Fair Value of Financial Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2018

Gross Notional Amounts of Commodity Forwards and Options

Gross notional amounts of commodity forwards and options at Dec. 31:


^(a)	Amounts are not reflective of net positions in the underlying commodities.


^(b)	Notional amounts for options are included on a gross basis, but are weighted for the probability of exercise.

Financial Impact of Qualifying Cash Flow Hedges on Accumulated Other Comprehensive Loss

Financial impact of qualifying interest rate and vehicle fuel cash flow hedges on PSCo’s accumulated other comprehensive loss, included in the consolidated statements of common stockholder’s equity and in the consolidated statements of comprehensive income:



(Millions of Dollars)	2018			2017			2016
Accumulated other comprehensive loss related to cash flow hedges at Jan. 1	$	(26.5	)	$	(22.8	)	$	(23.8	)
After-tax net realized losses on derivative transactions reclassified into earnings	1.2			1.0			1.0
Adoption of ASU. 2018-02 ^(a)	—			(4.7		)	—
Accumulated other comprehensive loss related to cash flow hedges at Dec. 31	$	(25.3	)	$	(26.5	)	$	(22.8	)


^(a)	In 2017, PSCo implemented ASU No. 2018-02 related to TCJA, which resulted in reclassification of certain credit balances within net accumulated other comprehensive loss to retained earnings.

Impact of Derivative Activity on Accumulated Other Comprehensive Loss, Regulatory Assets and Liabilities, and Income

Impact of derivative activity:



	Pre-Tax Fair Value Gains (Losses) Recognized During the Period in:
(Millions of Dollars)	Accumulated Other Comprehensive Loss		Regulatory(Assets) and Liabilities
Year Ended Dec. 31, 2018
Other derivative instruments
Natural gas commodity	$	—	$	8.0
Total	$	—	$	8.0

Year Ended Dec. 31, 2017
Other derivative instruments
Natural gas commodity	$	—	$	(10.9	)
Total	$	—	$	(10.9	)

Year Ended Dec. 31, 2016
Other derivative instruments
Natural gas commodity	—		2.1
Total	$	—	$	2.1



	Pre-Tax (Gains) Losses Reclassified into Income During the Period from:
(Millions of Dollars)	Accumulated Other Comprehensive Loss			Regulatory Assets and (Liabilities)				Pre-Tax Gains (Losses) Recognized During the Period in Income
Year Ended Dec. 31, 2018
Derivatives designated as cash flow hedges
Interest rate	$	1.6	^(a)	$	—			$	—
Total	$	1.6		$	—			$	—
Other derivative instruments
Commodity trading	$	—		$	—			$	3.1		^(c)
Natural gas commodity	—			(4.1		)	^(d)	(2.9		)	^(d)
Total	$	—		$	(4.1	)		$	0.2

Year Ended Dec. 31, 2017
Derivatives designated as cash flow hedges
Interest rate	$	1.6	^(a)	$	—			$	—
Total	$	1.6		$	—			$	—
Other derivative instruments
Commodity trading	$	—		$	—			$	0.4		^(c)
Natural gas commodity	—			1.9			^(d)	(4.2		)	^(d)
Total	$	—		$	1.9			$	(3.8	)

Year Ended Dec. 31, 2016
Derivatives designated as cash flow hedges
Interest rate	$	1.6	^(a)	$	—			$	—
Vehicle fuel and other commodity	0.1		^(b)	—				—
Total	$	1.7		$	—			$	—
Other derivative instruments
Commodity trading	$	—		$	—			$	(0.3	)	^(c)
Natural gas commodity	—			10.3			^(d)	(5.8		)	^(d)
Total	$	—		$	10.3			$	(6.1	)


^(a)	Amounts are recorded to interest charges.


^(b)	Amounts are recorded to O&M expenses.


^(c)	Amounts are recorded to electric operating revenues. Portions of these gains and losses are subject to sharing with electric customers through margin-sharing mechanisms and deducted from gross revenue, as appropriate.

^(d)

Amounts for the year ended Dec. 31, 2018, 2017 and 2016 included $1.2 million of settlement losses, $0.4 million of settlement gains and $0.2 million of settlement losses, respectively, on derivatives entered to mitigate natural gas price risk for electric generation recorded to electric fuel and purchased power, subject to cost-recovery mechanisms and reclassified to a regulatory asset or liability, as appropriate. Remaining settlement losses for the years ended Dec. 31, 2018, 2017 and 2016 relate to natural gas operations and are recorded to cost of natural gas sold and transported. These losses are subject to cost-recovery mechanisms and reclassified out of income to a regulatory asset or liability, as appropriate.

Derivative Assets and Liabilities Measured at Fair Value on a Recurring Basis by Hierarchy Level

The following table presents, for each of the fair value hierarchy levels, PSCo’s derivative assets and liabilities measured at fair value on a recurring basis at Dec. 31, 2018 and 2017:



	Dec. 31, 2018													Dec. 31, 2017
	Fair Value													Fair Value
(Millions of Dollars)	Level 1		Level 2		Level 3		Fair Value Total		Netting ^(a)			Total		Level 1		Level 2		Level 3		Fair Value Total		Netting ^(a)			Total
Current derivative assets
Other derivative instruments:
Commodity trading	$	2.3	$	65.0	$	0.1	$	67.4	$	(28.2	)	$	39.2	$	0.5	$	4.5	$	—	$	5.0	$	(3.5	)	$	1.5
Natural gas commodity	—		3.4		—		3.4		—			3.4		—		—		—		—		—			—
Total current derivative assets	$	2.3	$	68.4	$	0.1	$	70.8	$	(28.2	)	42.6		$	0.5	$	4.5	$	—	$	5.0	$	(3.5	)	1.5
PPAs ^(b)												—													1.7
Current derivative instruments												$	42.6												$	3.2
Noncurrent derivative assets
Other derivative instruments:
Commodity trading	$	—	$	1.6	$	—	$	1.6	$	(0.4	)	$	1.2	$	—	$	1.5	$	—	$	1.5	$	(0.5	)	$	1.0
Total noncurrent derivative assets	$	—	$	1.6	$	—	$	1.6	$	(0.4	)	1.2		$	—	$	1.5	$	—	$	1.5	$	(0.5	)	1.0
PPAs ^(b)												—													—
Noncurrent derivative instruments												$	1.2												$	1.0
Current derivative liabilities
Other derivative instruments:
Commodity trading	$	2.4	$	64.2	$	—	$	66.6	$	(34.7	)	$	31.9	$	0.4	$	4.3	$	—	$	4.7	$	(3.4	)	$	1.3
Natural gas commodity	—		—		—		—		—			—		—		1.0		—		1.0		—			1.0
Total current derivative liabilities	$	2.4	$	64.2	$	—	$	66.6	$	(34.7	)	31.9		$	0.4	$	5.3	$	—	$	5.7	$	(3.4	)	2.3
PPAs ^(b)												2.7													5.0
Current derivative instruments												$	34.6												$	7.3
Noncurrent derivative liabilities
Other derivative instruments:
Commodity trading	$	—	$	1.1	$	—	$	1.1	$	(0.5	)	$	0.6	$	—	$	1.4	$	—	$	1.4	$	(0.6	)	$	0.8
Total noncurrent derivative liabilities	$	—	$	1.1	$	—	$	1.1	$	(0.5	)	0.6		$	—	$	1.4	$	—	$	1.4	$	(0.6	)	0.8
PPAs ^(b)												—													2.7
Noncurrent derivative instruments												$	0.6												$	3.5

^(a)

PSCo nets derivative instruments and related collateral in its consolidated balance sheet when supported by a legally enforceable master netting agreement, and all derivative instruments and related collateral amounts were subject to master netting agreements at Dec. 31, 2018 and 2017. At both Dec. 31, 2018 and 2017, derivative assets and liabilities include no obligations to return cash collateral. At Dec. 31, 2018 and 2017, derivative assets and liabilities include the rights to reclaim cash collateral of $6.5 million and $0 million, respectively. The counterparty netting amounts presented exclude settlement receivables and payables and non-derivative amounts that may be subject to the same master netting agreements.


^(b)	During 2006, PSCo qualified these contracts under the normal purchase exception. Based onthis qualification, the contracts are no longer adjusted to fair value and the previous carrying value of these contracts will be amortized over the remaining contract lives along with the offsetting regulatory assets and liabilities.

Carrying Amount and Fair Value of Long-term Debt

As of Dec. 31, other financial instruments for which the carrying amount did not equal fair value:



	2018				2017
(Millions of Dollars)	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Long-term debt, including current portion	$	4,997.6	$	5,123.2	$	4,608.3	$	5,024.8

(Amounts in Millions) ^(a)(b)

MWh of electricity

MMBtu of natural gas