Allegheny Power 2010 Annual Report Download - page 100

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85
December 31, 2009 Level 1 Level 2 Level 3 Total
Assets (In millions)
Corporate debt securities $ - $ 15 $ - $ 15
Derivative assets - commodity contracts - 5 - 5
Derivative assets - NUG contracts
(1)
- - 8 8
Equity securities
(2)
87 - - 87
U.S. government debt securities - 23 - 23
U.S. state debt securities - 230 - 230
Other - 12 - 12
Total assets $ 87 $ 285 $ 8 $ 380
Liabilities
Derivative liabilities – NUG contracts(1) $ - $ - $ (399) $ (399)
Total liabilities $ - $ - $ (399) $ (399)
Net assets (liabilities)(3) $ 87 $ 285 $ (391) $ (19)
(1) NUG contracts are subject to regulatory accounting and do not impact earnings.
(2) NDT funds hold equity portfolios whose performance is benchmarked against the S&P 500 Index or Russell 3000 Index.
(3) Excludes $(3) million as of December 31, 2010 of receivables, payables and accrued income associated with the financial
instruments reflected within the fair value table.
Rollforward of Level 3 Measurements
The following table provides a reconciliation of changes in the fair value of NUG contracts held by JCP&L and classified
as Level 3 in the fair value hierarchy for the years ending December 31, 2010 and 2009:
Derivative Asset Derivative Liability Net
NUG Contracts(1) NUG Contracts(1) NUG Contracts(1)
(In millions)
January 1, 2010 Balance $ 8 $ (399) $ (391)
Realized gain (loss) - - -
Unrealized gain (loss) (1) 36 35
Purchases - - -
Issuances - - -
Sales - - -
Settlements (1) 130 129
Transfers in (out) of Level 3 - - -
December 31, 2010 Balance $ 6 $ (233) $ (227)
January 1, 2009 Balance $ 14 $ (531) $ (517)
Realized gain (loss) - - -
Unrealized gain (loss) (6) (36) (42)
Purchases - - -
Issuances - - -
Sales - - -
Settlements - 168 168
Transfers in (out) of Level 3 - - -
December 31, 2009 Balance $ 8 $ (399) $ (391)
(1) Changes in the fair value of NUG contracts are subject to regulatory accounting and do not impact earnings.