Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2012

Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis as of September 30, 2012 are summarized below.


	Level 1					Level 2						Level 3						Netting Adjustments (4)						Total
*(Millions of Dollars)*	Con Edison			CECONY		Con Edison			CECONY			Con Edison			CECONY			Con Edison			CECONY			Con Edison			CECONY
Derivative assets:
Commodity (1)		$ 2			$ 2		$ 48			$ 16			$ 47			$ 12			$ (46	)		$ (3	)		$ 51			$ 27
Transfer in (5) (6)		—			—		24			—			—			—			—			—			24			—
Transfer out (5) (6)		—			—		—			—			(24	)		—			—			—			(24	)		—
Commodity Total		$ 2			$ 2		$ 72			$ 16			$ 23			$ 12			$ (46	)		$ (3	)		$ 51			$ 27
Other assets		103			96		—			1			105			95			—			—			208			192
Transfer in (5) (6)		—			—		105			95			—			—			—			—			105			95
Transfer out (5) (6)		—			—		—			—			(105	)		(95	)		—			—			(105	)		(95	)
Other assets (3)		$103			$96		$105			$ 96			$ —			$ —			$ —			$ —			$ 208			$192
Total		$105			$98		$177			$112			$ 23			$ 12			$ (46	)		$ (3	)		$ 259			$219
Derivative liabilities:
Commodity		$ 4			$ 1		$114			$ 68			$ 71			$ 9			$(105	)		$(36	)		$ 84			$ 42
Transfer in (5) (6)		7			7		50			12			3			3			—			—			60			22
Transfer out (5) (6)		(2	)		—		(10	)		(10	)		(48	)		(12	)		—			—			(60	)		(22	)
Commodity Total (1)		$9			$ 8		$154			$ 70			$ 26			$ —			$(105	)		$(36	)		$ 84			$ 42
Interest rate contract		—			—		(2	)		—			8			—			—			—			6			—
Transfer in (5) (6)		—			—		8			—			—			—			—			—			8			—
Transfer out (5) (6)		—			—		—			—			(8	)		—			—			—			(8	)		—
Interest rate contract (2)		$ —			$ —		$ 6			$ —			$ —			$ —			$ —			$ —			$ 6			$ —
Total		$ 9			$ 8		$160			$70			$ 26			$ —			$(105	)		$(36	)		$ 90			$ 42

(1)	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 J.

(2)	See Note J.

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

(4)	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.

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

(6)	Transferred between Level 3 and Levels 1 and 2 because of reassessment of the levels in the fair value hierarchy within which certain inputs fall. Other assets and interest rate contract were transferred as of March 31, 2012.

Assets and liabilities measured at fair value on a recurring basis as of December 31, 2011 are summarized below.


	Level 1				Level 2						Level 3						Netting Adjustments (4)						Total
*(Millions of Dollars)*	Con Edison		CECONY		Con Edison			CECONY			Con Edison			CECONY			Con Edison			CECONY			Con Edison			CECONY
Derivative assets:
Commodity (1)		$ 3		$ —		$ 64			$ 8			$ 87			$ 11			$ (84	)		$ 5			$ 70			$ 24
Other assets (3)		76		76		—			—			99			90			—			—			175			166
Total		$79		$76		$ 64			$ 8			$186			$101			$ (84	)		$ 5			$ 245			$190
Derivative liabilities:
Commodity		$12		$ 4		$222			$122			$169			$ 37			$(194	)		$(41	)		$ 209			$122
Transfer in (5) (6) (7)		—		—		26			25			6			6			—			—			32			31
Transfer out (5) (6) (7)		—		—		(6	)		(6	)		(26	)		(25	)		—			—			(32	)		(31	)
Commodity (1)		$12		$ 4		$242			$141			$149			$ 18			$(194	)		$(41	)		$ 209			$122
Interest rate contract (2)		—		—		—			—			8			—			—			—			8			—
Total		$12		$ 4		$242			$141			$157			$ 18			$(194	)		$(41	)		$ 217			$122

(1)	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 J.

(2)	See Note J.

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

(4)	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.

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

(6)	Transferred from Level 2 to Level 3 because of reassessment of the levels in the fair value hierarchy within which certain inputs fall.

(7)	Transferred from Level 3 to Level 2 because of availability of observable market data due to decrease in the terms of certain contracts from beyond one year as of December 31, 2010 to less than one year as of December 31, 2011.

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 September 30, 2012 *(Millions of Dollars)*			Valuation Techniques	Unobservable Inputs	Range
Con Edison—Commodity
Electricity Swaps	$	(9	)	Discounted Cash Flow	Forward prices ⁽¹⁾	$22-$64 per MWH
Electricity Wholesale Contract		4		Discounted Cash Flow	Auction prices ⁽²⁾ New Jersey solar renewable energy credit (SREC) ⁽²⁾	$29-$52 per MWH $85 per SREC
Standard Offer Capacity Agreements		(12	)	Discounted Cash Flow	Forward capacity prices ⁽¹⁾ Forward price escalator ⁽¹⁾ Present value factor ⁽¹⁾	$166 MW per day 0%-3% 1.66%
Transmission Congestion Contracts / Financial Transmission Rights		14		Discounted Cash Flow	Discount to adjust auction prices for inter-zonal forward price curves ⁽²⁾ Discount to adjust auction prices for historical monthly realized settlements ⁽²⁾ Historical line loss factor ⁽¹⁾	17.5%-38% (3)%-26.5% 8%
Total Con Edison—Commodity	$	(3	)
CECONY—Commodity
Transmission Congestion Contracts	$	12		Discounted Cash Flow	Discount to adjust auction prices for inter-zonal forward price curves ⁽²⁾ Discount to adjust auction prices for historical monthly realized settlements ⁽²⁾	17.5%-38% (3)%- 26.5%

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

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

Reconciliation of the 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 for the three and nine months ended September 30, 2012 and classified as Level 3 in the fair value hierarchy:


	For the Three Months Ended September 30, 2012
				Total Gains/(Losses)— Realized and Unrealized
*(Millions of Dollars)*	Beginning Balance as of July 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 September 30, 2012
Con Edison
Derivatives:
Commodity		$(61	)		$(15	)		$19		$7		$—		$—		$25		$22		$ (3	)
CECONY
Derivatives:
Commodity		$(10	)		$ (9	)		$ 8		$7		$—		$—		$ 5		$11		$ 12


	For the Nine Months Ended September 30, 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 September 30, 2012
Con Edison
Derivatives:
Commodity		$(62)		$(97)		$11		$18		$—		$—		$106		$ 21			$ (3)
Interest rate contract		(8)		(1)		—		—		—		—		1		8(2	)		—
Other assets (1)		99		3		3		—		—		—		—		(105	)(2)		—
Total		$ 29		$(95)		$14		$18		$—		$—		$107		$ (76)			$ (3)
CECONY
Derivatives:
Commodity		$ (7)		$(25)		$ 8		$15		$—		$—		$ 12		$ 9(2	)		$ 12
Other assets (1)		90		3		2		—		—		—		—		(95	)(2)		—
Total		$ 83		$(22)		$10		$15		$—		$—		$ 12		$ (86)			$ 12

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

(2)	Other assets and interest rate contract were transferred as of March 31, 2012.

The table listed below provides a reconciliation of the beginning and ending net balances for assets and liabilities measured at fair value for the three and nine months ended September 30, 2011 and classified as Level 3 in the fair value hierarchy:


	For the Three Months Ended September 30, 2011
				Total Gains/(Losses)— Realized and Unrealized
*(Millions of Dollars)*	Beginning Balance as of July 1, 2011			Included in Earnings			Included in Regulatory Assets and Liabilities			Purchases		Issuances		Sales		Settlements		Transfer In/Out of Level 3		Ending Balance as of September 30, 2011
Con Edison
Derivatives:
Commodity		$ (25	)		$(37	)		$ 9			$8		$—		$—		$14		$24		$ (7	)
Interest rate contract		(10	)		(1	)		1			—		—		—		1		—		(9	)
Other assets (1)		106			(3	)		(3	)		—		—		—		—		—		100
Total		$ 71			$(41	)		$ 7			$8		$—		$—		$15		$24		$ 84
CECONY
Derivatives:
Commodity		$ —			$ (8	)		$ 1			$8		$—		$—		$ 3		$ 9		$ 13
Other assets (1)		96			(3	)		(2	)		—		—		—		—		—		91
Total		$ 96			$(11	)		$(1	)		$8		$—		$—		$ 3		$ 9		$ 104

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


	For the Nine Months Ended September 30, 2011
				Total Gains/(Losses)— Realized and Unrealized
*(Millions of Dollars)*	Beginning Balance as of January 1, 2011			Included in Earnings			Included in Regulatory Assets and Liabilities			Purchases		Issuances		Sales		Settlements			Transfer In/Out of Level 3		Ending Balance as of September 30, 2011
Con Edison
Derivatives:
Commodity		$ (88	)		$(59	)		$54			$22		$—		$—		$35			$29		$ (7	)
Interest rate contract		(10	)		(3	)		1			—		—		—		3			—		(9	)
Other assets (1)		101			—			(1	)		—		—		—		—			—		100
Total		$ 3			$(62	)		$54			$22		$—		$—		$38			$29		$ 84
CECONY
Derivatives:
Commodity		$ (26	)		$(11	)		$22			$18		$—		$—		$ (4	)		$14		$ 13
Other assets (1)		92			—			(1	)		—		—		—		—			—		91
Total		$ 66			$(11	)		$21			$18		$—		$—		$ (4	)		$14		$ 104

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