Progress Energy 2010 Annual Report Download - page 92

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(in millions) Level 1 Level 2 Level 3 Total
2009
Assets
Nuclear decommissioning trust funds
Common stock equity $839 $– $– $839
Preferred stock and other equity 16 – – 16
Corporate debt – 71 – 71
U.S. state and municipal debt – 117 – 117
U.S. and foreign government debt 62 128 – 190
Money market funds and other 1 133 – 134
Total nuclear decommissioning trust funds 918 449 – 1,367
Derivatives
Commodity forward contracts – 20 – 20
Interest rate contracts – 19 – 19
Other marketable securities
U.S. state and municipal debt – 1 – 1
U.S. and foreign government debt – 7 – 7
Money market funds and other 16 27 – 43
Total assets $934 $523 $– $1,457
Liabilities
Derivatives
Commodity forward contracts $– $386 $39 $425
Contingent value obligations derivatives – 15 – 15
Total liabilities $– $401 $39 $440
The determination of the fair values in the preceding
tables incorporates various factors, including risks of
nonperformance by us or our counterparties. Such risks
consider not only the credit standing of the counterparties
involved and the impact of credit enhancements (such as
cash deposits or letters of credit), but also the impact of
our credit risk on our liabilities.
Commodity forward contract derivatives and interest
rate contract derivatives reflect positions held by us
and the Utilities. Most over-the-counter commodity
forward contract derivatives and interest rate contract
derivatives are valued using financial models which
utilize฀observable฀inputs฀for฀similar฀instruments฀and฀are฀
classified within Level 2. Other derivatives are valued
utilizing฀inputs฀that฀are฀not฀observable฀for฀ substantially฀
the full term of the contract, or for which the impact of
the unobservable period is significant to the fair value
of the derivative. Such derivatives are classified within
Level 3. See Note 17 for discussion of risk management
activities and derivative transactions.
NDT funds reflect the assets of the Utilities’ nuclear
decommissioning trusts. The assets of the trusts are
invested primarily in exchange-traded equity securities
(classified within Level 1) and marketable debt securities,
most of which are valued using Level 1 inputs for similar
instruments and are classified within Level 2.
Other marketable securities primarily represent available-
for-sale debt securities used to fund certain employee
benefit costs.
We issued Contingent Value Obligations (CVOs) in
connection with the acquisition of Florida Progress
Corporation (Florida Progress), as discussed in Note 15.
The CVOs are derivatives recorded at fair value based
on quoted prices from a less-than-active market and are
classified as Level 2.
Transfers in (out) of Levels 1, 2 or 3 represent existing
assets฀ or฀ liabilities฀ previously฀ categorized฀ as฀ a฀ higher฀
level for which the inputs to the estimate became less