Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2013

Derivative Instruments

Schedule of volume activity of natural gas derivatives that is expected to settle or mature each year

• The following table reflects the volume activity of our natural gas derivatives as of June 30, 2013 that is expected to settle or mature each year:

Year	Natural Gas Swaps (MMBTUs) (in millions)
2013	7.3
2014	1.6
2015	0.1
Total	9.0

Schedule of remaining notional amount of forecasted debt issuances hedged in each year with LIBOR swaptions

• The following table reflects the remaining notional amount of forecasted debt issuances we have hedged in each year with LIBOR swaptions as of June 30, 2013.

Year		LIBOR Swaption Notional Dollar Amount (in thousands)
2013	$	381,056
2014		563,425
2015		470,625
2016		310,533
2017		80,169
Total	$	1,805,808

Schedule of fair value of derivative instruments and their effect on condensed balance sheets.

• The table below reflects the fair value of derivative instruments and their effect on our condensed balance sheets at June 30, 2013 and December 31, 2012.

	Balance Sheet Location		Fair Value
			2013		2012
			(dollars in thousands)
Not designated as hedges:
Assets:
Interest rate options(1)	Other deferred charges	$	43,680	$	25,783
Liabilities:
Natural gas swaps	Other current liabilities	$	3,114	$	1,085

⁽¹⁾

Excludes liability associated with cash collateral of $36,070,000 and $8,950,000 as of June 30, 2013 and December 31, 2012, respectively, which is recorded as an offset to the fair value of the swaptions on the unaudited Condensed Balance Sheets.

Schedule of the gross realized gains and (losses) on derivative instruments recognized in margin

	Statement of Revenues and		Three months ended June 30,						Six months ended June 30,
	Expenses Location		2013			2012			2013			2012
			(dollars in thousands)
Designated as hedges:
Natural Gas Swaps	Fuel	$	—		$	149		$	—		$	149
Natural Gas Swaps	Fuel		—			(3,095	)		—			(5,502	)
Not Designated as hedges:
Natural Gas Swaps	Fuel		449			—			566			—
Natural Gas Swaps	Fuel		(379	)		—			(913	)		—
		$	70		$	(2,946	)	$	(347	)	$	(5,353	)

Schedule of gross unrealized gains and (losses) on derivative instruments deferred on the balance sheet

• The following table presents the gross unrealized gains and (losses) on derivative instruments deferred on the balance sheet at June 30, 2013 and December 31, 2012.

	Balance Sheet Location		2013			2012
			(dollars in thousands)
Not designated as hedges:
Interest rate options	Regulatory asset	$	(47,085	)	$	(74,217	)
Natural gas swaps	Regulatory asset		—			(1,085	)
Natural gas swaps	Regulatory liability		(3,114	)		—
		$	(50,199	)	$	(75,302	)

Schedule of gross amounts of derivatives and their related offset amounts as permitted by their respective master netting agreements and obligation to return cash collateral

• The following table presents the gross amounts of derivatives and their related offset amounts as permitted by their respective master netting agreements and obligations to return cash collateral at June 30, 2013.

		Gross Amounts of Recognized Assets (Liabilities)			Gross Amounts offset on the Balance Sheet		Cash Collateral			Net Amounts of Assets Presented on the Balance Sheet
		(dollars in thousands)
Assets:
Natural gas swaps	$	(3,151	)	$	37	$	—		$	(3,114	)
Interest rate options	$	43,680		$	—	$	(36,070	)	$	7,610