Allegheny Power 2010 Annual Report Download - page 103

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88
December 31, 2009 Level 1 Level 2 Level 3 Total
Assets (In millions)
Corporate debt securities $ - $ 6 $ - $ 6
Derivative assets - commodity contracts - 5 - 5
Derivative assets - NUG contracts
(1)
- - 16 16
Equity securities
(2)
74 - - 74
U.S. government debt securities - 9 - 9
U.S. state debt securities - 151 - 151
Other - 20 - 20
Total assets $ 74 $ 191 $ 16 $ 281
Liabilities
Derivative liabilities – NUG contracts(1) $ - $ - $ (101) $ (101)
Total liabilities $ - $ - $ (101) $ (101)
Net assets (liabilities)(3) $ 74 $ 191 $ (85) $ 180
(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 and $3 million as of December 31, 2010 and 2009, respectively, 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 and commodity contracts held by
Penelec 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 $ 16 $ (101) $ (85)
Realized gain (loss) - - -
Unrealized gain (loss) (11) (108) (119)
Purchases - - -
Issuances - - -
Sales - - -
Settlements (1) 92 91
Transfers in (out) of Level 3 - - -
December 31, 2010 Balance $ 4 $ (117) $ (113)
January 1, 2009 Balance $ 120 $ (84) $ 36
Realized gain (loss) - - -
Unrealized gain (loss) (104) (119) (223)
Purchases - - -
Issuances - - -
Sales - - -
Settlements - 102 102
Transfers in (out) of Level 3 - - -
December 31, 2009 Balance $ 16 $ (101) $ (85)
(1) Changes in the fair value of NUG contracts are subject to regulatory accounting and do not impact earnings.