Eversource 2013 Annual Report Download - page 94

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82
discounts that would be required by a market participant to arrive at an exit price, using historical market transactions adjusted for the
terms of the contract.
The following is a summary of NU’s, including CL&P’s, NSTAR Electric’s and WMECO’s, Level 3 derivative contracts and the range of
the significant unobservable inputs utilized in the valuations over the duration of the contracts:
As of December 31, 2013
As of December 31, 2012
Range
Period Covered
Range
Period Covered
Energy Prices:
NU
$49 - 77 per MWh
2018-2029
$43 - 90 per MWh
2018 - 2028
CL&P
$56 - 58 per MWh
2018-2029
$50 - 55 per MWh
2018 - 2020
WMECO
$49 - 77 per MWh
2018-2029
$43 - 90 per MWh
2018 - 2028
Capacity Prices:
NU
$5.07 - 11.82 per kW-Month
2017-2029
$1.40 -10.53 per kW-Month
2016 - 2028
CL&P
$5.07 - 10.42 per kW-Month
2017-2026
$1.40 - 9.83 per kW-Month
2016 - 2026
NSTAR Electric
$5.07 - 7.38 per kW-Month
2017-2019
$1.40 - 3.39 per kW-Month
2016 - 2019
WMECO
$5.07 - 11.82 per kW-Month
2017-2029
$1.40 - 10.53 per kW-Month
2016 - 2028
Forward Reserve:
NU, CL&P
$3.30 per kW-Month
2014-2024
$0.35 - 0.90 per kW-Month
2013 - 2024
REC Prices:
NU
$36 - 87 per REC
2014-2029
$25 - 85 per REC
2013 - 2028
NSTAR Electric
$36 - 70 per REC
2014-2018
$25 - 71 per REC
2013 - 2018
WMECO
$36 - 87 per REC
2014-2029
$25 - 85 per REC
2013 - 2028
Exit price premiums of 10 percent through 32 percent are also applied on these contracts and reflect the most recent market activity
available for similar type contracts.
Significant increases or decreases in future energy or capacity prices in isolation would decrease or increase, respectively, the fair
value of the derivative liability. Any increases in the risk premiums would increase the fair value of the derivative liabilities. Changes in
these fair values are recorded as a regulatory asset or liability and would not impact net income.
Valuations using significant unobservable inputs: The following tables present changes for the years ended December 31, 2013 and
2012 in the Level 3 category of derivative assets and derivative liabilities measured at fair value on a recurring basis. The derivative
assets and liabilities are presented on a net basis. The fair value in 2012 reflects a transfer of remaining unregulated wholesale
marketing sourcing contracts that had previously been presented as a portfolio along with the unregulated wholesale marketing sales
contract as Level 3 under the highest and best use valuation premise. These contracts, which expired on December 31, 2013, were
classified within Level 2 of the fair value hierarchy as of December 31, 2012.
(Millions of Dollars)
NU (1)
CL&P
NSTAR Electric
WMECO
Derivatives, Net:
Fair Value as of January 1, 2012
$
(962.2)
$
(931.6)
$
(3.4)
$
(7.3)
Liabilities Assumed due to Merger with NSTAR
(5.4)
-
-
-
Transfer to Level 2
32.2
-
-
-
Net Realized/Unrealized Gains/(Losses) Included in:
Net Income (2)
10.9
-
-
-
Regulatory Assets and Liabilities
(29.2)
(21.6)
(15.2)
4.3
Settlements
75.1
87.0
3.7
-
Fair Value as of December 31, 2012
$
(878.6)
$
(866.2)
$
(14.9)
$
(3.0)
Net Realized/Unrealized Gains/(Losses) Included in:
Net Income (2)
10.9
-
-
-
Regulatory Assets and Liabilities
158.3
148.9
3.5
5.7
Settlements
74.2
86.7
4.1
-
Fair Value as of December 31, 2013
$
(635.2)
$
(630.6)
$
(7.3)
$
2.7
(1) NSTAR Electric amounts were included in NU beginning April 10, 2012.
(2) The Net Income impact for the years ended December 31, 2013 and 2012 related to the unregulated wholesale marketing sales
contract that was offset by the gains/(losses) on the unregulated sourcing contracts classified as Level 2 in the fair value hierarchy,
resulting in a total net gain of $1 million and net loss of $0.7 million, respectively.
6. MARKETABLE SECURITIES
NU maintains a supplemental benefit trust to fund certain non-qualified executive retirement benefit obligations and WMECO maintains
a spent nuclear fuel trust to fund WMECO’s prior period spent nuclear fuel liability, each of which hold marketable securities. These
trusts are not subject to regulatory oversight by state or federal agencies. In addition, CYAPC and YAEC maintain legally restricted
trusts, each of which holds marketable securities, for settling the decommissioning obligations of their nuclear power plants.