Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2017

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.



Description	June 30 2017			Level 1		Level 2			Level 3
KCP&L		(millions)
Assets
Nuclear decommissioning trust ^(a)
Equity securities		$	165.8	$	165.8		$	—		$	—
Debt securities
U.S. Treasury		32.7		32.7			—			—
U.S. Agency		1.1		—			1.1			—
State and local obligations		4.1		—			4.1			—
Corporate bonds		31.5		—			31.5			—
Foreign governments		0.1		—			0.1			—
Cash equivalents		3.1		3.1			—			—
Total nuclear decommissioning trust		238.4		201.6			36.8			—
Self-insured health plan trust ^(b)
Equity securities		0.7		0.7			—			—
Debt securities		2.5		—			2.5			—
Cash and cash equivalents		8.2		8.2			—			—
Total self-insured health plan trust		11.4		8.9			2.5			—
Total		$	249.8	$	210.5		$	39.3		$	—
Other Great Plains Energy
Assets
Interest rate derivative instruments ^(c)		$	49.2	$	—		$	—		$	49.2
Total		$	49.2	$	—		$	—		$	49.2
Liabilities
Series B Preferred Stock dividend make-whole provisions ^(d)		$	57.1	$	—		$	—		$	57.1
Total		$	57.1	$	—		$	—		$	57.1
Great Plains Energy
Assets
Nuclear decommissioning trust ^(a)		$	238.4	$	201.6		$	36.8		$	—
Self-insured health plan trust ^(b)		11.4		8.9			2.5			—
Interest rate derivative instruments ^(c)		49.2		—			—			49.2
Total		$	299.0	$	210.5		$	39.3		$	49.2
Liabilities
Series B Preferred Stock dividend make-whole provisions ^(d)		$	57.1	$	—		$	—		$	57.1
Total		$	57.1	$	—		$	—		$	57.1



Description	December 31 2016			Level 1			Level 2			Level 3
KCP&L		(millions)
Assets
Nuclear decommissioning trust ^(a)
Equity securities		$	153.9		$	153.9		$	—		$	—
Debt securities
U.S. Treasury		27.8			27.8			—			—
U.S. Agency		1.7			—			1.7			—
State and local obligations		3.2			—			3.2			—
Corporate bonds		32.4			—			32.4			—
Foreign governments		0.1			—			0.1			—
Cash equivalents		3.8			3.8			—			—
Total nuclear decommissioning trust		222.9			185.5			37.4			—
Self-insured health plan trust ^(b)
Equity securities		0.9			0.9			—			—
Debt securities		4.8			0.1			4.7			—
Cash and cash equivalents		5.6			5.6			—			—
Total self-insured health plan trust		11.3			6.6			4.7			—
Total		$	234.2		$	192.1		$	42.1		$	—
Other Great Plains Energy
Assets
Interest rate derivative instruments ^(c)		$	79.3		$	—		$	—		$	79.3
Total		$	79.3		$	—		$	—		$	79.3
Great Plains Energy
Assets
Nuclear decommissioning trust ^(a)		$	222.9		$	185.5		$	37.4		$	—
Self-insured health plan trust ^(b)		11.3			6.6			4.7			—
Interest rate derivative instruments ^(c)		79.3			—			—			79.3
Total		$	313.5		$	192.1		$	42.1		$	79.3


^(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 1 are comprised of U.S. Treasury securities. Debt securities classified as Level 2 are comprised of corporate bonds, U.S. Agency, state and local obligations, and other asset-backed securities.

^(c)

At June 30, 2017, the fair value of interest rate derivative instruments is based on the settlement value of $140.6 million discounted by a contingency factor of 0.65 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 cash settlement of these instruments. At December 31, 2016, the fair value of 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 London Interbank Offered Rate (LIBOR) swap rates discounted by a contingency factor of 0.35. A decrease in the contingency factor would result in a higher fair value measurement. The contingency factor will increase in response to facts and circumstances that in the view of a market participant, would increase the likelihood that the acquisition of Westar is not consummated. Because of the unobservable nature of the contingency factor, the interest rate derivatives have been classified as Level 3.

^(d)

At June 30, 2017, the fair value of the Series B Preferred Stock dividend make-whole provisions is determined by calculating the present value of all dividend payments on all outstanding shares of Series B Preferred Stock for all the remaining dividend periods, excluding accumulated and unpaid dividends, discounted by a contingency factor of 0.53 that management believes is representative of the probability that conditions would be met that would result in a dividend make-whole payment being made under either the acquisition termination redemption or the fundamental change conversion options of the Series B Preferred Stock. These conditions include the probability that a qualifying acquisition termination event occurs, the probability Great Plains Energy would elect to redeem the Series B Preferred Stock upon the occurrence of a qualifying event and the probability that Great Plains Energy's average stock price exceeds a certain threshold amount. A decrease in the contingency factor would result in a higher fair value measurement. Because of the unobservable nature of the contingency factor, the dividend make-whole provision has 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
	2017			2016
	(millions)
Net asset at April 1	$	91.4		$	—
Total unrealized losses:
included in interest charges	(42.2		)	(77.0		)
included in loss on Series B Preferred Stock dividend make-whole provisions	(57.1		)	—
Net liability at June 30	$	(7.9	)	$	(77.0	)
Total unrealized losses relating to assets and liabilities still on the consolidated balance sheet at June 30:
included in interest charges	$	(42.2	)	$	(77.0	)
included in loss on Series B Preferred Stock dividend make-whole provisions	(57.1		)	—

Great Plains Energy
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Derivative Instruments
	2017			2016
	(millions)
Net asset at January 1	$	79.3		$	—
Total unrealized losses:
included in interest charges	(30.1		)	(77.0		)
included in loss on Series B Preferred Stock dividend make-whole provisions	(57.1		)	—
Net liability at June 30	$	(7.9	)	$	(77.0	)
Total unrealized losses relating to assets and liabilities still on the consolidated balance sheet at June 30:
included in interest charges	$	(30.1	)	$	(77.0	)
included in loss on Series B Preferred Stock dividend make-whole provisions	(57.1		)	—