XML 71 R44.htm IDEA: XBRL DOCUMENT v3.6.0.2
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2016
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, 2016 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, 2016
Assets
 

 
 

 
 

 
 

 
 
 
 

Coal reclamation trust - cash equivalents (b)
$
14,521

 
$
—

 
$
—

 
$
—

 
 
 
$
14,521

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
—

 
43,722

 
11,076

 
(35,103
)
 
(c)
 
19,695

Nuclear decommissioning trust:
 

 
 

 
 

 
 
 
 
 
 

U.S. commingled equity funds
—

 
—

 
—

 
353,261

 
(d)
 
353,261

Fixed income securities:
 

 
 

 
 

 
 
 
 
 
 

     Cash and cash equivalent funds
—

 
—

 
—

 
795

 
(e)
 
795

U.S. Treasury
95,441

 
—

 
—

 
—

 
 
 
95,441

Corporate debt
—

 
111,623

 
—

 
—

 
 
 
111,623

Mortgage-backed securities
—

 
115,337

 
—

 
—

 
 
 
115,337

Municipal bonds
—

 
80,997

 
—

 
—

 
 
 
80,997

Other
—

 
22,132

 
—

 
—

 
 
 
22,132

Subtotal nuclear decommissioning trust
95,441

 
330,089

 
—

 
354,056

 

 
779,586

Total
$
109,962

 
$
373,811

 
$
11,076

 
$
318,953

 

 
$
813,802

Liabilities
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
(45,641
)
 
$
(58,482
)
 
$
31,049

 
(c)
 
$
(73,074
)

(a)
Primarily consists of long-dated electricity contracts.
(b)
Represents investments restricted for coal mine reclamation funding related to Four Corners. These assets are included in the Other Assets line item, reported under the Investments and Other Assets section of our Consolidated Balance Sheets.
(c)
Represents counterparty netting, margin and collateral.  See Note 16.
(d)
Valued using NAV as a practical expedient and, therefore, are not classified in the fair value hierarchy.
(e)
Represents nuclear decommissioning trust net pending securities sales and purchases.

 
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

 
(c)
 
314,957

Fixed income securities:
 

 
 

 
 

 
 

 
 
 
 

Cash and cash equivalent funds
12,260

 
—

 
—

 
(335
)
 
(d)
 
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

 
291,069

 
—

 
314,622

 

 
735,196

Total
$
129,505

 
$
314,061

 
$
30,364

 
$
289,277

 

 
$
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)
Valued using NAV as a practical expedient and, therefore, are not classified in the fair value hierarchy.
(d)
Represents nuclear decommissioning trust net pending securities sales and purchases.
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, 2016 and December 31, 2015:
 
 
December 31, 2016
Fair Value (thousands)
 
Valuation Technique
 
Significant Unobservable Input
 
Range
 
Weighted-Average
Commodity Contracts
Assets
 
Liabilities
 
Electricity:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
$
10,648

 
$
32,042

 
Discounted cash flows
 
Electricity forward price (per MWh)
 
$16.43 - $41.07
 
$
29.86

Natural Gas:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
428

 
26,440

 
Discounted cash flows
 
Natural gas forward price (per MMBtu)
 
$2.32 - $3.60
 
$
2.81

Total
$
11,076

 
$
58,482

 
 
 
 
 
 
 
 


(a)
Includes swaps and physical and financial contracts.

 
 
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 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, 2016 and 2015 (dollars in thousands):
 
 
 
Year Ended
December 31,
Commodity Contracts
 
2016
 
2015
Net derivative balance at beginning of period
 
$
(32,979
)
 
$
(41,386
)
Total net gains (losses) realized/unrealized:
 
 

 
 

Included in earnings
 
—

 
—

Included in OCI
 
88

 
(452
)
Deferred as a regulatory asset or liability
 
(37,543
)
 
(4,009
)
Settlements
 
15,146

 
14,809

Transfers into Level 3 from Level 2
 
1,900

 
(6,256
)
Transfers from Level 3 into Level 2
 
5,982

 
4,315

Net derivative balance at end of period
 
$
(47,406
)
 
$
(32,979
)
Net unrealized gains included in earnings related to instruments still held at end of period
 
$
—

 
$
—