Eversource 2009 Annual Report Download - page 138

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contracts. NU Enterprises' derivative contracts are accounted for at fair value, and changes in their fair values are recorded in
Operating expenses on the accompanying consolidated statements of income.
NU is also exposed to interest rate risk associated with its long-term debt. From time to time, various subsidiaries of the Company enter
into forward starting interest rate swaps, accounted for as cash flow hedges, to mitigate the risk of changes in interest rates when they
expect to issue long-term debt. NU parent has also entered into an interest rate swap on fixed rate long-term debt in order to manage
the balance of fixed and floating rate debt. This interest rate swap mitigates the interest rate risk associated with the fixed rate long-
term debt and is accounted for as a fair value hedge.
The gross fair values of derivative assets and liabilities with the same counterparty are offset and reported as net Derivative assets or
Derivative liabilities, with appropriate current and long-term portions, in the accompanying consolidated balance sheets. The following
tables present the gross fair values of contracts and the net amounts recorded as current or long-term derivative assets or liabilities, by
primary underlying risk exposures or purpose:
As of December 31, 2009
(Millions of Dollars)
Gross
Asset
Gross
Liability
Net Amount
Recorded as
Derivative
Asset
Gross
Asset
Gross
Liability
Cash
Collateral
Posted
Net Amount
Recorded as
Derivative
Liability
Derivatives not designated as
hedging instruments
NU Enterprises:
Commodity sales contract and related
price and supply risk management:
Current $ - $ - $ - $ 2.2 $ (13.0) $ 2.1 $ (8.7)
Long-Term - - - 6.7 (41.1) - (34.4)
Regulated Companies:
CL&P commodity and capacity
contracts required by regulation:
Current 20.1 - 20.1 - (10.3) - (10.3)
Long-Term 259.0 (75.8) 183.2 - (913.3) - (913.3)
Commodity price and supply risk
management:
CL&P:
Current 4.5 - 4.5 - - 0.5 0.5
PSNH:
Current (1) 0.4 - 0.4 - (18.8) - (18.8)
Long-Term (1) - - - - (7.6) - (7.6)
Yankee Gas:
Current 0.1 - 0.1 - (0.4) - (0.4)
Long-Term - - - - (0.3) - (0.3)
Derivatives designated as hedging
instruments
Interest rate risk management:
Current (2) 6.7 - 6.7 - - - -
Long-Term 6.5 - 6.5 - - - -
(1) On PSNH's accompanying consolidated balance sheet, the current portion of the net derivative asset is shown in Prepayments and
other and the long-term portion is shown in Deferred debits and other assets - other.
(2) Amount does not include interest receivable of $2.6 million as of December 31, 2009 recorded in Prepayments and other on the
accompanying consolidated balance sheet of NU.
The business activities of the Company that resulted in the recognition of derivative assets also create exposure to various
counterparties. As of December 31, 2009, NU had $306.4 million ($283.8 million for CL&P and $0.4 million for PSNH) of derivative
assets exposed to counterparty credit risk that are contracted with multiple entities. Of these amounts, $184.2 million ($170.9 million for
CL&P) is contracted with investment grade entities, $0.4 million related to PSNH is contracted with a government-backed entity, $108.2
million related to CL&P is contracted with a non-rated subsidiary of an investment grade company, and the remainder are contracted
with multiple other counterparties.
For further information on the fair value of derivative contracts, see Note 1F, "Summary of Significant Accounting Policies - Derivative
Accounting," Note 1G, "Summary of Significant Accounting Policies - Fair Value Measurements," and Note 4, "Fair Value
Measurements," to the consolidated financial statements.
The following provides additional information about the derivatives included in the tables above, including volumes and cash flow
information.
Derivatives not designated as hedging instruments
NU Enterprises' energy sales contract and related price risk management: As of December 31, 2009, NU Enterprises had
approximately 0.4 million megawatt-hours (MWh) of supply volumes remaining in its wholesale portfolio when expected sales to the New