Eversource 2012 Annual Report Download - page 102

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Term Liabilities on the accompanying consolidated balance sheet. All of the equity securities accounted for as available-for-sale
securities are held in these trusts.
Unrealized Losses and Other-than-Temporary Impairment: There have been no significant unrealized losses, other-than-temporary
impairments or credit losses for the NU supplemental benefit trust, the WMECO spent nuclear fuel trust, and in the trusts held by
CYAPC and YAEC. Factors considered in determining whether a credit loss exists include the duration and severity of the impairment,
adverse conditions specifically affecting the issuer, and the payment history, ratings and rating changes of the security. For asset-
backed debt securities, underlying collateral and expected future cash flows are also evaluated.
Realized Gains and Losses: Realized gains and losses on available-for-sale securities are recorded in Other Income, Net for the NU
supplemental benefit trust, Other Long-Term Assets for the WMECO spent nuclear fuel trust, and offset in Other Long-Term Liabilities
for CYAPC and YAEC. NU utilizes the specific identification basis method for the NU supplemental benefit trust securities and the
average cost basis method for the WMECO spent nuclear fuel trust and the CYAPC and YAEC nuclear decommissioning trusts to
compute the realized gains and losses on the sale of available-for-sale securities.
Contractual Maturities: As of December 31, 2012, the contractual maturities of available-for-sale debt securities are as follows:
NU
WMECO
Amortized
Amortized
(Millions of Dollars)
Cost
Fair Value
Cost
Fair Value
Less than one year (1)
$
66.6
$
66.6
$
27.4
$
27.4
One to five years
57.3
58.7
17.5
17.5
Six to ten years 51.2
54.6
6.0
6.1
Greater than ten years
91.5
99.9
6.8
6.7
Total Debt Securities $ 266.6
$ 279.8
$ 57.7
$ 57.7
(1) Amounts in the Less than one year NU category include securities in the nuclear decommissioning trusts, which are restricted and
are classified in long-term Marketable Securities on the accompanying consolidated balance sheet.
Fair Value Measurements: The following table presents the marketable securities recorded at fair value on a recurring basis by the
level in which they are classified within the fair value hierarchy:
NU WMECO
As of December 31,
As of December 31,
(Millions of Dollars)
2012
2011
2012
2011
Level 1:
Mutual Funds and Equities
$
212.5
$
41.1
$
-
$
-
Money Market Funds
40.2
1.8
5.2
0.1
Total Level 1
$
252.7
$
42.9
$
5.2
$
0.1
Level 2:
U.S. Government Issued Debt Securities
(Agency and Treasury)
69.9
11.1
18.7
8.0
Corporate Debt Securities
33.0
16.5
7.0
9.1
Asset-Backed Debt Securities
28.5
25.9
10.9
7.9
Municipal Bonds
93.8
16.1
11.6
15.4
Other Fixed Income Securities
14.4
18.8
4.3
16.6
Total Level 2
$
239.6
$
88.4
$
52.5
$
57.0
Total Marketable Securities
$
492.3
$
131.3
$
57.7
$
57.1
U.S. government issued debt securities are valued using market approaches that incorporate transactions for the same or similar bonds
and adjustments for yields and maturity dates. Corporate debt securities are valued using a market approach, utilizing recent trades of
the same or similar instrument and also incorporating yield curves, credit spreads and specific bond terms and conditions. Asset-
backed debt securities include collateralized mortgage obligations, commercial mortgage backed securities, and securities
collateralized by auto loans, credit card loans or receivables. Asset-backed debt securities are valued using recent trades of similar
instruments, prepayment assumptions, yield curves, issuance and maturity dates and tranche information. Municipal bonds are valued
using a market approach that incorporates reported trades and benchmark yields. Other fixed income securities are valued using
pricing models, quoted prices of securities with similar characteristics, and discounted cash flows.