Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2016

The following tables include Great Plains Energy's and KCP&L's balances of financial assets and liabilities measured at fair value on a recurring basis. The fair values below are gross values before netting arrangements and netting of cash collateral.



Description	September 30 2016			Level 1		Level 2			Level 3
KCP&L		(millions)
Assets
Nuclear decommissioning trust ^(a)
Equity securities		$	147.4	$	147.4		$	—		$	—
Debt securities
U.S. Treasury		29.7		29.7			—			—
U.S. Agency		1.8		—			1.8			—
State and local obligations		3.1		—			3.1			—
Corporate bonds		34.4		—			34.4			—
Foreign governments		0.3		—			0.3			—
Cash equivalents		1.6		1.6			—			—
Total nuclear decommissioning trust		218.3		178.7			39.6			—
Self-insured health plan trust ^(b)
Equity securities		0.9		0.9			—			—
Debt securities		4.8		—			4.8			—
Cash and cash equivalents		8.0		8.0			—			—
Total self-insured health plan trust		13.7		8.9			4.8			—
Derivative instruments - commodity ^(c)		1.1		—			—			1.1
Total		$	233.1	$	187.6		$	44.4		$	1.1
Liabilities
Derivative instruments - commodity ^(c)		0.7		—			—			0.7
Total		$	0.7	$	—		$	—		$	0.7
Other Great Plains Energy
Assets
Derivative instruments - commodity ^(c)		$	4.2	$	1.1		$	2.3		$	0.8
SERP rabbi trusts ^(d)
Equity securities		0.1		0.1			—			—
Total		$	4.3	$	1.2		$	2.3		$	0.8
Liabilities
Derivative instruments
Commodity ^(c)		$	1.3	$	1.1		$	—		$	0.2
Interest rates ^(e)		78.8		—			—			78.8
Total derivative instruments		80.1		1.1			—			79.0
Total		$	80.1	$	1.1		$	—		$	79.0
Great Plains Energy
Assets
Nuclear decommissioning trust ^(a)		$	218.3	$	178.7		$	39.6		$	—
Self-insured health plan trust ^(b)		13.7		8.9			4.8			—
Derivative instruments ^(c)		5.3		1.1			2.3			1.9
SERP rabbi trusts ^(d)		0.1		0.1			—			—
Total		$	237.4	$	188.8		$	46.7		$	1.9
Liabilities
Derivative instruments ^{(c) (e)}		80.8		1.1			—			79.7
Total		$	80.8	$	1.1		$	—		$	79.7



Description	December 31 2015			Level 1			Level 2			Level 3
KCP&L		(millions)
Assets
Nuclear decommissioning trust ^(a)
Equity securities		$	135.4		$	135.4		$	—		$	—
Debt securities
U.S. Treasury		26.4			26.4			—			—
U.S. Agency		1.8			—			1.8			—
State and local obligations		4.0			—			4.0			—
Corporate bonds		29.2			—			29.2			—
Foreign governments		0.3			—			0.3			—
Cash equivalents		3.6			3.6			—			—
Total nuclear decommissioning trust		200.7			165.4			35.3			—
Self-insured health plan trust ^(b)
Equity securities		1.1			1.1			—			—
Debt securities		7.3			—			7.3			—
Cash and cash equivalents		5.2			5.2			—			—
Total self-insured health plan trust		13.6			6.3			7.3			—
Derivative instruments - commodity ^(c)		0.2			—			—			0.2
Total		$	214.5		$	171.7		$	42.6		$	0.2
Liabilities
Derivative instruments - commodity ^(c)		0.7			0.1			—			0.6
Total		$	0.7		$	0.1		$	—		$	0.6
Other Great Plains Energy
Assets
Derivative instruments - commodity ^(c)		$	3.1		$	—		$	2.7		$	0.4
SERP rabbi trusts ^(d)
Equity securities		0.1			0.1			—			—
Total		$	3.2		$	0.1		$	2.7		$	0.4
Liabilities
Derivative instruments - commodity^(c)		5.7			5.6			—			0.1
Total		$	5.7		$	5.6		$	—		$	0.1
Great Plains Energy
Assets
Nuclear decommissioning trust ^(a)		$	200.7		$	165.4		$	35.3		$	—
Self-insured health plan trust ^(b)		13.6			6.3			7.3			—
Derivative instruments ^(c)		3.3			—			2.7			0.6
SERP rabbi trusts ^(d)		0.1			0.1			—			—
Total		$	217.7		$	171.8		$	45.3		$	0.6
Liabilities
Derivative instruments ^(c)		6.4			5.7			—			0.7
Total		$	6.4		$	5.7		$	—		$	0.7


^(a)	Fair value is based on quoted market prices of the investments held by the fund and/or valuation models.


^(b)	Fair value is based on quoted market prices of the investments held by the trust. Debt securities classified as Level 2 are comprised of corporate bonds, U.S. Agency, state and local obligations, and other asset-backed securities.

^(c)

The fair value of commodity derivative instruments is estimated using market quotes, over-the-counter forward price and volatility curves and correlations among fuel prices, net of estimated credit risk. Derivative instruments classified as Level 1 represent exchange traded derivative instruments. Derivative instruments classified as Level 2 represent non-exchange traded derivative instruments valued using pricing models for which observable market data is available to corroborate the valuation inputs. Derivative instruments classified as Level 3 represent non-exchange traded derivative instruments valued using pricing models for which observable market data is not available to corroborate the valuation inputs and TCRs valued at the most recent auction price in the SPP Integrated Marketplace.

^(d)

At September 30, 2016, and December 31, 2015, the Supplemental Executive Retirement Plan (SERP) rabbi trusts also included $16.7 million and $16.6 million, respectively, of fixed income funds valued at net asset value (NAV) per share (or its equivalent) that are not categorized in the fair value hierarchy. The fixed income fund invests primarily in intermediate and long-term debt securities, can be redeemed immediately and is not subject to any restrictions on redemptions.

^(e)

The fair value of the interest rate derivative instruments is determined by calculating the net present value of expected payments and receipts under the interest rate swaps using observable market inputs including interest rates and LIBOR swap rates. As of September 30, 2016, the calculated net present value was discounted by a contingency factor of 0.35 that management believes is representative of what a market participant would use in valuing these instruments in order to account for the contingent nature of the settlement of these instruments. See Note 17 for more details on the interest rate swaps.

A decrease in the contingency factor would result in a higher fair value measurement. Management expects that the contingency factor will decrease as the Company obtains certain regulatory approvals connected with the anticipated acquisition of Westar and due to the passage of time. Because of the unobservable nature of the contingency factor, the interest rate derivatives have been classified as Level 3.

Unobservable inputs reconciliation

The following tables reconcile the beginning and ending balances for all Level 3 assets and liabilities measured at fair value on a recurring basis.



Great Plains Energy
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Derivative Instruments
	2016			2015
	(millions)
Net asset (liability) at July 1	$	(76.1	)	$	0.8
Total realized/unrealized gains (losses):
included in electric revenue	2.0			(0.2		)
included in purchased power expense	0.5			(0.2		)
included in non-operating income	3.8			3.2
included in interest charges	(1.8		)	—
included in regulatory (asset) liability	0.2			(0.1		)
Purchases	—			(0.2		)
Settlements	(6.4		)	(2.9		)
Net asset (liability) at September 30	$	(77.8	)	$	0.4
Total unrealized gains (losses) relating to assets and liabilities still on the consolidated balance sheet at September 30:
included in electric revenue	$	—		$	(0.1	)
included in interest charges	(1.8		)	—
included in regulatory (asset) liability	0.8			(0.1		)

Great Plains Energy
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Derivative Instruments
	2016			2015
	(millions)
Net asset (liability) at January 1	$	(0.1	)	$	3.5
Total realized/unrealized gains (losses):
included in electric revenue	1.7			(7.9		)
included in purchased power expense	0.2			(1.4		)
included in non-operating income	7.9			6.9
included in interest charges	(78.8		)	—
included in regulatory (asset) liability	0.8			(0.1		)
Purchases	(0.5		)	0.4
Settlements	(9.0		)	(1.0		)
Net asset (liability) at September 30	$	(77.8	)	$	0.4
Total unrealized gains (losses) relating to assets and liabilities still on the consolidated balance sheet at September 30:
included in electric revenue	$	—		$	(0.1	)
included in non-operating income	0.1			(0.1		)
included in interest charges	(78.8		)	—
included in regulatory (asset) liability	0.8			(0.1		)



KCP&L
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Derivative Instruments
	2016			2015
	(millions)
Net asset at July 1	$	0.5		$	0.1
Total realized/unrealized gains (losses):
included in electric revenue	2.0			(0.2		)
included in regulatory asset	—			(0.1		)
Purchases	(0.1		)	(0.2		)
Settlements	(2.0		)	0.2
Net asset (liability) at September 30	$	0.4		$	(0.2	)
Total unrealized gains (losses) relating to assets and liabilities still on the consolidated balance sheet at September 30:
included in electric revenue	$	—		$	(0.1	)
included in regulatory (asset) liability	0.5			(0.1		)

KCP&L
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Derivative Instruments
	2016			2015
	(millions)
Net asset (liability) at January 1	$	(0.4	)	$	3.1
Total realized/unrealized gains (losses):
included in electric revenue	1.7			(7.9		)
included in regulatory (asset) liability	0.5			(0.1		)
Purchases	(0.5		)	(0.4		)
Settlements	(0.9		)	5.1
Net asset (liability) at September 30	$	0.4		$	(0.2	)
Total unrealized gains (losses) relating to assets and liabilities still on the consolidated balance sheet at September 30:
included in electric revenue	$	—		$	(0.1	)
included in regulatory (asset) liability	0.5			(0.1		)