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Fair Value Disclosures

12 Months Ended

Dec. 31, 2011

Fair Value Disclosures [Line Items]

Fair Value Disclosures

14. FAIR VALUE DISCLOSURES

A. DEBT AND INVESTMENTS

PROGRESS ENERGY

DEBT

The carrying amount of our long-term debt, including current maturities, was $12.941 billion and $12.642 billion at December 31, 2011 and 2010, respectively. The estimated fair value of this debt, as obtained from quoted market prices for the same or similar issues, was $15.3 billion and $14.0 billion at December 31, 2011 and 2010, respectively.

INVESTMENTS

Certain investments in debt and equity securities that have readily determinable market values are accounted for as available-for-sale securities at fair value. Our available-for-sale securities include investments in stocks, bonds and cash equivalents held in trust funds, pursuant to NRC requirements, to fund certain costs of decommissioning the Utilities' nuclear plants (See Note 5C). NDT funds are presented on the Consolidated Balance Sheets at fair value. In addition to the NDT funds, we hold other debt investments classified as available-for-sale, which are included in miscellaneous other property and investments on the Consolidated Balance Sheets at fair value.

The following table summarizes our available-for-sale securities at December 31:


(in millions)			Fair Value		Unrealized Losses		Unrealized Gains
(in millions)			Fair Value		Unrealized Losses		Unrealized Gains
2011
Common stock equity		$	1,033	$	29	$	401
Preferred stock and other equity			29		-		11
Corporate debt			86		-		6
U.S. state and municipal debt			128		2		7
U.S. and foreign government debt			284		-		18
Money market funds and other			70		-		1
	Total	$	1,630	$	31	$	444

2010
Common stock equity		$	1,021	$	13	$	408
Preferred stock and other equity			28		-		11
Corporate debt			90		-		6
U.S. state and municipal debt			132		4		3
U.S. and foreign government debt			264		2		10
Money market funds and other			52		-		1
	Total	$	1,587	$	19	$	439

The NDT funds and other available-for-sale debt investments held in certain benefit trusts are managed by third-party investment managers who have a right to sell securities without our authorization. Net unrealized gains and losses of the NDT funds that would be recorded in earnings or other comprehensive income by a nonregulated entity are recorded as regulatory assets and liabilities pursuant to ratemaking treatment. Therefore, the preceding tables include the unrealized gains and losses for the NDT funds based on the original cost of the trust investments. All of the unrealized losses and unrealized gains for 2011 and 2010 relate to the NDT funds. There were no material unrealized losses and unrealized gains for the other available-for-sale debt securities held in benefit trusts at December 31, 2011 and 2010.

The aggregate fair value of investments that related to the December 31, 2011 and 2010 unrealized losses was $136 million and $195 million, respectively.

At December 31, 2011, the fair value of our available-for-sale debt securities by contractual maturity was:


(in millions)
Due in one year or less	$	44
Due after one through five years		231
Due after five through 10 years		147
Due after 10 years		90
Total	$	512

The following table presents selected information about our sales of available-for-sale securities for the years ended December 31. Realized gains and losses were determined on a specific identification basis.


(in millions)		2011		2010		2009
Proceeds	$	4,640	$	6,747	$	2,207
Realized gains		30		21		26
Realized losses		33		27		87

Proceeds were primarily related to NDT funds. Realized gains and losses for investments in the benefit investment trusts were not material. Other securities are evaluated on an individual basis to determine if a decline in fair value below the carrying value is other-than-temporary. At December 31, 2011 and 2010, our other securities had no investments in a continuous loss position for greater than 12 months.

PEC

DEBT

The carrying amount of PEC's long-term debt, including current maturities, was $4.193 billion and $3.693 billion at December 31, 2011 and 2010, respectively. The estimated fair value of this debt, as obtained from quoted market prices for the same or similar issues, was $4.7 billion and $4.0 billion at December 31, 2011 and 2010, respectively.

INVESTMENTS

Certain investments in debt and equity securities that have readily determinable market values are accounted for as available-for-sale securities at fair value. PEC's available-for-sale securities include investments in stocks, bonds and cash equivalents held in trust funds, pursuant to NRC requirements, to fund certain costs of decommissioning PEC's nuclear plants (See Note 5C). NDT funds are presented on the Consolidated Balance Sheets at fair value.

The following table summarizes PEC's available-for-sale securities at December 31:


(in millions)			Fair Value		Unrealized Losses		Unrealized Gains
(in millions)			Fair Value		Unrealized Losses		Unrealized Gains
2011
Common stock equity		$	673	$	20	$	255
Preferred stock and other equity			17		-		7
Corporate debt			69		-		5
U.S. state and municipal debt			56		-		3
U.S. and foreign government debt			226		-		16
Money market funds and other			60		-		1
	Total	$	1,101	$	20	$	287

2010
Common stock equity		$	652	$	10	$	256
Preferred stock and other equity			14		-		6
Corporate debt			72		-		5
U.S. state and municipal debt			51		1		1
U.S. and foreign government debt			199		1		9
Money market funds and other			42		-		1
	Total	$	1,030	$	12	$	278

The NDT funds are managed by third-party investment managers who have a right to sell securities without our authorization. Net unrealized gains and losses of the NDT funds that would be recorded in earnings or other comprehensive income by a nonregulated entity are recorded as regulatory assets and liabilities pursuant to ratemaking treatment. Therefore, the preceding tables include the unrealized gains and losses for the NDT funds based on the original cost of the trust investments. All of the unrealized losses and gains for 2011 and 2010 relate to the NDT funds.

The aggregate fair value of investments that related to the December 31, 2011 and 2010 unrealized losses was $98 million and $104 million, respectively.

At December 31, 2011, the fair value of PEC's available-for-sale debt securities by contractual maturity was:


(in millions)
Due in one year or less	$	16
Due after one through five years		184
Due after five through 10 years		100
Due after 10 years		62
Total	$	362

The following table presents selected information about PEC's sales of available-for-sale securities for the years ended December 31. Realized gains and losses were determined on a specific identification basis.


(in millions)		2011		2010		2009
Proceeds	$	496	$	419	$	622
Realized gains		13		10		9
Realized losses		16		19		36

PEC's proceeds were primarily related to NDT funds. Other securities are evaluated on an individual basis to determine if a decline in fair value below the carrying value is other-than-temporary. At December 31, 2011 and 2010, PEC did not have any other securities.

PEF

DEBT

The carrying amount of PEF's long-term debt, including current maturities, was $4.482 billion at December 31, 2011 and 2010. The estimated fair value of this debt, as obtained from quoted market prices for the same or similar issues, was $5.4 billion and $5.0 billion at December 31, 2011 and 2010, respectively.

INVESTMENTS

Certain investments in debt and equity securities that have readily determinable market values are accounted for as available-for-sale securities at fair value. PEF's available-for-sale securities include investments in stocks, bonds and cash equivalents held in trust funds, pursuant to NRC requirements, to fund certain costs of decommissioning PEF's nuclear plant (See Note 5C). The NDT funds are presented on the Balance Sheets at fair value.

The following table summarizes PEF's available-for-sale securities at December 31:


(in millions)			Fair Value		Unrealized Losses		Unrealized Gains
(in millions)			Fair Value		Unrealized Losses		Unrealized Gains
2011
Common stock equity		$	360	$	9	$	146
Preferred stock and other equity			12		-		4
Corporate debt			17		-		1
U.S. state and municipal debt			72		2		4
U.S. and foreign government debt			58		-		2
Money market funds and other			10		-		-
	Total	$	529	$	11	$	157

2010
Common stock equity		$	369	$	3	$	152
Preferred stock and other equity			14		-		5
Corporate debt			14		-		1
U.S. state and municipal debt			81		3		2
U.S. and foreign government debt			62		1		1
Money market funds and other			10		-		-
	Total	$	550	$	7	$	161

The NDT funds are managed by third-party investment managers who have a right to sell securities without our authorization. Net unrealized gains and losses of the NDT funds that would be recorded in earnings or other comprehensive income by a nonregulated entity are recorded as regulatory assets and liabilities pursuant to ratemaking treatment. Therefore, the preceding tables include unrealized gains and losses for the NDT funds based on the original cost of the trust investments. All of the unrealized losses and gains for 2011 and 2010 relate to the NDT funds.

The aggregate fair value of investments that related to the December 31, 2011 and 2010 unrealized losses was $38 million and $87 million, respectively.

At December 31, 2011, the fair value of PEF's available-for-sale debt securities by contractual maturity was:


(in millions)
Due in one year or less	$	28
Due after one through five years		47
Due after five through 10 years		47
Due after 10 years		28
Total	$	150

The following table presents selected information about PEF's sales of available-for-sale securities for the years ended December 31. Realized gains and losses were determined on a specific identification basis.


(in millions)		2011		2010		2009
Proceeds	$	4,130	$	6,170	$	1,471
Realized gains		17		10		14
Realized losses		17		8		50

PEF's proceeds were related to NDT funds. Other securities are evaluated on an individual basis to determine if a decline in fair value below the carrying value is other-than-temporary. At December 31, 2011 and 2010, PEF did not have any other securities.

B. FAIR VALUE MEASUREMENTS

GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). Fair value measurements require the use of market data or assumptions that market participants would use in pricing the asset or liability, including assumptions about risk and the risks inherent in the inputs to the valuation technique. These inputs can be readily observable, corroborated by market data or generally unobservable. Valuation techniques are required to maximize the use of observable inputs and minimize the use of unobservable inputs. A midmarket pricing convention (the midpoint price between bid and ask prices) is permitted for use as a practical expedient.

GAAP also establishes a fair value hierarchy that prioritizes the inputs used to measure fair value, and requires fair value measurements to be categorized based on the observability of those inputs. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 inputs) and the lowest priority to unobservable inputs (Level 3 inputs). The three levels of the fair value hierarchy are as follows:

Level 1 – The pricing inputs are unadjusted quoted prices in active markets for identical assets or liabilities as of the reporting date. Active markets are those in which transactions for the asset or liability occur in sufficient frequency and volume to provide pricing information on an ongoing basis. Level 1 primarily consists of financial instruments such as exchange-traded derivatives and listed equities.

Level 2 – The pricing inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 includes financial instruments that are valued using models or other valuation methodologies. These models are primarily industry-standard models that consider various assumptions, including quoted forward prices for commodities, time value, volatility factors, and current market and contractual prices for the underlying instruments, as well as other relevant economic measures. Substantially all of these assumptions are observable in the marketplace throughout the full term of the instrument, can be derived from observable data or are supported by observable levels at which transactions are executed in the marketplace. Instruments in this category include non-exchange-traded derivatives, such as over-the-counter forwards, swaps and options; certain marketable debt securities; and financial instruments traded in less than active markets.

Level 3 – The pricing inputs include significant inputs generally less observable from objective sources. These inputs may be used with internally developed methodologies that result in management's best estimate of fair value. Level 3 instruments may include longer-term instruments that extend into periods in which quoted prices or other observable inputs are not available.

Certain assets and liabilities, including long-lived assets, were measured at fair value on a nonrecurring basis. There were no significant fair value measurement losses recognized for such assets and liabilities in the periods reported. These fair value measurements fall within Level 3 of the hierarchy discussed above.

The following tables set forth, by level within the fair value hierarchy, our and the Utilities' financial assets and liabilities accounted for at fair value on a recurring basis as of December 31, 2011 and 2010. Financial assets and liabilities are classified in their entirety based on the lowest level of input significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels.

PROGRESS ENERGY
(in millions)				Level 1		Level 2		Level 3		Total
2011
Assets
	Nuclear decommissioning trust funds
		Common stock equity	$	1,033	$	-	$	-	$	1,033
		Preferred stock and other equity		28		1		-		29
		Corporate debt		-		86		-		86
		U.S. state and municipal debt		-		128		-		128
		U.S. and foreign government debt		87		197		-		284
		Money market funds and other		-		87		-		87
	Total nuclear decommissioning trust funds			1,148		499		-		1,647
	Derivatives
		Commodity forward contracts		-		5		-		5
	Other marketable securities
		Money market and other		20		-		-		20
		Total assets	$	1,168	$	504	$	-	$	1,672

Liabilities
	Derivatives
		Commodity forward contracts	$	-	$	668	$	24	$	692
		Interest rate contracts		-		93		-		93
		Contingent value obligations		-		14		-		14
		Total liabilities	$	-	$	775	$	24	$	799


(in millions)				Level 1		Level 2		Level 3		Total
2010
Assets
	Nuclear decommissioning trust funds
		Common stock equity	$	1,021	$	-	$	-	$	1,021
		Preferred stock and other equity		22		6		-		28
		Corporate debt		-		86		-		86
		U.S. state and municipal debt		-		132		-		132
		U.S. and foreign government debt		79		182		-		261
		Money market funds and other		1		42		-		43
	Total nuclear decommissioning trust funds			1,123		448		-		1,571
	Derivatives
		Commodity forward contracts		-		15		-		15
		Interest rate contracts		-		4		-		4
	Other marketable securities
		Corporate debt		-		4		-		4
		U.S. and foreign government debt		-		3		-		3
		Money market and other		18		-		-		18
		Total assets	$	1,141	$	474	$	-	$	1,615

Liabilities
	Derivatives
		Commodity forward contracts	$	-	$	458	$	36	$	494
		Interest rate contracts		-		39		-		39
		Contingent value obligations		-		15		-		15
		Total liabilities	$	-	$	512	$	36	$	548

PEC
(in millions)				Level 1		Level 2		Level 3		Total
2011
Assets
	Nuclear decommissioning trust funds
		Common stock equity	$	673	$	-	$	-	$	673
		Preferred stock and other equity		17		-		-		17
		Corporate debt		-		69		-		69
		U.S. state and municipal debt		-		56		-		56
		U.S. and foreign government debt		81		145		-		226
		Money market funds and other		-		47		-		47
	Total nuclear decommissioning trust funds			771		317		-		1,088
	Other marketable securities			6		-		-		6
		Total assets	$	777	$	317	$	-	$	1,094

Liabilities
	Derivatives
		Commodity forward contracts	$	-	$	177	$	24	$	201
		Interest rate contracts		-		47		-		47
		Total liabilities	$	-	$	224	$	24	$	248


(in millions)				Level 1		Level 2		Level 3		Total
2010
Assets
	Nuclear decommissioning trust funds
		Common stock equity	$	652	$	-	$	-	$	652
		Preferred stock and other equity		14		-		-		14
		Corporate debt		-		72		-		72
		U.S. state and municipal debt		-		51		-		51
		U.S. and foreign government debt		76		123		-		199
		Money market funds and other		1		28		-		29
	Total nuclear decommissioning trust funds			743		274		-		1,017
	Derivatives
		Commodity forward contracts		-		2		-		2
		Interest rate contracts		-		3		-		3
	Other marketable securities			4		-		-		4
		Total assets	$	747	$	279	$	-	$	1,026

Liabilities
	Derivatives
		Commodity forward contracts	$	-	$	87	$	36	$	123
		Interest rate contracts		-		11		-		11
		Total liabilities	$	-	$	98	$	36	$	134

PEF
(in millions)				Level 1		Level 2		Level 3		Total
2011
Assets
	Nuclear decommissioning trust funds
		Common stock equity	$	360	$	-	$	-	$	360
		Preferred stock and other equity		11		1		-		12
		Corporate debt		-		17		-		17
		U.S. state and municipal debt		-		72		-		72
		U.S. and foreign government debt		6		52		-		58
		Money market funds and other		-		40		-		40
	Total nuclear decommissioning trust funds			377		182		-		559
	Derivatives
		Commodity forward contracts		-		5		-		5
	Other marketable securities			1		-		-		1
		Total assets	$	378	$	187	$	-	$	565

Liabilities
	Derivatives
		Commodity forward contracts	$	-	$	491	$	-	$	491
		Interest rate contracts		-		8		-		8
		Total liabilities	$	-	$	499	$	-	$	499


(in millions)				Level 1		Level 2		Level 3		Total
2010
Assets
	Nuclear decommissioning trust funds
		Common stock equity	$	369	$	-	$	-	$	369
		Preferred stock and other equity		8		6		-		14
		Corporate debt		-		14		-		14
		U.S. state and municipal debt		-		81		-		81
		U.S. and foreign government debt		3		59		-		62
		Money market funds and other		-		14		-		14
	Total nuclear decommissioning trust funds			380		174		-		554
	Derivatives
		Commodity forward contracts		-		13		-		13
	Other marketable securities			1		-		-		1
		Total assets	$	381	$	187	$	-	$	568

Liabilities
	Derivatives
		Commodity forward contracts	$	-	$	371	$	-	$	371
		Interest rate contracts		-		7		-		7
		Total liabilities	$	-	$	378	$	-	$	378

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 and the Utilities' 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 18 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.

Contingent Value Obligations (CVOs), which are derivatives, are discussed further in Note 16. At September 30, 2011, we determined the fair value of the CVOs based on the purchase price in a negotiated settlement agreement (a Level 3 input) and classified CVOs as Level 3 at that date. Prior to September 30, 2011, the CVOs were recorded at fair value based on observable prices from a less-than-active market and classified as Level 2. In November 2011, we commenced a public tender offer that expired on February 15, 2012. All CVOs not tendered as of December 31, 2011, were classified as Level 2 based on observable prices in the less-than-active market.

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 observable or assets and liabilities that were previously classified as Level 2 or 3 for which the lowest significant input became more observable during the period. There were no significant transfers in (out) of Levels 1, 2 and 3 during the period other than the CVO transfer previously discussed. Transfers into and out of each level are measured at the end of the period.

A reconciliation of changes in the fair value of our and the Utilities' derivatives, net classified as Level 3 in the fair value hierarchy for the years ended December 31 follows:


PROGRESS ENERGY
(in millions)			2011		2010		2009
Derivatives, net at beginning of period		$	36	$	39	$	41
Total losses (gains), realized and unrealized – commodities
	deferred as regulatory assets and liabilities, net		21		44		13
Repurchases of CVOs under settlement and tender offer			(60)		-		-
Transfers into Level 3 – CVOs			74		-		-
Transfers out of Level 3 – CVOs			(14)		-		-
Transfers in (out) of Level 3, net – commodities			(33)		(47)		(15)
Derivatives, net at end of period		$	24	$	36	$	39

PEC
(in millions)			2011		2010		2009
Derivatives, net at beginning of period		$	36	$	27	$	22
Total losses (gains), realized and unrealized – commodities
	deferred as regulatory assets and liabilities, net		20		27		7
Transfers in (out) of Level 3, net – commodities			(32)		(18)		(2)
Derivatives, net at end of period		$	24	$	36	$	27

PEF
(in millions)			2011		2010		2009
Derivatives, net at beginning of period		$	-	$	12	$	19
Total losses (gains), realized and unrealized – commodities
	deferred as regulatory assets and liabilities, net		1		17		6
Transfers in (out) of Level 3, net – commodities			(1)		(29)		(13)
Derivatives, net at end of period		$	-	$	-	$	12

Substantially all unrealized gains and losses on the Utilities' derivatives are deferred as regulatory liabilities or assets consistent with ratemaking treatment. Realized and unrealized losses on the change in fair value of our CVOs are discussed in Note 18.

PEC

Fair Value Disclosures [Line Items]

Fair Value Disclosures

14. FAIR VALUE DISCLOSURES

A. DEBT AND INVESTMENTS

PEC

DEBT

INVESTMENTS

The following table summarizes PEC's available-for-sale securities at December 31:


(in millions)			Fair Value		Unrealized Losses		Unrealized Gains
(in millions)			Fair Value		Unrealized Losses		Unrealized Gains
2011
Common stock equity		$	673	$	20	$	255
Preferred stock and other equity			17		-		7
Corporate debt			69		-		5
U.S. state and municipal debt			56		-		3
U.S. and foreign government debt			226		-		16
Money market funds and other			60		-		1
	Total	$	1,101	$	20	$	287

2010
Common stock equity		$	652	$	10	$	256
Preferred stock and other equity			14		-		6
Corporate debt			72		-		5
U.S. state and municipal debt			51		1		1
U.S. and foreign government debt			199		1		9
Money market funds and other			42		-		1
	Total	$	1,030	$	12	$	278

The aggregate fair value of investments that related to the December 31, 2011 and 2010 unrealized losses was $98 million and $104 million, respectively.

At December 31, 2011, the fair value of PEC's available-for-sale debt securities by contractual maturity was:


(in millions)
Due in one year or less	$	16
Due after one through five years		184
Due after five through 10 years		100
Due after 10 years		62
Total	$	362


(in millions)		2011		2010		2009
Proceeds	$	496	$	419	$	622
Realized gains		13		10		9
Realized losses		16		19		36

B. FAIR VALUE MEASUREMENTS

PEC
(in millions)				Level 1		Level 2		Level 3		Total
2011
Assets
	Nuclear decommissioning trust funds
		Common stock equity	$	673	$	-	$	-	$	673
		Preferred stock and other equity		17		-		-		17
		Corporate debt		-		69		-		69
		U.S. state and municipal debt		-		56		-		56
		U.S. and foreign government debt		81		145		-		226
		Money market funds and other		-		47		-		47
	Total nuclear decommissioning trust funds			771		317		-		1,088
	Other marketable securities			6		-		-		6
		Total assets	$	777	$	317	$	-	$	1,094

Liabilities
	Derivatives
		Commodity forward contracts	$	-	$	177	$	24	$	201
		Interest rate contracts		-		47		-		47
		Total liabilities	$	-	$	224	$	24	$	248


(in millions)				Level 1		Level 2		Level 3		Total
2010
Assets
	Nuclear decommissioning trust funds
		Common stock equity	$	652	$	-	$	-	$	652
		Preferred stock and other equity		14		-		-		14
		Corporate debt		-		72		-		72
		U.S. state and municipal debt		-		51		-		51
		U.S. and foreign government debt		76		123		-		199
		Money market funds and other		1		28		-		29
	Total nuclear decommissioning trust funds			743		274		-		1,017
	Derivatives
		Commodity forward contracts		-		2		-		2
		Interest rate contracts		-		3		-		3
	Other marketable securities			4		-		-		4
		Total assets	$	747	$	279	$	-	$	1,026

Liabilities
	Derivatives
		Commodity forward contracts	$	-	$	87	$	36	$	123
		Interest rate contracts		-		11		-		11
		Total liabilities	$	-	$	98	$	36	$	134

Other marketable securities primarily represent available-for-sale debt securities used to fund certain employee benefit costs.

A reconciliation of changes in the fair value of our and the Utilities' derivatives, net classified as Level 3 in the fair value hierarchy for the years ended December 31 follows:

PEC
(in millions)			2011		2010		2009
Derivatives, net at beginning of period		$	36	$	27	$	22
Total losses (gains), realized and unrealized – commodities
	deferred as regulatory assets and liabilities, net		20		27		7
Transfers in (out) of Level 3, net – commodities			(32)		(18)		(2)
Derivatives, net at end of period		$	24	$	36	$	27

PEF

Fair Value Disclosures [Line Items]

Fair Value Disclosures

14. FAIR VALUE DISCLOSURES

A. DEBT AND INVESTMENTS

PEF

DEBT

INVESTMENTS

The following table summarizes PEF's available-for-sale securities at December 31:


(in millions)			Fair Value		Unrealized Losses		Unrealized Gains
(in millions)			Fair Value		Unrealized Losses		Unrealized Gains
2011
Common stock equity		$	360	$	9	$	146
Preferred stock and other equity			12		-		4
Corporate debt			17		-		1
U.S. state and municipal debt			72		2		4
U.S. and foreign government debt			58		-		2
Money market funds and other			10		-		-
	Total	$	529	$	11	$	157

2010
Common stock equity		$	369	$	3	$	152
Preferred stock and other equity			14		-		5
Corporate debt			14		-		1
U.S. state and municipal debt			81		3		2
U.S. and foreign government debt			62		1		1
Money market funds and other			10		-		-
	Total	$	550	$	7	$	161

The NDT funds are managed by third-party investment managers who have a right to sell securities without our authorization. Net unrealized gains and losses of the NDT funds that would be recorded in earnings or other comprehensive income by a nonregulated entity are recorded as regulatory assets and liabilities pursuant to ratemaking treatment. Therefore, the preceding tables include unrealized gains and losses for the NDT funds based on the original cost of the trust investments. All of the unrealized losses and gains for 2011 and 2010 relate to the NDT funds.

The aggregate fair value of investments that related to the December 31, 2011 and 2010 unrealized losses was $38 million and $87 million, respectively.

At December 31, 2011, the fair value of PEF's available-for-sale debt securities by contractual maturity was:


(in millions)
Due in one year or less	$	28
Due after one through five years		47
Due after five through 10 years		47
Due after 10 years		28
Total	$	150


(in millions)		2011		2010		2009
Proceeds	$	4,130	$	6,170	$	1,471
Realized gains		17		10		14
Realized losses		17		8		50

B. FAIR VALUE MEASUREMENTS

PEF
(in millions)				Level 1		Level 2		Level 3		Total
2011
Assets
	Nuclear decommissioning trust funds
		Common stock equity	$	360	$	-	$	-	$	360
		Preferred stock and other equity		11		1		-		12
		Corporate debt		-		17		-		17
		U.S. state and municipal debt		-		72		-		72
		U.S. and foreign government debt		6		52		-		58
		Money market funds and other		-		40		-		40
	Total nuclear decommissioning trust funds			377		182		-		559
	Derivatives
		Commodity forward contracts		-		5		-		5
	Other marketable securities			1		-		-		1
		Total assets	$	378	$	187	$	-	$	565

Liabilities
	Derivatives
		Commodity forward contracts	$	-	$	491	$	-	$	491
		Interest rate contracts		-		8		-		8
		Total liabilities	$	-	$	499	$	-	$	499


(in millions)				Level 1		Level 2		Level 3		Total
2010
Assets
	Nuclear decommissioning trust funds
		Common stock equity	$	369	$	-	$	-	$	369
		Preferred stock and other equity		8		6		-		14
		Corporate debt		-		14		-		14
		U.S. state and municipal debt		-		81		-		81
		U.S. and foreign government debt		3		59		-		62
		Money market funds and other		-		14		-		14
	Total nuclear decommissioning trust funds			380		174		-		554
	Derivatives
		Commodity forward contracts		-		13		-		13
	Other marketable securities			1		-		-		1
		Total assets	$	381	$	187	$	-	$	568

Liabilities
	Derivatives
		Commodity forward contracts	$	-	$	371	$	-	$	371
		Interest rate contracts		-		7		-		7
		Total liabilities	$	-	$	378	$	-	$	378

Other marketable securities primarily represent available-for-sale debt securities used to fund certain employee benefit costs.

A reconciliation of changes in the fair value of our and the Utilities' derivatives, net classified as Level 3 in the fair value hierarchy for the years ended December 31 follows:

PEF
(in millions)			2011		2010		2009
Derivatives, net at beginning of period		$	-	$	12	$	19
Total losses (gains), realized and unrealized – commodities
	deferred as regulatory assets and liabilities, net		1		17		6
Transfers in (out) of Level 3, net – commodities			(1)		(29)		(13)
Derivatives, net at end of period		$	-	$	-	$	12

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References

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+ Details