Eversource 2009 Annual Report Download - page 148

Download and view the complete annual report

Please find page 148 of the 2009 Eversource annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 190

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116
  • 117
  • 118
  • 119
  • 120
  • 121
  • 122
  • 123
  • 124
  • 125
  • 126
  • 127
  • 128
  • 129
  • 130
  • 131
  • 132
  • 133
  • 134
  • 135
  • 136
  • 137
  • 138
  • 139
  • 140
  • 141
  • 142
  • 143
  • 144
  • 145
  • 146
  • 147
  • 148
  • 149
  • 150
  • 151
  • 152
  • 153
  • 154
  • 155
  • 156
  • 157
  • 158
  • 159
  • 160
  • 161
  • 162
  • 163
  • 164
  • 165
  • 166
  • 167
  • 168
  • 169
  • 170
  • 171
  • 172
  • 173
  • 174
  • 175
  • 176
  • 177
  • 178
  • 179
  • 180
  • 181
  • 182
  • 183
  • 184
  • 185
  • 186
  • 187
  • 188
  • 189
  • 190

FS-63
The following table presents, by asset category, the Pension and PBOP Plan assets recorded at fair value on a recurring basis by the
level in which they are classified within the fair value hierarchy:
Pension Plan
(Millions of Dollars) Fair Value Measurements as of December 31, 2009
Asset Category: Level 1 Level 2 Level 3 Total
Equity Securities:
United States (1) $ 135.2 $ 150.1 $ 252.1 $ 537.4
International (2) 7.1 217.3 - 224.4
Emerging markets (2) - 67.1 - 67.1
Private equity (5) 21.9 - 193.8 215.7
Fixed income (3) 49.4 251.9 174.0 475.3
Real estate and other assets - - 38.5 38.5
Hedge funds - - 231.2 231.2
Total $ 213.6 $ 686.4 $ 889.6 $ 1,789.6
PBOP Plan
(Millions of Dollars) Fair Value Measurements as of December 31, 2009
Asset Category: Level 1 Level 2 Level 3 Total
Cash and cash equivalents $ 4.2 $ - $ - $ 4.2
Equity Securities:
United States 140.3 - - 140.3
International 28.0 - - 28.0
Debt Securities:
Fixed income (4) - 36.9 24.6 61.5
High yield fixed income 6.3 - - 6.3
Total $ 178.8 $ 36.9 $ 24.6 $ 240.3
(1) United States equities classified as Level 2 include investments in commingled funds totaling $77.1 million and unrealized gains on
holdings in equity index swaps totaling $73 million. Level 3 investments include hedge funds that are overlayed with equity index
swaps and futures contracts. Level 1 investments represent equity holdings of $111.8 million and equity index futures contracts
with unrealized gains of $23.4 million.
(2) The International equity and Emerging markets categorized as Level 2 represent investments in commingled funds.
(3) Fixed Income securities classified as Level 2 include investments in debt securities, including U.S. Government issued securities,
corporate bonds, asset backed securities and insurance contracts totaling $201.2 million and unrealized gains on interest rate
swaps and fixed income index swaps totaling $50.7 million. Level 3 investments include fixed income funds totaling $80.5 million
that invest in senior credit distressed credit funds and hedge funds totaling $93.5 million that are overlayed with interest rate swaps
and fixed income index swaps. Level 1 investments include exchange traded funds totaling $19.6 million and unrealized gains on
fixed income index futures contracts totaling $29.8 million.
(4) Fixed Income investments classified as Level 2 include U.S. Government issued securities, municipal bonds, corporate bonds and
other debt securities. The amount classified in Level 3 represents a fund that invests in senior credit distressed income securities
totaling $6.4 million and hedge funds totaling $18.2 million.
(5) Private equity amounts classified as Level 1 represent unrealized gains on futures contracts.
The Company values assets based on observable inputs when available. Equity securities and futures contracts classified as Level 1 in
the fair value hierarchy are priced based on the closing price on the primary exchange as of the balance sheet date. Commingled funds
included in Level 2 equity securities are recorded at the net asset value provided by the asset manager, which is based on the market
prices of the underlying equity securities. Swaps are valued using pricing models that incorporate interest rates and equity and fixed
income index closing prices to determine a net present value of the cash flows. Fixed income securities included in Level 2 are valued
using pricing models, quoted prices of securities with similar characteristics or discounted cash flows. The pricing models utilize
observable inputs such as recent trades for the same or similar instruments, yield curves, discount margins and bond structures. Hedge
funds and investments in distressed credit funds are recorded at net asset value based on the values of the underlying assets. The
assets in the Hedge funds and distressed credit income funds are valued using observable inputs and are classified as Level 3 within
the fair value hierarchy due to redemption restrictions. Private equity investments and Real estate and other assets are valued using
the net asset value provided by the partnerships, which are based on discounted cash flows of the underlying investments, real estate
appraisals or market approaches to the valuation of the underlying investments. These investments are classified as Level 3 due to
redemption restrictions.