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Fair Value of Derivative and Other Financial Instruments | 12 Months Ended
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Dec. 31, 2011
Fair Value of Derivative and Other Financial Instruments [Abstract] |
Fair Value of Derivative and Other Financial Instruments | Fair Value of Derivative and Other Financial Instruments Energy Related Derivative Contracts Overview The Company is exposed to certain risks relating to its ongoing business operations. The primary objective for the use of derivative instruments, including energy contracts, options, and futures, is to manage price risk associated with forecasted purchases of energy or fuel used to generate electricity, or to manage anticipated generation capacity in excess of forecasted demand from existing customers. The Company’s energy related derivative contracts manage commodity risk. On November 1, 2011, PNMR completed the sale of First Choice. See Note 2. Accordingly, PNMR information reflects activity for First Choice through October 31, 2011. The difference between the PNMR and PNM amounts represents First Choice. Commodity Risk Marketing and procurement of energy often involve market risks associated with managing energy commodities and establishing open positions in the energy markets, primarily on a short-term basis. The Company routinely enters into various derivative instruments such as forward contracts, option agreements, and price basis swap agreements to economically hedge price and volume risk on power commitments and fuel requirements and to minimize the effect of market fluctuations in wholesale portfolios. The Company monitors the market risk of its commodity contracts using VaR and GEaR calculations to maintain total exposure within management-prescribed limits in accordance with approved risk and credit policies. PNM is required to meet the demand and energy needs of its retail and firm-requirements wholesale customers. PNM is exposed to market risk for its share of PVNGS Unit 3 and the needs of its firm-requirements wholesale customers not covered under a FPPAC. PNM’s operations are managed primarily through a net asset-backed strategy, whereby PNM’s aggregate net open forward contract position is covered by its forecasted excess generation capabilities or market purchases. PNM could be exposed to market risk if its generation capabilities were to be disrupted or if its load requirements were to be greater than anticipated. If all or a portion of load requirements were required to be covered as a result of such unexpected situations, commitments would have to be met through market purchases. First Choice was responsible for energy supply related to the sale of electricity to retail customers in Texas. TECA contains no provisions for the specific recovery of fuel and purchased power costs. The rates charged to First Choice customers were negotiated with each customer. First Choice purchased power at wholesale and sold power at retail to customers in the competitive ERCOT retail markets. Many of these retail customers bought power from First Choice for a contracted period of time at a fixed price so First Choice was exposed to price risk if the wholesale power price changed during the time of the contract. First Choice’s strategy was to minimize its exposure to fluctuations in market energy prices by matching sales contracts with supply instruments designed to preserve targeted margins. However, if actual fixed price retail loads varied significantly from forecasts (for example, due to extreme weather, other significant load changes or contract breaches), First Choice had a residual exposure to wholesale power price risk for the mismatch between the forecast and actual load. Accounting for Derivatives Under derivative accounting and related rules for energy contracts, the Company accounts for its various derivative instruments for the purchase and sale of energy based on the Company’s intent. Energy contracts that meet the definition of a derivative under GAAP and do not qualify, or are not designated, for the normal sales and purchases exception are recorded on the balance sheet at fair value at each period end. The changes in fair value are recognized in earnings unless specific hedge accounting criteria are met and elected. Normal sales and purchases are not marked to market and are reflected in results of operations when the underlying transactions settle. For derivative transactions meeting the definition of a cash flow hedge, the Company documents the relationships between the hedging instruments and the items being hedged. This documentation includes the strategy that supports executing the specific transaction and the methods utilized to assess the effectiveness of the hedges. Changes in the fair value of contracts qualifying for cash flow hedge accounting are included in AOCI to the extent effective. The Company assesses the effectiveness of hedge relationships at least quarterly using statistical data. Ineffectiveness gains and losses were immaterial for all periods presented. Gains or losses related to cash flow hedge instruments, including those de-designated, are reclassified from AOCI when the hedged transaction settles and impacts earnings. As of December 31, 2011 and 2010, the Company was not hedging its exposure to the variability in future cash flows from commodity derivatives through designated cash flows hedges. The contracts recorded at fair value that do not qualify or are not designated for cash flow hedge accounting are classified as economic hedges. Economic hedges are defined as derivative instruments, including long-term power agreements, used to economically hedge generation assets, purchased power and fuel costs, and customer load requirements. Changes in the fair value of economic hedges are reflected in results of operations and are classified between operating revenues and cost of energy according to the intent of the hedge. The Company has no trading transactions. Fair value is defined under GAAP as the price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. Fair value is based on current market quotes as available and is supplemented by modeling techniques and assumptions made by the Company to the extent quoted market prices or volatilities are not available. External pricing input availability varies based on commodity location, market liquidity, and term of the agreement. Valuations of derivative assets and liabilities take into account nonperformance risk including the effect of counterparties' and the Company’s credit risk. The Company regularly assesses the validity and availability of pricing data for its derivative transactions. Although the Company uses its best judgment in estimating the fair value of these instruments, there are inherent limitations in any estimation technique. The Company does not offset fair value, cash collateral, and accrued payable or receivable amounts recognized for derivative instruments under master netting arrangements. At December 31, 2011 and 2010, amounts recognized for the legal right to reclaim cash collateral were zero and $3.4 million for PNMR and zero and $3.0 million for PNM. In addition, at December 31, 2011 and 2010, amounts posted as cash collateral under margin arrangements were $1.8 million and $32.0 million for PNMR and $1.8 million and $2.1 million for PNM. PNMR and PNM had no obligations to return cash collateral at December 31, 2011 and 2010. Cash collateral amounts are included in other current assets on the Consolidated Balance Sheets. The following tables do not include activity related to PNM Gas. See Note 22. Commodity Derivatives Commodity derivative instruments are summarized as follows:
| Economic Hedges
| December 31,
| 2011 |  | 2010
| (In thousands)
PNMR |  |  |
Current assets | $ | 3,713 |  |  | $ | 15,999 |
Deferred charges | — |  |  | 5,264 |
| 3,713 |  |  | 21,263 |
Current liabilities | (1,632 | ) |  | (31,407 | )
Long-term liabilities | (2,437 | ) |  | (12,831 | )
| (4,069 | ) |  | (44,238 | )
Net | $ | (356 | ) |  | $ | (22,975 | )
PNM |  |  |
Current assets | $ | 3,713 |  |  | $ | 1,443 |
Current liabilities | (1,632 | ) |  | (3,110 | )
Long-term liabilities | (2,437 | ) |  | (2,009 | )
| (4,069 | ) |  | (5,119 | )
Net | $ | (356 | ) |  | $ | (3,676 | )
On April 20, 2010, PNM received NMPRC approval of a hedging plan to manage fuel and purchased power costs related to customers covered by its FPPAC. The table above includes $0.5 million of current assets and $0.5 million of current liabilities at December 31, 2011, and $0.6 million of current assets at December 31, 2010 related to this plan. The offsets to these amounts are recorded as regulatory assets and liabilities on the Consolidated Balance Sheets. The following table presents the effect of commodity derivative instruments on earnings and OCI, excluding income tax effects. For cash flow hedges, including de-designated hedges, the earnings impact reflects the reclassification from AOCI when the hedged transactions settle.
| Economic Hedges |  | Qualified Cash Flow Hedges
| Year Ended December 31, |  | Year Ended December 31,
| 2011 |  | 2010 |  | 2011 |  | 2010
| (In thousands)
PNMR |  |  |  |  |  |  |
Electric operating revenues | $ | 5,682 |  |  | $ | (4,030 | ) |  | $ | — |  |  | $ | 29,930 |
Cost of energy | (2,201 | ) |  | (44,743 | ) |  | (422 | ) |  | (2,263 | )
Total gain (loss) | $ | 3,481 |  |  | $ | (48,773 | ) |  | $ | (422 | ) |  | $ | 27,667 |
Recognized in OCI |  |  |  |  | $ | 422 |  |  | $ | (18,739 | )
PNM |  |  |  |  |  |  |
Electric operating revenues | $ | 5,682 |  |  | $ | (4,030 | ) |  | $ | — |  |  | $ | 29,930 |
Cost of energy | (1,058 | ) |  | (5,386 | ) |  | — |  |  | (18 | )
Total gain (loss) | $ | 4,624 |  |  | $ | (9,416 | ) |  | $ | — |  |  | $ | 29,912 |
Recognized in OCI |  |  |  |  | $ | — |  |  | $ | (20,984 | )
Commodity contract volume positions are presented in Decatherms for gas related contracts and in MWh for power related contracts. The table below presents PNMR’s and PNM’s net buy (sell) volume positions:
| Economic Hedges
| Decatherms |  | MWh
December 31, 2011 |  |  |
PNMR and PNM | 1,499,000 |  |  | (366,448 | )
December 31, 2010 |  |  |
PNMR | 22,767,500 |  |  | 1,693,431 |
PNM | 1,882,500 |  |  | (990,120 | )
In connection with managing its commodity risks, the Company enters into master agreements with certain counterparties. If the Company is in a net liability position under an agreement, some agreements provide that the counterparties can request collateral from the Company if the Company’s credit rating is downgraded; other agreements provide that the counterparty may request collateral to provide it with “adequate assurance” that the Company will perform; and others have no provision for collateral. The table below presents information about the Company’s contingent requirements to provide collateral under commodity contracts having an objectively determinable collateral provision that are in net liability positions and are not fully collateralized with cash. Contractual liability represents commodity derivative contracts recorded at fair value on the balance sheet, determined on an individual contract basis without offsetting amounts for individual contracts that are in an asset position and could be offset under master netting agreements with the same counterparty. The table only reflects cash collateral that has been posted under the existing contracts and does not reflect letters of credit under the Company’s revolving credit facilities that have been issued as collateral. Net exposure is the net contractual liability for all contracts, including those designated as normal purchases and sales, offset by existing cash collateral and by any offsets available under master netting agreements, including both asset and liability positions.
Contingent Feature – Credit Rating Downgrade | Contractual Liability |  | Existing Cash Collateral |  | Net Exposure
| (In thousands)
December 31, 2011 |  |  |  |  |
PNMR and PNM | $ | 4,036 |  |  | $ | — |  |  | $ | 4,036 |
December 31, 2010 |  |  |  |  |
PNMR | $ | 8,113 |  |  | $ | — |  |  | $ | 2,642 |
PNM | $ | 291 |  |  | $ | — |  |  | $ | 119 |
Sale of Power from PVNGS Unit 3 In April 2008, PNM entered into three separate contracts for the sale of capacity and energy related to its entire interest in PVNGS Unit 3. Under two of the contracts, PNM sold 90 MW of firm capacity and energy. Under the third contract, PNM sold 45 MW of unit contingent capacity and energy. The term of the contracts was May 1, 2008 through December 31, 2010. Under the two firm contracts, the two buyers made prepayments of $40.6 million and $30.0 million. These amounts were recorded as deferred revenue and were amortized over the life of the contracts. The prepayments received under the firm contracts, as well as required subsequent monthly payments on them, are shown as a financing activity in the Consolidated Statement of Cash Flows as required by GAAP. The firm contracts were accounted for as cash flow hedges and changes in fair value were included in AOCI. The contingent contract was accounted for as a normal sale. Beginning January 1, 2011, PNM is selling its interest in PVNGS Unit 3 daily at market prices. PNM has established fixed rates for the majority of these sales through the end of 2012 through hedging arrangements that are accounted for as economic hedges and is partially hedged into 2013. Non-Derivative Financial Instruments The carrying amounts reflected on the Consolidated Balance Sheets approximate fair value for cash, receivables, and payables due to the short period of maturity. Available-for-sale securities are carried at fair value. Available-for-sale securities for PNMR and PNM consist of PNM assets held in the NDT for its share of decommissioning costs of PVNGS. PNMR and PNM do not have any unrealized losses on available-for-sale securities. The fair value of and gross unrealized gains of investments in available-for-sale securities are presented in the following table.
| December 31, 2011 |  | December 31, 2010
| Unrealized Gains |  | Fair Value |  | Unrealized Gains |  | Fair Value
|  |  | (In thousands) |  |
Equity securities: |  |  |  |  |  |  |
Domestic value | $ | 3,549 |  |  | $ | 25,143 |  |  | $ | 5,108 |  |  | $ | 25,491 |
Domestic growth | 16,714 |  |  | 52,187 |  |  | 17,239 |  |  | 48,237 |
International and other | 662 |  |  | 12,754 |  |  | 2,730 |  |  | 10,670 |
Fixed income securities: |  |  |  |  |  |  |
Municipals | 2,861 |  |  | 41,463 |  |  | 837 |  |  | 37,595 |
U.S. Government | 1,353 |  |  | 25,367 |  |  | 348 |  |  | 21,541 |
Corporate and other | 742 |  |  | 9,171 |  |  | 573 |  |  | 8,402 |
Cash investments | — |  |  | 2,766 |  |  | — |  |  | 4,986 |
| $ | 25,881 |  |  | $ | 168,851 |  |  | $ | 26,835 |  |  | $ | 156,922 |
The proceeds and gross realized gains and losses on the disposition of available-for-sale securities for PNMR and PNM are shown in the following table. Realized gains and losses are determined by specific identification of costs of securities sold.
| Year Ended December 31,
| 2011 |  | 2010 |  | 2009
| (In thousands)
Proceeds from sales | $ | 145,286 |  |  | $ | 79,853 |  |  | $ | 124,519 |
Gross realized gains | $ | 17,493 |  |  | $ | 5,635 |  |  | $ | 6,009 |
Gross realized (losses) | $ | (6,223 | ) |  | $ | (3,704 | ) |  | $ | (7,359 | )
Held-to-maturity securities are those investments in debt securities that the Company has the ability and intent to hold until maturity. Held-to-maturity securities consist of the investment in PVNGS lessor notes and certain items within other investments, including the EIP lessor note. The Company has no available-for-sale or held-to-maturity securities for which carrying value exceeds fair value. There are no impairments considered to be “other than temporary” that are included in AOCI and not recognized in earnings. At December 31, 2011, the available-for-sale and held-to-maturity debt securities had the following final maturities:
| Fair Value
| Available-for-Sale |  | Held-to-Maturity
| PNMR and PNM |  | PNMR |  | PNM
| (In thousands)
Within 1 year | $ | 1,470 |  |  | $ | 2,339 |  |  | $ | 2,339 |
After 1 year through 5 years | 20,862 |  |  | 115,788 |  |  | 108,742 |
After 5 years through 10 years | 11,897 |  |  | 2,060 |  |  | — |
Over 10 years | 41,772 |  |  | — |  |  | — |
| $ | 76,001 |  |  | $ | 120,187 |  |  | $ | 111,081 |
The carrying amount and fair value of held-to-maturity debt securities and other non-derivative financial instruments (including current maturities) are:
| December 31, 2011 |  | December 31, 2010
| Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value
| (In thousands)
PNMR |  |  |  |  |  |  |
Long-term debt | $ | 1,674,013 |  |  | $ | 1,873,002 |  |  | $ | 1,565,847 |  |  | $ | 1,659,674 |
Investment in PVNGS lessor notes | $ | 107,094 |  |  | $ | 108,742 |  |  | $ | 136,145 |  |  | $ | 141,663 |
Other investments | $ | 12,207 |  |  | $ | 14,208 |  |  | $ | 18,791 |  |  | $ | 21,675 |
PNM |  |  |  |  |  |  |
Long-term debt | $ | 1,215,540 |  |  | $ | 1,294,846 |  |  | $ | 1,055,748 |  |  | $ | 1,056,864 |
Investment in PVNGS lessor notes | $ | 107,094 |  |  | $ | 108,742 |  |  | $ | 136,145 |  |  | $ | 141,663 |
Other investments | $ | 2,900 |  |  | $ | 3,052 |  |  | $ | 5,068 |  |  | $ | 5,563 |
TNMP |  |  |  |  |  |  |
Long-term debt | $ | 310,963 |  |  | $ | 413,966 |  |  | $ | 310,337 |  |  | $ | 385,220 |
Other investments | $ | 271 |  |  | $ | 271 |  |  | $ | 282 |  |  | $ | 282 |
The fair value of long-term debt shown above was primarily determined using quoted market values, as were certain items included in other investments. To the extent market values were not available, fair value was determined by discounting the cash flows for the instrument using quoted interest rates for comparable instruments. Other Fair Value Disclosures The Company determines the fair values of its derivative and other instruments based on the hierarchy established in GAAP, which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. GAAP describes three levels of inputs that may be used to measure fair value. Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Level 3 inputs are unobservable inputs for the asset or liability. Level 3 inputs used in determining fair values for the Company consist of internal valuation models. For NDT investments, Level 2 fair values are provided by the trustee utilizing a pricing service. The pricing provider predominantly uses the market approach using bid side market value based upon a hierarchy of information for specific securities or securities with similar characteristics. For commodity derivatives, Level 2 fair values are determined based on market observable inputs, which are validated using multiple broker quotes, including forward price, volatility, and interest rate curves to establish expectations of future prices. Credit valuation adjustments are made for estimated credit losses based on the overall exposure to each counterparty. Fair values of Level 3 commodity derivatives are determined in a manner similar to those in Level 2, but are at a lower level in the hierarchy due to low transaction volume or market illiquidity that significantly limit the availability of observable market data. Derivatives and Investments The fair values of derivatives and investments that are recorded at fair value on the Consolidated Balance Sheets are as follows:
| Total(1) |  | Quoted Prices in Active Market for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
December 31, 2011 |  |  | (In thousands) |  |
PNMR and PNM |  |  |  |  |  |  |
NDT investments |  |  |  |  |  |  |
Cash and equivalents | $ | 2,766 |  |  | $ | 2,766 |  |  | $ | — |  |  | $ | — |
Equity securities: |  |  |  |  |  |  |
Domestic value | 25,143 |  |  | 25,143 |  |  | — |  |  | — |
Domestic growth | 52,187 |  |  | 52,187 |  |  | — |  |  | — |
International and other | 12,754 |  |  | 12,754 |  |  | — |  |  | — |
Fixed income securities: |  |  |  |  |  |  |
U.S. government | 25,367 |  |  | 21,409 |  |  | 3,958 |  |  | — |
Municipals | 41,463 |  |  | — |  |  | 41,463 |  |  | — |
Corporate and other | 9,171 |  |  | — |  |  | 9,171 |  |  | — |
Total NDT investments | $ | 168,851 |  |  | $ | 114,259 |  |  | $ | 54,592 |  |  | $ | — |
Commodity derivative assets | $ | 3,713 |  |  | $ | — |  |  | $ | 3,713 |  |  | $ | — |
Commodity derivative liabilities | (4,069 | ) |  | — |  |  | (4,069 | ) |  | — |
Net | $ | (356 | ) |  | $ | — |  |  | $ | (356 | ) |  | $ | — |
December 31, 2010 |  |  |  |  |  |  |
PNMR and PNM |  |  |  |  |  |  |
NDT investments |  |  |  |  |  |  |
Cash and equivalents | $ | 4,986 |  |  | $ | 4,986 |  |  | $ | — |  |  | $ | — |
Equity securities: |  |  |  |  |  |  |
Domestic value | 25,491 |  |  | 25,491 |  |  | — |  |  | — |
Domestic growth | 48,237 |  |  | 48,237 |  |  | — |  |  | — |
International and other | 10,670 |  |  | 10,670 |  |  | — |  |  | — |
Fixed income securities: |  |  |  |  |  |  |
U.S. government | 21,541 |  |  | 16,613 |  |  | 4,928 |  |  | — |
Municipals | 37,595 |  |  | — |  |  | 37,595 |  |  | — |
Corporate and other | 8,402 |  |  | — |  |  | 8,402 |  |  | — |
Total NDT investments | $ | 156,922 |  |  | $ | 105,997 |  |  | $ | 50,925 |  |  | $ | — |
PNMR |  |  |  |  |  |  |
Commodity derivative assets | $ | 21,263 |  |  | $ | 8,646 |  |  | $ | 12,308 |  |  | $ | 272 |
Commodity derivative liabilities | (44,238 | ) |  | (26,378 | ) |  | (16,729 | ) |  | (1,094 | )
Net | $ | (22,975 | ) |  | $ | (17,732 | ) |  | $ | (4,421 | ) |  | $ | (822 | )
PNM |  |  |  |  |  |  |
Commodity derivative assets | $ | 1,443 |  |  | $ | — |  |  | $ | 1,443 |  |  | $ | — |
Commodity derivative liabilities | (5,119 | ) |  | — |  |  | (5,119 | ) |  | — |
Net | $ | (3,676 | ) |  | $ | — |  |  | $ | (3,676 | ) |  | $ | — |
(1) | The Level 1, 2 and 3 columns in the above table are presented based on the nature of each instrument. The total column is presented based on the balance sheet classification of the instruments and reflect unit of account reclassifications between commodity derivative assets and commodity derivative liabilities of zero for PNMR and PNM at December 31, 2011 and less than $0.1 million for PNMR and zero for PNM at December 31, 2010. There were no transfers between levels for the twelve months ended December 31, 2011.
A reconciliation of the changes in Level 3 fair value measurements is as follows:
| PNMR |  | PNM
| Year Ended December 31, |  | Year Ended December 31,
| 2011 |  | 2010 |  | 2011 |  | 2010
| (In thousands)
Balance at beginning of period | $ | (822 | ) |  | $ | 248 |  |  | $ | — |  |  | $ | (17 | )
Total gains (losses) included in earnings | 1,020 |  |  | (1,646 | ) |  | — |  |  | (128 | )
Purchases | 3,163 |  |  | 70 |  |  | — |  |  | — |
Settlements | (1,578 | ) |  | 506 |  |  | — |  |  | 145 |
Sale of First Choice | (1,783 | ) |  | — |  |  | — |  |  | — |
Balance at end of period | $ | — |  |  | $ | (822 | ) |  | $ | — |  |  | $ | — |
Total gains (losses) included in earnings attributable to the change in unrealized gains or losses relating to assets still held at the end of the period | $ | — |  |  | $ | (1,087 | ) |  | $ | — |  |  | $ | — |
The above gains and losses (realized and unrealized) for Level 3 fair value measurements included in earnings are reported in cost of energy. Investments Held by Employee Benefit Plans As discussed in Note 12, PNM and TNMP have trusts that hold investment assets for their pension and other postretirement benefit plans. The fair value of the assets held by the trusts impacts the determination of the funded status of each plan, but the assets are not reflected on the Consolidated Balance Sheets. Both the PNM Pension Plan and the TNMP Pension Plan hold units of participation in the PNM Resources, Inc. Master Trust (the “PNMR Master Trust”), which was established for the investment of assets of the pension plans. Fair value of alternative investments is determined based on net asset value as reported by fund managers. The fair values of investments held by the employee benefit plans are as follows:
| Total |  | Quoted Prices in Active Market for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
December 31, 2011 |  |  | (In thousands) |  |
PNM Pension Plan |  |  |  |  |  |  |
Participation in PNMR Master Trust Total Plan Investments | $ | 444,466 |  |  | $ | 176,279 |  |  | $ | 184,054 |  |  | $ | 84,133 |
TNMP Pension Plan |  |  |  |  |  |  |
Participation in PNMR Master Trust Total Plan Investments | $ | 62,139 |  |  | $ | 24,118 |  |  | $ | 23,466 |  |  | $ | 14,555 |
PNM OPEB Plan |  |  |  |  |  |  |
Cash and equivalents | $ | 1,128 |  |  | $ | 1,128 |  |  | $ | — |  |  | $ | — |
Equity securities: |  |  |  |  |  |  |
International funds | 2,740 |  |  | — |  |  | 2,740 |  |  | — |
Domestic value | 1,289 |  |  | 1,289 |  |  | — |  |  | — |
Domestic growth | 43,016 |  |  | 22,215 |  |  | 20,801 |  |  | — |
Other funds | 7,678 |  |  | — |  |  | 7,678 |  |  | — |
Fixed income securities: |  |  |  |  |  |  |
Mutual funds | 4,006 |  |  | 4,006 |  |  | — |  |  | — |
Total Assets | $ | 59,857 |  |  | $ | 28,638 |  |  | $ | 31,219 |  |  | $ | — |
TNMP OPEB Plan |  |  |  |  |  |  |
Cash and equivalents | $ | 180 |  |  | $ | 180 |  |  | $ | — |  |  | $ | — |
Equity securities: |  |  |  |  |  |  |
International funds | 1,248 |  |  | — |  |  | 1,248 |  |  | — |
Domestic value | 551 |  |  | 551 |  |  | — |  |  | — |
Domestic growth | 738 |  |  | 738 |  |  | — |  |  | — |
Other funds | 3,048 |  |  | — |  |  | 3,048 |  |  | — |
Fixed income securities: |  |  |  |  |  |  |
Mutual funds | 2,694 |  |  | 2,694 |  |  | — |  |  | — |
Total Assets | $ | 8,459 |  |  | $ | 4,163 |  |  | $ | 4,296 |  |  | $ | — |
| Total |  | Quoted Prices in Active Market for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
December 31, 2010 | (In thousands)
PNM Pension Plan |  |  |  |  |  |  |
Participation in PNMR Master Trust | $ | 393,480 |  |  | $ | 208,759 |  |  | $ | 105,781 |  |  | $ | 78,940 |
TNMP Pension Plan |  |  |  |  |  |  |
Participation in PNMR Master Trust | $ | 60,506 |  |  | $ | 30,530 |  |  | $ | 16,317 |  |  | $ | 13,659 |
PNM OPEB Plan |  |  |  |  |  |  |
Cash and equivalents | $ | 1,811 |  |  | $ | 1,811 |  |  | $ | — |  |  | $ | — |
Equity securities: |  |  |  |  |  |  |
International funds | 3,182 |  |  | — |  |  | 3,182 |  |  | — |
Domestic value | 1,363 |  |  | 1,363 |  |  | — |  |  | — |
Domestic growth | 41,278 |  |  | 22,939 |  |  | 18,339 |  |  | — |
Other funds | 9,057 |  |  | — |  |  | 9,057 |  |  | — |
Fixed income securities: |  |  |  |  |  |  |
Mutual funds | 5,860 |  |  | 5,860 |  |  | — |  |  | — |
Total Assets | $ | 62,551 |  |  | $ | 31,973 |  |  | $ | 30,578 |  |  | $ | — |
TNMP OPEB Plan |  |  |  |  |  |  |
Cash and equivalents | $ | 424 |  |  | $ | 424 |  |  | $ | — |  |  | $ | — |
Equity securities: |  |  |  |  |  |  |
International funds | 1,116 |  |  | — |  |  | 1,116 |  |  | — |
Domestic value | 582 |  |  | 582 |  |  | — |  |  | — |
Domestic growth | 710 |  |  | 710 |  |  | — |  |  | — |
Other funds | 2,959 |  |  | — |  |  | 2,959 |  |  | — |
Fixed income securities: |  |  |  |  |  |  |
Mutual funds | 2,834 |  |  | 2,834 |  |  | — |  |  | — |
Total Assets | $ | 8,625 |  |  | $ | 4,550 |  |  | $ | 4,075 |  |  | $ | — |
The fair values of investments in the PNMR Master Trust are as follows:
| Total |  | Quoted Prices in Active Market for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
December 31, 2011 | (In thousands)
PNMR Master Trust |  |  |  |  |  |  |
Cash and equivalents | $ | 6,753 |  |  | $ | 6,753 |  |  | $ | — |  |  | $ | — |
Equity securities: |  |  |  |  |  |  |
International | 37,173 |  |  | 37,173 |  |  | — |  |  | — |
Domestic value | 58,350 |  |  | 57,437 |  |  | 913 |  |  | — |
Domestic growth | 65,004 |  |  | 65,004 |  |  | — |  |  | — |
Other funds | 15,271 |  |  | — |  |  | 15,271 |  |  | — |
Fixed income securities: |  |  |  |  |  |  |
Corporate | 59,730 |  |  | — |  |  | 59,730 |  |  | — |
U.S. government | 104,102 |  |  | 34,030 |  |  | 70,072 |  |  | — |
Municipals | 3,478 |  |  | — |  |  | 3,478 |  |  | — |
Other funds | 58,056 |  |  | — |  |  | 58,056 |  |  | — |
Alternative investments: |  |  |  |  |  |  |
Private equity funds | 37,100 |  |  | — |  |  | — |  |  | 37,100 |
Hedge funds | 36,904 |  |  | — |  |  | — |  |  | 36,904 |
Real estate funds | 24,684 |  |  | — |  |  | — |  |  | 24,684 |
Total Fair Value of Plan Investments | $ | 506,605 |  |  | $ | 200,397 |  |  | $ | 207,520 |  |  | $ | 98,688 |
December 31, 2010 |
PNMR Master Trust |  |  |  |  |  |  |
Cash and equivalents | $ | 10,718 |  |  | $ | 10,718 |  |  | $ | — |  |  | $ | — |
Equity securities: |  |  |  |  |  |  |
International | 46,505 |  |  | 46,505 |  |  | — |  |  | — |
Domestic value | 79,218 |  |  | 76,493 |  |  | 2,725 |  |  | — |
Domestic growth | 81,375 |  |  | 81,375 |  |  | — |  |  | — |
Other funds | 49,307 |  |  | — |  |  | 49,307 |  |  | — |
Fixed income securities: |  |  |  |  |  |  |
Corporate | 2,062 |  |  | — |  |  | 2,062 |  |  | — |
U.S. government | 39,585 |  |  | 24,198 |  |  | 15,387 |  |  | — |
Municipals | 2,935 |  |  | — |  |  | 2,935 |  |  | — |
Other funds | 49,682 |  |  | — |  |  | 49,682 |  |  | — |
Alternative investments: |  |  |  |  |  |  |
Private equity funds | 32,935 |  |  | — |  |  | — |  |  | 32,935 |
Hedge funds | 37,622 |  |  | — |  |  | — |  |  | 37,622 |
Real estate funds | 22,042 |  |  | — |  |  | — |  |  | 22,042 |
Total Assets | $ | 453,986 |  |  | $ | 239,289 |  |  | $ | 122,098 |  |  | $ | 92,599 |
A reconciliation of the changes in Level 3 fair value measurements is as follows:
| Year Ended December 31,
Level 3 Fair Value Assets and Liabilities | 2011 |  | 2010
| (In thousands)
PNM Pension | Master Trust |  | Master Trust |  | Real Estate Funds
Balance at beginning of period | $ | 78,940 |  |  | $ | 74,105 |  |  | $ | 2,168 |
Actual return on assets sold during the period | 1,624 |  |  | (778 | ) |  | (1,846 | )
Actual return on assets still held at period end | 1,404 |  |  | 4,015 |  |  | — |
Purchases | 4,030 |  |  | 33,731 |  |  | — |
Sales | (1,865 | ) |  | (32,133 | ) |  | (322 | )
Balance at end of period | $ | 84,133 |  |  | $ | 78,940 |  |  | $ | — |
TNMP Pension |  |  |  |  |
Balance at beginning of period | $ | 13,659 |  |  | $ | 12,426 |  |  |
Actual return on assets sold during the period | 280 |  |  | (199 | ) |  |
Actual return on assets still held at period end | 243 |  |  | 1,024 |  |  |
Purchases | 695 |  |  | 8,602 |  |  |
Sales | (322 | ) |  | (8,194 | ) |  |
Balance at end of period | $ | 14,555 |  |  | $ | 13,659 |  |  |  |
Additional information concerning changes in Level 3 fair value measurements for the PNMR Master Trust is as follows: Level 3 Fair Value Assets and Liabilities
PNMR Master Trust | Private equity funds |  | Hedge funds |  | Real estate funds |  | Total
|  |  | (In thousands) |  |
Balance at December 31, 2009 | $ | 26,883 |  |  | $ | 34,921 |  |  | $ | 24,727 |  |  | $ | 86,531 |
Actual return on assets sold during the period | (769 | ) |  | — |  |  | (208 | ) |  | (977 | )
Actual return on assets still held at period end | 2,363 |  |  | 2,701 |  |  | (25 | ) |  | 5,039 |
Purchases | 39,255 |  |  | — |  |  | 3,078 |  |  | 42,333 |
Sales | (34,797 | ) |  | — |  |  | (5,530 | ) |  | (40,327 | )
Balance at December 31, 2010 | 32,935 |  |  | 37,622 |  |  | 22,042 |  |  | 92,599 |
Actual return on assets sold during the period | 1,904 |  |  | — |  |  | — |  |  | 1,904 |
Actual return on assets still held at period end | 2,372 |  |  | (718 | ) |  | (7 | ) |  | 1,647 |
Purchases | 2,076 |  |  | — |  |  | 2,649 |  |  | 4,725 |
Sales | (2,187 | ) |  | — |  |  | — |  |  | (2,187 | )
Balance at December 31, 2011 | $ | 37,100 |  |  | $ | 36,904 |  |  | $ | 24,684 |  |  | $ | 98,688 |

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