Fair value of assets and liabilities that are measured at fair value on a recurring basis |
The following table presents the fair value at June 30, 2018 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 June 30, 2018 | Assets | |
| | |
| | |
| | |
| | | | |
| Risk management activities — derivative instruments: | | | | | | | | | | | | Commodity contracts | $ | — |
| | $ | 5,215 |
| | $ | 2,071 |
| | $ | (3,970 | ) | | (b) | | $ | 3,316 |
| Nuclear decommissioning trust: | | | | | | | | | | | | Equity securities | 6,041 |
| | — |
| | — |
| | 625 |
| | (c) | | 6,666 |
| U.S. commingled equity funds | — |
| | — |
| | — |
| | 426,574 |
| | (d) | | 426,574 |
| U.S. Treasury debt | 137,960 |
| | — |
| | — |
| | — |
| | | | 137,960 |
| Corporate debt | — |
| | 107,225 |
| | — |
| | — |
| | | | 107,225 |
| Mortgage-backed debt securities | — |
| | 107,008 |
| | — |
| | — |
| | | | 107,008 |
| Municipal bonds | — |
| | 79,195 |
| | — |
| | — |
| | | | 79,195 |
| Other fixed income | — |
| | 9,015 |
| | — |
| | — |
| | | | 9,015 |
| Subtotal nuclear decommissioning trust | 144,001 |
| | 302,443 |
| | — |
| | 427,199 |
| | | | 873,643 |
| | | | | | | | | | | | | Other special use funds: | | | | | | | | | | | | Equity securities | 14,310 |
| | — |
| | — |
| | 1,260 |
| | (c) | | 15,570 |
| U.S. Treasury debt | 178,160 |
| | — |
| | — |
| | — |
| |
| | 178,160 |
| Municipal bonds | — |
| | 24,810 |
| | — |
| | — |
| | | | 24,810 |
| Subtotal other special use funds (e) | 192,470 |
| | 24,810 |
| | — |
| | 1,260 |
| | | | 218,540 |
| | | | | | | | | | | | | Total Assets | $ | 336,471 |
| | $ | 332,468 |
| | $ | 2,071 |
| | $ | 424,489 |
| | | | $ | 1,095,499 |
| Liabilities | |
| | |
| | |
| | |
| | | | |
| Risk management activities — derivative instruments: | |
| | |
| | |
| | |
| | | | |
| Commodity contracts | $ | — |
| | $ | (86,766 | ) | | $ | (11,429 | ) | | $ | 2,752 |
| | (b) | | $ | (95,443 | ) |
| | (a) | Primarily consists of long-dated electricity contracts. |
| | (b) | Represents counterparty netting, margin and collateral. See Note 7. |
| | (c) | Represents net pending securities sales and purchases. |
| | (d) | Valued using NAV as a practical expedient and, therefore, are not classified in the fair value hierarchy. |
| | (e) | Other special use funds related to 4CA totaling approximately $2 million were reclassified to Assets Held For Sale on the Condensed Consolidated Balance Sheet. See Note 8 for discussion on the 4CA Matter. |
The following table presents the fair value at December 31, 2017 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, 2017 | Assets | |
| | |
| | |
| | |
| | | | |
| Cash equivalents | $ | 10,630 |
| | $ | — |
| | $ | — |
| | $ | — |
| | | | $ | 10,630 |
| Risk management activities — derivative instruments: | | | | | | | | | | | | Commodity contracts | — |
| | 5,683 |
| | 1,036 |
| | (4,737 | ) | | (b) | | 1,982 |
| Nuclear decommissioning trust: | |
| | |
| | |
| | |
| | | | |
| Cash and cash equivalents | 7,224 |
| | — |
| | — |
| | 109 |
| | (d) | | 7,333 |
| U.S. commingled equity funds | — |
| | — |
| | — |
| | 417,390 |
| | (e) | | 417,390 |
| U.S. Treasury debt | 127,662 |
| | — |
| | — |
| | — |
| | | | 127,662 |
| Corporate debt | — |
| | 114,007 |
| | — |
| | — |
| | | | 114,007 |
| Mortgage-backed debt securities | — |
| | 111,874 |
| | — |
| | — |
| | | | 111,874 |
| Municipal bonds | — |
| | 79,049 |
| | — |
| | — |
| | | | 79,049 |
| Other fixed income | — |
| | 13,685 |
| | — |
| | — |
| | | | 13,685 |
| Subtotal nuclear decommissioning trust | 134,886 |
| | 318,615 |
| | — |
| | 417,499 |
| | | | 871,000 |
| | | | | | | | | | | | | Other special use funds (c): | 455 |
| | 31,562 |
| | — |
| | 525 |
| | | | 32,542 |
| | | | | | | | | | | | | Total Assets | $ | 145,971 |
| | $ | 355,860 |
| | $ | 1,036 |
| | $ | 413,287 |
| | | | $ | 916,154 |
| Liabilities | |
| | |
| | |
| | |
| | | | |
| Risk management activities — derivative instruments: | |
| | |
| | |
| | |
| | | | |
| Commodity contracts | $ | — |
| | $ | (78,646 | ) | | $ | (19,292 | ) | | $ | 1,516 |
| | (b) | | $ | (96,422 | ) |
| | (a) | Primarily consists of long-dated electricity contracts. |
| | (b) | Represents counterparty netting, margin, and collateral. See Note 7. |
| | (c) | Primarily consists of fixed income municipal bonds. Presented as coal reclamation escrow in 2017. |
| | (d) | Represents nuclear decommissioning trust net pending securities sales and purchases. |
| | (e) | Valued using NAV as a practical expedient and, therefore, are not classified in the fair value hierarchy. |
|
Information regarding the entity's internally developed significant unobservable inputs used to value its level 3 instruments |
The following tables provide information regarding our significant unobservable inputs used to value our risk management derivative Level 3 instruments at June 30, 2018 and December 31, 2017: | | | | | | | | | | | | | | | | | | | | June 30, 2018 Fair Value (thousands) | | Valuation Technique | | Significant Unobservable Input | | | | Weighted-Average | Commodity Contracts | Assets | | Liabilities | | | | Range | | Electricity: | |
| | |
| | | | | | | | |
| Forward Contracts (a) | $ | — |
| | $ | 1,928 |
| | Discounted cash flows | | Electricity forward price (per MWh) | | $20.43 - $63.14 | | $ | 60.68 |
| Option Contracts (b) | 1,410 |
| | 203 |
| | Option model | | Electricity price volatilities | | 93% - 110% | | 101 | % | | | | | | | |
| |
| |
|
| Natural Gas: | |
| | |
| | | | | | | | |
| Forward Contracts (a) | 661 |
| | 9,298 |
| | Discounted cash flows | | Natural gas forward price (per MMBtu) | | $1.65 - $2.82 | | $ | 2.32 |
| Total | $ | 2,071 |
| | $ | 11,429 |
| | | | | | | | |
|
| | (a) | Includes swaps and physical and financial contracts. |
| | (b) | Electricity price volatilities are estimated based on historical forward price movements due to lack of market quotes for implied volatilities. |
| | | | | | | | | | | | | | | | | | | | December 31, 2017 Fair Value (thousands) | | Valuation Technique | | Significant Unobservable Input | | | | Weighted-Average | Commodity Contracts | Assets | | Liabilities | | | | Range | | Electricity: | |
| | |
| | | | | | | | |
| Forward Contracts (a) | $ | 21 |
| | $ | 15,485 |
| | Discounted cash flows | | Electricity forward price (per MWh) | | $18.51 - $38.75 | | $ | 27.89 |
| Natural Gas: | |
| | |
| | | | | | | | |
| Forward Contracts (a) | 1,015 |
| | 3,807 |
| | Discounted cash flows | | Natural gas forward price (per MMBtu) | | $2.33 - $3.11 | | $ | 2.71 |
| Total | $ | 1,036 |
| | $ | 19,292 |
| | | | | | | | |
|
| | (a) | Includes swaps and physical and financial contracts. |
|
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 three and six months ended June 30, 2018 and 2017 (dollars in thousands): | | | | | | | | | | | | | | | | | | | | Three Months Ended June 30, | | Six Months Ended June 30, | Commodity Contracts | | 2018 | | 2017 | | 2018 | | 2017 | Net derivative balance at beginning of period | | $ | (19,754 | ) | | $ | (41,685 | ) | | $ | (18,256 | ) | | $ | (47,406 | ) | Total net gains (losses) realized/unrealized: | | |
| | |
| | | | | Included in OCI | | — |
| | (6 | ) | | — |
| | (6 | ) | Deferred as a regulatory asset or liability | | (989 | ) | | 4,252 |
| | (3,311 | ) | | (7,503 | ) | Settlements | | 494 |
| | 1,699 |
| | 1,276 |
| | 3,122 |
| Transfers into Level 3 from Level 2 | | (2,534 | ) | | (4,350 | ) | | (4,979 | ) | | (4,388 | ) | Transfers from Level 3 into Level 2 | | 13,425 |
| | 3,845 |
| | 15,912 |
| | 19,936 |
| Net derivative balance at end of period | | $ | (9,358 | ) | | $ | (36,245 | ) | | $ | (9,358 | ) | | $ | (36,245 | ) | | | | | | | | | | Net unrealized gains included in earnings related to instruments still held at end of period | | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
|
|