FAIR VALUE OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES (Tables)

3 Months Ended

Mar. 31, 2015

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 March 31, 2015	Total		Level 1		Level 2		Level 3
Assets
Available-for-Sale Securities (A)	$	15,245	$	9,816	$	5,429	$	—
Derivatives – Energy Related Assets (B)	67,843		12,154		29,681		26,008
	$	83,088	$	21,970	$	35,110	$	26,008

Liabilities

Derivatives – Energy Related Liabilities (B)	$	106,301	$	37,798	$	25,184	$	43,319
Derivatives – Other (C)	12,036		—		12,036		—
	$	118,337	$	37,798	$	37,220	$	43,319



As of December 31, 2014	Total		Level 1		Level 2		Level 3
Assets
Available-for-Sale Securities (A)	$	8,922	$	5,952	$	2,970	$	—
Derivatives – Energy Related Assets (B)	99,273		21,675		43,093		34,505
	$	108,195	$	27,627	$	46,063	$	34,505

Liabilities

Derivatives – Energy Related Liabilities (B)	$	129,670	$	49,009	$	40,548	$	40,113
Derivatives – Other (C)	10,732		—		10,732		—
	$	140,402	$	49,009	$	51,280	$	40,113

(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 – 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.

Significant Unobservable Inputs - Management uses the discounted cash flow model to value Level 3 physical and financial forwards, which calculates mark-to-market valuations based on forward market prices, original transaction prices, volumes, risk-free rate of return and credit spreads. Inputs to the valuation model are reviewed and revised as needed, based on historical information, updated market data, market liquidity and relationships, and changes in third party pricing sources. The validity of the mark-to-market valuations and changes in mark-to-market valuations from period to period are examined and qualified against historical expectations by the risk management function. If any discrepancies are identified during this process, the mark-to-market valuations or the market pricing information is evaluated further and adjusted, if necessary.

Level 3 valuation methods for natural gas derivative contracts include utilizing another location in close proximity adjusted for certain pipeline charges to derive a basis value. The significant unobservable inputs used in the fair value measurement of certain natural gas contracts consist of forward prices developed based on industry standard methodologies. Significant increases (decreases) in these forward prices for purchases of natural gas would result in a directionally similar impact to the fair value measurement and for sales of natural gas would result in a directionally opposite impact to the fair value measurement. Level 3 valuation methods for electric represent the value of the contract marked to the forward wholesale curve, as provided by daily exchange quotes for delivered electricity. The significant unobservable inputs used in the fair value measurement of electric contracts consist of fixed contracted electric load profiles; therefore no change in unobservable inputs would occur. Unobservable inputs are updated daily using industry standard techniques. Management reviews and corroborates the price quotations to ensure the prices are observable which includes consideration of actual transaction volumes, market delivery points, bid-ask spreads and contract duration.

(C) 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.

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 March 31, 2015		Valuation Technique	Significant Unobservable Input	Range [Weighted Average]
	Assets	Liabilities
Forward Contract - Natural Gas	$19,557	$38,607	Discounted Cash Flow	Forward price (per dt)	$(1.61) - $7.25 [$(0.28)]
Forward Contract - Electric	$6,451	$4,712	Discounted Cash Flow	Fixed electric load profile (on-peak)	8.06% - 100.00% [56.75%]
Forward Contract - Electric	$6,451	$4,712	Discounted Cash Flow	Fixed electric load profile (off-peak)	0.00% - 91.94% [43.25%]



Type	Fair Value at December 31, 2014				Valuation Technique	Significant Unobservable Input	Range [Weighted Average]
	Assets		Liabilities
Forward Contract - Natural Gas	$	26,485	$	33,882	Discounted Cash Flow	Forward price (per dt)	$(2.04) - $7.83 [$(0.30)]
Forward Contract - Electric	$	8,020	$	6,231	Discounted Cash Flow	Fixed electric load profile (on-peak)	8.06% - 100.00% [55.97%]
Forward Contract - Electric	$	8,020	$	6,231	Discounted Cash Flow	Fixed electric load profile (off-peak)	0.00% - 91.94% [44.03%]

Changes in fair value of significant unobservable inputs

The changes in fair value measurements of Derivatives – Energy Related Assets and Liabilities for the three months ended March 31, 2015 and 2014, using significant unobservable inputs (Level 3), are as follows (in thousands):



	Three Months Ended March 31, 2015			Three Months Ended March 31,2014
Balance at beginning of period	$	(5,608	)	$	8,095
Other changes in fair value from continuing and new contracts, net	(16,438		)	(12,124		)
Settlements	4,735			(942		)

Balance at end of period	$	(17,311	)	$	(4,971	)

- 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 (loss), 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, issues, 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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