Risk Management and Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2016

Risk Management and Derivative Financial Instruments

Schedule of fair value of derivative financial instruments, balance sheet classification

As of March 31, 2016 and December 31, 2015, we have recorded the following assets and liabilities representing the fair value of derivative financial instruments, (in thousands):

		March 31,		December 31,
ASSET DERIVATIVES		2016		2015
Hedging instruments	Balance Sheet Classification	Fair Value		Fair Value
Natural gas contracts, gas segment	Current assets	$	18	$	2
	Non-current assets and deferred charges — other	—		16
Natural gas contracts, electric segment	Current assets	—		—
	Non-current assets and deferred charges — other	—		—
Transmission congestion rights, electric segment	Current assets	590		1,293
Total derivatives assets		$	608	$	1,311

		March 31,		December 31,
LIABILITY DERIVATIVES		2016		2015
Hedging instruments	Balance Sheet Classification	Fair Value		Fair Value
Natural gas contracts, gas segment	Current liabilities	$	14	$	282
	Non-current liabilities and deferred credits	51		66
Natural gas contracts, electric segment	Current liabilities	4,729		4,190
	Non-current liabilities and deferred credits	3,822		3,630
Total derivatives liabilities		$	8,616	$	8,168

Schedule of mark-to-market pre-tax gains/(losses) from non-designated derivative instruments - electric segment

The following tables set forth “mark-to-market” pre-tax gains/(losses) from non-designated derivative instruments for the electric segment for each of the periods ended March 31, (in thousands):

Non-Designated Hedging Instruments  — Due to Regulatory Accounting Electric Segment	Balance Sheet  Classification of Gain /  (Loss) on Derivative	Amount of Gain / (Loss) Recognized on Balance  Sheet
		Three Months Ended						Twelve Months Ended
		2016			2015			2016			2015
Commodity contracts	Regulatory (assets)/liabilities	$	(1,709	)	$	(2,540	)	$	(6,022	)	$	(11,077	)
Transmission congestion rights	Regulatory (assets)/liabilities	122			1,105			3,987			13,434
Total Electric Segment		$	(1,587	)	$	(1,435	)	$	(2,035	)	$	2,357

Non-Designated Hedging Instruments  — Due to Regulatory Accounting Electric Segment	Statement of Income  Classification of Gain /  (Loss) on Derivative	Amount of Gain / (Loss) Recognized in Income  on Derivative
		Three Months Ended						Twelve Months Ended
		2016			2015			2016			2015
Commodity contracts	Fuel and purchased power expense	$	(1,698	)	$	(1,421	)	$	(8,392	)	$	(3,834	)
Transmission congestion rights	Fuel and purchased power expense	796			3,438			4,826			13,743
Total Electric Segment		$	(902	)	$	2,017		$	(3,566	)	$	9,909

Schedule of volumes and percentage of anticipated volume of natural gas usage for entity's electric operations with procurement guidelines

		Dth Hedged				Procurement
Year	% Hedged	Physical	Financial	Average Price		Guidelines
Remainder 2016	56%	2,676,000	3,860,000	$	3.54	Up to 100%
2017	41%	782,900	5,210,000	$	3.35	60%
2018	20%	565,000	2,460,000	$	3.33	40%
2019	10%	—	1,460,000	$	2.96	20%
2020	—	—	—	—		10%

Schedule of transmission congestion rights (TCR)

At March 31, 2016, the following transmission congestion rights (TCR) have been obtained to hedge congestion risk in the SPP IM (dollars in thousands):

Year	Monthly MWH  Hedged	$ Value
2016	1,430	$	590

Schedule of minimum percentage of winter season usage hedged by year of the entity's gas operations

The following table sets forth our long-term hedge strategy of mitigating price volatility for our customers by hedging a minimum of expected gas usage for the current winter season and the next two winter seasons and illustrates our hedged position as of March 31, 2016 (Dth in thousands).

Season	Target % Hedged by September 1	Dth Hedged — Financial	Dth Hedged — Physical	Dth in Storage	Actual % Hedged
Nov. 2016 - Mar. 2017	50%	200,000	—	1,252,281	47%
Nov. 2017 - Mar. 2018	Up to 50%	280,000	—	—	9%
Nov. 2018 - Mar. 2019	Up to 20%	—	—	—	—

Schedule of mark-to-market pre-tax gains/(losses) from non-designated derivative instruments - gas segment

The following table sets forth “mark-to-market” pre-tax gains / (losses) from derivatives not designated as hedging instruments for the gas segment for each of the periods ended March 31 (in thousands).

		Amount of Gain / (Loss)
Non-Designated Hedging	Balance Sheet	Recognized on Balance Sheet
Instruments Due to Regulatory	Classification of Gain or	Three Months Ended						Twelve Months Ended
Accounting — Gas Segment	(Loss) on Derivative	2016			2015			2016			2015
Commodity contracts	Regulatory (assets)/ liabilities	$	(67	)	$	(17	)	$	(497	)	$	(478	)
Total - Gas Segment		$	(67	)	$	(17	)	$	(497	)	$	(478	)

Schedule of margin deposit assets

(in millions)	March 31, 2016		December 31, 2015
Margin deposit assets	$	10.3	$	11.2