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Derivative and Hedging Instruments (Tables)
 9 Months Ended
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Gross Notional Volume of Open Derivatives The gross notional volume of open derivatives is as follows:

 

 

September 30, 2020

 

December 31, 2019

 

 

Commodity derivative contracts

330,400

MWh

 

417,840

MWh

 

 

Commodity derivative contracts

8,495,000

Dth

 

6,605,000

Dth

 

 

FTRs

4,589

MW

 

2,750

MW

 

 

PPA

1,000

MW

 

1,450

MW

 
Fair Value of Derivative Instruments on the Balance Sheet The following table summarizes the fair value of the derivative instruments on the consolidated balance sheets. All derivative instruments in this table are presented on a gross basis and are calculated prior to the netting of instruments with the same counterparty under a master netting agreement as well as the netting of collateral. For financial statement purposes, instruments are netted with the same counterparty under a master netting agreement as well as the netting of collateral.

 

 

 

Derivative

 

Derivative

 

 

 

 

(In thousands)

 

Assets

 

Liabilities

 

Balance Sheet Location

 

 

September 30, 2020

 

 

 

 

 

 

 

 

Commodity derivative contracts(a)

$

2,248

$

546

 

Other current assets

 

 

Commodity derivative contracts(a)

 

253

 

12

 

Other deferred charges

 

 

FTRs

 

20

 

-

 

Other current assets

 

 

PPA

 

N/A

 

9,640

 

Derivative liability (current)

 

 

PPA

 

N/A

 

6,340

 

Derivative liability (long-term)

 

 

 

 

 

 

 

 

 

 

 

December 31, 2019

 

 

 

 

 

 

 

 

Commodity derivative contracts(b)

$

157

$

1,521

 

Derivative liability (current)(c)

 

 

Commodity derivative contracts(b)

 

73

 

217

 

Derivative liability (long-term)

 

 

FTRs

 

73

 

-

 

Other current assets

 

 

PPA

 

N/A

 

10,100

 

Derivative liability (current)

 

 

PPA

 

N/A

 

15,340

 

Derivative liability (long-term)

 

(a) As of September 30, 2020, collateral of $0.7 million was posted against derivative positions owed to counterparties under a master netting agreement on the consolidated balance sheet.

 

(b)As of December 31, 2019, collateral of $1.5 million was posted against and netted with derivative liability positions on the consolidated balance sheets.

 

(c) As of December 31, 2019, MGE posted $0.1 million as other current assets on the consolidated balance sheets.
Offsetting Assets The following tables show the effect of netting arrangements for recognized derivative assets and liabilities that are subject to a master netting arrangement or similar arrangement on the consolidated balance sheets.

 

Offsetting of Derivative Assets

 

 

(In thousands)

 

Gross Amounts

 

Gross Amounts Offset in Balance Sheets

 

Collateral Posted Against Derivative Positions

 

Net Amount Presented in Balance Sheets

 

 

September 30, 2020

 

 

 

 

 

 

 

 

 

 

Commodity derivative contracts

$

2,501

$

(558)

$

(650)

$

1,293

 

 

FTRs

 

20

 

-

 

-

 

20

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2019

 

 

 

 

 

 

 

 

 

 

Commodity derivative contracts

$

230

$

(192)

$

-

$

38

 

 

FTRs

 

73

 

-

 

-

 

73

 
Offsetting Liabilities

 

Offsetting of Derivative Liabilities

 

 

(In thousands)

 

Gross Amounts

 

Gross Amounts Offset in Balance Sheets

 

Collateral Posted Against Derivative Positions

 

Net Amount Presented in Balance Sheets

 

 

September 30, 2020

 

 

 

 

 

 

 

 

 

 

Commodity derivative contracts

$

558

$

(558)

$

-

$

-

 

 

PPA

 

15,980

 

-

 

-

 

15,980

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2019

 

 

 

 

 

 

 

 

 

 

Commodity derivative contracts

$

1,738

$

(192)

$

(1,546)

$

-

 

 

PPA

 

25,440

 

-

 

-

 

25,440

 
Derivative Gains and Losses in Balance Sheet The following tables summarize the unrealized and realized gains/losses related to the derivative instruments on the consolidated balance sheets and the consolidated statements of income.

 

 

2020

 

 

2019

(In thousands)

 

Current and Long-Term Regulatory Asset

 

Other Current Assets

 

 

Current and Long-Term Regulatory Asset

 

Other Current Assets

Three Months Ended September 30:

 

 

 

 

 

 

 

 

 

Balance as of July 1,

$

20,400

$

940

 

$

33,515

$

878

Unrealized (gain) loss

 

(4,695)

 

-

 

 

(4,560)

 

-

Realized (loss) gain reclassified to a deferred account

 

(207)

 

207

 

 

(411)

 

411

Realized (loss) gain reclassified to income statement

 

(1,481)

 

(164)

 

 

638

 

(258)

Balance as of September 30,

$

14,017

$

983

 

$

29,182

$

1,031

 

 

 

 

 

 

 

 

 

 

Nine Months Ended September 30:

 

 

 

 

 

 

 

 

 

Balance as of January 1,

$

26,875

$

1,100

 

$

31,830

$

377

Unrealized (gain) loss

 

(8,032)

 

-

 

 

(2,256)

 

-

Realized (loss) gain reclassified to a deferred account

 

(1,999)

 

1,999

 

 

(1,402)

 

1,402

Realized (loss) gain reclassified to income statement

 

(2,827)

 

(2,116)

 

 

1,010

 

(748)

Balance as of September 30,

$

14,017

$

983

 

$

29,182

$

1,031
Derivative Gains and Losses in Income Statement

 

 

Realized Losses (Gains)

 

 

2020

 

 

2019

(In thousands)

 

Fuel for Electric Generation/ Purchased Power

 

Cost of Gas Sold

 

 

Fuel for Electric Generation/ Purchased Power

 

Cost of Gas Sold

Three Months Ended September 30:

 

 

 

 

 

 

 

 

 

Commodity derivative contracts

$

680

$

28

 

$

471

$

83

FTRs

 

184

 

-

 

 

(429)

 

-

PPA

 

753

 

-

 

 

(505)

 

-

 

 

 

 

 

 

 

 

 

 

Nine Months Ended September 30:

 

 

 

 

 

 

 

 

 

Commodity derivative contracts

$

2,303

$

1,682

 

$

1,038

$

460

FTRs

 

78

 

-

 

 

(503)

 

-

PPA

 

880

 

-

 

 

(1,257)

 

-