Allegheny Power 2010 Annual Report Download - page 97

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82
December 31, 2009 Level 1 Level 2 Level 3 Total
Assets (In millions)
Corporate debt securities $ - $ 484 $ - $ 484
Derivative assets - commodity contracts - 34 - 34
Derivative assets - NUG contracts
(1)
- - 200 200
Equity securities
(2)
295 - - 295
Foreign government debt securities - 279 - 279
U.S. government debt securities - 558 - 558
U.S. state debt securities - 478 - 478
Other
(4)
- 75 - 75
Total assets $ 295 $ 1,908 $ 200 $ 2,403
Liabilities
Derivative liabilities – commodity contracts $ (11) $ (224) $ - $ (235)
Derivative liabilities – NUG contracts(1) - - (643) (643)
Total liabilities $ (11) $ (224) $ (643) $ (878)
Net assets (liabilities)(3) $ 284 $ 1,684 $ (443) $ 1,525
(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 $(7) million and $21 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.
(4) Primarily consists of cash and cash equivalents.
Rollforward of Level 3 Measurements
The following table provides a reconciliation of changes in the fair value of NUG contracts held by the Utilities 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 $ 200 $ (643) $ (443)
Realized gain (loss) - - -
Unrealized gain (loss) (71) (110) (181)
Purchases - - -
Issuances - - -
Sales - - -
Settlements (7) 287 280
Transfers in (out) of Level 3 - - -
December 31, 2010 Balance $ 122 $ (466) $ (344)
January 1, 2009 Balance $ 434 $ (765) $ (331)
Realized gain (loss) - - -
Unrealized gain (loss) (234) (236) (470)
Purchases - - -
Issuances - - -
Sales - - -
Settlements - 358 358
Transfers in (out) of Level 3 - - -
December 31, 2009 Balance $ 200 $ (643) $ (443)
(1) Changes in the fair value of NUG contracts are subject to regulatory accounting and do not impact earnings.