DERIVATIVE INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Gross Fair Values and Net Amounts of Contracts

The following table presents the gross fair values of contracts, categorized by risk type, and the net amounts recorded as current or long-term derivative assets or liabilities:

		As of June 30, 2021						As of December 31, 2020
(Millions of Dollars)	Fair Value Hierarchy	Commodity Supply and Price Risk Management		Netting (1)		Net Amount Recorded as a Derivative		Commodity Supply and Price Risk Management		Netting (1)		Net Amount Recorded as a Derivative
Current Derivative Assets:
CL&P	Level 3	$	14.1	$	(0.4)	$	13.7	$	13.7	$	(0.4)	$	13.3
Long-Term Derivative Assets:
CL&P	Level 3	55.0		(1.7)		53.3		58.7		(1.8)		56.9
Current Derivative Liabilities:
CL&P	Level 3	(70.9)		—		(70.9)		(68.8)		—		(68.8)
Other	Level 2	—		—		—		(3.3)		0.1		(3.2)
Long-Term Derivative Liabilities:
CL&P	Level 3	(275.8)		—		(275.8)		(294.5)		—		(294.5)

    

(1)    Amounts represent derivative assets and liabilities that Eversource elected to record net on the balance sheets.  These amounts are subject to master netting agreements or similar agreements for which the right of offset exists.

Summary of Level 3 Derivative Contracts and Significant Unobservable Inputs Used

The following is a summary of Level 3 derivative contracts and the range of the significant unobservable inputs utilized in the valuations over the duration of the contracts:

	As of June 30, 2021								As of December 31, 2020
CL&P	Range				Weighted Average (1)			Period Covered	Range				Weighted Average (1)			Period Covered
Capacity Prices	$2.61				$	2.61	per kW-Month	2025 - 2026	$	4.30	—	$5.30	$	4.63	per kW-Month	2024 - 2026
Forward Reserve Prices	$	0.54	—	$0.90	$	0.72	per kW-Month	2021 - 2024	$	0.54	—	$0.90	$	0.72	per kW-Month	2021 - 2024

(1)    Unobservable inputs were weighted by the relative future capacity and forward reserve prices and contractual MWs over the periods covered.

Changes in the Level 3 Category of Derivative Assets Measured at Fair Value on a Recurring Basis

The following table presents changes in the Level 3 category of derivative assets and derivative liabilities measured at fair value on a recurring basis.  The derivative assets and liabilities are presented on a net basis.

CL&P	For the Three Months Ended June 30,				For the Six Months Ended June 30,
(Millions of Dollars)	2021		2020		2021		2020
Derivatives, Net:
Fair Value as of Beginning of Period	$	(293.1)	$	(333.8)	$	(293.1)	$	(329.2)
Net Realized/Unrealized Gains/(Losses) Included in Regulatory Assets	0.9		(1.3)		(11.5)		(17.6)
Settlements	12.5		13.1		24.9		24.8
Fair Value as of End of Period	$	(279.7)	$	(322.0)	$	(279.7)	$	(322.0)