FAIR VALUE OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES (Tables)

6 Months Ended

Jun. 30, 2012

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, 2012	Total		Level 1		Level 2		Level 3
Assets
Available-for-Sale Securities (A)	$	7,022	$	642	$	6,380	$	—
Derivatives – Energy Related Assets (C)	41,651		14,929		16,788		9,934
	$	48,673	$	15,571	$	23,168	$	9,934

Liabilities

Derivatives – Energy Related Liabilities (C)	$	24,914	$	9,209	$	8,849	$	6,856
Derivatives – Other (B)	14,821		—		14,821		—
	$	39,735	$	9,209	$	23,670	$	6,856



As of December 31, 2011	Total		Level 1		Level 2		Level 3
Assets
Available-for-Sale Securities (A)	$	6,677	$	619	$	6,058	$	—
Derivatives – Energy Related Assets (C)	45,596		24,689		16,582		4,325
	$	52,273	$	25,308	$	22,640	$	4,325

Liabilities

Derivatives – Energy Related Liabilities (C)	$	46,105	$	22,495	$	13,327	$	10,283
Derivatives – Other (B)	14,046		—		14,046		—
	$	60,151	$	22,495	$	27,373	$	10,283

(A) Available-for-Sale Securities include securities that are traded in active markets and securities that are not traded publicly. 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. The remaining securities consist of funds that are not publicly traded. These funds, which consist of stocks and bonds that are traded individually in active markets, are valued using quoted prices for similar assets and are categorized in Level 2 in the fair value hierarchy.

(B) Derivatives – Other 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.

(C) 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. For non-exchange-based derivatives that trade in less liquid markets with limited pricing information, model inputs generally would include both observable and unobservable inputs. 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.

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, 2012		Valuation Technique	Significant Unobservable Input	Range
	Assets	Liabilities
Forward Contract - Natural Gas	2,577	2,303	Discounted Cash Flow	Forward price (per dt)	$(0.79) - $3.30
Forward Contract - Electric	7,357	4,553	Discounted Cash Flow	Fixed electric load profile (on-peak)	19.01% - 100.00%
Forward Contract - Electric	7,357	4,553	Discounted Cash Flow	Fixed electric load profile (off-peak)	0.00% - 80.99%

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, 2012, using significant unobservable inputs (Level 3), are as follows (in thousands):



	Three Months Ended June 30, 2012			Six Months Ended June 30, 2012
Balance at beginning of period	$	(1,958	)	$	(5,958	)
Total gains realized/unrealized included in earnings	3,306			3,475
Settlements	1,730			5,561

Balance at June 30	$	3,078		$	3,078

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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