employees. The U.S. plan employs a cash balance formula in the form of pay and interest credits to determine the benefits to be provided at retirement, based on eligible compensation and years of service. Employees begin to accrue plan benefits after completing one year of service, and benefits generally vest after three years of service. The Firm also offers benefits through defined benefit pension plans to qualifying employees in certain non-U.S. locations based on factors such as eligible compensation, age and/or years of service.

It is the Firm’s policy to fund the pension plans in amounts sufficient to meet the requirements under applicable laws. The Firm does not anticipate at this time any contribution to the U.S. defined benefit pension plan in 2013. The 2013 contributions to the non-U.S. defined benefit pension plans are expected to be $40 million of which $36 million are contractually required.

JPMorgan Chase also has a number of defined benefit pension plans that are not subject to Title IV of the Employee Retirement Income Security Act. The most significant of these plans is the Excess Retirement Plan, pursuant to which certain employees previously earned pay credits on compensation amounts above the maximum stipulated by law under a qualified plan; no further pay credits are allocated under this plan. The Excess Retirement Plan had an unfunded projected benefit obligation in the amount of $276 million and $272 million, at December 31, 2012 and 2011, respectively.

Effective March 19, 2012, pursuant to the WaMu Global Settlement, JPMorgan Chase Bank, N.A. became the sponsor of the WaMu Pension Plan. This plan’s assets were merged with and into the JPMorgan Chase Retirement Plan effective as of December 31, 2012.

Defined contribution plans

JPMorgan Chase currently provides two qualified defined contribution plans in the U.S. and other similar arrangements in certain non-U.S. locations, all of which are administered in accordance with applicable local laws and regulations. The most significant of these plans is The JPMorgan Chase 401(k) Savings Plan (the “401(k) Savings Plan”), which covers substantially all U.S. employees. The 401(k) Savings Plan allows employees to make pretax and Roth 401(k) contributions to tax-deferred investment portfolios. The JPMorgan Chase Common Stock Fund, which is an investment option under the 401(k) Savings Plan, is a nonleveraged employee stock ownership plan.

The Firm matches eligible employee contributions up to 5% of benefits-eligible compensation (e.g., base pay) on an annual basis. Employees begin to receive matching contributions after completing a one-year-of-service requirement. Employees with total annual cash compensation of $250,000 or more are not eligible for matching contributions. Matching contributions vest after three years of service for employees hired on or after May 1, 2009. The 401(k) Savings Plan also permits discretionary profit-sharing contributions by participating companies for certain employees, subject to a specified vesting schedule.

OPEB plans

JPMorgan Chase offers postretirement medical and life insurance benefits to certain retirees and postretirement medical benefits to qualifying U.S. employees. These benefits vary with the length of service and the date of hire and provide for limits on the Firm’s share of covered medical benefits. The medical and life insurance benefits are both contributory. Postretirement medical benefits also are offered to qualifying U.K. employees.

JPMorgan Chase’s U.S. OPEB obligation is funded with corporate-owned life insurance (“COLI”) purchased on the lives of eligible employees and retirees. While the Firm owns the COLI policies, COLI proceeds (death benefits, withdrawals and other distributions) may be used only to reimburse the Firm for its net postretirement benefit claim payments and related administrative expense. The U.K. OPEB plan is unfunded.

The following table presents the changes in benefit obligations, plan assets and funded status amounts reported on the Consolidated Balance Sheets for the Firm’s U.S. and non-U.S. defined benefit pension and OPEB plans.

	Defined benefit pension plans
As of or for the year ended December 31,	U.S.								Non-U.S.								OPEB plans(e)
(in millions)	2012				2011				2012				2011				2012			2011
Change in benefit obligation
Benefit obligation, beginning of year	$	(9,043	)		$	(8,320	)		$	(2,829	)		$	(2,600	)		$	(999	)	$	(980	)
Benefits earned during the year	(272		)		(249		)		(41		)		(36		)		(1		)	(1		)
Interest cost on benefit obligations	(466		)		(451		)		(126		)		(133		)		(44		)	(51		)
Plan amendments	—				—				6				—				—			—
WaMu Global Settlement	(1,425		)		—				—				—				—			—
Employee contributions	NA				NA				(5		)		(5		)		(74		)	(84		)
Net gain/(loss)	(864		)		(563		)		(244		)		(160		)		(9		)	(39		)
Benefits paid	592				540				108				93				149			166
Expected Medicare Part D subsidy receipts	NA				NA				NA				NA				(10		)	(10		)
Foreign exchange impact and other	—				—				(112		)		12				(2		)	—
Benefit obligation, end of year	$	(11,478	)		$	(9,043	)		$	(3,243	)		$	(2,829	)		$	(990	)	$	(999	)
Change in plan assets
Fair value of plan assets, beginning of year	$	10,472			$	10,828			$	2,989			$	2,647			$	1,435		$	1,381
Actual return on plan assets	1,292				147				237				277				142			78
Firm contributions	31				37				86				169				2			2
WaMu Global Settlement	1,809				—				—				—				—			—
Employee contributions	—				—				5				5				—			—
Benefits paid	(592		)		(540		)		(108		)		(93		)		(16		)	(26		)
Foreign exchange impact and other	—				—				121				(16		)		—			—
Fair value of plan assets, end of year	$	13,012		(b)(c)	$	10,472		(b)(c)	$	3,330		(c)	$	2,989		(c)	$	1,563		$	1,435
Funded/(unfunded) status(a)	$	1,534			$	1,429		(d)	$	87			$	160			$	573		$	436
Accumulated benefit obligation, end of year	$	(11,447	)		$	(9,008	)		$	(3,221	)		$	(2,800	)		NA			NA

(a) Represents overfunded plans with an aggregate balance of $2.8 billion and $2.6 billion at December 31, 2012 and 2011, respectively, and underfunded plans with an aggregate balance of $612 million and $621 million at December 31, 2012 and 2011, respectively.

(b) At December 31, 2012 and 2011, approximately $418 million and $426 million, respectively, of U.S. plan assets included participation rights under participating annuity contracts.

(c) At December 31, 2012 and 2011, defined benefit pension plan amounts not measured at fair value included $137 million and $50 million, respectively, of accrued receivables, and $310 million and $245 million, respectively, of accrued liabilities, for U.S. plans; and $47 million and $56 million, respectively, of accrued receivables, and $46 million and $69 million of accrued liabilities, respectively, for non-U.S. plans.

(d) Does not include any amounts attributable to the WaMu Pension Plan.

(e) Includes an unfunded accumulated postretirement benefit obligation of $31 million and $33 million at December 31, 2012 and 2011, respectively, for the U.K. plan.

Gains and losses

For the Firm’s defined benefit pension plans, fair value is used to determine the expected return on plan assets. Amortization of net gains and losses is included in annual net periodic benefit cost if, as of the beginning of the year, the net gain or loss exceeds 10% of the greater of the projected benefit obligation or the fair value of the plan assets. Any excess is amortized over the average future service period of defined benefit pension plan participants, which for the U.S. defined benefit pension plan is currently nine years. In addition, prior service costs are amortized over the average remaining service period of active employees expected to receive benefits under the plan when the prior service cost is first recognized. The average remaining amortization period for current prior service costs is six years.

For the Firm’s OPEB plans, a calculated value that recognizes changes in fair value over a five-year period is used to determine the expected return on plan assets. This value is referred to as the market related value of assets. Amortization of net gains and losses, adjusted for gains and losses not yet recognized, is included in annual net periodic benefit cost if, as of the beginning of the year, the net gain or loss exceeds 10% of the greater of the accumulated postretirement benefit obligation or the market related value of assets. Any excess is amortized over the average future service period, which is currently four years; however, prior service costs are amortized over the average years of service remaining to full eligibility age, which is currently three years.

The following table presents pretax pension and OPEB amounts recorded in AOCI.

	Defined benefit pension plans
December 31,	U.S.						Non-U.S.						OPEB plans
(in millions)	2012			2011			2012			2011			2012			2011
Net gain/(loss)	$	(3,814	)	$	(3,669	)	$	(676	)	$	(544	)	$	(133	)	$	(176	)
Prior service credit/(cost)	237			278			18			12			1			1
Accumulated other comprehensive income/(loss), pretax, end of year	$	(3,577	)	$	(3,391	)	$	(658	)	$	(532	)	$	(132	)	$	(175	)

The following table presents the components of net periodic benefit costs reported in the Consolidated Statements of Income and other comprehensive income for the Firm’s U.S. and non-U.S. defined benefit pension, defined contribution and OPEB plans.

	Pension plans
	U.S.									Non-U.S.									OPEB plans
Year ended December 31, (in millions)	2012			2011			2010			2012			2011			2010			2012			2011			2010
Components of net periodic benefit cost
Benefits earned during the year	$	272		$	249		$	230		$	41		$	36		$	31		$	1		$	1		$	2
Interest cost on benefit obligations	466			451			468			126			133			128			44			51			55
Expected return on plan assets	(861		)	(791		)	(742		)	(137		)	(141		)	(126		)	(90		)	(88		)	(96		)
Amortization:
Net (gain)/loss	289			165			225			36			48			56			(1		)	1			(1		)
Prior service cost/(credit)	(41		)	(43		)	(43		)	—			(1		)	(1		)	—			(8		)	(13		)
Settlement (gain)/loss	—			—			—			—			—			1			—			—			—
Special termination benefits	—			—			—			—			—			1			—			—			—
Net periodic defined benefit cost	125			31			138			66			75			90			(46		)	(43		)	(53		)
Other defined benefit pension plans(a)	15			19			14			8			12			11			NA			NA			NA
Total defined benefit plans	140			50			152			74			87			101			(46		)	(43		)	(53		)
Total defined contribution plans	409			370			332			302			285			251			NA			NA			NA
Total pension and OPEB cost included in compensation expense	$	549		$	420		$	484		$	376		$	372		$	352		$	(46	)	$	(43	)	$	(53	)
Changes in plan assets and benefit obligations recognized in other comprehensive income
Net (gain)/loss arising during the year	$	434		$	1,207		$	(187	)	$	146		$	25		$	(21	)	$	(43	)	$	58		$	(54	)
Prior service credit arising during the year	—			—			—			(6		)	—			(10		)	—			—			—
Amortization of net loss	(289		)	(165		)	(225		)	(36		)	(48		)	(56		)	1			(1		)	1
Amortization of prior service (cost)/credit	41			43			43			—			1			1			—			8			13
Settlement loss/(gain)	—			—			—			—			—			(1		)	—			—			—
Foreign exchange impact and other	—			—			—			22			1			(23		)	(1		)	—			1
Total recognized in other comprehensive income	$	186		$	1,085		$	(369	)	$	126		$	(21	)	$	(110	)	$	(43	)	$	65		$	(39	)
Total recognized in net periodic benefit cost and other comprehensive income	$	311		$	1,116		$	(231	)	$	192		$	54		$	(20	)	$	(89	)	$	22		$	(92	)

(a) Includes various defined benefit pension plans which are individually immaterial.

The estimated pretax amounts that will be amortized from AOCI into net periodic benefit cost in 2013 are as follows.

	Defined benefit pension plans						OPEB plans
(in millions)	U.S.			Non-U.S.			U.S.		Non-U.S.
Net loss/(gain)	$	276		$	50		$	5	$	(1	)
Prior service cost/(credit)	(41		)	(2		)	—		—
Total	$	235		$	48		$	5	$	(1	)

The following table presents the actual rate of return on plan assets for the U.S. and non-U.S. defined benefit pension and OPEB plans.

	U.S.						Non-U.S.
Year ended December 31,	2012		2011		2010		2012	2011	2010
Actual rate of return:
Defined benefit pension plans	12.66	%	0.72	%	12.23	%	7.21 - 11.72%	(4.29)-13.12%	0.77-10.65%
OPEB plans	10.10		5.22		11.23		NA	NA	NA

Plan assumptions

JPMorgan Chase’s expected long-term rate of return for U.S. defined benefit pension and OPEB plan assets is a blended average of the investment advisor’s projected long-term (10 years or more) returns for the various asset classes, weighted by the asset allocation. Returns on asset classes are developed using a forward-looking approach and are not strictly based on historical returns. Equity returns are generally developed as the sum of inflation, expected real earnings growth and expected long-term dividend yield. Bond returns are generally developed as the sum of inflation, real bond yield and risk spread (as appropriate), adjusted for the expected effect on returns from changing yields. Other asset-class returns are derived from their relationship to the equity and bond markets. Consideration is also given to current market conditions and the short-term portfolio mix of each plan; as a result, in 2012 the Firm generally maintained the same expected return on assets as in the prior year.

For the U.K. defined benefit pension plans, which represent the most significant of the non-U.S. defined benefit pension plans, procedures similar to those in the U.S. are used to develop the expected long-term rate of return on plan assets, taking into consideration local market conditions and the specific allocation of plan assets. The expected long-term rate of return on U.K. plan assets is an average of projected long-term returns for each asset class. The return on equities has been selected by reference to the yield on long-term U.K. government bonds plus an equity risk premium above the risk-free rate. The expected return on “AA” rated long-term corporate bonds is based on an implied yield for similar bonds.

The discount rate used in determining the benefit obligation under the U.S. defined benefit pension and OPEB plans was selected by reference to the yields on portfolios of bonds with maturity dates and coupons that closely match each of the plan’s projected cash flows; such portfolios are derived from a broad-based universe of high-quality corporate bonds as of the measurement date. In years in which these hypothetical bond portfolios generate excess cash, such excess is assumed to be reinvested at the one-year forward rates implied by the Citigroup Pension Discount Curve published as of the measurement date. The discount rate for the U.K. defined benefit pension plan represents a rate implied from the yield curve of the year-end iBoxx £ corporate “AA” 15-year-plus bond index.

The following tables present the weighted-average annualized actuarial assumptions for the projected and accumulated postretirement benefit obligations, and the components of net periodic benefit costs, for the Firm’s significant U.S. and non-U.S. defined benefit pension and OPEB plans, as of and for the periods indicated.

Weighted-average assumptions used to determine benefit obligations
	U.S.				Non-U.S.
December 31,	2012		2011		2012	2011
Discount rate:
Defined benefit pension plans	3.90	%	4.60	%	1.40 - 4.40%	1.50-4.80%
OPEB plans	3.90		4.70		—	—
Rate of compensation increase	4.00		4.00		2.75 - 4.10	2.75-4.20
Health care cost trend rate:
Assumed for next year	7.00		7.00		—	—
Ultimate	5.00		5.00		—	—
Year when rate will reach ultimate	2017		2017		—	—

Weighted-average assumptions used to determine net periodic benefit costs
	U.S.						Non-U.S.
Year ended December 31,	2012		2011		2010		2012	2011	2010
Discount rate:
Defined benefit pension plans	4.60	%	5.50	%	6.00	%	1.50 - 4.80%	1.60-5.50%	2.00–5.70%
OPEB plans	4.70		5.50		6.00		—	—	—
Expected long-term rate of return on plan assets:
Defined benefit pension plans	7.50		7.50		7.50		2.50 - 4.60	2.40-5.40	2.40–6.20
OPEB plans	6.25		6.25		7.00		NA	NA	NA
Rate of compensation increase	4.00		4.00		4.00		2.75 - 4.20	3.00-4.50	3.00–4.50
Health care cost trend rate:
Assumed for next year	7.00		7.00		7.75		—	—	—
Ultimate	5.00		5.00		5.00		—	—	—
Year when rate will reach ultimate	2017		2017		2014		—	—	—

The following table presents the effect of a one-percentage-point change in the assumed health care cost trend rate on JPMorgan Chase’s total service and interest cost and accumulated postretirement benefit obligation.

Year ended December 31, 2012 (in millions)	1-Percentage point increase		1-Percentage point decrease
Effect on total service and interest cost	$	1	$	(1	)
Effect on accumulated postretirement benefit obligation	28		(25		)

At December 31, 2012, the Firm decreased the discount rates used to determine its benefit obligations for the U.S. defined benefit pension and OPEB plans in light of current market interest rates, which will result in an increase in expense of approximately $48 million for 2013. The 2013 expected long-term rate of return on U.S. defined benefit pension plan assets and U.S. OPEB plan assets are 7.50% and 6.25%, respectively, unchanged from 2012. For 2013, the initial health care benefit obligation trend assumption has been set at 7.00%, and the ultimate health care trend assumption and the year to reach the ultimate rate remains at 5.00% and 2017, respectively, unchanged from 2012. As of December 31, 2012, the interest crediting rate assumption and the assumed rate of compensation increase remained at 5.00% and 4.00%, respectively.

JPMorgan Chase’s U.S. defined benefit pension and OPEB plan expense is sensitive to the expected long-term rate of return on plan assets and the discount rate. With all other assumptions held constant, a 25-basis point decline in the expected long-term rate of return on U.S. plan assets would result in an increase of approximately an aggregate $35 million in 2013 U.S. defined benefit pension and OPEB plan expense. A 25-basis point decline in the discount rate for the U.S. plans would result in an increase in 2013 U.S. defined benefit pension and OPEB plan expense of approximately an aggregate $19 million and an increase in the related benefit obligations of approximately an aggregate $272 million. A 25-basis point decrease in the interest crediting rate for the U.S. defined benefit pension plan would result in a decrease in 2013 U.S. defined benefit pension expense of approximately $25 million and a decrease in the related projected benefit obligations of approximately $116 million. A 25-basis point decline in the discount rates for the non-U.S. plans would result in an increase in the 2013 non-U.S. defined benefit pension plan expense of approximately $14 million.

Investment strategy and asset allocation

The Firm’s U.S. defined benefit pension plan assets are held in trust and are invested in a well-diversified portfolio of equity and fixed income securities, real estate, cash and cash equivalents, and alternative investments (e.g., hedge funds, private equity, real estate and real assets). Non-U.S. defined benefit pension plan assets are held in various trusts and are also invested in well-diversified portfolios of equity, fixed income and other securities. Assets of the Firm’s COLI policies, which are used to partially fund the U.S. OPEB plan, are held in separate accounts with an insurance company and are invested in equity and fixed income index funds.

The investment policy for the Firm’s U.S. defined benefit pension plan assets is to optimize the risk-return relationship as appropriate to the needs and goals using a global portfolio of various asset classes diversified by market segment, economic sector, and issuer. Assets are managed by a combination of internal and external investment managers. Periodically the Firm performs a comprehensive analysis on the U.S. defined benefit pension plan asset allocations, incorporating projected asset and liability data, which focuses on the short- and long-term impact of the asset allocation on cumulative pension expense, economic cost, present value of contributions and funded status. Currently, approved asset allocation ranges are: U.S. equity 15% to 35%, international equity 15% to 25%, debt securities 10% to 30%, hedge funds 10% to 30%, and real estate, real assets and private equity 5% to 20%. Asset allocations are not managed to a specific target but seek to shift asset class allocations within these stated ranges. Investment strategies incorporate the economic outlook and the anticipated implications of the macroeconomic environment on the various asset classes while maintaining an appropriate level of liquidity for the plan. The Firm regularly reviews the asset allocations and asset managers, as well as other factors that impact the portfolio, which is rebalanced when deemed necessary.

For the U.K. defined benefit pension plans, which represent the most significant of the non-U.S. defined benefit pension plans, the assets are invested to maximize returns subject to an appropriate level of risk relative to the plans’ liabilities. In order to reduce the volatility in returns relative to the plans’ liability profiles, the U.K. defined benefit pension plans’ largest asset allocations are to debt securities of appropriate durations. Other assets, mainly equity securities, are then invested for capital appreciation, to provide long-term investment growth. Similar to the U.S. defined benefit pension plan, asset allocations and asset managers for the U.K. plans are reviewed regularly and the portfolio is rebalanced when deemed necessary.

Investments held by the Plans include financial instruments which are exposed to various risks such as interest rate, market and credit risks. Exposure to a concentration of credit risk is mitigated by the broad diversification of both U.S. and non-U.S. investment instruments. Additionally, the investments in each of the common/collective trust funds and registered investment companies are further diversified into various financial instruments. As of December 31, 2012, assets held by the Firm’s U.S. and non-U.S. defined benefit pension and OPEB plans do not include JPMorgan Chase common stock, except in connection with investments in third-party stock-index funds. The plans hold investments in funds that are sponsored or managed by affiliates of JPMorgan Chase in the amount of $1.8 billion and $1.6 billion for U.S. plans and $220 million and $194 million for non-U.S. plans, as of December 31, 2012 and 2011, respectively.

The following table presents the weighted-average asset allocation of the fair values of total plan assets at December 31 for the years indicated, as well as the respective approved range/target allocation by asset category, for the Firm’s U.S. and non-U.S. defined benefit pension and OPEB plans.

	Defined benefit pension plans
	U.S.					Non-U.S.						OPEB plans(c)
	Target	% of plan assets				Target		% of plan assets				Target		% of plan assets
December 31,	Allocation	2012		2011		Allocation		2012		2011		Allocation		2012		2011
Asset category
Debt securities(a)	10-30%	20	%	20	%	70	%	72	%	74	%	50	%	50	%	50	%
Equity securities	25-60	41		39		29		27		25		50		50		50
Real estate	5-20	5		5		—		—		—		—		—		—
Alternatives(b)	15-50	34		36		1		1		1		—		—		—
Total	100%	100	%	100	%	100	%	100	%	100	%	100	%	100	%	100	%

(a) Debt securities primarily include corporate debt, U.S. federal, state, local and non-U.S. government, and mortgage-backed securities.

(b) Alternatives primarily include limited partnerships.

(c) Represents the U.S. OPEB plan only, as the U.K. OPEB plan is unfunded.

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 on pages 196–214 of this Annual Report.

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, 2012 (in millions)	Level 1		Level 2			Level 3		Total fair value			Level 1			Level 2		Level 3		Total fair value
Cash and cash equivalents	$	162	$	—		$	—	$	162		$	142		$	—	$	—	$	142
Equity securities:
Capital equipment	702		6			—		708			115			15		—		130
Consumer goods	744		4			—		748			136			32		—		168
Banks and finance companies	425		54			—		479			94			23		—		117
Business services	424		—			—		424			125			8		—		133
Energy	192		—			—		192			54			12		—		66
Materials	211		—			—		211			30			6		—		36
Real Estate	18		—			—		18			10			—		—		10
Other	1,107		42			4		1,153			19			71		—		90
Total equity securities	3,823		106			4		3,933			583			167		—		750
Common/collective trust funds(a)	412		1,660			199		2,271			62			192		—		254
Limited partnerships:(b)
Hedge funds	—		878			1,166		2,044			—			—		—		—
Private equity	—		—			1,743		1,743			—			—		—		—
Real estate	—		—			467		467			—			—		—		—
Real assets(c)	—		—			311		311			—			—		—		—
Total limited partnerships	—		878			3,687		4,565			—			—		—		—
Corporate debt securities(d)	—		1,114			1		1,115			—			765		—		765
U.S. federal, state, local and non-U.S. government debt securities	—		537			—		537			—			1,237		—		1,237
Mortgage-backed securities	107		30			—		137			100			—		—		100
Derivative receivables	3		5			—		8			109			—		—		109
Other(e)	7		34			420		461			21			67		—		88
Total assets measured at fair value(f)(g)	$	4,514	$	4,364		$	4,311	$	13,189		$	1,017		$	2,428	$	—	$	3,445
Derivative payables	$	—	$	(4	)	$	—	$	(4	)	$	(116	)	$	—	$	—	$	(116	)
Total liabilities measured at fair value(h)	$	—	$	(4	)	$	—	$	(4	)	$	(116	)	$	—	$	—	$	(116	)

	U.S. defined benefit pension plans										Non-U.S. defined benefit pension plans
December 31, 2011 (in millions)	Level 1		Level 2			Level 3		Total fair value			Level 1		Level 2			Level 3		Total fair value
Cash and cash equivalents	$	117	$	—		$	—	$	117		$	72	$	—		$	—	$	72
Equity securities:
Capital equipment	607		7			—		614			69		12			—		81
Consumer goods	657		—			—		657			64		30			—		94
Banks and finance companies	301		2			—		303			83		13			—		96
Business services	332		—			—		332			48		10			—		58
Energy	173		—			—		173			52		10			—		62
Materials	161		—			1		162			35		6			—		41
Real estate	11		—			—		11			1		—			—		1
Other	766		274			—		1,040			160		5			—		165
Total equity securities	3,008		283			1		3,292			512		86			—		598
Common/collective trust funds(a)	401		1,125			202		1,728			138		170			—		308
Limited partnerships:(b)
Hedge funds	—		933			1,039		1,972			—		—			—		—
Private equity	—		—			1,367		1,367			—		—			—		—
Real estate	—		—			306		306			—		—			—		—
Real assets(c)	—		—			264		264			—		—			—		—
Total limited partnerships	—		933			2,976		3,909			—		—			—		—
Corporate debt securities(d)	—		544			2		546			—		958			—		958
U.S. federal, state, local and non-U.S. government debt securities	—		328			—		328			—		904			—		904
Mortgage-backed securities	122		36			—		158			17		—			—		17
Derivative receivables	1		2			—		3			—		7			—		7
Other(e)	102		60			427		589			74		65			—		139
Total assets measured at fair value(f)(g)	$	3,751	$	3,311		$	3,608	$	10,670		$	813	$	2,190		$	—	$	3,003
Derivative payables	$	—	$	(3	)	$	—	$	(3	)	$	—	$	(1	)	$	—	$	(1	)
Total liabilities measured at fair value(h)	$	—	$	(3	)	$	—	$	(3	)	$	—	$	(1	)	$	—	$	(1	)

(a) At December 31, 2012 and 2011, 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 $1.4 billion and $1.2 billion for 2012 and 2011, respectively.

(c) Real assets include investments in productive assets such as agriculture, energy rights, mining and timber properties and exclude raw land to be developed for real estate purposes.

(d) Corporate debt securities include debt securities of U.S. and non-U.S. corporations.

(e) Other consists of exchange-traded funds and participating and non-participating annuity contracts. 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.

(f) At December 31, 2012 and 2011, the fair value of investments valued at NAV were $4.4 billion and $3.9 billion, respectively, which were classified within the valuation hierarchy as follows: $0.4 billion and $0.4 billion in level 1, $2.5 billion and $2.1 billion in level 2 and $1.5 billion and $1.4 billion in level 3.

(g) At December 31, 2012 and 2011, excluded U.S. defined benefit pension plan receivables for investments sold and dividends and interest receivables of $137 million and $50 million, respectively; and excluded non-U.S. defined benefit pension plan receivables for investments sold and dividends and interest receivables of $47 million and $56 million, respectively.

(h) At December 31, 2012 and 2011, excluded $306 million and $241 million, respectively, of U.S. defined benefit pension plan payables for investments purchased; and $4 million and $4 million, respectively, of other liabilities; and excluded non-U.S. defined benefit pension plan payables for investments purchased of $46 million and $69 million, respectively.

The Firm’s OPEB plan was partially funded with COLI policies of $1.6 billion and $1.4 billion, at December 31, 2012 and 2011, respectively, which were classified in level 3 of the valuation hierarchy.

Changes in level 3 fair value measurements using significant unobservable inputs
Year ended December 31, 2012 (in millions)	Fair value, January 1, 2012		Actual return on plan assets					Purchases, sales and settlements, net			Transfers in and/or out of level 3		Fair value, December 31, 2012
			Realized gains/(losses)		Unrealized gains/(losses)
U.S. defined benefit pension plans
Equities	$	1	$	—	$	(1	)	$	—		$	4	$	4
Common/collective trust funds	202		2		22			(27		)	—		199
Limited partnerships:
Hedge funds	1,039		1		71			55			—		1,166
Private equity	1,367		59		54			263			—		1,743
Real estate	306		16		1			144			—		467
Real assets	264		—		10			37			—		311
Total limited partnerships	2,976		76		136			499			—		3,687
Corporate debt securities	2		—		—			(1		)	—		1
Other	427		—		(7		)	—			—		420
Total U.S. plans	$	3,608	$	78	$	150		$	471		$	4	$	4,311
Non-U.S. defined benefit pension plans
Other	$	—	$	—	$	—		$	—		$	—	$	—
Total non-U.S. plans	$	—	$	—	$	—		$	—		$	—	$	—
OPEB plans
COLI	$	1,427	$	—	$	127		$	—		$	—	$	1,554
Total OPEB plans	$	1,427	$	—	$	127		$	—		$	—	$	1,554

Year ended December 31, 2011 (in millions)	Fair value, January 1, 2011		Actual return on plan assets						Purchases, sales and settlements, net			Transfers in and/or out of level 3			Fair value, December 31, 2011
			Realized gains/(losses)			Unrealized gains/(losses)
U.S. defined benefit pension plans
Equities	$	—	$	—		$	—		$	—		$	1		$	1
Common/collective trust funds	194		35			1			(28		)	—			202
Limited partnerships:
Hedge funds	1,160		(16		)	27			(76		)	(56		)	1,039
Private equity	1,232		56			2			77			—			1,367
Real estate	304		8			40			14			(60		)	306
Real assets	—		5			(7		)	150			116			264
Total limited partnerships	2,696		53			62			165			—			2,976
Corporate debt securities	1		—			—			1			—			2
Other	387		—			41			(1		)	—			427
Total U.S. plans	$	3,278	$	88		$	104		$	137		$	1		$	3,608
Non-U.S. defined benefit pension plans
Other	$	—	$	—		$	—		$	—		$	—		$	—
Total non-U.S. plans	$	—	$	—		$	—		$	—		$	—		$	—
OPEB plans
COLI	$	1,381	$	—		$	70		$	(24	)	$	—		$	1,427
Total OPEB plans	$	1,381	$	—		$	70		$	(24	)	$	—		$	1,427

Year ended December 31, 2010 (in millions)	Fair value, January 1, 2010		Actual return on plan assets						Purchases, sales and settlements, net			Transfers in and/or out of level 3		Fair value, December 31, 2010
			Realized gains/(losses)			Unrealized gains/(losses)
U.S. defined benefit pension plans
Equities	$	—	$	—		$	—		$	—		$	—	$	—
Common/collective trust funds(a)	284		—			(90		)	—			—		194
Limited partnerships:
Hedge funds	680		(1		)	14			388			79		1,160
Private equity	874		3			108			235			12		1,232
Real estate	196		3			16			89			—		304
Real assets	—		—			—			—			—		—
Total limited partnerships	1,750		5			138			712			91		2,696
Corporate debt securities	—		—			—			—			1		1
Other	334		—			53			—			—		387
Total U.S. plans	$	2,368	$	5		$	101		$	712		$	92	$	3,278
Non-U.S. defined benefit pension plans
Other	$	13	$	—		$	(1	)	$	(12	)	$	—	$	—
Total non-U.S. plans	$	13	$	—		$	(1	)	$	(12	)	$	—	$	—
OPEB plans
COLI	$	1,269	$	—		$	137		$	(25	)	$	—	$	1,381
Total OPEB plans	$	1,269	$	—		$	137		$	(25	)	$	—	$	1,381

(a) The prior period has been revised to consider redemption notification periods in determining the classification of investments within the fair value hierarchy.

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.

Year ended December 31, (in millions)	U.S. defined benefit pension plans		Non-U.S. defined benefit pension plans		OPEB before Medicare Part D subsidy		Medicare Part D subsidy
2013	$	1,159	$	102	$	92	$	11
2014	1,162		101		91		12
2015	705		108		89		13
2016	709		110		87		14
2017	711		112		84		14
Years 2018–2022	3,555		626		376		65