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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2015
Fair Value Disclosures [Abstract]  
Fair value of assets and liabilities that are measured at fair value on a recurring basis
The following table presents the fair value at December 31, 2015 of our assets and liabilities that are measured at fair value on a recurring basis (dollars in thousands):

 
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs (a)
(Level 3)
 
Other
 
 
 
Balance at December 31, 2015
Assets
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
22,992

 
$
30,364

 
$
(25,345
)
 
(b)
 
$
28,011

Nuclear decommissioning trust:
 

 
 

 
 

 
 
 
 
 
 

U.S. commingled equity funds
—

 
314,957

 
—

 
—

 

 
314,957

Fixed income securities:
 

 
 

 
 

 
 
 
 
 
 

     Cash and cash equivalent funds
12,260

 
—

 
—

 
(335
)
 
(c)
 
11,925

U.S. Treasury
117,245

 
—

 
—

 
—

 
 
 
117,245

Corporate debt
—

 
96,243

 
—

 
—

 
 
 
96,243

Mortgage-backed securities
—

 
99,065

 
—

 
—

 
 
 
99,065

Municipal bonds
—

 
72,206

 
—

 
—

 
 
 
72,206

Other
—

 
23,555

 
—

 
—

 
 
 
23,555

Subtotal nuclear decommissioning trust
129,505

 
606,026

 
—

 
(335
)
 

 
735,196

Total
$
129,505

 
$
629,018

 
$
30,364

 
$
(25,680
)
 

 
$
763,207

Liabilities
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
(144,044
)
 
$
(63,343
)
 
$
39,698

 
(b)
 
$
(167,689
)

(a)
Primarily consists of heat rate options and other long-dated electricity contracts.
(b)
Represents counterparty netting, margin and collateral.  See Note 16.
(c)
Represents nuclear decommissioning trust net pending securities sales and purchases.

 
The following table presents the fair value at December 31, 2014 of our assets and liabilities that are measured at fair value on a recurring basis (dollars in thousands):
 
 
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs (a)
(Level 3)
 
Other
 
 
 
Balance at December 31, 2014
Assets
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
20,769

 
$
32,598

 
$
(21,962
)
 
(b)
 
$
31,405

Nuclear decommissioning trust:
 

 
 

 
 

 
 

 
 
 
 

U.S. commingled equity funds
—

 
309,620

 
—

 
—

 

 
309,620

Fixed income securities:
 

 
 

 
 

 
 

 
 
 
 

U.S. Treasury
118,843

 
—

 
—

 
—

 
 
 
118,843

Cash and cash equivalent funds
—

 
11,453

 
—

 
(7,245
)
 
(c)
 
4,208

Corporate debt
—

 
109,379

 
—

 
—

 
 
 
109,379

Mortgage-backed securities
—

 
88,465

 
—

 
—

 
 
 
88,465

Municipal bonds
—

 
69,139

 
—

 
—

 
 
 
69,139

Other
—

 
14,212

 
—

 
—

 
 
 
14,212

Subtotal nuclear decommissioning trust
118,843

 
602,268

 
—

 
(7,245
)
 

 
713,866

Total
$
118,843

 
$
623,037

 
$
32,598

 
$
(29,207
)
 

 
$
745,271

Liabilities
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
(95,061
)
 
$
(73,984
)
 
$
58,767

 
(b)
 
$
(110,278
)

(a)
Primarily consists of heat rate options and other long-dated electricity contracts.
(b)
Represents counterparty netting, margin and collateral.  See Note 16.
(c)
Represents nuclear decommissioning trust net pending securities sales and purch
Information regarding the entity's internally developed significant unobservable inputs used to value its level 3 instruments
s.
 
The following tables provide information regarding our significant unobservable inputs used to value our risk management derivative Level 3 instruments at December 31, 2015 and December 31, 2014:
 
 
December 31, 2015
Fair Value (thousands)
 
Valuation Technique
 
Significant Unobservable Input
 
Range
 
Weighted-Average
Commodity Contracts
Assets
 
Liabilities
 
Electricity:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
$
24,543

 
$
54,679

 
Discounted cash flows
 
Electricity forward price (per MWh)
 
$15.92 - $40.73
 
$
26.86

Option Contracts (b)
—

 
5,628

 
Option model
 
Electricity forward price (per MWh)
 
$23.87 - $44.13
 
$
33.91

 
 

 
 

 
 
 
Electricity price volatilities
 
40% - 59%
 
52
%
 
 

 
 

 
 
 
Natural gas price volatilities
 
32% - 40%
 
35
%
Natural Gas:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
5,821

 
3,036

 
Discounted cash flows
 
Natural gas forward price (per MMBtu)
 
$2.18 - $3.14
 
$
2.61

Total
$
30,364

 
$
63,343

 
 
 
 
 
 
 
 


(a)
Includes swaps and physical and financial contracts.
(b)
Electricity and natural gas price volatilities are estimated based on historical forward price movements due to lack of market quotes for implied volatilities.
 
 
December 31, 2014
Fair Value (thousands)
 
Valuation Technique
 
Significant Unobservable Input
 
Range
 
Weighted-Average
Commodity Contracts
Assets
 
Liabilities
 
Electricity:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
$
29,471

 
$
55,894

 
Discounted cash flows
 
Electricity forward price (per MWh)
 
$19.51 - $56.72
 
$
35.27

Option Contracts (b)
—

 
15,035

 
Option model
 
Electricity forward price (per MWh)
 
$32.14 - $66.09
 
$
45.83

 
 

 
 

 
 
 
Natural gas forward price (per MMBtu)
 
$3.18 - $3.29
 
$
3.25

 
 

 
 

 
 
 
Electricity price volatilities
 
23% - 63%
 
41
%
 
 

 
 

 
 
 
Natural gas price volatilities
 
23% - 41%
 
31
%
Natural Gas:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
3,127

 
3,055

 
Discounted cash flows
 
Natural gas forward price (per MMBtu)
 
$2.98 - $4.13
 
$
3.45

Total
$
32,598

 
$
73,984

 
 
 
 
 
 
 
 


(a)
Includes swaps and physical and financial contracts.
(b)
Electricity and natural gas price volatilities are estimated based on historical forward price movements due to lack of market quotes for implied volatili
Changes in fair value for assets and liabilities that are measured at fair value on a recurring basis using Level 3 inputs
The following table shows the changes in fair value for our risk management activities’ assets and liabilities that are measured at fair value on a recurring basis using Level 3 inputs for the years ended December 31, 2015 and 2014 (dollars in thousands):
 
 
 
Year Ended
December 31,
Commodity Contracts
 
2015
 
2014
Net derivative balance at beginning of period
 
$
(41,386
)
 
$
(49,165
)
Total net gains (losses) realized/unrealized:
 
 

 
 

Included in earnings
 
—

 
102

Included in OCI
 
(452
)
 
(239
)
Deferred as a regulatory asset or liability
 
(4,009
)
 
(482
)
Settlements
 
14,809

 
12,080

Transfers into Level 3 from Level 2
 
(6,256
)
 
(2,090
)
Transfers from Level 3 into Level 2
 
4,315

 
(1,592
)
Net derivative balance at end of period
 
$
(32,979
)
 
$
(41,386
)
Net unrealized gains included in earnings related to instruments still held at end of period
 
$
—

 
$
—