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MARKETABLE SECURITIES
6 Months Ended
Jun. 30, 2017
Investments, Debt and Equity Securities [Abstract]  
MARKETABLE SECURITIES
MARKETABLE SECURITIES

Eversource maintains trusts that hold marketable securities to fund certain non-qualified executive benefits.  These trusts are not subject to regulatory oversight by state or federal agencies.  CYAPC and YAEC maintain legally restricted trusts, each of which holds marketable securities, to fund the spent nuclear fuel removal obligations of their nuclear fuel storage facilities.

Trading Securities:  Eversource has elected to record certain equity securities as trading securities, with the changes in fair values recorded in Other Income, Net on the statements of income.  As of December 31, 2016, these securities were classified as Level 1 in the fair value hierarchy and totaled $9.6 million.  These securities were sold during the first quarter of 2017 and were no longer held as of June 30, 2017. For the three and six months ended June 30, 2016, net gains on these securities of $0.2 million and $0.5 million, respectively, were recorded in Other Income, Net on the statements of income. Dividend income is recorded in Other Income, Net when dividends are declared.  

Available-for-Sale Securities:  The following is a summary of available-for-sale securities, which are recorded at fair value and are included in current and long-term Marketable Securities on the balance sheets.
 
As of June 30, 2017
 
As of December 31, 2016
Eversource
(Millions of Dollars)
Amortized Cost
 
Pre-Tax
Unrealized Gains
 
Pre-Tax
Unrealized
Losses
 
Fair Value
 
Amortized Cost
 
Pre-Tax
Unrealized Gains
 
Pre-Tax
Unrealized
Losses
 
Fair Value
Debt Securities
$
290.3

 
$
4.7

 
$
(0.5
)
 
$
294.5

 
$
296.2

 
$
1.1

 
$
(2.1
)
 
$
295.2

Equity Securities
202.1

 
83.2

 

 
285.3

 
203.3

 
62.3

 
(1.2
)
 
264.4



Eversource's debt and equity securities include CYAPC's and YAEC's marketable securities held in nuclear decommissioning trusts in the amounts of $485.9 million and $466.7 million as of June 30, 2017 and December 31, 2016, respectively.  Unrealized gains and losses for these nuclear decommissioning trusts are recorded in Marketable Securities with the corresponding offset to Other Long-Term Liabilities on the balance sheets, with no impact on the statements of income.  

Unrealized Losses and Other-than-Temporary Impairment:  There have been no significant unrealized losses, other-than-temporary impairments or credit losses for the three and six months ended June 30, 2017 and 2016.  Factors considered in determining whether a credit loss exists include the duration and severity of the impairment, adverse conditions specifically affecting the issuer, and the payment history, ratings and rating changes of the security.  For asset-backed debt securities, underlying collateral and expected future cash flows are also evaluated.

Realized Gains and Losses:  Realized gains and losses on available-for-sale securities are recorded in Other Income, Net for Eversource's non-qualified benefit trust and are offset in Other Long-Term Liabilities for CYAPC and YAEC.  Eversource utilizes the specific identification basis method for the Eversource non-qualified benefit trust, and the average cost basis method for the CYAPC and YAEC nuclear decommissioning trusts to compute the realized gains and losses on the sale of available-for-sale securities.

Contractual Maturities:  As of June 30, 2017, the contractual maturities of available-for-sale debt securities were as follows:  
Eversource
(Millions of Dollars)
Amortized Cost
 
Fair Value
Less than one year (1)
$
53.0

 
$
52.9

One to five years
52.6

 
53.4

Six to ten years
54.7

 
56.3

Greater than ten years
130.0

 
131.9

Total Debt Securities
$
290.3

 
$
294.5


(1) 
Amounts in the Less than one year category include securities in the CYAPC and YAEC nuclear decommissioning trusts, which are restricted and are classified in long-term Marketable Securities on the balance sheets.


Fair Value Measurements:  The following table presents the marketable securities recorded at fair value on a recurring basis by the level in which they are classified within the fair value hierarchy:
Eversource
(Millions of Dollars)
As of June 30, 2017
 
As of December 31, 2016
Level 1:  
 
 
 
Mutual Funds and Equities
$
285.3

 
$
274.0

Money Market Funds
29.7

 
54.8

Total Level 1
$
315.0

 
$
328.8

Level 2:
 
 
 
U.S. Government Issued Debt Securities (Agency and Treasury)
$
53.9

 
$
63.0

Corporate Debt Securities
67.8

 
41.1

Asset-Backed Debt Securities
18.6

 
18.5

Municipal Bonds
113.1

 
107.5

Other Fixed Income Securities
11.4

 
10.3

Total Level 2
$
264.8

 
$
240.4

Total Marketable Securities
$
579.8

 
$
569.2



U.S. government issued debt securities are valued using market approaches that incorporate transactions for the same or similar bonds and adjustments for yields and maturity dates.  Corporate debt securities are valued using a market approach, utilizing recent trades of the same or similar instrument and also incorporating yield curves, credit spreads and specific bond terms and conditions.  Asset-backed debt securities include collateralized mortgage obligations, commercial mortgage backed securities, and securities collateralized by auto loans, credit card loans or receivables.  Asset-backed debt securities are valued using recent trades of similar instruments, prepayment assumptions, yield curves, issuance and maturity dates, and tranche information.  Municipal bonds are valued using a market approach that incorporates reported trades and benchmark yields.  Other fixed income securities are valued using pricing models, quoted prices of securities with similar characteristics, and discounted cash flows.