Allegheny Power 2015 Annual Report Download - page 117



100
Transfersbetweenlevelsarerecognizedattheendofthereportingperiod.Therewerenotransfersbetweenlevelsduringtheyears
endedDecember31,2015and2014.Thefollowingtablessetforththerecurringassetsandliabilitiesthatareaccountedforatfair
valuebylevelwithinthefairvaluehierarchy:
FirstEnergy
RecurringFairValueMeasurementsDecember31,2015December31,2014
Level1 Level2 Level3 Total Level1 Level2 Level3 Total
Assets(Inmillions)
Corporatedebtsecurities $ —
$ 1,245
$ —
$ 1,245
$ —
$ 1,221
$ —
$ 1,221
Derivativeassetscommoditycontracts 4
224
—
228
1
171
—
172
DerivativeassetsFTRs —
—
8
8
—
—
39
39
DerivativeassetsNUGcontracts(1)—
— 1 1 — — 2 2
Equitysecurities(2)576
—
—
576
592
—
—
592
Foreigngovernmentdebtsecurities —
75
—
75
—
76
—
76
U.S.governmentdebtsecurities —
180
—
180
—
182
—
182
U.S.statedebtsecurities —
246
—
246
—
237
—
237
Other(3)105
212
—
317
55
256
—
311
Totalassets$ 685
$ 2,182
$ 9
$ 2,876
$ 648
$ 2,143
$ 41
$ 2,832
Liabilities
Derivativeliabilitiescommoditycontracts $ (9)
$ (122) $ —
$ (131) $ (26) $ (141) $ —
$ (167)
DerivativeliabilitiesFTRs —
—
(13) (13) —
—
(14) (14)
DerivativeliabilitiesNUGcontracts(1)—
—
(137) (137) —
—
(153) (153)
Totalliabilities$ (9) $ (122) $ (150) $ (281) $ (26) $ (141) $ (167) $ (334)
Netassets(liabilities)(4)$ 676
$ 2,060
$ (141) $ 2,595
$ 622
$ 2,002
$ (126) $ 2,498
(1)NUGcontractsaresubjecttoregulatoryaccountingtreatmentanddonotimpactearnings.
(2)NDTfundsholdequityportfolioswhoseperformanceisbenchmarkedagainsttheAlerianMLPIndexortheWellsFargoHybridandPreferred
SecuritiesREITindex.
(3)Primarilyconsistsofcashandshorttermcashinvestments.
(4) Excludes$7millionand$40millionasofDecember31,2015andDecember31,2014,respectively,ofreceivables,payables,taxesandaccrued
incomeassociatedwithfinancialinstrumentsreflectedwithinthefairvaluetable.


101
RollforwardofLevel3Measurements

ThefollowingtableprovidesareconciliationofchangesinthefairvalueofNUGcontractsandFTRsthatareclassifiedasLevel3in
thefairvaluehierarchyfortheperiodsendedDecember31,2015andDecember31,2014:

NUGContracts(1)
FTRs
Derivative
Assets
Derivative
Liabilities
Net
Derivative
Assets
Derivative
Liabilities
Net
(Inmillions)
January1,2014
Balance
$
20
$
(222
)
$
(202
)
$
4
$
(12
)
$
(8
)
Unrealizedgain(loss)
2
(2
)
—
47
(1
)
46
Purchases
—
—
—
26
(16
)
10
Settlements
(20
)
71
51
(38
)
15
(23
)
December31,2014
Balance
$
2
$
(153
)
$
(151
)
$
39
$
(14
)
$
25
Unrealizedgain(loss)
2
(49
)
(47
)
(5
)
(7
)
(12
)
Purchases
—
—
—
22
(11
)
11
Settlements
(3
)
65
62
(48
)
19
(29
)
December31,2015
Balance
$
1
$
(137
)
$
(136
)
$
8
$
(13
)
$
(5
)

(1)NUGcontractsaresubjecttoregulatoryaccountingtreatmentanddonotimpactearnings.

Level3QuantitativeInformation

ThefollowingtableprovidesquantitativeinformationforFTRsandNUGcontractsthatareclassifiedasLevel3inthefairvalue
hierarchyfortheperiodendedDecember31,2015:

FairValue,Net
(Inmillions)
Valuation
Technique
SignificantInput Range
Weighted
Average
Units
FTRs
$
(5
)
Model
RTOauctionclearingprices
($3.90)to$6.90
$1.00
Dollars/MWH
NUGContracts
$
(136
)
Model
Generation
Regionalelectricityprices
400to3,871,000
$38.10to$45.60
839,000
$40.20
MWH
Dollars/MWH

FES
RecurringFairValueMeasurements
December31,2015
December31,2014
Level1
Level2
Level3
Total
Level1
Level2
Level3
Total
Assets
(Inmillions)
Corporatedebtsecurities
$
—
$
678
$
—
$
678
$
—
$
655
$
—
$
655
Derivativeassetscommoditycontracts
4
224
—
228
1
171
—
172
DerivativeassetsFTRs
—
—
5
5
—
—
27
27
Equitysecurities(1)
378
—
—
378
360
—
—
360
Foreigngovernmentdebtsecurities
—
59
—
59
—
57
—
57
U.S.governmentdebtsecurities
—
23
—
23
—
46
—
46
U.S.statedebtsecurities
—
4
—
4
—
4
—
4
Other(2)
—
184
—
184
—
199
—
199
Totalassets
$
382
$
1,172
$
5
$
1,559
$
361
$
1,132
$
27
$
1,520
Liabilities
Derivativeliabilitiescommoditycontracts
$
(9
)
$
(122
)
$
—
$
(131
)
$
(26
)
$
(141
)
$
—
$
(167
)
DerivativeliabilitiesFTRs
—
—
(11
)
(11
)
—
—
(13
)
(13
)
Totalliabilities
$
(9
)
$
(122
)
$
(11
)
$
(142
)
$
(26
)
$
(141
)
$
(13
)
$
(180
)
Netassets(liabilities)(3)
$
373
$
1,050
$
(6
)
$
1,417
$
335
$
991
$
14
$
1,340