Derivatives and Fair Values (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional Amounts of Outstanding Derivative Positions

The contract or notional amounts and terms of the derivative commodity instruments held at our utility are composed of both long and short positions. We were in a net long position as of:

	September 30, 2020		December 31, 2019
	MWh	Maximum Term (months)	MWh	Maximum Term (months)
Wholesale power contracts (a)	55,225	3	—	0

__________

(a)    Volumes exclude contracts that qualify for the normal purchases and normal sales exception.

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following table presents the fair value and balance sheet classification of our derivative instruments (in thousands) as of:

	Balance Sheet Location	September 30, 2020		December 31, 2019
Derivatives not designated as hedges:
Liability derivative instruments:
Current commodity derivatives	Accrued liabilities	$	228	$	—
Total derivatives not designated as hedges		$	228	$	—

Derivative Instruments, Gain (Loss)

Derivatives Designated as Hedges

The impacts of cash flow hedges on our Condensed Statements of Comprehensive Income are presented below for the three and nine months ended September 30, 2020 and 2019. Derivatives designated as cash flow hedges relate to a treasury lock entered into in August 2002 to hedge $50 million of our First Mortgage Bonds due on August 15, 2032. The treasury lock cash settled on August 8, 2002, the bond pricing date, and resulted in a $1.8 million loss. The treasury lock is treated as a cash flow hedge and the resulting loss is carried in Accumulated other comprehensive loss and is being amortized over the life of the related bonds.

		Three Months Ended September 30,				Nine Months Ended September 30,
		2020		2019		2020		2019
Derivatives in Cash Flow Hedging Relationships	Income Statement Location	Amount of Gain/(Loss) Reclassified from AOCI into Income
		(in thousands)				(in thousands)
Interest rate swaps	Interest expense	$	(16)	$	(16)	$	(48)	$	(48)
Total		$	(16)	$	(16)	$	(48)	$	(48)

Derivatives Not Designated as Hedges

The following table summarizes the impacts of derivative instruments not designated as hedge instruments on our Condensed Statements of Comprehensive Income for the three and nine months ended September 30, 2020 and 2019. Note that this presentation does not reflect gains or losses arising from the underlying physical transactions; therefore, it is not indicative of the economic profit or loss we realized when the underlying physical and financial transactions were settled.

		Three Months Ended September 30,
		2020		2019
Derivatives Not Designated as Hedging Instruments	Income Statement Location	Amount of Gain/(Loss) on Derivatives Recognized in Income
		(in thousands)
Commodity derivatives	Fuel and purchased power	$	(1,386)	$	—
Commodity derivatives	Other income (expense), net	—		142
		$	(1,386)	$	142

		Nine Months Ended September 30,
		2020		2019
Derivatives Not Designated as Hedging Instruments	Income Statement Location	Amount of Gain/(Loss) on Derivatives Recognized in Income
		(in thousands)
Commodity derivatives	Fuel and purchased power	$	(228)	$	—
Commodity derivatives	Other income (expense), net	—		142
		$	(228)	$	142

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

For these derivative instruments, the fair value is obtained by utilizing a nationally recognized service that obtains observable inputs to compute the fair value.

	As of September 30, 2020
	Level 1		Level 2		Level 3		Cash Collateral and Counterparty Netting		Total
	(in thousands)
Liabilities:
Commodity derivatives	$	—	$	228	$	—	$	—	228

	As of December 31, 2019
	Level 1		Level 2		Level 3		Cash Collateral and Counterparty Netting		Total
	(in thousands)
Liabilities:
Commodity derivatives	$	—	$	—	$	—	$	—	$	—

Fair Value, by Balance Sheet Grouping

Financial instruments for which the carrying amount did not equal the fair value were as follows (in thousands) as of:

	September 30, 2020				December 31, 2019
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Long-term debt, including current maturities (a)	$	337,426	$	497,565	$	340,176	$	458,286

_________________

(a)    Long-term debt is valued based on observable inputs available either directly or indirectly for similar liabilities in active markets and therefore is classified in Level 2 in the fair value hierarchy. Carrying amount of long-term debt is net of deferred financing costs.