FAIR VALUE OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES (Tables)

6 Months Ended

Jun. 30, 2014

Fair Value Disclosures [Abstract]

Fair value of assets and liabilities

For financial assets and financial liabilities measured at fair value on a recurring basis, information about the fair value measurements for each major category is as follows (in thousands):

As of June 30, 2014
	Total		Level 1		Level 2		Level 3
Assets -
Available-for-Sale Securities (A)	$	9,091	$	9,091	$	—	$	—
Derivatives – Energy Related Assets (B)	1,800		1,643		157		—
	$	10,891	$	10,734	$	157	$	—
Liabilities -
Derivatives – Energy Related Liabilities (B)	$	491	$	477	$	6	$	8
Derivatives – Other (C)	5,494		—		5,494		—
	$	5,985	$	477	$	5,500	$	8

As of December 31, 2013
	Total		Level 1		Level 2		Level 3
Assets
Available-for-Sale Securities (A)	$	8,696	$	8,696	$	—	$	—
Derivatives - Energy Related Assets (B)	1,500		1,409		91		—
	$	10,196	$	10,105	$	91	$	—
Liabilities
Derivatives - Energy Related Liabilities (B)	$	759	$	155	$	604	$	—
Derivatives - Other (C)	3,735		—		3,735		—
	$	4,494	$	155	$	4,339	$	—

(A)  Available-for-Sale Securities include securities that are traded in active markets.  The securities traded in active markets are valued using the quoted principal market close prices that are provided by the trustees and are categorized in Level 1 in the fair value hierarchy.

(B)  Derivatives – Energy Related Assets and Liabilities are traded in both exchange-based and non-exchange-based markets. Exchange-based contracts are valued using unadjusted quoted market sources in active markets and are categorized in Level 1 in the fair value hierarchy. Certain non-exchange-based contracts are valued using indicative price quotations available through brokers or over-the-counter, on-line exchanges and are categorized in Level 2. These price quotations reflect the average of the bid-ask mid-point prices and are obtained from sources that management believes provide the most liquid market. Management reviews and corroborates the price quotations to ensure the prices are observable which includes consideration of actual transaction volumes, market delivery points, bid-ask spreads and contract duration. In instances where observable data is unavailable, management considers the assumptions that market participants would use in valuing the asset or liability. This includes assumptions about market risks such as liquidity, volatility and contract duration. Such instruments are categorized in Level 3 as the model inputs generally are not observable. Level 3 valuation methods for natural gas derivative contracts include utilizing another location in close proximity adjusted for certain pipeline charges to derive a basis value.

Significant Unobservable Inputs - Management uses the discounted cash flow model to value Level 3 physical forwards, which calculates mark-to-market valuations based on forward prices, original transaction prices, volumes, risk-free rate of return and credit spreads. Inputs to the valuation model are reviewed and revised as needed, based on historical information, updated market data, market liquidity and relationships, and changes in third party pricing sources. The significant unobservable inputs used in the fair value measurement of certain natural gas contracts are forward prices developed based on industry standard methodologies. Significant increases (decreases) in these forward prices for purchases of natural gas would result in a directionally similar impact to the fair value measurement and for sales of natural gas would result in a directionally opposite impact to the fair value measurement. The validity of the mark-to-market valuations and changes in mark-to-market valuations from period to period are examined and qualified against historical expectations by the risk management function. If any discrepancies are identified during this process, the mark-to-market valuations or the market pricing information is evaluated further and adjusted, if necessary.

(C)  Derivatives – Other, include interest rate swaps that are valued using quoted prices on commonly quoted intervals, which are interpolated for periods different than the quoted intervals, as inputs to a market valuation model.  Market inputs can generally be verified and model selection does not involve significant management judgment.

Quantitative information regarding significant unobservable inputs in Level 3 fair value measurements

The following table provides quantitative information regarding significant unobservable inputs in Level 3 fair value measurements (in thousands):

Type	Fair Value at June 30, 2014		Valuation Technique	Significant Unobservable Input	Range [Weighted Average]
	Assets	Liabilities
Forward Contract - Natural Gas	$—	$8	Discounted Cash Flow	Forward price (per dt)	$(2.31) - $(2.31) [$(2.31)]

Changes in fair value of significant unobservable inputs

The changes in fair value measurements of Derivatives - Energy Related Assets and Liabilities for the three and six months ended June 30, 2014 and 2013, using significant unobservable inputs (Level 3), are as follows (in thousands):

	Three Months Ended June 30, 2014			Six Months Ended June 30, 2014
Balance at beginning of period	$	—		$	—
Total losses unrealized in Regulatory Liabilities (see note 4)	(8		)	(8		)
	(8		)	(8		)
Balance at June 30	$	(8	)	$	(8	)