Allegheny Power 2013 Annual Report Download - page 122
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107
FES
Recurring Fair Value Measurements December 31, 2013 December 31, 2012
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Assets (In millions)
Corporate debt securities $ — $ 792 $ — $ 792 $ — $ 703 $ — $ 703
Derivative assets - commodity contracts 7 208 — 215 — 252 — 252
Derivative assets - FTRs — —3 3 — — 6 6
Equity securities(1) 207 —— 207 294 — — 294
Foreign government debt securities — 65 — 65 — 61 — 61
U.S. government debt securities — 27 — 27 — 27 — 27
Other(2) — 176 — 176 — 104 — 104
Total assets $ 214 $ 1,268 $ 3 $ 1,485 $ 294 $ 1,147 $ 6 $ 1,447
Liabilities
Derivative liabilities - commodity contracts $ (13) $ (100) $ — $ (113) $ (3) $ (151) $ — $ (154)
Derivative liabilities - FTRs — —(11) (11) — — (6) (6)
Total liabilities $ (13) $ (100) $ (11) $ (124) $ (3) $ (151) $ (6) $ (160)
Net assets (liabilities)(3) $ 201 $ 1,168 $ (8) $ 1,361 $ 291 $ 996 $ — $ 1,287
(1) NDT funds hold equity portfolios whose performance is benchmarked against the Alerian MLP Index or the Wells Fargo Hybrid and Preferred
Securities REIT index.
(2) Primarily consists of short-term cash investments.
(3) Excludes $9 million and $94 million as of December 31, 2013 and December 31, 2012, respectively, of receivables, payables, taxes and
accrued income associated with financial instruments reflected within the fair value table.
Rollforward of Level 3 Measurements
The following table provides a reconciliation of changes in the fair value of FTRs held by FES and classified as Level 3 in the fair
value hierarchy for the periods ended December 31, 2013 and December 31, 2012:
Derivative Asset
FTRs
Derivative
Liability FTRs Net FTRs
(In millions)
January 1, 2012 Balance $ 1 $ (7) $ (6)
Unrealized gain (loss) 4 (4) —
Purchases 9 (7) 2
Settlements (8) 12 4
December 31, 2012 Balance $ 6 $ (6) $ —
Unrealized loss — (2) (2)
Purchases 5 (12) (7)
Settlements (8) 9 1
December 31, 2013 Balance $ 3 $ (11) $ (8)
Level 3 Quantitative Information
The following table provides quantitative information for FTRs held by FES that are classified as Level 3 in the fair value hierarchy
for the period ended December 31, 2013:
Fair Value, Net
(In millions)
Valuation
Technique Significant Input Range
Weighted
Average Units
FTRs $ (8) Model RTO auction clearing prices ($2.80) to $5.20 $0.50 Dollars/MWH