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Risk Management and Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2016
Risk Management and Derivative Financial Instruments  
Schedule of fair value of derivative financial instruments, balance sheet classification

 

As of June 30, 2016 and December 31, 2015, we have recorded the following assets and liabilities representing the fair value of derivative financial instruments, (in thousands):

 

 

 

 

 

June 30,

 

December 31,

 

ASSET DERIVATIVES

 

2016

 

2015

 

Hedging instruments

 

Balance Sheet Classification

 

Fair Value

 

 

Fair Value

 

Natural gas contracts, gas segment

 

Current assets

 

$
154 

 

 

$
2 

 

 

 

Non-current assets and deferred charges - other

 
39 

 

 
16 

 

 

 

 

 

 

 

 

 

 

Natural gas contracts, electric segment

 

Current assets

 
1,454 

 

 

—

 

 

 

Non-current assets and deferred charges - other

 
371 

 

 

—

 

Transmission congestion rights, electric segment

 

Current assets

 
4,626 

 

 
1,293 

 

 

 

 

 

 

 

 

 

 

Total derivatives assets

 

 

 

$
6,644 

 

 

$
1,311 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30,

 

 

December 31,

 

LIABILITY DERIVATIVES

 

2016

 

 

2015

 

Hedging instruments

 

Balance Sheet Classification

 

Fair Value

 

 

Fair Value

 

Natural gas contracts, gas segment

 

Current liabilities

 

$

—

 

 

$
282 

 

 

 

Non-current liabilities and deferred credits

 

—

 

 
66 

 

 

 

 

 

 

 

 

 

 

Natural gas contracts, electric segment

 

Current liabilities

 
1,175 

 

 
4,190 

 

 

 

Non-current liabilities and deferred credits

 
2,676 

 

 
3,630 

 

 

 

 

 

 

 

 

 

 

Total derivatives liabilities

 

 

 

$
3,851 

 

 

$
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 June 30, (in thousands):

 

Non-Designated Hedging
Instruments - Due to

 

Balance Sheet
Classification of

 

Amount of Gain / (Loss) Recognized on Balance Sheet

 

Regulatory Accounting

 

Gain / (Loss) on

 

Three Months Ended  

 

Six Months Ended

 

Twelve Months Ended

 

Electric Segment

 

Derivative

 

2016

 

2015

 

 

2016

 

2015

 

 

2016

 

2015

 

Commodity contracts

 

Regulatory (assets)/liabilities

 

$
5,091

 

$
321

 

 

$
3,383

 

$
(2,219

)

 

$
(1,252

)

$
(11,157

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Transmission congestion rights

 

Regulatory (assets)/liabilities

 
5,418

 
3,520

 

 
5,540

 
4,625

 

 
5,885

 
5,931

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Electric Segment

 

 

 

$
10,509

 

$
3,841

 

 

$
8,923

 

$
2,406

 

 

$
4,633

 

$
(5,226

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Designated Hedging
Instruments - Due to

 

Statement of

Income

Classification of

 

Amount of Gain / (Loss) Recognized in Income

 

Regulatory Accounting

 

Gain / (Loss) on

 

Three Months Ended

 

Six Months Ended

 

Twelve Months Ended

 

Electric Segment

 

Derivative

 

2016

 

2015

 

 

2016

 

2015

 

 

2016

 

2015

 

Commodity contracts

 

Fuel and purchased power expense

 

$
155

 

$
(855

)

 

$
(1,543

)

$
(2,277

)

 

$
(7,381

)

$
(4,850

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Transmission congestion rights

 

Fuel and purchased power expense

 
1,547

 
1,875

 

 
2,343

 
5,313

 

 
4,498

 
11,197

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Electric Segment

 

 

 

$
1,702

 

$
1,020

 

 

$
800

 

$
3,036

 

 

$
(2,883

)

$
6,347

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 
63 

%
1,903,017 

 
3,720,000 

 

$
3.48 

 

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 

%
0 

 
1,460,000 

 

$
2.96 

 

20%

 

2020

 

—

 

—

 

—

 

—

 

10%

 

 

Schedule of transmission congestion rights (TCR)

 

At June 30, 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

 

2016-17

 
12,100 

 

$
4,626 

 

 

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 June 30, 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 

 

—

 
1,605 

 
60 

%

Nov. 2017 - Mar. 2018

 

Up to 50%

 
280 

 

—

 

—

 
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 June 30, (in thousands).

 

Non-Designated Hedging
Instruments Due to Regulatory

 

Balance Sheet
Classification of
Gain / (Loss) on

 

Amount of Gain/(Loss) Recognized on Balance Sheet

 

Accounting - Gas Segment

 

Derivative

 

Three Months Ended  

 

Six Months Ended

 

Twelve Months Ended

 

 

 

 

 

2016

 

2015

 

 

2016

 

2015

 

 

2016

 

2015

 

Commodity contracts

 

Regulatory (assets)/liabilities

 

$
240

 

$
203

 

 

$
172

 

$
186

 

 

$
(461

)

$
(434

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total - Gas Segment

 

 

 

$
240

 

$
203

 

 

$
172

 

$
186

 

 

$
(461

)

$
(434

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Schedule of margin deposit assets

 

(in millions)

 

June 30, 2016

 

 

December 31, 2015

 

Margin deposit assets

 

$
4.6 

 

 

$
11.2