Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table presents the fair value at March 31, 2024, of our assets and liabilities that are measured at fair value on a recurring basis (dollars in thousands):


	Level 1		Level 2		Level 3		Other			Total
ASSETS
Cash equivalents	$	15	$	—	$	—	$	—		$	15
Risk management activities — derivative instruments:
Commodity contracts	—		—		73		5		(a)	78



Nuclear decommissioning trust:
Equity securities	9,590		—		—		2,129		(b)	11,719
U.S. commingled equity funds	—		—		—		384,687		(c)	384,687
U.S. Treasury debt	343,985		—		—		—			343,985
Corporate debt	—		218,595		—		—			218,595
Mortgage-backed securities	—		214,514		—		—			214,514
Municipal bonds	—		52,053		—		—			52,053
Other fixed income	—		13,471		—		—			13,471
Subtotal nuclear decommissioning trust	353,575		498,633		—		386,816			1,239,024

Other special use funds:
Equity securities	46,665		—		—		1,423		(b)	48,088
U.S. Treasury debt	316,137		—		—		—			316,137
Subtotal other special use funds	362,802		—		—		1,423			364,225

Total assets	$	716,392	$	498,633	$	73	$	388,244		$	1,603,342

LIABILITIES
Risk management activities — derivative instruments:
Commodity contracts	$	—	$	(138,687)	$	(16,044)	$	6,329	(a)	$	(148,402)

(a)Represents counterparty netting, margin, and collateral. See Note 7.

(b)Represents net pending securities sales and purchases.

(c)Valued using NAV as a practical expedient and, therefore, are not classified in the fair value hierarchy.

The following table presents the fair value at December 31, 2023, of our assets and liabilities that are measured at fair value on a recurring basis (dollars in thousands):


	Level 1		Level 2		Level 3		Other			Total
ASSETS
Cash equivalents	$	10	$	—	$	—	$	—		$	10
Risk management activities — derivative instruments:
Commodity contracts	—		1,881		6,616		(1,689)		(a)	6,808



Nuclear decommissioning trust:
Equity securities	11,064		—		—		(767)		(b)	10,297
U.S. commingled equity funds	—		—		—		409,616		(c)	409,616
U.S. Treasury debt	319,734		—		—		—			319,734
Corporate debt	—		188,317		—		—			188,317
Mortgage-backed securities	—		208,306		—		—			208,306
Municipal bonds	—		59,323		—		—			59,323
Other fixed income	—		5,653		—		—			5,653
Subtotal nuclear decommissioning trust	330,798		461,599		—		408,849			1,201,246

Other special use funds:

Equity securities	40,991		—		—		2,196		(b)	43,187
U.S. Treasury debt	319,594		—		—		—			319,594

Subtotal other special use funds	360,585		—		—		2,196			362,781

Total assets	$	691,393	$	463,480	$	6,616	$	409,356		$	1,570,845

LIABILITIES
Risk management activities — derivative instruments:
Commodity contracts	$	—	$	(127,016)	$	(1,695)	$	4,823	(a)	$	(123,888)

(a)Represents counterparty netting, margin, and collateral. See Note 7.

(b)Represents net pending securities sales and purchases.

(c)Valued using NAV as a practical expedient and, therefore, are not classified in the fair value hierarchy.

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 (dollars in thousands):


	Three Months Ended March 31,
Commodity Contracts	2024		2023
Net derivative balance at beginning of period	$	4,921	$	(4,888)
Total net losses realized/unrealized:


Deferred as a regulatory asset or liability	(23,600)		(30,427)
Settlements	2,708		41,937


Net derivative balance at end of period	$	(15,971)	$	6,622

Schedule of Fair Value Measurement Inputs and Valuation Techniques

The following tables provide information regarding our significant unobservable inputs used to value our risk management derivative Level 3 instruments at March 31, 2024, and December 31, 2023:


	March 31, 2024 Fair Value (thousands)				Valuation	Significant					Weighted-Average
Commodity Contracts	Assets		Liabilities		Technique	Unobservable Input	Range				(c)
Electricity:
Forward Contracts (a)	$	73	$	13,206	Discounted cash flows	Electricity forward price (per MWh)	$25.27		-	$247.22	$	135.29
Option Contracts (b)	—		801		Option model	Electricity forward price (per MWh)	$42.75		-	$103.25	$	66.67
						Electricity price volatilities	154	%	-	285 %	203		%
						Natural gas forward price (per MMBtu)	$2.08		-	$4.83	$	3.11
						Natural gas price volatilities	56	%	-	78 %	69		%
Natural Gas:
Forward Contracts (a)	—		2,037		Discounted cash flows	Natural gas forward price (per MMBtu)	$(0.14)		-	$0.02	$	(0.01)
Total	$	73	$	16,044

(a)Includes swaps and physical and financial contracts.

(b)Option contracts classified as Level 3 relate to purchase power heat rate options. Electricity and natural gas price volatilities are estimated based on historical forward price movements due to lack of market quotes for implied volatilities.

(c)Unobservable inputs were weighted by the relative fair value of the instrument.


	December 31, 2023 Fair Value (thousands)				Valuation	Significant				Weighted-Average
Commodity Contracts	Assets		Liabilities		Technique	Unobservable Input	Range			(b)
Electricity:
Forward Contracts (a)	$	6,587	$	658	Discounted cash flows	Electricity forward price (per MWh)	$37.79	-	$259.04	$	158.08
Natural Gas:
Forward Contracts (a)	29		1,037		Discounted cash flows	Natural gas forward price (per MMBtu)	$0.00	-	$0.08	$	0.03
Total	$	6,616	$	1,695

(a)Includes swaps and physical and financial contracts.

(b)Unobservable inputs were weighted by the relative fair value of the instrument.