Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2013

Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis as of March 31, 2013 are summarized below.


	Level 1				Level 2				Level 3				Netting Adjustments(d)						Total(e)
*(Millions of Dollars)*	Con Edison		CECONY		Con Edison		CECONY		Con Edison		CECONY		Con Edison			CECONY			Con Edison		CECONY
Derivative assets:
Commodity (a)(e)		$ 2		$ 2		$ 71		$ 19		$36		$11		$(20	)		$ 2			$ 89		$ 34
Other assets (c)(e)		109		102		112		103		—		—		—			—			221		205
Total		$111		$104		$183		$122		$36		$11		$(20	)		$ 2			$310		$239
Derivative liabilities:
Commodity (a)(e)		$ 8		$ 8		$ 72		$ 35		$22		$ —		$(67	)		$(27	)		$ 35		$ 16
Interest rate contract (b)(e)		—		—		5		—		—		—		—			—			5		—
Total		$ 8		$ 8		$ 77		$ 35		$22		$ —		$(67	)		$(27	)		$ 40		$ 16

(a)	A portion of the commodity derivatives categorized in Level 3 is valued using an internally developed model with observable inputs. The models also include some less readily observable inputs resulting in the classification of the entire contract as Level 3. See Note K.

(b)	See Note K.

(c)	Other assets are comprised of assets such as life insurance contracts within the deferred compensation plan and non-qualified retirement plans.

(d)	Amounts represent the impact of legally-enforceable master netting agreements that allow the Companies to net gain and loss positions and cash collateral held or placed with the same counterparties.

(e)	The Companies’ policy is to recognize transfers into and transfers out of the levels at the end of the reporting period. There were no transfers between levels 1, 2, and 3 for the three months ended March 31, 2013.

Assets and liabilities measured at fair value on a recurring basis as of December 31, 2012 are summarized below.


	Level 1				Level 2				Level 3				Netting Adjustments(d)						Total(e)
*(Millions of Dollars)*	Con Edison		CECONY		Con Edison		CECONY		Con Edison		CECONY		Con Edison			CECONY			Con Edison		CECONY
Derivative assets:
Commodity (a)(e)		$ —		$ —		$ 43		$ 8		$33		$10		$(10	)		$ 12			$ 66		$ 30
Other assets (c)(e)(f)		106		99		107		98		—		—		—			—			213		197
Total		$106		$99		$150		$106		$33		$10		$(10	)		$ 12			$279		$227
Derivative liabilities:
Commodity (a)(e)(h)		$ 12		$12		$116		$ 62		$38		$ —		$(94	)		$(35	)		$ 72		$ 39
Interest rate contract (b)(e)(g)		—		—		6		—		—		—		—			—			6		—
Total		$ 12		$12		$122		$ 62		$38		$ —		$(94	)		$(35	)		$ 78		$ 39

(a)

A significant portion of the commodity derivative contracts categorized in Level 3 is valued using either an industry acceptable model or an internally developed model with observable inputs. The models also include some less readily observable inputs resulting in the classification of the entire contract as Level 3. See Note K.

(b)	See Note K.

(c)	Other assets are comprised of assets such as life insurance contracts within the deferred compensation plan and non-qualified retirement plans.

(d)	Amounts represent the impact of legally-enforceable master netting agreements that allow the Companies to net gain and loss positions and cash collateral held or placed with the same counterparties.

(e)	The Companies’ policy is to recognize transfers into and transfers out of the levels at the end of the reporting period.

(f)	On March 31, 2012, other assets of $105 million for Con Edison and $95 million for CECONY were transferred from Level 3 to Level 2 because of reassessment of the levels in the fair value hierarchy within which certain inputs fall as of March 31, 2012.

(g)	On March 31, 2012, interest rate contract of $8 million was transferred from Level 3 to Level 2 because of reassessment of the levels in the fair value hierarchy within which certain inputs fall.

(h)

During 2012, Con Edison transferred commodity derivate contract liabilities of $2 million from Level 1 to Level 2, $9 million from Level 2 to Level 1, $2 million from Level 2 to Level 3, and $11 million from Level 3 to Level 2 because of reassessment of the levels in the fair value hierarchy within which certain inputs fall.

Schedule of Commodity Derivatives

The managers of the risk management groups report to the Companies’ Vice President and Treasurer.

Fair Value of
Level 3 at
March 31, 2013

(Millions of Dollars)

Valuation

Techniques

Unobservable Inputs

Range

Con Edison—Commodity

Electricity

Discounted Cash Flow

Forward energy prices (a)

Forward capacity prices

$28-$116 per MWH

$1.50-$14.20 KW- month

Electricity Wholesale Contract

Discounted Cash Flow

Forward energy prices (b)

New Jersey solar renewable energy credit (SREC) (b)

$33-$49 per MWH

$2.50-$110 per SREC

Standard Offer Capacity Agreements

(12

)

Discounted Cash Flow

Forward capacity prices (a)

Forward price escalator (a)

Present value factor (a)

$166 MW-day

0%-3%

1.66%

Transmission Congestion Contracts / Financial Transmission Rights

Discounted Cash Flow

Discount to adjust auction prices for inter-zonal forward price curves (b)

Discount to adjust auction prices for historical monthly realized settlements (b)

17.5%-38%

8.5%-49%

Inter-zonal forward price curves and for historical zonal losses (b)

$0.11-$5.74

Total Con Edison—Commodity

CECONY—Commodity

Transmission Congestion Contracts

Discounted Cash Flow

Discount to adjust auction prices for inter-zonal forward price curves (b)

17.5%-38%

Discount to adjust auction prices for historical monthly realized settlements (b)

8.5%-49%

(a)	Generally, increases/(decreases) in this input in isolation would result in a higher/(lower) fair value measurement.

(b)	Generally, increases/(decreases) in this input in isolation would result in a lower/(higher) fair value measurement.

Reconciliation of Beginning and Ending Net Balances for Assets and Liabilities Measured at Level 3 Fair Value

The table listed below provides a reconciliation of the beginning and ending net balances for assets and liabilities measured at fair value as of March 31, 2013 and 2012 and classified as Level 3 in the fair value hierarchy:


	For Three Months Ended March 31, 2013
				Total Gains/(Losses)— Realized and Unrealized
*(Millions of Dollars)*	Beginning Balance as of January 1, 2013			Included in Earnings		Included in Regulatory Assets and Liabilities		Purchases		Issuances		Sales		Settlements			Transfer In/Out of Level 3		Ending Balance as of March 31, 2013
Con Edison
Derivatives:
Commodity		$ (5	)		$31		$5		$4		$—		$—		$(21	)		$—		$14
CECONY
Derivatives:
Commodity		$10			$10		$1		$4		$—		$—		$(14	)		$—		$11


	For Three Months Ended March 31, 2012
				Total Gains/(Losses)— Realized and Unrealized
*(Millions of Dollars)*	Beginning Balance as of January 1, 2012			Included in Earnings			Included in Regulatory Assets and Liabilities			Purchases		Issuances		Sales		Settlements		Transfer In/Out of Level 3			Ending Balance as of March 31, 2012
Con Edison
Derivatives:
Commodity		$(62	)		$(58	)		$(17	)		$6		$—		$—		$38		$ —			$(93	)
Interest rate contract		(8	)		(1	)		—			—		—		—		1		8			—
Other assets(a)		99			3			3			—		—		—		—		(105	)		—
Total		$ 29			$(56	)		$(14	)		$6		$—		$—		$39		$(97	)		$(93	)
CECONY
Derivatives:
Commodity		$ (7	)		$ (5	)		$ (7	)		$6		$—		$—		$ —		$ —			$(13	)
Other assets(a)		90			3			2			—		—		—		—		(95	)		—
Total		$ 83			$ (2	)		$ (5	)		$6		$—		$—		$ —		$(95	)		$(13	)

(a)	Amounts included in earnings are reported in investment and other income on the consolidated income statement.