Allegheny Power 2011 Annual Report Download - page 124
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109
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 FTRs held by
FirstEnergy and classified as Level 3 in the fair value hierarchy for the years ending December 31, 2011 and 2010:
December 31, 2009 Balance
Realized gain (loss)
Unrealized gain (loss)
Purchases
Issuances
Sales
Settlements
Transfers in (out) of Level 3
December 31, 2010 Balance
Realized gain (loss)
Unrealized gain (loss)
Purchases
Issuances
Sales
Settlements
Transfers in (out) of Level 3
December 31, 2011 Balance
Derivative
Assets(1)
(In millions)
$ 200
—
(71)
—
—
—
(7)
—
$ 122
—
(55)
13
—
—
(23)
—
$ 57
Derivative
Liabilities(1)
$ (643)
—
(110)
—
—
—
287
—
$ (466)
—
(173)
(4)
—
—
283
(12)
$ (372)
Net(1)
$ (443)
—
(181)
—
—
—
280
—
$ (344)
—
(228)
9
—
—
260
(12)
$ (315)
(1) Changes in the fair value of NUG contracts are generally subject to regulatory accounting and do not impact earnings.
FES
Assets
Corporate debt securities
Derivative assets — commodity contracts
Derivative assets — FTRs
Equity securities(1)
Foreign government debt securities
U.S. government debt securities
U.S. state debt securities
Other(2)
Total assets
Liabilities
Derivative liabilities — commodity contracts
Derivative liabilities — FTRs
Total liabilities
Net assets (liabilities)(3)
December 31, 2011
Level 1
(In millions)
$ —
—
—
124
—
—
—
—
$ 124
$ —
—
$ —
$ 124
Level 2
$ 1,010
248
—
—
3
7
5
132
$ 1,405
$ (234)
—
$ (234)
$ 1,171
Level 3
$ —
—
1
—
—
—
—
—
$ 1
$ —
(7)
$ (7)
$ (6)
Total
$ 1,010
248
1
124
3
7
5
132
$ 1,530
$ (234)
(7)
$ (241)
$ 1,289
December 31, 2010
Level 1
$ —
—
—
—
—
—
—
—
$ —
$ —
—
$ —
$ —
Level 2
$ 528
241
—
—
147
308
6
148
$ 1,378
$ (348)
—
$ (348)
$ 1,030
Level 3
$ —
—
—
—
—
—
—
—
$ —
$ —
—
$ —
$ —
Total
$ 528
241
—
—
147
308
6
148
$ 1,378
$ (348)
—
$ (348)
$ 1,030
(1) NDT funds hold equity portfolios whose performance of which is benchmarked against the Alerian MLP Index.
(2) Primarily consists of short-term cash investments.
(3) Excludes $(58) million and $7 million as of December 31, 2011 and 2010, respectively, of receivables, payables, taxes and accrued income
associated with the financial instruments reflected within the fair value table.